首页- 研究成果- 研究成果详情
Understanding the Effect of Productivity Changes on International Relative Prices: the Role of News Shocks
下载 发布时间:2017-09-04
作者
王健,Deokwoo Nam
摘要

The US real exchange rate and terms of trade have been found to appreciate when its labor productivity increases relative to the rest of the world. This  finding is at odds with predictions from standard international macroeconomic models. In this paper, we find that incorporating news shocks to total factor productivity (TFP) in an otherwise standard open-economy sticky-price dynamic stochastic general equilibrium (DSGE) model with variable capital utilization can help the model replicate the above empirical finding. Labor productivity increases in our model after a positive news shock to TFP because of an increase in capital utilization. Under some plausible calibrations, the wealth effect of good news about future productivity can increase domestic demand strongly and induce an increase in home goods prices relative to foreign goods prices.

The US real exchange rate and terms of trade have been found to appreciate when its labor productivity increases relative to the rest of the world. This  finding is at odds with predictions from standard international macroeconomic models. In this paper, we find that incorporating news shocks to total factor productivity (TFP) in an otherwise standard open-economy sticky-price dynamic stochastic general equilibrium (DSGE) model with variable capital utilization can help the model replicate the above empirical finding. Labor productivity increases in our model after a positive news shock to TFP because of an increase in capital utilization. Under some plausible calibrations, the wealth effect of good news about future productivity can increase domestic demand strongly and induce an increase in home goods prices relative to foreign goods prices.

出版源
Pacific Economic Review