Productivity and the Euro-Dollar Exchange Rate Puzzle
Опубликовано на портале: 27-07-2004
This paper documents the evidence for a productivity based model of the dollar/euro real exchange rate over the 1985-2001 period. Authors estimate cointegrating relationships between the real exchange rate, productivity, and the real price of oil using the Johansen (1988) and Stock-Watson (1993) procedures. They 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. Authors 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.
LIQUIDITY AND PRODUCTIVITY IN RUSSIAN AGRICULTURE: FARM DATA EVIDENCE / доклад на 25 конференции IAAE, Reshaping Agriculture’s Contribution to Society, International Convention Centre, Durban, South Africa, 16-23 August 2003