Real exchange rate misalignments
Autor(a) principal: | |
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Data de Publicação: | 2003 |
Outros Autores: | |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Institucional do FGV (FGV Repositório Digital) |
Texto Completo: | http://hdl.handle.net/10438/809 |
Resumo: | This paper characterizes episodes of real appreciations and depreciations for a sample of 85 countries, approximately from 1960 to 1998. First, the equilibrium real exchange rate series are constructed for each country using Goldfajn and Valdes (1999) methodology (cointegration with fundamentals). Then, departures from equilibrium real exchange rate (misalignments) are obtained, and a Markov Switching Model is used to characterize the misalignments series as stochastic autoregressive processes governed by two states representing di¤erent means. Three are the main results we …nd: …rst, no evidence of di¤erent regimes for misalignment is found in some countries, second, some countries present one regime of no misalignment (tranquility) and the other regime with misalignment (crisis), and, third, for those countries with two misalignment regimes, the lower mean misalignment regime (appreciated) have higher persistence that the higher mean one (depreciated). |
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Terra, Maria Cristina T.Valladares, Frederico Estrella CarneiroEscolas::EPGEFGV2008-05-13T15:35:21Z2008-05-13T15:35:21Z2003-08-020104-8910http://hdl.handle.net/10438/809This paper characterizes episodes of real appreciations and depreciations for a sample of 85 countries, approximately from 1960 to 1998. First, the equilibrium real exchange rate series are constructed for each country using Goldfajn and Valdes (1999) methodology (cointegration with fundamentals). Then, departures from equilibrium real exchange rate (misalignments) are obtained, and a Markov Switching Model is used to characterize the misalignments series as stochastic autoregressive processes governed by two states representing di¤erent means. Three are the main results we …nd: …rst, no evidence of di¤erent regimes for misalignment is found in some countries, second, some countries present one regime of no misalignment (tranquility) and the other regime with misalignment (crisis), and, third, for those countries with two misalignment regimes, the lower mean misalignment regime (appreciated) have higher persistence that the higher mean one (depreciated).engEscola de Pós-Graduação em Economia da FGVEnsaios Econômicos;493Real exchange rate misalignmentsinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleEconomiaEconomiaCâmbio - Modelos matemáticosreponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVinfo:eu-repo/semantics/openAccessORIGINAL1342.pdf1342.pdfapplication/pdf633226https://repositorio.fgv.br/bitstreams/28caaa7b-eedd-42f7-b6c4-08c03653cd43/download74b1dc69fd5cd8365a1b1a486a963be8MD51TEXT1342.pdf.txt1342.pdf.txtExtracted texttext/plain100497https://repositorio.fgv.br/bitstreams/cd37e2db-1478-4c37-bcf5-84ceb3bcbd5a/download63fac7d33f579948066395e711d721d4MD56THUMBNAIL1342.pdf.jpg1342.pdf.jpgGenerated Thumbnailimage/jpeg3312https://repositorio.fgv.br/bitstreams/fce8fd0d-70bd-435e-8f8d-11e50f7ececb/download44c46788696407a77c45dfd181526901MD5710438/8092023-11-09 21:11:17.151open.accessoai:repositorio.fgv.br:10438/809https://repositorio.fgv.brRepositório InstitucionalPRIhttp://bibliotecadigital.fgv.br/dspace-oai/requestopendoar:39742023-11-09T21:11:17Repositório Institucional do FGV (FGV Repositório Digital) - Fundação Getulio Vargas (FGV)false |
dc.title.eng.fl_str_mv |
Real exchange rate misalignments |
title |
Real exchange rate misalignments |
spellingShingle |
Real exchange rate misalignments Terra, Maria Cristina T. Economia Economia Câmbio - Modelos matemáticos |
title_short |
Real exchange rate misalignments |
title_full |
Real exchange rate misalignments |
title_fullStr |
Real exchange rate misalignments |
title_full_unstemmed |
Real exchange rate misalignments |
title_sort |
Real exchange rate misalignments |
author |
Terra, Maria Cristina T. |
author_facet |
Terra, Maria Cristina T. Valladares, Frederico Estrella Carneiro |
author_role |
author |
author2 |
Valladares, Frederico Estrella Carneiro |
author2_role |
author |
dc.contributor.unidadefgv.por.fl_str_mv |
Escolas::EPGE |
dc.contributor.affiliation.none.fl_str_mv |
FGV |
dc.contributor.author.fl_str_mv |
Terra, Maria Cristina T. Valladares, Frederico Estrella Carneiro |
dc.subject.area.por.fl_str_mv |
Economia |
topic |
Economia Economia Câmbio - Modelos matemáticos |
dc.subject.bibliodata.por.fl_str_mv |
Economia Câmbio - Modelos matemáticos |
description |
This paper characterizes episodes of real appreciations and depreciations for a sample of 85 countries, approximately from 1960 to 1998. First, the equilibrium real exchange rate series are constructed for each country using Goldfajn and Valdes (1999) methodology (cointegration with fundamentals). Then, departures from equilibrium real exchange rate (misalignments) are obtained, and a Markov Switching Model is used to characterize the misalignments series as stochastic autoregressive processes governed by two states representing di¤erent means. Three are the main results we …nd: …rst, no evidence of di¤erent regimes for misalignment is found in some countries, second, some countries present one regime of no misalignment (tranquility) and the other regime with misalignment (crisis), and, third, for those countries with two misalignment regimes, the lower mean misalignment regime (appreciated) have higher persistence that the higher mean one (depreciated). |
publishDate |
2003 |
dc.date.issued.fl_str_mv |
2003-08-02 |
dc.date.accessioned.fl_str_mv |
2008-05-13T15:35:21Z |
dc.date.available.fl_str_mv |
2008-05-13T15:35:21Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10438/809 |
dc.identifier.issn.none.fl_str_mv |
0104-8910 |
identifier_str_mv |
0104-8910 |
url |
http://hdl.handle.net/10438/809 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.ispartofseries.por.fl_str_mv |
Ensaios Econômicos;493 |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.publisher.none.fl_str_mv |
Escola de Pós-Graduação em Economia da FGV |
publisher.none.fl_str_mv |
Escola de Pós-Graduação em Economia da FGV |
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