Estimates of the Output Gap in Armenia with Applications to Monetary and Fiscal Policy PDF (Adobe DRM) download by Asmaa A ElGanainy

Estimates of the Output Gap in Armenia with Applications to Monetary and Fiscal Policy

INTERNATIONAL MONETARY FUND
Publication date: August 2005
ISBN: 9781455205271
Digital Book format: PDF (Adobe DRM)

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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.
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