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Can a real business cycle model without price and wage stickiness explain UK real exchange rate behaviour?

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  • Meenagh, David
  • Minford, Patrick
  • Nowell, Eric
  • Sofat, Prakriti

Abstract

This paper establishes the ability of a Real Business Cycle model to account for UK real exchange rate behaviour. The model is tested by the method of indirect inference, bootstrapping the errors to generate 95% confidence limits for a time-series representation of the real exchange rate, as well as for various key data moments. The results suggest RBC models can explain real exchange rate movements.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of International Money and Finance.

Volume (Year): 29 (2010)
Issue (Month): 6 (October)
Pages: 1131-1150

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Handle: RePEc:eee:jimfin:v:29:y:2010:i:6:p:1131-1150

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Web page: http://www.elsevier.com/locate/inca/30443

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Keywords: Real exchange rate Productivity Real business cycle Bootstrap Indirect inference;

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References

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Cited by:
  1. Meenagh, David & Minford, Patrick & Wickens, Michael R., 2012. "Testing macroeconomic models by indirect inference on unfiltered data," CEPR Discussion Papers 9058, C.E.P.R. Discussion Papers.
  2. Davidson, James & Meenagh, David & Minford, Patrick & Wickens, Michael R., 2010. "Why crises happen - nonstationary macroeconomics," CEPR Discussion Papers 8157, C.E.P.R. Discussion Papers.

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