Exchange rate dynamics, asset market structure and the role of the ...
Exchange rate dynamics, asset market structure and the role of the ...
Exchange rate dynamics, asset market structure and the role of the ...
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4<br />
3.5<br />
3<br />
2.5<br />
2<br />
σ T<br />
1.5<br />
1<br />
corr(RS,c-c*)<br />
0.5<br />
corr(T,A)<br />
0<br />
-0.5<br />
ρ T<br />
-1<br />
0 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 1<br />
Figure 8 The volatility <strong>of</strong> <strong>the</strong> terms <strong>of</strong> trade relative to GDP, <strong>the</strong> correlation between <strong>the</strong> real<br />
exchange <strong>rate</strong> <strong>and</strong> relative consumption, <strong>the</strong> first-order autocorrelation coefficient <strong>of</strong> <strong>the</strong> terms <strong>of</strong><br />
trade <strong>and</strong> <strong>the</strong> correlation between home country TFP <strong>and</strong> <strong>the</strong> terms <strong>of</strong> trade (as a proxy for<br />
international shock transmission) for various values <strong>of</strong> θ in <strong>the</strong> model driven by white noise TFP<br />
shocks.
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