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Real and Nominal Determinants of Real Exchange Rates in Latin America: Short-Run Dynamics and Long-Run Equilibrium

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Author Info

  • Joyce, J.P.
  • Kamas, L.

Abstract

This paper analyzes the factors which determine the long-run real exchange rate in Argentina, Colombia and Mexico, distinguishing between real and nominal determinants. Cointegration analysis is utilized to establish that the real exchange rate has an equilibrium relationship with real variables (the terms of trade, capital flows, output, and government share of output) which excludes nominal varaibles (nominal exchange rate, money) and central bank intervention.

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Bibliographic Info

Paper provided by Wellesley College - Department of Economics in its series Papers with number 97-05.

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Length: 41 pages
Date of creation: 1997
Date of revision:
Handle: RePEc:fth:wecoec:97-05

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Postal: U.S.A.; Wellesley College, Department of Economics. Wellesley, Massachusetts 02181
Web page: http://www.wellesley.edu/Economics/
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Keywords: EXCHANGE RATE ; ECONOMIC EQUILIBRIUM;

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Cited by:
  1. Rajagopal, 2005. "Where Did the Trade Liberalization Drive Latin American Economy: A Cross Section Analysis," Econometrics 0504003, EconWPA.
  2. Antonia López Villavicencio & Josep Lluís Raymond Bara, 2006. "The short and long-run determinants of the real exchange rate in Mexico," Working Papers wpdea0606, Department of Applied Economics at Universitat Autonoma of Barcelona.
  3. Pablo Astorga, 2010. "Mean Reversion in Long-Horizon Real Exchange Rates: Evidence from Latin America," Oxford University Economic and Social History Series _080, Economics Group, Nuffield College, University of Oxford.
  4. Guzin BAYAR & Selman TOKPUNAR, 2013. "Turk Lirasi Reel Kuru Denge Degerinde Mi?," Ege Academic Review, Ege University Faculty of Economics and Administrative Sciences, vol. 13(4), pages 405-426.
  5. Narayan, Paresh Kumar, 2008. "Estimating exchange rate responsiveness to shocks," Review of Financial Economics, Elsevier, vol. 17(4), pages 338-351, December.
  6. Luis Alejandro Lee P & Angélica María Quiroga E., 2010. "Descomposición histórica de choques del tipo de cambio real en Colombia: un enfoque DSGE," VNIVERSITAS ECONÓMICA 008294, UNIVERSIDAD JAVERIANA - BOGOTÁ.
  7. Ibarra, Carlos A., 2011. "Capital Flows and Real Exchange Rate Appreciation in Mexico," World Development, Elsevier, vol. 39(12), pages 2080-2090.
  8. Bahmani-Oskooee, Mohsen & Hegerty, Scott W. & Kutan, Ali M., 2008. "Do nominal devaluations lead to real devaluations? Evidence from 89 countries," International Review of Economics & Finance, Elsevier, vol. 17(4), pages 644-670, October.
  9. Alexius, Annika & Post, Erik, 2006. "Cointegration and the stabilizing role of exchange rates," Working Paper Series 2006:8, Uppsala University, Department of Economics.

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