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Exchange rate regimes and exchange rate misalignment: an analysis with panel-cointegration

Author

Listed:
  • Carlos César Santejo Saiani

    (Universidade Presbiteriana Mackenzie (UPM))

  • Marcos Rocha

    (Pontifícia Universidade Católica de São Paulo)

Abstract

In this paper we estimate a co­integrated panel for 102 countries in a time span of 1970­2004 for constructing a real exchange rate misalignment index. The question in line is if the currency regime of a country is an important factor explaining misalignment; furthermore, the question is if it’s possible to distinguish what is the role played by different currency regimes in real exchange rate determination. The several specifications and test with different datasets seem to converge in several interesting aspects. In pegged regimes, we show a robust and positive correlation with over­valuations. Hence, currency regime matters and one thinks about real exchange rate misalignment. As to the floating regimes, almost all specifications shows that the relationship is negative between exchange rate over­valuations.

Suggested Citation

  • Carlos César Santejo Saiani & Marcos Rocha, 2012. "Exchange rate regimes and exchange rate misalignment: an analysis with panel-cointegration," Revista de Economia Mackenzie (REM), Mackenzie Presbyterian University, Social and Applied Sciences Center, vol. 10(1), pages 88-112, Edição .
    • Handle: RePEc:aft:journl:v:10:1:2012:specialissue:p:88-112
    DOI: -
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