| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w17978 |
| 来源ID | Working Paper 17978 |
| Microeconomic Sources of Real Exchange Rate Variability | |
| Mario J. Crucini; Christopher I. Telmer | |
| 发表日期 | 2012-04-05 |
| 出版年 | 2012 |
| 语种 | 英语 |
| 摘要 | We provide three sets of variance decompositions on microeconomic international relative price data. The first shows that the overall distribution of absolute deviations from the Law of One Price (LOP) is dominated by cross-sectional variation in long-term averages, not by time-series variation around the long-term averages. The second shows that time-series variation in changes in LOP deviations is dominated by idiosyncratic, goods-specific variation, not by aggregate variation such as that arising from nominal exchange rates. The third shows that time-series and cross-sectional variance are connected across goods. Goods that exhibit high cross-sectional variance also exhibit high time-series variance. Moreover, when this connection is made conditional on the tradeability of a goods, a two-factor structure for the goods-specific cross-section is revealed. We argue that this factor structure, in addition to our other variance decompositions, is informative for the construction of models that can synthesize the micro and macroeconomic behavior of relative prices. |
| 主题 | Macroeconomics ; Business Cycles ; International Economics ; International Finance ; International Macroeconomics |
| URL | https://www.nber.org/papers/w17978 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/575654 |
| 推荐引用方式 GB/T 7714 | Mario J. Crucini,Christopher I. Telmer. Microeconomic Sources of Real Exchange Rate Variability. 2012. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w17978.pdf（790KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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