The role of permanent and transitory components in the fluctuations of Latin-American real exchange rates
AbstractFollowing the approach suggested by Engel and Kim (1999), we estimate the permanent and transitory components of the real exchange rates in four Latin-American countries for the period 1957:01 to 2002:04. Results suggest that transitory component is the driving force of the real exchange rates in Argentina and Mexico. A principal role of the permanent component is observed in the real exchange rates of Brazil and Chile. Estimates probabilities of the high-variance regime allow to identify the principal events happened in these countries. This information is closely related to nominal shocks and therefore, it explains the significant role of this component in these countries.
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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Applied Economics.
Volume (Year): 39 (2007)
Issue (Month): 21 ()
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- Caporale, Guglielmo Maria & Ciferri, Davide & Girardi, Alessandro, 2011.
"Fiscal shocks and real exchange rate dynamics: Some evidence for Latin America,"
Journal of International Money and Finance,
Elsevier, vol. 30(5), pages 709-723, September.
- Guglielmo Maria Caporale & Davide Ciferri & Alessandro Girardi, 2008. "Fiscal Shocks and Real Exchange Rate Dynamics: Some Evidence for Latin America," CESifo Working Paper Series 2228, CESifo Group Munich.
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