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来源类型Working Paper
规范类型报告
DOI10.3386/w28225
来源IDWorking Paper 28225
The Story of the Real Exchange Rate
Oleg Itskhoki
发表日期2020-12-21
出版年2020
语种英语
摘要The real exchange rate (RER) measures relative price levels across countries, capturing deviations from purchasing power parity (PPP). RER is a key variable in international macroeconomic models as it is central to equilibrium conditions in both goods and asset markets. It is also one of the most starkly-behaved variables empirically, tightly co-moving with the nominal exchange rate and virtually uncorrelated with most other macroeconomic variables, nominal or real. This survey lays out an equilibrium framework of RER determination, focusing separately on each building block and discussing corresponding empirical evidence. We emphasize home bias and incomplete pass-through into prices with expenditure switching and goods market clearing, imperfect international risk sharing, country budget constraint and monetary policy regime. We show that RER is inherently a general-equilibrium variable, which depends on the full model structure and policy regime, and therefore partial theories like PPP are insufficient to explain it. We also discuss issues of stationarity and predictability of exchange rates.
主题Macroeconomics ; Business Cycles ; International Economics ; International Finance ; International Macroeconomics ; Financial Economics ; Financial Markets
URLhttps://www.nber.org/papers/w28225
来源智库National Bureau of Economic Research (United States)
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条目标识符http://119.78.100.153/handle/2XGU8XDN/585899
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GB/T 7714
Oleg Itskhoki. The Story of the Real Exchange Rate. 2020.
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