MARC Record from Library of Congress

LEADER: 02295cam a22003257a 4500
001 2005615497
003 DLC
005 20050113083551.0
007 cr |||||||||||
008 050112s2004 mau sb 000 0 eng
010 $a 2005615497
040 $aDLC$cDLC
050 00 $aHB1
100 1 $aHausmann, Ricardo.
245 14 $aThe long-run volatility puzzle of the real exchange rate$h[electronic resource] /$cRicardo Hausmann, Ugo Panizza, Roberto Rigobon.
260 $aCambridge, MA :$bNational Bureau of Economic Research,$cc2004.
490 1 $aNBER working paper series ;$vworking paper 10751
538 $aSystem requirements: Adobe Acrobat Reader.
538 $aMode of access: World Wide Web.
500 $aTitle from PDF file as viewed on 1/12/2005.
530 $aAlso available in print.
504 $aIncludes bibliographical references.
520 3 $a"This paper documents large cross-country differences in the long run volatility of the real exchange rate. In particular, it shows that the real exchange rate of developing countries is approximately three times more volatile than the real exchange rate in industrial countries. The paper tests whether this difference in volatility can be explained by the fact that developing countries face larger shocks (both real and nominal) and recurrent currency crises or by different elasticities to these shocks. It finds that the magnitude of the shocks and the differences in elasticities can only explain a small part of the difference in RER volatility between developing and industrial countries. Results from ARCH estimations confirm that there is a substantial difference in long term volatilities between these two sets of countries and indicate that there is also a much higher persistence of deviations of the variance of the RER from its long run value when the economy suffers shocks of various kinds"--National Bureau of Economic Research web site.
650 0 $aMonetary policy$zDeveloping countries.
650 0 $aForeign exchange rates.
700 1 $aPanizza, Ugo.
700 1 $aRigobón, Roberto.
710 2 $aNational Bureau of Economic Research.
830 0 $aWorking paper series (National Bureau of Economic Research : Online) ;$vworking paper no. 10751.
856 40 $uhttp://papers.nber.org/papers/w10751