Yan, Isabel K. and Kakkar, Vikas (2011): Real Exchange Rates and Productivity: Evidence From Asia. Forthcoming in: Journal of Money, Credit & Banking
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This paper examines a productivity-based explanation of the long run real exchange rate movements of six Asian economies. Using industry level data, we construct total factor productivities (TFPs) for the tradable and nontradable sectors. We find that (a) within each country the relative price of nontradable goods is cointegrated with the sectoral TFP differential, and (b) the real exchange rates are cointegrated with the home and foreign sectoral TFP differentials. Using the predicted real exchange rate as a measure of the "long-run equilibrium", we find that most Asian economies�real exchange rates are overvalued before the Asian Financial Crisis.
|Item Type:||MPRA Paper|
|Original Title:||Real Exchange Rates and Productivity: Evidence From Asia|
|Keywords:||Nontraded Goods; Balassa-Samuelson Model; Cointegration|
|Subjects:||F - International Economics > F4 - Macroeconomic Aspects of International Trade and Finance > F41 - Open Economy Macroeconomics
F - International Economics > F3 - International Finance > F31 - Foreign Exchange
|Depositing User:||Isabel Yan|
|Date Deposited:||06. Dec 2011 11:57|
|Last Modified:||16. Feb 2013 03:57|
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