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

Author

Listed:
  • Paz Rico Belda

    (Universitat de València)

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.

Suggested Citation

  • Paz Rico Belda, 2006. "El Tipo De Cambio Real Dólar-Euro Y El Diferencial De Intereses Reales," Working Papers. Serie EC 2006-13, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  • Handle: RePEc:ivi:wpasec:2006-13
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    File URL: http://www.ivie.es/downloads/docs/wpasec/wpasec-2006-13.pdf
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    More about this item

    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.;

    JEL classification:

    • F30 - International Economics - - International Finance - - - General
    • 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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