How to disentangle exchange rate misalignment using a Global approach and economic identifying restrictions
Autor(a) principal: | |
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Data de Publicação: | 2016 |
Outros Autores: | , , , |
Tipo de documento: | Artigo de conferência |
Idioma: | eng |
Título da fonte: | Repositório Institucional do FGV (FGV Repositório Digital) |
Texto Completo: | http://hdl.handle.net/10438/20615 |
Resumo: | Exchange rates are important macroeconomic prices and changes in these rates affect economic activ- ity, 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. With the GVAR methodology, we show that it is possible to detach the misalignment of a country in two factors. |
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Marçal, Emerson FernandesZimmermann, Beatrice AlineMendonça, Diogo de PrinceMerlin, Giovanni TondinSimões, OscarEscolas::EESPDemais unidades::RPCA2018-03-16T21:02:39Z2018-03-16T21:02:39Z2016http://hdl.handle.net/10438/20615Exchange rates are important macroeconomic prices and changes in these rates affect economic activ- ity, 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. With the GVAR methodology, we show that it is possible to detach the misalignment of a country in two factors.engReal effective exchange rateCointegrationGlobal VAREconomiaTaxas de câmbioCointegraçãoHow to disentangle exchange rate misalignment using a Global approach and economic identifying restrictionsinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/conferenceObjectreponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVinfo:eu-repo/semantics/openAccessNúcleo do Observatório de Câmbio e Comércio (FGV EESP)Observatório de CâmbioRede de Pesquisa e Conhecimento AplicadoTEXTHow_to_Disentangle_Exchange_Rate_Misalignment_using_a_Global_Approach_and_Economic_identifying_restrictions.pdf.txtHow_to_Disentangle_Exchange_Rate_Misalignment_using_a_Global_Approach_and_Economic_identifying_restrictions.pdf.txtExtracted 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dc.title.eng.fl_str_mv |
How to disentangle exchange rate misalignment using a Global approach and economic identifying restrictions |
title |
How to disentangle exchange rate misalignment using a Global approach and economic identifying restrictions |
spellingShingle |
How to disentangle exchange rate misalignment using a Global approach and economic identifying restrictions Marçal, Emerson Fernandes Real effective exchange rate Cointegration Global VAR Economia Taxas de câmbio Cointegração |
title_short |
How to disentangle exchange rate misalignment using a Global approach and economic identifying restrictions |
title_full |
How to disentangle exchange rate misalignment using a Global approach and economic identifying restrictions |
title_fullStr |
How to disentangle exchange rate misalignment using a Global approach and economic identifying restrictions |
title_full_unstemmed |
How to disentangle exchange rate misalignment using a Global approach and economic identifying restrictions |
title_sort |
How to disentangle exchange rate misalignment using a Global approach and economic identifying restrictions |
author |
Marçal, Emerson Fernandes |
author_facet |
Marçal, Emerson Fernandes Zimmermann, Beatrice Aline Mendonça, Diogo de Prince Merlin, Giovanni Tondin Simões, Oscar |
author_role |
author |
author2 |
Zimmermann, Beatrice Aline Mendonça, Diogo de Prince Merlin, Giovanni Tondin Simões, Oscar |
author2_role |
author author author author |
dc.contributor.unidadefgv.por.fl_str_mv |
Escolas::EESP Demais unidades::RPCA |
dc.contributor.author.fl_str_mv |
Marçal, Emerson Fernandes Zimmermann, Beatrice Aline Mendonça, Diogo de Prince Merlin, Giovanni Tondin Simões, Oscar |
dc.subject.eng.fl_str_mv |
Real effective exchange rate Cointegration Global VAR |
topic |
Real effective exchange rate Cointegration Global VAR Economia Taxas de câmbio Cointegração |
dc.subject.area.por.fl_str_mv |
Economia |
dc.subject.bibliodata.por.fl_str_mv |
Taxas de câmbio Cointegração |
description |
Exchange rates are important macroeconomic prices and changes in these rates affect economic activ- ity, 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. With the GVAR methodology, we show that it is possible to detach the misalignment of a country in two factors. |
publishDate |
2016 |
dc.date.issued.fl_str_mv |
2016 |
dc.date.accessioned.fl_str_mv |
2018-03-16T21:02:39Z |
dc.date.available.fl_str_mv |
2018-03-16T21:02:39Z |
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http://hdl.handle.net/10438/20615 |
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eng |
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eng |
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