LEADER 06423oam 22013334 450 001 9910971218303321 005 20251116163653.0 010 $a9786612844188 010 $a9781462377961 010 $a1462377963 010 $a9781451873597 010 $a145187359X 010 $a9781452755106 010 $a1452755108 010 $a9781282844186 010 $a1282844180 035 $a(CKB)3170000000055355 035 $a(SSID)ssj0000940088 035 $a(PQKBManifestationID)11519262 035 $a(PQKBTitleCode)TC0000940088 035 $a(PQKBWorkID)10948643 035 $a(PQKB)10423893 035 $a(OCoLC)649708896 035 $a(IMF)WPIEE2009212 035 $a(MiAaPQ)EBC1608837 035 $a(IMF)WPIEA2009212 035 $aWPIEA2009212 035 $a(EXLCZ)993170000000055355 100 $a20020129d2009 uf 0 101 0 $aeng 135 $aurcn||||||||| 181 $ctxt 182 $cc 183 $acr 200 10$aCointegrated TFP Processes and International Business Cycles /$fVicente Tuesta, Juan Rubio-Ramirez, Pau Rabanal 205 $a1st ed. 210 1$aWashington, D.C. :$cInternational Monetary Fund,$d2009. 215 $a53 p. $cill 225 1 $aIMF Working Papers 300 $a"September 2009." 311 08$a9781451917819 311 08$a1451917813 327 $aCover 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 ?a and ? -- 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. 330 3 $aA puzzle in international macroeconomics is that observed real exchange rates are highly volatile. Standard international real business cycle (IRBC) models cannot reproduce this fact. We show that TFP processes for the U.S. and the "rest of the world," is characterized by a vector error correction (VECM) and that adding cointegrated technology shocks to the standard IRBC model helps explaining the observed high real exchange rate volatility. Also we show that the observed increase of the real exchange rate volatility with respect to output in the last 20 year can be explained by changes in the parameter of the VECM. 410 0$aIMF Working Papers; Working Paper ;$vNo. 2009/212 606 $aBusiness cycles$xEconometric models 606 $aForeign exchange rates$xEconometric models 606 $aCapacity$2imf 606 $aCapital and Total Factor Productivity$2imf 606 $aConsumption$2imf 606 $aCost$2imf 606 $aCurrency$2imf 606 $aEconometric models$2imf 606 $aEconometrics & economic statistics$2imf 606 $aEconometrics$2imf 606 $aEconomic development$2imf 606 $aEconomic growth$2imf 606 $aEconomics$2imf 606 $aEnvironment and Growth$2imf 606 $aForeign Exchange$2imf 606 $aForeign exchange$2imf 606 $aIndustrial productivity$2imf 606 $aMacroeconomics$2imf 606 $aMacroeconomics: Consumption$2imf 606 $aMultiple or Simultaneous Equation Models$2imf 606 $aMultiple Variables: General$2imf 606 $aProduction and Operations Management$2imf 606 $aProduction$2imf 606 $aReal exchange rates$2imf 606 $aSaving$2imf 606 $aSustainable growth$2imf 606 $aTotal factor productivity$2imf 606 $aVector error correction models$2imf 606 $aWealth$2imf 607 $aUnited States$2imf 615 0$aBusiness cycles$xEconometric models. 615 0$aForeign exchange rates$xEconometric models. 615 7$aCapacity 615 7$aCapital and Total Factor Productivity 615 7$aConsumption 615 7$aCost 615 7$aCurrency 615 7$aEconometric models 615 7$aEconometrics & economic statistics 615 7$aEconometrics 615 7$aEconomic development 615 7$aEconomic growth 615 7$aEconomics 615 7$aEnvironment and Growth 615 7$aForeign Exchange 615 7$aForeign exchange 615 7$aIndustrial productivity 615 7$aMacroeconomics 615 7$aMacroeconomics: Consumption 615 7$aMultiple or Simultaneous Equation Models 615 7$aMultiple Variables: General 615 7$aProduction and Operations Management 615 7$aProduction 615 7$aReal exchange rates 615 7$aSaving 615 7$aSustainable growth 615 7$aTotal factor productivity 615 7$aVector error correction models 615 7$aWealth 676 $a332.1;332.15 700 $aTuesta$b Vicente$01815793 701 $aRabanal$b Pau$01815608 701 $aRubio-Ramirez$b Juan$01815883 712 02$aInternational Monetary Fund.$bResearch Department. 801 0$bDcWaIMF 906 $aBOOK 912 $a9910971218303321 996 $aCointegrated TFP Processes and International Business Cycles$94371492 997 $aUNINA