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Real (effective) exchange rate in Uruguay: a periodic cointegration approach

Author

Listed:
  • Elizabeth Bucacos

    (Banco Central del Uruguay)

Abstract

When the seasonal component of a particular time series is treated as if it were a mere deterministic phenomenon instead of a stochastic one, it may lead to inconsistent estimations, statistical inference errors and policy biases. This issue is addressed in this paper focusing on the real effective exchange rate in Uruguay for the 1983:1-2006:4 period.

Suggested Citation

  • Elizabeth Bucacos, 2007. "Real (effective) exchange rate in Uruguay: a periodic cointegration approach," Documentos de trabajo 2007002, Banco Central del Uruguay.
    • Handle: RePEc:bku:doctra:2007002
    as

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    File URL: https://www.bcu.gub.uy/Estadisticas-e-Indicadores/Documentos%20de%20Trabajo/2.2007.pdf
    File Function: First version, 2007
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    References listed on IDEAS

    as
    1. Joshua Aizenman & Daniel Riera-Crichton, 2008. "Real Exchange Rate and International Reserves in an Era of Growing Financial and Trade Integration," The Review of Economics and Statistics, MIT Press, vol. 90(4), pages 812-815, November.
    2. Engle, Robert & Granger, Clive, 2015. "Co-integration and error correction: Representation, estimation, and testing," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 39(3), pages 106-135.
    3. Hylleberg, S. & Engle, R. F. & Granger, C. W. J. & Yoo, B. S., 1990. "Seasonal integration and cointegration," Journal of Econometrics, Elsevier, vol. 44(1-2), pages 215-238.
    4. Franses, Philip Hans, 1996. "Periodicity and Stochastic Trends in Economic Time Series," OUP Catalogue, Oxford University Press, number 9780198774549.
    5. Peter Boswijk, H., 1994. "Testing for an unstable root in conditional and structural error correction models," Journal of Econometrics, Elsevier, vol. 63(1), pages 37-60, July.
    6. Engle, Robert F. & Yoo, Byung Sam, 1987. "Forecasting and testing in co-integrated systems," Journal of Econometrics, Elsevier, vol. 35(1), pages 143-159, May.
    7. 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.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    real effective exchange rate; periodic cointegration; Uruguay;
    All these keywords.

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • N16 - Economic History - - Macroeconomics and Monetary Economics; Industrial Structure; Growth; Fluctuations - - - Latin America; Caribbean

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