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Un modelo de corrección de errores para el tipo de cambio real en el Uruguay: 1983:I-2005:IV

Author

Listed:
  • Diego Gianelli

    (Banco Central del Uruguay)

  • Matías Mednik

    (Banco Central del Uruguay)

Abstract

In the following paper we develop an error correction model à la EngleGranger for the Real Effective Exchange Rate (REER). A cointegration relationship is found among productivity, interest rate differentials, terms of trade, and government spending as percentage of GDP. The dynamic equation for the REER shows several arguments, whose elasticities are in line with the mainstream theory. This short run equation appears to be stable, and exhibits the desired characteristics for prediction. As a result, the model seems a good candidate to be incorporated into the set of BCU’s macroeconomic models

Suggested Citation

  • Diego Gianelli & Matías Mednik, 2006. "Un modelo de corrección de errores para el tipo de cambio real en el Uruguay: 1983:I-2005:IV," Documentos de trabajo 2006002, Banco Central del Uruguay.
    • Handle: RePEc:bku:doctra:2006002
    as

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    File URL: https://www.bcu.gub.uy/Estadisticas-e-Indicadores/Documentos%20de%20Trabajo/2.2006.pdf
    File Function: Preliminary version, 2006
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    Citations

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    Cited by:

    1. Antoine Martin & Cyril Monnet, 2008. "Marcos de implementación de la política monetaria: un análisis comparativo," Monetaria, CEMLA, vol. 0(2), pages 221-262, julio-sep.
    2. José Mourelle, 2010. "Fiscal and exchange rate policies during the Argentine and Uruguayan crisis of 2001-2002," Documentos de trabajo 2010012, Banco Central del Uruguay.
    3. Fernando N. de Oliveira, 2008. "Canal de crédito bancario en Brasil: evidencia de la oferta de crédito bancario y de la composición del financiamiento externo de las empresas," Monetaria, CEMLA, vol. 0(2), pages 175-220, julio-sep.
    4. Luis Fernando Melo Velandia & Óscar Reinaldo Becerra Camargo, 2008. "Una descripción de la dinámica de las tasas de interés de corto plazo en Colombia," Monetaria, CEMLA, vol. 0(2), pages 145-173, julio-sep.
    5. Elizabeth Bucacos, 2008. "Real (effective) exchange rate in Uruguay: a periodic cointegration approach," Monetaria, CEMLA, vol. 0(2), pages 265-289, julio-sep.
    6. Elizabeth Bucacos, 2007. "Real (effective) exchange rate in Uruguay: a periodic cointegration approach," Documentos de trabajo 2007002, Banco Central del Uruguay.
    7. Juan Benítez & Gabriela Mordecki, 2012. "Fundamentals of Equilibrium Real Exchange Rate," Revista de Economía y Estadística, Universidad Nacional de Córdoba, Facultad de Ciencias Económicas, Instituto de Economía y Finanzas, vol. 50(1), pages 59-92, Diciembre.

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