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
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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:
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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:
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E52 Monetary Policy
F41 Open Economy Macroeconomics
F44 International Business Cycles
E52 Monetary Policy
F41 Open Economy Macroeconomics
F44 International Business Cycles
Geographic Coverage:
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Canada,
Japan,
UK,
Italy,
Australia,
France,
Switzerland,
Germany,
US
Time Period(s):
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1975 – 2006 (1975Q1-2006Q3)
Data Type(s):
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aggregate data
Methodology
Data Source:
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GDP and Consumption: OECD iLibrary Effective real exchange rate: BIS
Unit(s) of Observation:
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Effective real exchange rate,
GDP,
private consumption,
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