05165oam 22012734 450 991095902680332120250426110829.0978661383011197814623487941462348793978145274408714527440849781283517669128351766397814519879281451987927(CKB)3360000000443937(EBL)3014352(SSID)ssj0000940754(PQKBManifestationID)11532939(PQKBTitleCode)TC0000940754(PQKBWorkID)10955567(PQKB)11018576(OCoLC)698585560(IMF)WPIEE2006177(MiAaPQ)EBC3014352(IMF)WPIEA2006177WPIEA2006177(EXLCZ)99336000000044393720020129d2006 uf 0engur|n|---|||||txtccrEuro-Dollar Real Exchange Rate Dynamics in an Estimated Two-Country Model : What is Important and What is Not /Vicente Tuesta, Pau Rabanal1st ed.Washington, D.C. :International Monetary Fund,2006.1 online resource (42 p.)IMF Working Papers"July 2006."9781451864373 145186437X Includes bibliographical references.""Contents""; ""I. INTRODUCTION""; ""II. THE MODEL""; ""III. EXTENSIONS TO THE BASELINE MODEL ""; ""IV. ESTIMATION AND MODEL COMPARISON""; ""V. RESULTS""; ""VI. CONCLUDING REMARKS""; ""APPENDIX: THE METROPOLIS-HASTINGS ALGORITHM""; ""REFERENCES""We use a Bayesian approach to estimate a standard two-country New Open Economy Macroeconomics model using data for the United States and the euro area, and we perform model comparisons to study the importance of departing from the law of one price and complete markets assumptions. Our results can be summarized as follows. First, we find that the baseline model does a good job in explaining real exchange rate volatility but at the cost of overestimating volatility in output and consumption. Second, the introduction of incomplete markets allows the model to better match the volatilities of all real variables. Third, introducing sticky prices in Local Currency Pricing improves the fit of the baseline model but does not improve the fit as much as introducing incomplete markets. Finally, we show that monetary shocks have played a minor role in explaining the behavior of the real exchange rate, while both demand and technology shocks have been important.IMF Working Papers; Working Paper ;No. 2006/177Euro-dollar marketEconometric modelsForeign exchange ratesUnited StatesEconometric modelsForeign exchange ratesEuropean Union countriesEconometric modelsBayesian Analysis: GeneralimfCapital marketimfConsumptionimfCurrencyimfDeflationimfEconomicsimfExchange ratesimfFinanceimfFinance: GeneralimfFinancial marketsimfForeign ExchangeimfForeign exchangeimfGeneral Financial Markets: General (includes Measurement and Data)imfInflationimfMacroeconomicsimfMacroeconomics: ConsumptionimfNational accountsimfOpen Economy MacroeconomicsimfPrice LevelimfPricesimfReal exchange ratesimfSavingimfSecurities marketsimfWealthimfUnited StatesimfEuro-dollar marketEconometric models.Foreign exchange ratesEconometric models.Foreign exchange ratesEconometric models.Bayesian Analysis: GeneralCapital marketConsumptionCurrencyDeflationEconomicsExchange ratesFinanceFinance: GeneralFinancial marketsForeign ExchangeForeign exchangeGeneral Financial Markets: General (includes Measurement and Data)InflationMacroeconomicsMacroeconomics: ConsumptionNational accountsOpen Economy MacroeconomicsPrice LevelPricesReal exchange ratesSavingSecurities marketsWealthTuesta Vicente1815793Rabanal Pau1815608DcWaIMFBOOK9910959026803321Euro-Dollar Real Exchange Rate Dynamics in an Estimated Two-Country Model4371315UNINA