Advanced Search
MyIDEAS: Login

El Tipo De Cambio Real Dólar-Euro Y El Diferencial De Intereses Reales

Contents:

Author Info

  • Paz Rico Belda

    (Universitat de València)

Registered author(s):

    Abstract

    This paper investigates whether threshold effects exist in the relationship between dollar-euro real exchange rate and real interest differential, over the period January 1984 to December 2004. We specify a three-regime threshold model and the results provide evidence that there is no threshold effect in the short term, but the nonlinear behaviour of real exchange rate implies threshold effect in the long term. On the other hand, the nonlinearity into the behaviour of real exchange rates can be modelled by a Band-TAR which implies a symmetric response to the real interest differential outside the bank. Finally, into the threshold band the behaviour of real exchange rate is near to follow a random walk, so monetary shocks are more persistence than outside this region. En este trabajo se analiza si existe efecto umbral en la relación entre el tipo de cambio real dólar-euro y el diferencial de intereses reales, durante el periodo comprendido entre enero de 1984 y diciembre de 2004. Para ello se específica un modelo threshold de tres regímenes y los resultado evidencian que no existe efecto umbral corto plazo pero si a largo plazo. El comportamiento no lineal del tipo de cambio real conlleva en el largo plazo una respuesta al diferencial de intereses reales que es diferente fuera que dentro de la banda umbral. Asimismo, el comportamiento del tipo de cambio real sigue un proceso Band-TAR, de tal forma que reacciona igual por arriba que por debajo de la banda al diferencial de intereses reales. Finalmente, dentro de la banda umbral el tipo de cambio real muestra un comportamiento cercano a presentar raíz unitaria, por lo que los shocks monetarios generan desviaciones de su nivel de equilibrio más persistentes que fuera de la banda.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://www.ivie.es/downloads/docs/wpasec/wpasec-2006-13.pdf
    File Function: Fisrt version / Primera version, 2006
    Download Restriction: no

    Bibliographic Info

    Paper provided by Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) in its series Working Papers. Serie EC with number 2006-13.

    as in new window
    Length: 40 pages
    Date of creation: Oct 2006
    Date of revision:
    Publication status: Published by Ivie
    Handle: RePEc:ivi:wpasec:2006-13

    Contact details of provider:
    Postal: C/ Guardia Civil, 22, Esc 2a, 1o, E-46020 VALENCIA
    Phone: +34 96 319 00 50
    Fax: +34 96 319 00 55
    Email:
    Web page: http://www.ivie.es/
    More information through EDIRC

    Related research

    Keywords: banda umbral; tipo de cambio real; diferencial de intereses reales; paridad de poder adquisitivo; no linealidad Threshold; real exchange rates; real interest differentials; purchasing power parity; nonlinearity.;

    Find related papers by JEL classification:

    This paper has been announced in the following NEP Reports:

    References

    No references listed on IDEAS
    You can help add them by filling out this form.

    Citations

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:ivi:wpasec:2006-13. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Departamento de Edición).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.