Exchange rate misalignments, interdependence, crises, and currency wars: an empirical assessment
Autor(a) principal: | |
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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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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) instacron:FGV |
instname_str |
Fundação Getulio Vargas (FGV) |
instacron_str |
FGV |
institution |
FGV |
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 |
_version_ |
1754115905582792704 |