Assessing interdependence among countries' fundamentals and its implications for exchange rate misalignment estimates: An empirical exercise based on GVAR

Detalhes bibliográficos
Autor(a) principal: Marçal, Emerson Fernandes
Data de Publicação: 2018
Outros Autores: Zimmermann, Beatrice, de Prince, Diogo, Merlin, Giovanni
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Revista Brasileira de Economia (Online)
Texto Completo: https://periodicos.fgv.br/rbe/article/view/62975
Resumo: Abstract Exchange rates are important macroeconomic prices and changes in these rates affect economic activity, prices, interest rates, and trade flows. Methodologies have been developed in empirical exchange rate misalignment studies to evaluate whether a real effective exchange is overvalued or undervalued. There is a vast body of literature on the determinants of long-term real exchange rates and on empirical strategies to implement the equilibrium norms obtained from theoretical models. This study seeks to contribute to this literature by showing that the global vector autoregressions model (GVAR) proposed by Pesaran and co-authors can add relevant information to the literature on measuring exchange rate misalignment. Our empirical exercise suggests that the estimative exchange rate misalignment obtained from GVAR can be quite different to that using the traditional cointegrated time series techniques, which treat countries as detached entities. The differences between the two approaches are more pronounced for small and developing countries. Our results also suggest a strong interdependence among eurozone countries, as expected.
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spelling Assessing interdependence among countries' fundamentals and its implications for exchange rate misalignment estimates: An empirical exercise based on GVARC52F31F37Abstract Exchange rates are important macroeconomic prices and changes in these rates affect economic activity, prices, interest rates, and trade flows. Methodologies have been developed in empirical exchange rate misalignment studies to evaluate whether a real effective exchange is overvalued or undervalued. There is a vast body of literature on the determinants of long-term real exchange rates and on empirical strategies to implement the equilibrium norms obtained from theoretical models. This study seeks to contribute to this literature by showing that the global vector autoregressions model (GVAR) proposed by Pesaran and co-authors can add relevant information to the literature on measuring exchange rate misalignment. Our empirical exercise suggests that the estimative exchange rate misalignment obtained from GVAR can be quite different to that using the traditional cointegrated time series techniques, which treat countries as detached entities. The differences between the two approaches are more pronounced for small and developing countries. Our results also suggest a strong interdependence among eurozone countries, as expected.EGV EPGE2018-12-12info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionArticlesArtigosapplication/pdfhttps://periodicos.fgv.br/rbe/article/view/62975Revista Brasileira de Economia; Vol. 72 No. 4 (2018): OUT-DEZ; 429-450Revista Brasileira de Economia; v. 72 n. 4 (2018): OUT-DEZ; 429-4501806-91340034-7140reponame:Revista Brasileira de Economia (Online)instname:Fundação Getulio Vargas (FGV)instacron:FGVenghttps://periodicos.fgv.br/rbe/article/view/62975/74544Copyright (c) 2018 Revista Brasileira de Economiainfo:eu-repo/semantics/openAccessMarçal, Emerson FernandesZimmermann, Beatricede Prince, DiogoMerlin, Giovanni2018-12-12T13:52:16Zoai:ojs.periodicos.fgv.br:article/62975Revistahttps://periodicos.fgv.br/rbe/https://periodicos.fgv.br/rbe/oai||rbe@fgv.br1806-91340034-7140opendoar:2024-03-06T13:03:44.825269Revista Brasileira de Economia (Online) - Fundação Getulio Vargas (FGV)true
dc.title.none.fl_str_mv Assessing interdependence among countries' fundamentals and its implications for exchange rate misalignment estimates: An empirical exercise based on GVAR
title Assessing interdependence among countries' fundamentals and its implications for exchange rate misalignment estimates: An empirical exercise based on GVAR
spellingShingle Assessing interdependence among countries' fundamentals and its implications for exchange rate misalignment estimates: An empirical exercise based on GVAR
Marçal, Emerson Fernandes
C52
F31
F37
title_short Assessing interdependence among countries' fundamentals and its implications for exchange rate misalignment estimates: An empirical exercise based on GVAR
title_full Assessing interdependence among countries' fundamentals and its implications for exchange rate misalignment estimates: An empirical exercise based on GVAR
title_fullStr Assessing interdependence among countries' fundamentals and its implications for exchange rate misalignment estimates: An empirical exercise based on GVAR
title_full_unstemmed Assessing interdependence among countries' fundamentals and its implications for exchange rate misalignment estimates: An empirical exercise based on GVAR
title_sort Assessing interdependence among countries' fundamentals and its implications for exchange rate misalignment estimates: An empirical exercise based on GVAR
author Marçal, Emerson Fernandes
author_facet Marçal, Emerson Fernandes
Zimmermann, Beatrice
de Prince, Diogo
Merlin, Giovanni
author_role author
author2 Zimmermann, Beatrice
de Prince, Diogo
Merlin, Giovanni
author2_role author
author
author
dc.contributor.author.fl_str_mv Marçal, Emerson Fernandes
Zimmermann, Beatrice
de Prince, Diogo
Merlin, Giovanni
dc.subject.por.fl_str_mv C52
F31
F37
topic C52
F31
F37
description Abstract Exchange rates are important macroeconomic prices and changes in these rates affect economic activity, prices, interest rates, and trade flows. Methodologies have been developed in empirical exchange rate misalignment studies to evaluate whether a real effective exchange is overvalued or undervalued. There is a vast body of literature on the determinants of long-term real exchange rates and on empirical strategies to implement the equilibrium norms obtained from theoretical models. This study seeks to contribute to this literature by showing that the global vector autoregressions model (GVAR) proposed by Pesaran and co-authors can add relevant information to the literature on measuring exchange rate misalignment. Our empirical exercise suggests that the estimative exchange rate misalignment obtained from GVAR can be quite different to that using the traditional cointegrated time series techniques, which treat countries as detached entities. The differences between the two approaches are more pronounced for small and developing countries. Our results also suggest a strong interdependence among eurozone countries, as expected.
publishDate 2018
dc.date.none.fl_str_mv 2018-12-12
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Articles
Artigos
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status_str publishedVersion
dc.identifier.uri.fl_str_mv https://periodicos.fgv.br/rbe/article/view/62975
url https://periodicos.fgv.br/rbe/article/view/62975
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv https://periodicos.fgv.br/rbe/article/view/62975/74544
dc.rights.driver.fl_str_mv Copyright (c) 2018 Revista Brasileira de Economia
info:eu-repo/semantics/openAccess
rights_invalid_str_mv Copyright (c) 2018 Revista Brasileira de Economia
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv EGV EPGE
publisher.none.fl_str_mv EGV EPGE
dc.source.none.fl_str_mv Revista Brasileira de Economia; Vol. 72 No. 4 (2018): OUT-DEZ; 429-450
Revista Brasileira de Economia; v. 72 n. 4 (2018): OUT-DEZ; 429-450
1806-9134
0034-7140
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)
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