Cavallo, A., Neiman, B., & Rigobon, R. (2014) "Currency Unions, Product Introductions, and the Real Exchange Rate" Quarterly Journal of Economics - Vol. 129 (20), p.529-595.

We use a novel dataset of online prices of identical goods sold by four large global retailers in dozens of countries to study good-level real exchange rates and their aggregated behavior. First, in contrast to the prior literature, we demonstrate that the law of one price holds very well within currency unions for tens of thousands of goods sold by each of the retailers, implying good-level real exchange rates often equal to one. Prices of these same goods exhibit large deviations from the law of one price outside of currency unions, even when the nominal exchange rate is pegged. This clarifies that the common currency per se, and not simply the lack of nominal volatility, is important in reducing cross-country price dispersion. Second, we derive a new decomposition that shows that good-level real exchange rates in our data predominantly reject differences in prices at the time products are first introduced, as opposed to the component emerging from heterogeneous passthrough or from nominal rigidities during the life of the good. Further, these international relative prices measured at the time of introduction move together with the nominal exchange rate. This stands in sharp contrast to pricing behavior in models where all price rigidity for any given good is due simply to costly price adjustment for that good.
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<b>Data Characteristics:</b> Daily prices for all good sold by these four multi-national retaillers in 85 countries. Dates and coverage varies by retailers.
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<img src="http://www.mit.edu/~afc/data/cnr/table1_CNR.JPG" alt="Data Characteristics." width="95%" >

本研究采用一项新颖的数据集，该数据集收录了全球四家大型零售企业在数十个国家销售的同质商品的线上价格，用以探究商品层面的实际汇率及其总体行为。首先，与既有文献不同，我们证实：对于四家零售企业各自售出的数万件商品而言，一价定律（Law of One Price）在货币联盟（Currency Unions）内部具有极高的契合度，这表明商品层面的实际汇率往往等于1。而在货币联盟之外，即便名义汇率（Nominal Exchange Rate）实行盯住制度，此类商品的价格仍与一价定律存在显著偏离。这一结论明确：共同货币本身才是降低跨国价格离散程度的核心因素，而非仅仅是名义汇率波动性的缺失。其次，我们推导出一种全新的分解方法，结果表明：本数据集内的商品层面实际汇率，其偏差主要源自商品首次上市时的价格差异，而非源自商品生命周期内异质性汇率传递（Exchange Rate Pass-Through）或名义刚性（Nominal Rigidities）所产生的偏差分量。此外，在商品首次上市时测算的国际相对价格，会随名义汇率同步波动。这一现象与现有模型中的定价行为形成鲜明反差：现有模型中，任意商品的全部价格刚性仅源于该商品的价格调整成本。
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<b>数据特征：</b> 本数据集涵盖上述四家跨国零售企业在85个国家销售的全部商品的每日价格，数据的时间跨度与覆盖范围因零售企业而异。
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<img src="http://www.mit.edu/~afc/data/cnr/table1_CNR.JPG" alt="数据特征。" width="95%" >