Replication data for: The Dynamic Behavior of the Real Exchange Rate in Sticky Price Models: Comment

Principal Investigator(s):  View help for Principal Investigator(s) Jens Iversen; Ulf Söderström

Version:  View help for Version V1

Name File Type Size Last Modified
  ReplicationMaterials 10/19/2021 02:17:PM
LICENSE.txt text/plain 14.6 KB 10/11/2019 05:52:PM

Project Citation: 

Iversen, Jens, and Söderström, Ulf. Replication data for: The Dynamic Behavior of the Real Exchange Rate in Sticky Price Models: Comment. Nashville, TN: American Economic Association [publisher], 2014. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2019-10-11. https://doi.org/10.3886/E112743V1

Project Description

Summary:  View help for Summary In an article published in the American Economic Review, Jón Steinsson (2008) argues that two sticky price models driven by real shocks can explain the observed persistence, volatility and hump-shaped impulse response function of the real exchange rate. This comment shows, first, that correcting an error in one of Steinsson's models leads to substantially lower persistence and volatility of the real exchange rate; second, that Steinsson's models cannot match real exchange rate volatility relative to output; and, third, that reasonable variations of the model calibration or specification all lead to lower real exchange rate persistence and volatility (or both).

Scope of Project

JEL Classification:  View help for JEL Classification
      E52 Monetary Policy
      F41 Open Economy Macroeconomics
      F44 International Business Cycles
Geographic Coverage:  View help for Geographic Coverage Canada, Japan, UK, Italy, Australia, France, Switzerland, Germany, US
Time Period(s):  View help for Time Period(s) 1975 – 2006 (1975Q1-2006Q3)
Data Type(s):  View help for Data Type(s) aggregate data

Methodology

Data Source:  View help for Data Source GDP and Consumption: OECD iLibrary Effective real exchange rate: BIS
Unit(s) of Observation:  View help for Unit(s) of Observation Effective real exchange rate, GDP, private consumption,

Related Publications

Download this project

Published Versions

V1 [2019-10-11]

Export Metadata

Dublin Core

DDI 2.5

Report a Problem

Found a serious problem with the data, such as disclosure risk or copyrighted content? Let us know.

This material is distributed exactly as it arrived from the data depositor. ICPSR has not checked or processed this material. Users should consult the investigator(s) if further information is desired.