Can Sticky Price Models Generate Volatile and Persistent Real Exchange Rates.

摘要

The central puzzle in international business cycles is that fluctuations in real exchange rates are volatile and persistent. Since the work of Dornbusch (1976), the most popular story to explain exchange rate fluctuations is that they result from the interaction of monetary shocks and sticky prices. So far, however, few researchers have attempted to develop quantitative general equilibrium models of this story. Here, the authors do that, with some success. In our general equilibrium monetary model with sticky prices, if risk aversion is high and preferences are separable in leisure, then the model can account for the volatility of real exchange rates. With price-stickiness of at least one year, the model also produces real exchange rates that are quite persistent, but less so than in the data. If monetary shocks are correlated across countries, then the models comovements in aggregates across countries are broadly consistent with those in the data.