EconStor >
University of Kent >
School of Economics, University of Kent >
School of Economics Discussion Papers, University of Kent >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/50633
  
Title:Productivity, preferences and UIP deviations in an open economy business cycle model PDF Logo
Authors:Bhattacharjee, Arnab
Chadha, Jagjit S.
Sun, Qi
Issue Date:2008
Series/Report no.:School of Economics discussion papers 08,08
Abstract:We show that a flex-price two-sector open economy DSGE model can explain the poor degree of international risk sharing and exchange rate disconnect. We use a suite of model evaluation measures and examine the role of (i) traded and non-traded sectors; (ii) financial market incompleteness; (iii) preference shocks; (iv) deviations from UIP condition for the exchange rates; and (v) creditor status in net foreign assets. We find that there is a good case for both traded and non-traded productivity shocks as well as UIP deviations in explaining the puzzles.
Subjects:current account dynamics
real exchange rates
incomplete markets
financial frictions
JEL:E32
F32
F41
Document Type:Working Paper
Appears in Collections:School of Economics Discussion Papers, University of Kent

Files in This Item:
File Description SizeFormat
576822485.pdf406.48 kBAdobe PDF
No. of Downloads: Counter Stats
Download bibliographical data as: BibTeX
Share on:http://hdl.handle.net/10419/50633

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.