Limited participation and exchange rate dynamics: Does theory meet the data? - Paris-Jourdan Sciences Économiques Access content directly
Journal Articles Journal of Economic Dynamics and Control Year : 2008

Limited participation and exchange rate dynamics: Does theory meet the data?

Abstract

The paper explores the empirical dimensions of a New Open Economy Macronomy model characterized by credit market frictions. We find that these frictions are essential for the model to match a large set of moments of German data. Moreover, the simulated impulse response functions to supply and nominal shocks are consistent with VAR findings. Since the model is estimated on moments rather than on conditional IRFs, this underlines the ability of the model to match the data. Finally, monetary shocks do not seem to be the primary driving force behind the aggregate dynamics, which is consistent with the VAR literature.

Dates and versions

halshs-00754292 , version 1 (20-11-2012)

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Frédéric Karamé, Lise Patureau, Thepthida Sopraseuth. Limited participation and exchange rate dynamics: Does theory meet the data?. Journal of Economic Dynamics and Control, 2008, 32 (4), pp.1041-1087. ⟨10.1016/j.jedc.2007.04.007⟩. ⟨halshs-00754292⟩
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