Replication data for: The Dynamic Behavior of the Real Exchange Rate in Sticky Price Models: Comment

In an article published in the American Economic Review, Jón Steinsson (2008) argues that two sticky price models driven by real shocks can explain the observed persistence, volatility and hump-shaped impulse response function of the real exchange rate. This comment shows, first, that correcting an error in one of Steinsson's models leads to substantially lower persistence and volatility of the real exchange rate; second, that Steinsson's models cannot match real exchange rate volatility relative to output; and, third, that reasonable variations of the model calibration or specification all lead to lower real exchange rate persistence and volatility (or both).

发表于《美国经济评论》（"American Economic Review"）的一篇文章中，约恩·斯坦松（Jón Steinsson，2008）提出，两类由真实冲击驱动的粘性价格模型（sticky price models）能够解释观测得到的实际汇率（real exchange rate）持续性、波动性以及驼峰形脉冲响应函数（impulse response function）。本评论首先表明，修正斯坦松其中一个模型中的一处误差后，实际汇率的持续性与波动性会大幅降低；其次，斯坦松的模型无法拟合实际汇率相较于产出的波动性；最后，对模型校准（model calibration）与设定（specification）进行合理调整后，均会导致实际汇率的持续性与波动性（或二者同时）出现下降。