{
  "title": "Real Exchange Rates and Productivity: Closed-Form Solutions and Some Empirical Evidence",
  "publication": "IMF Working Papers, June 1, 2000",
  "sourceUrl": "https://www.imf.org/en/publications/wp/issues/2016/12/30/real-exchange-rates-and-productivity-closed-form-solutions-and-some-empirical-evidence-3589",
  "canonical": "https://www.imf.org/en/publications/wp/issues/2016/12/30/real-exchange-rates-and-productivity-closed-form-solutions-and-some-empirical-evidence-3589",
  "overlayPath": "/en/publications/wp/issues/2016/12/30/real-exchange-rates-and-productivity-closed-form-solutions-and-some-empirical-evidence-3589/index.md",
  "summary": "This paper examines the impact of productivity shocks on real exchange rate fluctuations in a dynamic international general equilibrium model with nontraded goods. The model predicts a close association between relative technology shocks and bilateral real exchange rate movements.",
  "sections": [
    {
      "heading": "Summary and main conclusion",
      "content": "- The paper examines the impact of productivity shocks on real exchange rate fluctuations in a dynamic international general equilibrium model with nontraded goods.\n- The model predicts a close association between relative technology shocks and bilateral real exchange rate movements.\n- Empirical results based on data for Group of Seven countries are consistent with the theoretical predictions.\n- Using Johansen and Juselius (1990) multivariate cointegration tests, the study finds a statistically significant relationship between bilateral real exchange rates and international productivity differentials in the traded and nontraded sectors."
    },
    {
      "heading": "Methodology and analytical approach",
      "content": "- Theoretical framework: dynamic international general equilibrium model incorporating nontraded goods and productivity (technology) shocks.\n- Econometric approach: Johansen and Juselius (1990) multivariate cointegration tests applied to bilateral real exchange rates and sectoral productivity differentials."
    },
    {
      "heading": "Empirical findings",
      "content": "- Evidence from Group of Seven countries supports the model’s predicted correlations between relative technology shocks and bilateral real exchange rate movements.\n- A statistically significant cointegrating relationship is identified between:\n  - bilateral real exchange rates, and\n  - international productivity differentials in the traded and nontraded sectors."
    },
    {
      "heading": "Topics and keywords",
      "content": "- Subjects: Consumption, Exchange rates, Foreign exchange, National accounts, Production, Productivity, Purchasing power parity, Real exchange rates\n- Keywords: Cointegration, Consumption, exchange rate movement, Exchange rates, Productivity, productivity differential, productivity shock, productivity-differentials model, Purchasing power parity, real exchange rate, Real Exchange Rates, shock process, Technology Shocks, WP\n\n---\n\n Content in this bundle\n\n- Real Exchange Rates and Productivity: Closed-Form Solutions and Some Empirical Evidence - WP/00/99\n  - Real Exchange Rates and Productivity: Closed-Form Solutions and Some Empirical Evidence - WP/00/99 (Markdown version){rel=\"alternate\" type=\"text/markdown\"}\n  - Real Exchange Rates and Productivity: Closed-Form Solutions and Some Empirical Evidence - WP/00/99 (PDF){rel=\"external\" type=\"application/pdf\"}\n\n---\n\nSource: https://www.imf.org/en/publications/wp/issues/2016/12/30/real-exchange-rates-and-productivity-closed-form-solutions-and-some-empirical-evidence-3589"
    }
  ],
  "bullets": [
    "[Markdown version](/en/publications/wp/issues/2016/12/30/real-exchange-rates-and-productivity-closed-form-solutions-and-some-empirical-evidence-3589/index.md)",
    "[Structured JSON version](/en/publications/wp/issues/2016/12/30/real-exchange-rates-and-productivity-closed-form-solutions-and-some-empirical-evidence-3589/index.json)",
    "[Bundle manifest](/en/publications/wp/issues/2016/12/30/real-exchange-rates-and-productivity-closed-form-solutions-and-some-empirical-evidence-3589/bundle-manifest.json)",
    "Authors: Jahanara Zaman",
    "Published: June 1, 2000",
    "Series: IMF Working Papers",
    "DOI: https://doi.org/10.5089/9781451852264.001",
    "The paper examines the impact of productivity shocks on real exchange rate fluctuations in a dynamic international general equilibrium model with nontraded goods.",
    "The model predicts a close association between relative technology shocks and bilateral real exchange rate movements.",
    "Empirical results based on data for Group of Seven countries are consistent with the theoretical predictions.",
    "Using Johansen and Juselius (1990) multivariate cointegration tests, the study finds a statistically significant relationship between bilateral real exchange rates and international productivity differentials in the traded and nontraded sectors.",
    "Theoretical framework: dynamic international general equilibrium model incorporating nontraded goods and productivity (technology) shocks.",
    "Econometric approach: Johansen and Juselius (1990) multivariate cointegration tests applied to bilateral real exchange rates and sectoral productivity differentials.",
    "Evidence from Group of Seven countries supports the model’s predicted correlations between relative technology shocks and bilateral real exchange rate movements.",
    "A statistically significant cointegrating relationship is identified between:",
    "Subjects: Consumption, Exchange rates, Foreign exchange, National accounts, Production, Productivity, Purchasing power parity, Real exchange rates",
    "Keywords: Cointegration, Consumption, exchange rate movement, Exchange rates, Productivity, productivity differential, productivity shock, productivity-differentials model, Purchasing power parity, real exchange rate, Real Exchange Rates, shock process, Technology Shocks, WP",
    "**Real Exchange Rates and Productivity: Closed-Form Solutions and Some Empirical Evidence - WP/00/99**"
  ],
  "related": [
    {
      "title": "Real Exchange Rates and Productivity: Closed-Form Solutions and Some Empirical Evidence - WP/00/99",
      "role": "document",
      "sourceUrl": "https://www.imf.org/-/media/websites/imf/imported-full-text-pdf/external/pubs/ft/wp/2000/_wp0099.pdf",
      "summary": {
        "path": "/-/media/websites/imf/imported-full-text-pdf/external/pubs/ft/wp/2000/_wp0099.pdf.md",
        "mime": "text/markdown"
      },
      "binary": {
        "path": "/-/media/websites/imf/imported-full-text-pdf/external/pubs/ft/wp/2000/_wp0099.pdf",
        "mime": "application/pdf"
      }
    }
  ],
  "alternates": {
    "markdown": "/en/publications/wp/issues/2016/12/30/real-exchange-rates-and-productivity-closed-form-solutions-and-some-empirical-evidence-3589/index.md",
    "json": "/en/publications/wp/issues/2016/12/30/real-exchange-rates-and-productivity-closed-form-solutions-and-some-empirical-evidence-3589/index.json",
    "bundleManifest": "/en/publications/wp/issues/2016/12/30/real-exchange-rates-and-productivity-closed-form-solutions-and-some-empirical-evidence-3589/bundle-manifest.json"
  },
  "generatedAtUtc": "2026-09-17T07:23:31.135Z"
}