Real Exchange Rates and Productivity: Evidence from Asia
利用六个亚洲经济体的行业数据，构建可贸易与不可贸易部门的全要素生产率，发现部门生产率差异与实际汇率长期协整，并指出亚洲金融危机前多数经济体汇率被高估。
This paper examines a productivity‐based explanation of the long‐run real exchange rate movements of six Asian economies. Using industry level data, we construct total factor productivities (TFPs) for the tradable and nontradable sectors. We find that (i) within each country the relative price of nontradable goods is cointegrated with the sectoral TFP differential, and (ii) the real exchange rates are cointegrated with the home and foreign sectoral TFP differentials. Using the predicted real exchange rate as a measure of the “long‐run equilibrium,” we find that most Asian economies’ real exchange rates were overvalued before the Asian Financial Crisis.