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Determinantes del tipo de cambio real en Colombia. Un modelo neokeynesiano

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  • Álvaro Moreno

    ()
    (Universidad Externado de Colombia)

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    Abstract

    This article presents a model of real exchange rate using a neokeynesian approach, which is estimated with econometric methods of the English school. The empirical model is dynamic and respects the restrictions of the long run equilibrium between real exchange rate and macroeconomic fundamentals. It shows that the amount of appreciation and depreciation of the real exchange rate is determined by changes in terms of trade, openness of the economy, capital flows and acceleration of nominal devaluation. Public spending increases are not significant of the conventional levels of statistic confidence. Finally, the article evaluates if devaluation meets the requirements of weak, strong and super exogenity.

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    File URL: http://www.uexternado.edu.co/facecono/ecoinstitucional/workingpapers/amoreno7.pdf
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    Bibliographic Info

    Article provided by Universidad Externado de Colombia - Facultad de Economía in its journal Revista de Economía Institucional.

    Volume (Year): 4 (2002)
    Issue (Month): 7 (July-December)
    Pages: 40-61

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    Handle: RePEc:rei:ecoins:v:4:y:2002:i:7:p:40-61

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    Keywords: real exchange rate; tradable goods; non-tradable goods; fundamentals; devaluation; equilibrium;

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    References

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    1. Krugman, Paul, 1987. "The narrow moving band, the Dutch disease, and the competitive consequences of Mrs. Thatcher : Notes on trade in the presence of dynamic scale economies," Journal of Development Economics, Elsevier, vol. 27(1-2), pages 41-55, October.
    2. Reinhart, Carmen & Calvo, Guillermo & Vegh, Carlos, 1994. "La tasa de cambio real como meta de política: teoría y evidencia
      [Targeting the real exchange rate: Theory and evidence]
      ," MPRA Paper 13468, University Library of Munich, Germany.
    3. Fernando Montes, 1982. "Principales determinantes del comportamiento de la cuenta corriente durante la década," ENSAYOS SOBRE POLÍTICA ECONÓMICA, BANCO DE LA REPÚBLICA - ESPE.
    4. Hendry, David F. & Richard, Jean-Francois, 1982. "On the formulation of empirical models in dynamic econometrics," Journal of Econometrics, Elsevier, vol. 20(1), pages 3-33, October.
    5. Richard Baldwin & Paul R. Krugman, 1986. "Persistent Trade Effects of Large Exchage Rate Shocks," NBER Working Papers 2017, National Bureau of Economic Research, Inc.
    6. Santiago Herrera Aguilera, 1989. "Determinantes De La Trayectoria Del Tipo De Cambio Real En Colombia," ENSAYOS SOBRE POLÍTICA ECONÓMICA, BANCO DE LA REPÚBLICA - ESPE.
    7. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
    8. 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.
    9. Engle, R. & Hendry, D., 1990. "Testing Super Exogeneity And Invariance In Regression Models," Economics Series Working Papers 99100, University of Oxford, Department of Economics.
    10. van Wincoop, Eric, 1993. "Structural adjustment and the construction sector," European Economic Review, Elsevier, vol. 37(1), pages 177-201, January.
    11. Fischer, Andreas M, 1993. "Is Money Really Exogenous? Testing for Weak Exogeneity in Swiss Money Demand," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 25(2), pages 248-58, May.
    12. Stephen J. Turnovsky, 1997. "International Macroeconomic Dynamics," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262201119, December.
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