Productivity and the Euro Dollar exchange rate puzzle:
This paper documents the evidence for a productivity based model of the dollar/euro real exchange rate over the 1985-2001 period. We estimate cointegrating relationships between the real exchange rate, productivity, and the real price of oil using the Johansen (1988) and Stock-Watson (1993) procedur...
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Cambridge, Mass.
NBER
2002
|
| Schriftenreihe: | Working paper series / National Bureau of Economic Research
8824 |
| Online-Zugang: | Volltext |
| Zusammenfassung: | This paper documents the evidence for a productivity based model of the dollar/euro real exchange rate over the 1985-2001 period. We estimate cointegrating relationships between the real exchange rate, productivity, and the real price of oil using the Johansen (1988) and Stock-Watson (1993) procedures. We find that each percentage point in the US-Euro area productivity differential results in a five percentage point real appreciation of the dollar. This finding is robust to the estimation methodology, the variables included in the regression, and the sample period. We conjecture that productivity-based models cannot explain the observed patterns with the standard set of assumptions, and describe a case in which the model can be reconciled with the observed data. |
| Beschreibung: | 29 S. graph. Darst 22 cm |
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| 490 | 1 | |a Working paper series / National Bureau of Economic Research |v 8824 | |
| 520 | |a This paper documents the evidence for a productivity based model of the dollar/euro real exchange rate over the 1985-2001 period. We estimate cointegrating relationships between the real exchange rate, productivity, and the real price of oil using the Johansen (1988) and Stock-Watson (1993) procedures. We find that each percentage point in the US-Euro area productivity differential results in a five percentage point real appreciation of the dollar. This finding is robust to the estimation methodology, the variables included in the regression, and the sample period. We conjecture that productivity-based models cannot explain the observed patterns with the standard set of assumptions, and describe a case in which the model can be reconciled with the observed data. | ||
| 700 | 1 | |a Chinn, Menzie David |e Verfasser |0 (DE-588)124080545 |4 aut | |
| 776 | 0 | 8 | |i Erscheint auch als |n Online-Ausgabe |
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| index_date | 2024-07-02T22:41:24Z |
| indexdate | 2024-07-09T21:25:05Z |
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| language | English |
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| physical | 29 S. graph. Darst 22 cm |
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| spelling | Alquist, Ron Verfasser (DE-588)132389843 aut Productivity and the Euro Dollar exchange rate puzzle Ron Alquist ; Menzie D. Chinn Cambridge, Mass. NBER 2002 29 S. graph. Darst 22 cm txt rdacontent n rdamedia nc rdacarrier Working paper series / National Bureau of Economic Research 8824 This paper documents the evidence for a productivity based model of the dollar/euro real exchange rate over the 1985-2001 period. We estimate cointegrating relationships between the real exchange rate, productivity, and the real price of oil using the Johansen (1988) and Stock-Watson (1993) procedures. We find that each percentage point in the US-Euro area productivity differential results in a five percentage point real appreciation of the dollar. This finding is robust to the estimation methodology, the variables included in the regression, and the sample period. We conjecture that productivity-based models cannot explain the observed patterns with the standard set of assumptions, and describe a case in which the model can be reconciled with the observed data. Chinn, Menzie David Verfasser (DE-588)124080545 aut Erscheint auch als Online-Ausgabe National Bureau of Economic Research <Cambridge, Mass.> NBER working paper series 8824 (DE-604)BV002801238 8824 http://papers.nber.org/papers/w8824.pdf kostenfrei Volltext |
| spellingShingle | Alquist, Ron Chinn, Menzie David Productivity and the Euro Dollar exchange rate puzzle |
| title | Productivity and the Euro Dollar exchange rate puzzle |
| title_auth | Productivity and the Euro Dollar exchange rate puzzle |
| title_exact_search | Productivity and the Euro Dollar exchange rate puzzle |
| title_exact_search_txtP | Productivity and the Euro Dollar exchange rate puzzle |
| title_full | Productivity and the Euro Dollar exchange rate puzzle Ron Alquist ; Menzie D. Chinn |
| title_fullStr | Productivity and the Euro Dollar exchange rate puzzle Ron Alquist ; Menzie D. Chinn |
| title_full_unstemmed | Productivity and the Euro Dollar exchange rate puzzle Ron Alquist ; Menzie D. Chinn |
| title_short | Productivity and the Euro Dollar exchange rate puzzle |
| title_sort | productivity and the euro dollar exchange rate puzzle |
| url | http://papers.nber.org/papers/w8824.pdf |
| volume_link | (DE-604)BV002801238 |
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