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Volatile and persistent real exchange rates with or without sticky prices
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Moore, Michael J. and Roche, Maurice J. (2008) Volatile and persistent real exchange rates with or without sticky prices. Journal of Monetary Economics, Volume 55 (Number 2). pp. 423-433. doi:10.1016/j.jmoneco.2007.01.001 ISSN 0304-3932.
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Official URL: http://dx.doi.org/10.1016/j.jmoneco.2007.01.001
Abstract
The flexible-price two-country monetary model is extended to include a consumption externality with habit persistence. Two methodologies are employed to explore this model's ability to generate volatile and persistent exchange rates. In the first, actual data is used for the exogenous driving processes. In the second, the model is simulated using estimated forcing processes. The theory, in both cases, is capable of explaining the high volatility and persistence of real and nominal exchange rates as well as the high correlation between real and nominal rates.
Item Type: | Journal Article | ||||||||||
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Subjects: | H Social Sciences > HB Economic Theory | ||||||||||
Divisions: | Faculty of Social Sciences > Warwick Business School > Finance Group Faculty of Social Sciences > Warwick Business School |
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Library of Congress Subject Headings (LCSH): | Foreign exchange rates, Econometric models | ||||||||||
Journal or Publication Title: | Journal of Monetary Economics | ||||||||||
Publisher: | Elsevier BV | ||||||||||
ISSN: | 0304-3932 | ||||||||||
Official Date: | March 2008 | ||||||||||
Dates: |
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Volume: | Volume 55 | ||||||||||
Number: | Number 2 | ||||||||||
Number of Pages: | 10 | ||||||||||
Page Range: | pp. 423-433 | ||||||||||
DOI: | 10.1016/j.jmoneco.2007.01.001 | ||||||||||
Status: | Peer Reviewed | ||||||||||
Publication Status: | Published | ||||||||||
Access rights to Published version: | Restricted or Subscription Access | ||||||||||
Funder: | Ireland. Higher Education Authority |
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