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Volatility and Persistence of Simulated DSGE Real Exchange Rates

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Author Info

  • Yamin Ahmad

    ()
    (Department of Economics, University of Wisconsin - Whitewater)

  • Ming Chien Lo

    ()
    (Department of Economics, St Cloud State University)

  • Olena Mykhaylova

    ()
    (Department of Economics, University of Richmond)

Abstract

We investigate the time series properties of both filtered and unfiltered real exchange rate series produced by DSGE models that feature local currency pricing, home bias, nontraded goods, and incomplete markets. Detrended series produced by several specifications approach the empirically observed volatility, although none of the models generate enough persistence. Conversely, several models produce unfiltered series that possess the same degree of persistence as the data, but none can match its volatility.

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Bibliographic Info

Paper provided by UW-Whitewater, Department of Economics in its series Working Papers with number 11-01.

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Length: 11 pages
Date of creation: Jan 2011
Date of revision: Nov 2012
Publication status: Forthcoming in Economics Letters
Handle: RePEc:uww:wpaper:11-01

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Web page: http://www.uww.edu/cobe/economics/main.html
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Keywords: Real Exchange Rate Dynamics; Nonlinear Dynamics; DSGE Modeling; Smooth Transition Estimation; Simulations;

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References

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As found by EconAcademics.org, the blog aggregator for Economics research:
  1. Volatility, Persistence and Nonlinearity of Simulated DSGE Real Exchange Rates
    by Christian Zimmermann in NEP-DGE blog on 2011-08-20 22:22:48

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