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

Revista Brasileira de Economia

Emerson Fernandes Marçal¹ 

[1] ,FGV EESP CEMAP

关键词: Real effective exchange rate;    Cointegration;    Exchange rate misalignment;   

DOI  :  10.1590/S0034-71402014000200005

来源: SciELO

【 摘 要 】

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.

【 授权许可】

CC BY   
 All the contents of this journal, except where otherwise noted, is licensed under a Creative Commons Attribution License