Aggregation and the PPP Puzzle in a Sticky-Price Model
在多部门两国粘性价格模型中，各部门价格粘性不同导致实际汇率动态异质，加总后购买力平价偏离的波动性和持续性均强于单部门模型，并解释了实证文献中看似矛盾的发现。
We study the purchasing power parity (PPP) puzzle in a multisector, two-country, sticky-price model. Sectors differ in the extent of price stickiness, leading to heterogeneous sectoral real exchange rate dynamics. Deviations from PPP are more volatile and persistent than in an otherwise identical one-sector world economy with the same average frequency of price changes. Under the empirical distribution of price stickiness of the US economy, the model produces PPP deviations with a half-life of 39 months. We provide a structural interpretation of the approaches found in the empirical literature on aggregation and PPP, and reconcile its apparently conflicting findings.