06423oam 22013334 450 991097121830332120251116163653.09786612844188978146237796114623779639781451873597145187359X9781452755106145275510897812828441861282844180(CKB)3170000000055355(SSID)ssj0000940088(PQKBManifestationID)11519262(PQKBTitleCode)TC0000940088(PQKBWorkID)10948643(PQKB)10423893(OCoLC)649708896(IMF)WPIEE2009212(MiAaPQ)EBC1608837(IMF)WPIEA2009212WPIEA2009212(EXLCZ)99317000000005535520020129d2009 uf 0engurcn|||||||||txtccrCointegrated TFP Processes and International Business Cycles /Vicente Tuesta, Juan Rubio-Ramirez, Pau Rabanal1st ed.Washington, D.C. :International Monetary Fund,2009.53 p. illIMF Working Papers"September 2009."9781451917819 1451917813 Cover Page -- Title Page -- Copyright Page -- Contents -- I. Introduction -- II. The Great Moderation and Real Exchange Rate Volatility -- 1. Standard Deviation of HP-Filtered Data. USA and UK -- 2. Standard Deviation of HP-Filtered Data. Canada and Australia -- III. The Model -- A. Households -- B. Firms -- B.1 Final goods producers -- B.2 Intermediate goods producers -- B.3 The processes for TFP -- C. Market Clearing -- D. Equilibrium -- D.1 Equilibrium definition -- D.2 Equilibrium conditions -- E. Balanced Growth and the Restriction on the Cointegrating Vector -- IV. Estimation of the VECM -- A. Data -- 3. TFP Processes for the US and the "Rest of the World" -- B. Integration and Cointegration Properties -- 1. Unit Root tests for TFP -- 2. Cointegration Statistics I -- 3. Cointegration Statistics II: Johansen's test -- C. The VECM Model -- 4. Likelihood ratio tests -- 5. VECM model -- V. Results -- A. Parameterization -- B. Matching Real Exchange Rate Volatility -- 6a. Results -- 6b. Results -- 6c. Results -- C. Intuition -- 4. Impulse Response to a Home Country TFP shock. Model with Stationary TFP Shocks -- 5. Impulse Response to a Home-Country TFP shock. Model with Stationary TFP Shocks -- 7. Changing ρa and к -- 6. Impulse Response to a Home-Country TFP shock. Model with Cointegrated TFP Shocks -- 7. Impulse Response to a Home-Country TFP shock. Model with Cointegrated TFP Shocks -- D. Matching the Increase in Real Exchange Rate Volatility -- E. The "Backus-Smith Puzzle" -- 8. Investment-Specific Technology shocks -- VI. Concluding Remarks -- A. Normalize Equilibrium Conditions -- References -- Footnotes.A puzzle in international macroeconomics is that observed real exchange rates are highly volatile. Standard international real business cycle (IRBC) models cannot reproduce this fact. We show that TFP processes for the U.S. and the "rest of the world," is characterized by a vector error correction (VECM) and that adding cointegrated technology shocks to the standard IRBC model helps explaining the observed high real exchange rate volatility. Also we show that the observed increase of the real exchange rate volatility with respect to output in the last 20 year can be explained by changes in the parameter of the VECM.IMF Working Papers; Working Paper ;No. 2009/212Business cyclesEconometric modelsForeign exchange ratesEconometric modelsCapacityimfCapital and Total Factor ProductivityimfConsumptionimfCostimfCurrencyimfEconometric modelsimfEconometrics & economic statisticsimfEconometricsimfEconomic developmentimfEconomic growthimfEconomicsimfEnvironment and GrowthimfForeign ExchangeimfForeign exchangeimfIndustrial productivityimfMacroeconomicsimfMacroeconomics: ConsumptionimfMultiple or Simultaneous Equation ModelsimfMultiple Variables: GeneralimfProduction and Operations ManagementimfProductionimfReal exchange ratesimfSavingimfSustainable growthimfTotal factor productivityimfVector error correction modelsimfWealthimfUnited StatesimfBusiness cyclesEconometric models.Foreign exchange ratesEconometric models.CapacityCapital and Total Factor ProductivityConsumptionCostCurrencyEconometric modelsEconometrics & economic statisticsEconometricsEconomic developmentEconomic growthEconomicsEnvironment and GrowthForeign ExchangeForeign exchangeIndustrial productivityMacroeconomicsMacroeconomics: ConsumptionMultiple or Simultaneous Equation ModelsMultiple Variables: GeneralProduction and Operations ManagementProductionReal exchange ratesSavingSustainable growthTotal factor productivityVector error correction modelsWealth332.1;332.15Tuesta Vicente1815793Rabanal Pau1815608Rubio-Ramirez Juan1815883International Monetary Fund.Research Department.DcWaIMFBOOK9910971218303321Cointegrated TFP Processes and International Business Cycles4371492UNINA