Exchange rate misalignments, interdependence, crises, and currency wars: an empirical assessment

Detalhes bibliográficos
Autor(a) principal: Marçal,Emerson Fernandes
Data de Publicação: 2014
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Revista Brasileira de Economia (Online)
Texto Completo: http://old.scielo.br/scielo.php?script=sci_arttext&pid=S0034-71402014000200005
Resumo: This study aims to compare two different methodologies of calculating exchange rate misalignment and test whether there is interdependence among countries in determining the real effective exchange rate. Two different econometric approaches are used to achieve these goals. The first one involves estimating a multivariate time series model that contains only country-specific variables and evaluating if this basic model can be improved by adding other countries' variables. The study uses the algorithm suggested by Hendry and Krolzig (2005). to select the best model specification. The second strategy involves estimating long panel data with the real effective exchange rate and fundamentals for a group of countries and explicitly testing the interdependence hypothesis. The results suggest that the long-run exchange rate is mainly driven by its own fundamentals for most countries. The existence of interdependence is restricted to short-run dynamics.
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spelling Exchange rate misalignments, interdependence, crises, and currency wars: an empirical assessmentReal effective exchange rateCointegrationExchange rate misalignmentThis study aims to compare two different methodologies of calculating exchange rate misalignment and test whether there is interdependence among countries in determining the real effective exchange rate. Two different econometric approaches are used to achieve these goals. The first one involves estimating a multivariate time series model that contains only country-specific variables and evaluating if this basic model can be improved by adding other countries' variables. The study uses the algorithm suggested by Hendry and Krolzig (2005). to select the best model specification. The second strategy involves estimating long panel data with the real effective exchange rate and fundamentals for a group of countries and explicitly testing the interdependence hypothesis. The results suggest that the long-run exchange rate is mainly driven by its own fundamentals for most countries. The existence of interdependence is restricted to short-run dynamics.Fundação Getúlio Vargas2014-06-01info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersiontext/htmlhttp://old.scielo.br/scielo.php?script=sci_arttext&pid=S0034-71402014000200005Revista Brasileira de Economia v.68 n.2 2014reponame:Revista Brasileira de Economia (Online)instname:Fundação Getulio Vargas (FGV)instacron:FGV10.1590/S0034-71402014000200005info:eu-repo/semantics/openAccessMarçal,Emerson Fernandeseng2014-07-15T00:00:00Zoai:scielo:S0034-71402014000200005Revistahttp://bibliotecadigital.fgv.br/ojs/index.php/rbe/issue/archivehttps://old.scielo.br/oai/scielo-oai.php||rbe@fgv.br1806-91340034-7140opendoar:2014-07-15T00:00Revista Brasileira de Economia (Online) - Fundação Getulio Vargas (FGV)false
dc.title.none.fl_str_mv Exchange rate misalignments, interdependence, crises, and currency wars: an empirical assessment
title Exchange rate misalignments, interdependence, crises, and currency wars: an empirical assessment
spellingShingle Exchange rate misalignments, interdependence, crises, and currency wars: an empirical assessment
Marçal,Emerson Fernandes
Real effective exchange rate
Cointegration
Exchange rate misalignment
title_short Exchange rate misalignments, interdependence, crises, and currency wars: an empirical assessment
title_full Exchange rate misalignments, interdependence, crises, and currency wars: an empirical assessment
title_fullStr Exchange rate misalignments, interdependence, crises, and currency wars: an empirical assessment
title_full_unstemmed Exchange rate misalignments, interdependence, crises, and currency wars: an empirical assessment
title_sort Exchange rate misalignments, interdependence, crises, and currency wars: an empirical assessment
author Marçal,Emerson Fernandes
author_facet Marçal,Emerson Fernandes
author_role author
dc.contributor.author.fl_str_mv Marçal,Emerson Fernandes
dc.subject.por.fl_str_mv Real effective exchange rate
Cointegration
Exchange rate misalignment
topic Real effective exchange rate
Cointegration
Exchange rate misalignment
description This study aims to compare two different methodologies of calculating exchange rate misalignment and test whether there is interdependence among countries in determining the real effective exchange rate. Two different econometric approaches are used to achieve these goals. The first one involves estimating a multivariate time series model that contains only country-specific variables and evaluating if this basic model can be improved by adding other countries' variables. The study uses the algorithm suggested by Hendry and Krolzig (2005). to select the best model specification. The second strategy involves estimating long panel data with the real effective exchange rate and fundamentals for a group of countries and explicitly testing the interdependence hypothesis. The results suggest that the long-run exchange rate is mainly driven by its own fundamentals for most countries. The existence of interdependence is restricted to short-run dynamics.
publishDate 2014
dc.date.none.fl_str_mv 2014-06-01
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://old.scielo.br/scielo.php?script=sci_arttext&pid=S0034-71402014000200005
url http://old.scielo.br/scielo.php?script=sci_arttext&pid=S0034-71402014000200005
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv 10.1590/S0034-71402014000200005
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv text/html
dc.publisher.none.fl_str_mv Fundação Getúlio Vargas
publisher.none.fl_str_mv Fundação Getúlio Vargas
dc.source.none.fl_str_mv Revista Brasileira de Economia v.68 n.2 2014
reponame:Revista Brasileira de Economia (Online)
instname:Fundação Getulio Vargas (FGV)
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instname_str Fundação Getulio Vargas (FGV)
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reponame_str Revista Brasileira de Economia (Online)
collection Revista Brasileira de Economia (Online)
repository.name.fl_str_mv Revista Brasileira de Economia (Online) - Fundação Getulio Vargas (FGV)
repository.mail.fl_str_mv ||rbe@fgv.br
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