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Ajuste de los fundamentos del modelo monetario en la determinación del tipo de cambio argentino

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  • Néstor A. Le Clech

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    (Universidad Nacional de Quilmes)

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    Abstract

    The aim of the present work is to examine the adequacy of adjustment of the monetary model in the determination of the Argentine exchange rate and its capacity for short term forecast. The results validate the relations postulated by the monetary model and demonstrate its quality in short run forecast, superior to a random walk model. Additionally, a model that includes a mechanism of correction of the error is examined, which has an extremely rapid speed of adjustment, accounting for more than 99 % of the adjustment within 7 months. Finally some comments on the possibilities of the economic policy are presented.

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    File URL: http://ief.eco.unc.edu.ar/files/publicaciones/economiayestadistica/2006_44_n2/03.leclech.pdf
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    Bibliographic Info

    Article provided by Universidad Nacional de Córdoba, Facultad de Ciencias Económicas, Instituto de Economía y Finanzas in its journal Revista de Economía y Estadística.

    Volume (Year): XLIV (2006)
    Issue (Month): 2 (July)
    Pages: 59-79

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    Handle: RePEc:ief:reveye:v:44:y:2006:i:2:p:59-79

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    Related research

    Keywords: Monetary model; Exchange rate; Argentine purchasing power parity;

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    1. Meese, Richard A. & Rogoff, Kenneth, 1983. "Empirical exchange rate models of the seventies : Do they fit out of sample?," Journal of International Economics, Elsevier, vol. 14(1-2), pages 3-24, February.
    2. Mussa, Michael, 1979. "Empirical regularities in the behavior of exchange rates and theories of the foreign exchange market," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 11(1), pages 9-57, January.
    3. Mussa, Michael, 1976. " The Exchange Rate, the Balance of Payments and Monetary and Fiscal Policy under a Regime of Controlled Floating," Scandinavian Journal of Economics, Wiley Blackwell, vol. 78(2), pages 229-48.
    4. Robert P. Flood & Andrew K. Rose, 1993. "Fixing Exchange Rates: A Virtual Quest for Fundamentals," NBER Working Papers 4503, National Bureau of Economic Research, Inc.
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    6. Diamandis, Panayiotis F., 2003. "Market efficiency, purchasing power parity, and the official and parallel markets for foreign currency in Latin America," International Review of Economics & Finance, Elsevier, vol. 12(1), pages 89-110.
    7. Christopher J. Neely & Lucio Sarno, 2002. "How well do monetary fundamentals forecast exchange rates?," Working Papers 2002-007, Federal Reserve Bank of St. Louis.
    8. Richard Meese & Kenneth Rogoff, 1982. "The out-of-sample failure of empirical exchange rate models: sampling error or misspecification?," International Finance Discussion Papers 204, Board of Governors of the Federal Reserve System (U.S.).
    9. Gregory, Allan W. & Hansen, Bruce E., 1996. "Residual-based tests for cointegration in models with regime shifts," Journal of Econometrics, Elsevier, vol. 70(1), pages 99-126, January.
    10. Alan M. Taylor, 2000. "A Century of Purchasing-Power Parity," NBER Working Papers 8012, National Bureau of Economic Research, Inc.
    11. Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-76, March.
    12. Mark J.Holmes, 2002. "Are there non linearities in US: Latin American real exchange behavior," Estudios de Economia, University of Chile, Department of Economics, vol. 29(2 Year 20), pages 177-190, December.
    13. McNown, Robert & S. Wallace, Myles, 1989. "National price levels, purchasing power parity, and cointegration: a test of four high inflation economies," Journal of International Money and Finance, Elsevier, vol. 8(4), pages 533-545, December.
    14. Frenkel, Jacob A, 1976. " A Monetary Approach to the Exchange Rate: Doctrinal Aspects and Empirical Evidence," Scandinavian Journal of Economics, Wiley Blackwell, vol. 78(2), pages 200-224.
    15. Mark J. Holmes, 2002. "Purchasing Power Parity and the Fractional Integration of the Real Exchange Rate: New Evidence for Less Developed Countries," Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, vol. 27(1), pages 125-135, June.
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