پازل نوسانات بلندمدت نرخ واقعی ارز
|کد مقاله||سال انتشار||مقاله انگلیسی||ترجمه فارسی||تعداد کلمات|
|8562||2006||32 صفحه PDF||سفارش دهید||محاسبه نشده|
Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)
Journal : Journal of International Money and Finance, Volume 25, Issue 1, February 2006, Pages 93–124
This paper documents large cross-country differences in the long-run volatility of the real exchange rate. It shows that the real exchange rate of developing countries is approximately three times more volatile than the real exchange rate in industrial countries. The paper shows that this difference in volatility cannot be explained by the fact that developing countries face larger shocks (both real and nominal), recurrent currency crises or by different elasticities to these shocks. ARCH estimations find a much higher persistence of deviations of the variance of the RER from its long-run value when the economy suffers shocks of various kinds.