Sectoral Productivity, Government Spending and Real Exchange Rates: Empirical Evidence for OECD Countries
This paper investigates the long- and short-run determinants of the real exchange rate using a panel of data for fourteen OECD countries. The data are analyzed using time series and panel unit root and panel cointegration methods. Two dynamic productivity-based models are used to motivate the empirical exercise. The candidate determinants include productivity levels in the traded and in the nontraded sectors, government spending, the terms of trade, income per capita, and the real price of oil. The empirical results indicate that it is easier to detect cointegration in panel data than in the available time series; moreover, the estimate of the rate of reversion to a cointegrating vector defined by real exchange rates and sectoral productivity differentials is estimated with greater precision as long as homogeneity of parameters is imposed upon the panel. It is more difficult to find evidence for cointegration when allowing for heterogeneity across currencies. The most empirically successful model of the real exchange rate includes sectoral productivity measures in the long run relation and government spending in the short run dynamics.
|Date of creation:||Apr 1997|
|Publication status:||published as (Published as "Productivity, Government Spending and the Real Exchange Rate: Evidence for OECD Countries") Equilibrium Exchange Rates, MacDonald, R., and Jerome Skin, eds.: Klumer, 1999, pp. 163-190.|
|Contact details of provider:|| Postal: National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.|
Web page: http://www.nber.org
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Maurice Obstfeld & Kenneth S. Rogoff, 1996. "Foundations of International Macroeconomics," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262150476, July.
When requesting a correction, please mention this item's handle: RePEc:nbr:nberwo:6017. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ()
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.