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¿Sigue El Tipo De Cambio Real Un Proceso De Ajuste No Lineal Hacia El Equilibrio? Evidencia Para El Tipo De Cambio Euro-Dólar

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  • Paz Rico Belda

    (Universitat de València)

Abstract

Nonlinearly mean-reverting models can explain the high short-term volatility ofthe real exchange rate and the slow speed of adjustment to the equilibrium level. Anonlinearly mean-reverting model is used in this paper to fit to euro-dollar realexchange rate. This model implies that near equilibrium the real exchange rate behavesmore like a random walk process while becomes more mean reverting the further it isfrom equilibrium. The results provide evidence of nonlinearly mean reverting in theeuro-dollar real exchange rate so the model can explain both the observed volatility andpersistence of real exchange rate. Moreover, the forecasting performance of this modelis better than the random walk benchmark. Los modelos de ajuste no lineal del tipo de cambio pueden explicar la elevada volatilidad que presentan a corto plazo los tipos de cambio reales y la reducida velocidad de ajuste a su valor de equilibrio. En este trabajo se utiliza un modelo de reversión a la media no lineal para modelizar el tipo de cambio real del euro-dólar. Este modelo implica que cuando el tipo de cambio real está próximo al equilibrio se comporta aproximadamente como un paseo aleatorio mientras que cuanto mayor es la desviación del equilibrio más rápidamente revertirá en media el tipo de cambio. Los resultados evidencian la existencia de reversión no lineal hacia el equilibrio en el tipo de cambio real euro-dólar, de tal forma que el modelo puede explicar la volatilidad y persistencia observada en el tipo de cambio real, a la vez que presenta una mejor capacidad predictiva frente al paseo aleatorio.

Suggested Citation

  • Paz Rico Belda, 2002. "¿Sigue El Tipo De Cambio Real Un Proceso De Ajuste No Lineal Hacia El Equilibrio? Evidencia Para El Tipo De Cambio Euro-Dólar," Working Papers. Serie EC 2002-26, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  • Handle: RePEc:ivi:wpasec:2002-26
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    More about this item

    Keywords

    Paridad de poder adquisitivo; paseo aleatorio; tipo de cambio real; modelos de reversión a la media; costes de transacción. Purchasing power parity; real exchange rate; random walk; nonlinearly mean-reverting models; transactions costs.;

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • F47 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Forecasting and Simulation: Models and Applications
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods

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