@techreport{NBERw8824,
 title = "Productivity and the Euro-Dollar Exchange Rate Puzzle",
 author = "Ron Alquist and Menzie D. Chinn",
 institution = "National Bureau of Economic Research",
 type = "Working Paper",
 series = "Working Paper Series",
 number = "8824",
 year = "2002",
 month = "March",
 URL = "http://www.nber.org/papers/w8824",
 abstract = {This paper documents the evidence for a productivity based model of the dollar/euro real exchange rate over the 1985-2001 period. We estimate cointegrating relationships between the real exchange rate, productivity, and the real price of oil using the Johansen (1988) and Stock-Watson (1993) procedures. We find that each percentage point in the US-Euro area productivity differential results in a five percentage point real appreciation of the dollar. This finding is robust to the estimation methodology, the variables included in the regression, and the sample period. We conjecture that productivity-based models cannot explain the observed patterns with the standard set of assumptions, and describe a case in which the model can be reconciled with the observed data.},
}