NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Exchange Rate Dynamics with Sticky Prices: The Deutsch Mark, 1974-1982

Alberto Giovannini, Julio J. Rotemberg

NBER Working Paper No. 1281 (Also Reprint No. r1333)
Issued in February 1984
NBER Program(s):   ITI   EFG   IFM

This paper estimates simultaneously dynamic equations for the Deutsche Mark/Dollar exchange rate and the German wholesale price index, which emerge from a model in which German prices are sticky. This stickiness is due to price adjustment costs which take the form posited by Rotemberg(1982).The main results of the empirical analysis are two: First, the version of the model where prices are perfectly flexible is rejected. Second, real exchange rate variability is mostly accounted for by nominal exchange rate variability. We find substantial overshooting of the exchange rate to monetary innovations like those which appear to be typical in Germany.

download in pdf format
   (268 K)

email paper

This paper is available as PDF (268 K) or via email.

Machine-readable bibliographic record - MARC, RIS, BibTeX

Document Object Identifier (DOI): 10.3386/w1281

Published: Journal of Business and Economic Statistics, Vol. 7, No. 2, pp. 169-178,(April 1989).

 
Publications
Activities
Meetings
NBER Videos
Data
People
About

Support
National Bureau of Economic Research, 1050 Massachusetts Ave., Cambridge, MA 02138; 617-868-3900; email: info@nber.org

Contact Us