巴拉萨—萨缪尔森效应.pdf.pdf

NBER WORKING PAPER SERIES THE HARROD-BALASSA-SAMUELSON HYPOTHESIS: REAL EXCHANGE RATES AND THEIR LONG-RUN EQUILIBRIUM Yanping Chong òscar Jordà Alan M. Taylor Working Paper 15868 ers/w15868 NATIONAL BUREAU OF ECONOMIC RESEARCH 1050 Massachusetts Avenue Cambridge, MA 02138 April 2010 Jordà is grateful for the support from the Spanish MICINN National Grant SEJ2007-6309 and the hospitality of the Federal Reserve Bank of San Francisco during preparation of this manuscript. Taylor also gratefully acknowledges research support from the Center for the Evolution of the Global Economy at the University of California, Davis. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research. NBER working papers are circulated for discussion ment purposes. They have not been peer- reviewed or been subject to the review by the NBER Board of Directors that panies official NBER publications. ? 2010 by Yanping Chong, òscar Jordà, and Alan M. Taylor. All rights reserved. Short sections of text, not to exceed two paragraphs, may be quoted without explicit permission provided that full credit, including ? notice, is given to the source. The Harrod-Balassa-Samuelson Hypothesis: Real Exchange Rates and their Long-Run Equilibrium Yanping Chong, òscar Jordà, and Alan M. Taylor NBER Working Paper No. 15868 April 2010 JEL No. F31,F41 ABSTRACT Frictionless, petitive traded-goods markets justify thinking of purchasing power parity (PPP) as the main driver of exchange rates in the long-run. But differences in the traded/non-traded sectors of economies tend to be persistent and affect movements in local price levels in ways that upset the PPP balance (the underpinning of the Harrod-Balassa-Samuelson hypothesis, HBS). This paper uses panel-data techniques on a broad collection of countries to investigate the long-run properties of the PPP/HBS equilibrium using novel local projection methods for cointegrated systems. These sem