English, Article, Journal or magazine article edition: Productivity shocks and real exchange rates - a reappraisal. Tuomas A. Peltonen; Michael Sager

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Bookmark: http://trove.nla.gov.au/version/66695
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Productivity shocks and real exchange rates - a reappraisal.
Author
  • Tuomas A. Peltonen
  • Michael Sager
Physical Description
  • preprint
Notes
  • We reappraise the relationship between productivity and equilibrium real exchange rates using a panel estimation framework that incorporates a large number of countries and importantly, a dataset that allows explicit consideration of the role of non-traded, as well as traded, sector productivity shocks in exchange rate determination. We find evidence of significant correlation between real exchange rates and productivity differentials in both sectors. But our finding of a significant role for the non-traded sector in exchange rate determination, and of a relatively larger correlation between exchange rates and productivity shocks of a given size emanating from this sector, represent clear contradictions of the widely cited Balassa-Samuelson hypothesis. Our findings remain valid in the face of a number of robustness tests, including the exchange rate regime and numéraire currency. JEL Classification: F31, O47, C23.
  • Exchange rate, productivity, Balassa-Samuelson, panel data, emerging market economies.
  • RePEc:ecb:ecbwps:200901046
Language
  • English
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