Una reconsideración del modelo Balassa-Samuelson en la zona euro

Revista de Economia Aplicada (Impact Factor: 0.09). 01/2008; 16(1):145-184.
Source: RePEc

ABSTRACT En este trabajo analizamos, en un conjunto de países de la eurozona, si se han verificado dos de las premisas en las que se basa el modelo Balassa-Samuelson: la equiparación de los salarios en el sector comerciable y no comerciable, y el cumplimiento de la PPA en el sector expuesto al comercio internacional. En términos generales, nuestros resultados indican que ninguna de las dos hipótesis se ha cumplido en el periodo analizado (1973-2003). Por ello, ampliamos el marco de estudio del modelo y contrastamos si dentro de cada país ha existido una relación de cointegración entre los precios, las productividades y los salarios relativos. Analizamos, además, la existencia de una relación de largo plazo entre los tipos de cambio reales, los tipos de cambio reales en el sector comerciable, y la diferencia de productividades y de salarios relativos con respecto a Alemania. Mientras que los salarios resultan escasamente significativos en ambas relaciones, la evolución de los precios en el sector comerciable recibe un amplio respaldo empírico como variable explicativa de los tipos de cambio reales.

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    ABSTRACT: The derivation of the Balassa–Samuelson effect allows for different empirical specifications that may have important economic implications. Problems related to spurious regression could arise from the mixed order of integration of the series used and from the lack of long run stable relationship among the variables of the model. This paper addresses these problems by using the bounds testing approach developed by Pesaran et al. [J. Appl. Economet. 16 (2001) 289]. Our empirical results do not show supportive evidence for the Balassa–Samuelson effect in the long run. This seems to suggest the holding of the PPP. However, one of the implications of the PPP is that the real exchange rate does not have any real impact on the economy. Further empirical analysis rejects this last implication. In fact, real exchange rate seems to have a long run impact on relative growth rates.
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    ABSTRACT: Conventional explanations of the near random walk behavior of real exchange rates rely on near random walk behavior in the underlying fundamentals (e.g.. tastes and technology). The present paper offers an alternative rationale, based on a fixed-factor neoclassical model with traded and non-traded goods. The basic idea is that with open capital markets, agents can smooth their consumption of tradeables in the face of transitory traded goods productivity shocks. Agents cannot smooth non-traded goods productivity shocks, but if these are relatively small (as is often argued to be the case) then traded goods consumption smoothing will lead to smoothing of the intra-temporal price of traded and non-traded goods. The (near) random walk implications of the model for the real exchange rate are in stark contrast to the empirical predictions of the classic Balassa-Samuelson model. The paper applies the model to the yen/dollar exchange rate over the floating rate period.
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