Artikel
Modeling real exchange rate persistence in Chile
The long and persistent swings in the real exchange rate have for a long time puzzled economists. Recent models built on imperfect knowledge economics seem to provide a theoretical explanation for this persistence. Empirical results, based on a cointegrated vector autoregressive (CVAR) model, provide evidence of error-increasing behavior in prices and interest rates, which is consistent with the persistence observed in the data. The movements in the real exchange rate are compensated by movements in the interest rate spread, which restores the equilibrium in the product market when the real exchange rate moves away from its long-run benchmark value. Fluctuations in the copper price also explain the deviations of the real exchange rate from its long-run equilibrium value.
- Language
-
Englisch
- Bibliographic citation
-
Journal: Econometrics ; ISSN: 2225-1146 ; Volume: 5 ; Year: 2017 ; Issue: 3 ; Pages: 1-21 ; Basel: MDPI
- Classification
-
Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Foreign Exchange
Open Economy Macroeconomics
International Financial Markets
- Subject
-
exchange rate
long swings
I(2) analysis
- Event
-
Geistige Schöpfung
- (who)
-
Salazar, Leonardo
- Event
-
Veröffentlichung
- (who)
-
MDPI
- (where)
-
Basel
- (when)
-
2017
- DOI
-
doi:10.3390/econometrics5030029
- Handle
- Last update
-
10.03.2025, 11:44 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Artikel
Associated
- Salazar, Leonardo
- MDPI
Time of origin
- 2017
Other Objects (12)
Persistence of bank credit default swap spreads
Modeling and predictability of exchange rate changes by the extended relative Nelson-Siegel class of models
Foreign exchange speculation: An event study
Power theory of exchange and money
Exchange rate forecasting with advanced machine learning methods
Dynamic panel modeling of climate change
Application of Taylor rule fundamentals in forecasting exchange rates
Calendar spread exchange options pricing with Gaussian random fields
Can the AD-AS model explain the presence and persistence of the underground economy? Evidence from Italy
Modeling poker challenges by evolutionary game theory
Advances in credit risk modeling and management
An actuarial approach for modeling pandemic risk
Persistence of bank credit default swap spreads
Modeling and predictability of exchange rate changes by the extended relative Nelson-Siegel class of models
Foreign exchange speculation: An event study
Power theory of exchange and money
Exchange rate forecasting with advanced machine learning methods
Dynamic panel modeling of climate change
Application of Taylor rule fundamentals in forecasting exchange rates
Calendar spread exchange options pricing with Gaussian random fields
Can the AD-AS model explain the presence and persistence of the underground economy? Evidence from Italy
Modeling poker challenges by evolutionary game theory
Advances in credit risk modeling and management
An actuarial approach for modeling pandemic risk
Persistence of bank credit default swap spreads
Modeling and predictability of exchange rate changes by the extended relative Nelson-Siegel class of models
Foreign exchange speculation: An event study
Power theory of exchange and money
Exchange rate forecasting with advanced machine learning methods
Dynamic panel modeling of climate change
Application of Taylor rule fundamentals in forecasting exchange rates
Calendar spread exchange options pricing with Gaussian random fields
Can the AD-AS model explain the presence and persistence of the underground economy? Evidence from Italy
Modeling poker challenges by evolutionary game theory
Advances in credit risk modeling and management