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Real Exchange Rate Overshooting RBC Style

Meenagh, David; Minford, Patrick; Nowell, Eric; Sofat, … - C.E.P.R. Discussion Papers - 2005

This paper establishes the ability of a Real Business Cycle model to account for real exchange rate (RXR) behaviour, using UK experience as empirical focus. We show that a productivity burst simulation is capable of explaining the appreciation of RXR and its cyclical pattern observed in the...

Persistent link: https://www.econbiz.de/10005791457

Innovation and the Export-productivity Link

Cassiman, Bruno; Golovko, Elena - C.E.P.R. Discussion Papers - 2007

We explore the relationship between innovation activity, productivity, and exports using a panel of Spanish … innovation seems to explain the positive association between exports and productivity for this group of firms. For small non … manufacturing firms for 1990-1998. Our results - based on non-parametric tests - suggest that firm innovation status is important in …

Persistent link: https://www.econbiz.de/10005792473

Macroeconomic Shocks and the Business Cycle: Evidence from a Structural Factor Model

Forni, Mario; Gambetti, Luca - C.E.P.R. Discussion Papers - 2010

We use a dynamic factor model to provide a semi-structural representation for 101 quarterly US macroeconomic series. We find that (i) the US economy is well described by a number of structural shocks between two and six. Focusing on the four-shock specification, we identify, using sign...

Persistent link: https://www.econbiz.de/10008468698

On Identifying the Core of EMU: An Exploration of Some Empirical Criteria

Artis, Michael J; Zhang, Wenda - C.E.P.R. Discussion Papers - 1997

participant countries in the ERM. Supplementing these correlations with criteria based on real exchange rate volatility, trade and …

Persistent link: https://www.econbiz.de/10005123757

Monetary Misconceptions: New and Old Paradigmata and Other Sad Tales

Buiter, Willem H. - C.E.P.R. Discussion Papers - 2000

Several recent studies imply that the response of national saving to fiscal policy is non-monotonic. In this paper, we use two data sets to search for the circumstances in which such non-monotonic responses arise: one refers to a sample of OECD countries, as in previous studies, and one to a...

Persistent link: https://www.econbiz.de/10005124252

Why crises happen - nonstationary macroeconomics

Davidson, James; Meenagh, David; Minford, Patrick; … - C.E.P.R. Discussion Papers - 2010

A Real Business Cycle model of the UK is developed to account for the behaviour of UK nonstationary macro data. The model is tested by the method of indirect inference, bootstrapping the errors to generate 95% confidence limits for a VECM representation of the data; we find the model can explain...

Persistent link: https://www.econbiz.de/10008784696

The Dynamic Effects of Monetary Policy: A Structural Factor Model Approach

Forni, Mario; Gambetti, Luca - C.E.P.R. Discussion Papers - 2008

We use the structural factor model proposed by Forni, Giannone, Lippi and Reichlin (2007) to study the effects of monetary policy. The advantage with respect to the traditional vector autoregression model is that we can exploit information from a large data set, made up of 112 US monthly...

Persistent link: https://www.econbiz.de/10005662372

International Business Cycles: The Quantitative Role of Transportation Costs

Mazzenga, Elisabetta; Ravn, Morten O - C.E.P.R. Discussion Papers - 2002

movements and on international comovements are less pertinent since decreased trade volatility counteracts the effects of …

Persistent link: https://www.econbiz.de/10005661803

Why is it so Difficult to Beat the Random Walk Forecast of Exchange Rates?

Kilian, Lutz; Taylor, Mark P - C.E.P.R. Discussion Papers - 2001

We propose an exchange rate model that can explain both the observed volatility and the persistence of real and nominal …

Persistent link: https://www.econbiz.de/10005124271

External Wealth, the Trade Balance and the Real Exchange Rate

Lane, Philip R.; Milesi-Ferretti, Gian Maria - C.E.P.R. Discussion Papers - 2002

We examine the link between the net foreign asset position, the trade balance and the real exchange rate. In particular, we decompose the impact of a country’s net foreign asset position (‘external wealth’) on its long-run real exchange rate into two mechanisms: the relation between...

Persistent link: https://www.econbiz.de/10005124328

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