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Are there non linearities in US: Latin American real exchange behavior

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Author Info
Mark J.Holmes

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Abstract

This study tests for non-linearities in the behavior of US dollar real exchange rates of thirteen Latin American countries. For this purpose, logistic and exponential smooth transition regression models are applied to quarterly data over the sample period 1973Q2-2001Q1. There is evidence of non-linearities in the behavior of seven real exchange rates where, in most of these cases, non-linearities are captured by the logistic smooth transition autoregressive model. The extent of non-linearities varies across Latin American countries with Colombia and Venezuela exhibiting the sharpest transition between regimes of low and high real exchange rates.

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Publisher Info
Article provided by University of Chile, Department of Economics in its journal Estudios de Economia.

Volume (Year): 29 (2002)
Issue (Month): 2 Year 2002 (December)
Pages: 177-190
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Handle: RePEc:udc:esteco:v:29:y:2002:i:2:p:177-190

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Related research
Keywords: Latin America; Non-Linearities; Exchange Rate.;

Find related papers by JEL classification:
C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General
F0 - International Economics - - General
O0 - Economic Development, Technological Change, and Growth - - General

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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

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    Other versions:
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Himanshu Joshi, 2008. "The Fundamental Equilibrium Real ExchangeRate in India : An Approach to Estimation and Measurement of Misalignment," Working Papers id:1345, esocialsciences.com. [Downloadable!]
  2. Marcos José Dal Bianco, 2008. "Argentinean real exchange rate 1900-2006, test purchasing power parity theory," Estudios de Economia, University of Chile, Department of Economics, vol. 35(1 Year 20), pages 33-64, June. [Downloadable!]
  3. Brian Francis & Sunday Iyare, 2006. "Do exchange rates in caribbean and latin american countries exhibit nonlinearities?," Economics Bulletin, Economics Bulletin, vol. 6(14), pages 1-20. [Downloadable!]
  4. HSING, Yu, 2004. "Response of Venezuelan output to monetary policy, deficit spending, and currency depreciation: a VAR model," REVISTA DE ECONOMÍA DEL ROSARIO, UNIVERSIDAD DEL ROSARIO - FACULTAD DE ECONOMÍA. [Downloadable!]
  5. HOLMES, Mark J, 2008. "Non-Linear Trend Stationarity And Co-Trending In Latin American Real Exchange Rates," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 8(1), pages 107-118. [Downloadable!] (restricted)
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