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Factores Macroeconómicos en Retornos Accionarios Chilenos

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  • Rodrigo Fuentes
  • Jorge Gregoire
  • Salvador Zurita

Abstract

We evaluate the growth effects of real exchange rate (RER) misalignments and their volatility. We calculate RER misaligments as deviations of actual RERs from their equilibrium for 60 countries over 1965-2003 using panel and time series cointegration methods. Using dynamic panel data techniques we find that RER misalignments hinder growth but the effect is non-linear: growth declines are larger, the larger the size of the overvaluation. Although large undervaluations hurt growth, small to moderate undervaluations enhance growth. However, we find that it is difficult to follow a pro-growth RER policy. Finally, growth is hampered by highly volatile RER misalignments.

Suggested Citation

  • Rodrigo Fuentes & Jorge Gregoire & Salvador Zurita, 2005. "Factores Macroeconómicos en Retornos Accionarios Chilenos," Working Papers Central Bank of Chile 315, Central Bank of Chile.
    • Handle: RePEc:chb:bcchwp:315
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    References listed on IDEAS

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    Cited by:

    1. Natalia Gallardo & Andrés Sagner, 2010. "Valorización por Arbitraje de Bonos y Acciones Chilenas Mediante el Método de Componentes Principales," Working Papers Central Bank of Chile 557, Central Bank of Chile.

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