Tracking the Exchange Rate Management in Latin America
The exchange rate is one of the most important prices in any open economy. Tracking deviations from its long-run value may provide important information for policymakers. One way to track such deviations is to compute the distribution of exchange-rate observed values and compare them with those of Benford’s law. I document such cases for 15 Latin American countries, for the two most widely traded currencies. Latin American countries are small open economies that are characterized for having different degrees of dollarization and intervention in the forex market. This is an alternative view of how these characteristics play a role with respect to an implied equilibrium exchange rate.
|Date of creation:||Dec 2014|
|Contact details of provider:|| Postal: Jr. Miro Quesada 441, Lima|
Phone: 427-6250 ext. 3841
Web page: http://www.bcrp.gob.pe
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Lolbert, Tamás, 2008. "On the non-existence of a general Benford's law," Mathematical Social Sciences, Elsevier, vol. 55(2), pages 103-106, March.
- Rosa Abrantes-Metz & Sofia Villas-Boas & George Judge, 2011.
"Tracking the Libor rate,"
Applied Economics Letters,
Taylor & Francis Journals, vol. 18(10), pages 893-899.
- Villas-Boas, Sofia B & Judge, George & Abrantes-Metz, Rosa, 2011. "Tracking the Libor Rate," Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series qt0g79j32p, Department of Agricultural & Resource Economics, UC Berkeley.
- Abrantes-Metz, Rosa & Villas-Boas, Sofia B. & Judge, George G., 2013. "Tracking the Libor Rate," Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series qt2p33x7dk, Department of Agricultural & Resource Economics, UC Berkeley.
- Aggarwal, Raj & Lucey, Brian M., 2007. "Psychological barriers in gold prices?," Review of Financial Economics, Elsevier, vol. 16(2), pages 217-230.
- Brian Lucey & Raj Aggarwal, 2005. "Psychological Barriers in Gold Prices," The Institute for International Integration Studies Discussion Paper Series iiisdp053, IIIS.
- De Ceuster, Marc J. K. & Dhaene, Geert & Schatteman, Tom, 1998. "On the hypothesis of psychological barriers in stock markets and Benford's Law," Journal of Empirical Finance, Elsevier, vol. 5(3), pages 263-279, September.
- Dorfleitner, Gregor & Klein, Christian, 2009. "Psychological barriers in European stock markets: Where are they?," Global Finance Journal, Elsevier, vol. 19(3), pages 268-285.
- Clippe, Paulette & Ausloos, Marcel, 2012. "Benford’s law and Theil transform of financial data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(24), pages 6556-6567.
- Paulette Clippe & Marcel Ausloos, 2012. "Benford's law and Theil transform of financial data," Papers 1208.5896, arXiv.org.
- Dufrénot, Gilles & Lardic, Sandrine & Mathieu, Laurent & Mignon, Valérie & Péguin-Feissolle, Anne, 2008. "Explaining the European exchange rates deviations: Long memory or non-linear adjustment?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 18(3), pages 207-215, July.
- Gilles Dufrénot & Sandrine Lardic & Laurent Mathieu & Valérie Mignon & Anne Peguin-Feissolle, 2008. "Explaining the European exchange rates deviations: long memory or nonlinear adjustment?," Post-Print halshs-00390141, HAL.
- Donaldson, R. Glen & Kim, Harold Y., 1993. "Price Barriers in the Dow Jones Industrial Average," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 28(03), pages 313-330, September.
- Béreau, Sophie & Villavicencio, Antonia López & Mignon, Valérie, 2010. "Nonlinear adjustment of the real exchange rate towards its equilibrium value: A panel smooth transition error correction modelling," Economic Modelling, Elsevier, vol. 27(1), pages 404-416, January.
- Sophie Béreau & Antonia Lopez Villavicencio & Valérie Mignon, 2008. "Nonlinear Adjustment of the Real Exchange Rate Towards its Equilibrium Value: a Panel Smooth Transition Error Correction Modelling," Working Papers 2008-23, CEPII research center.
- Gottwald, Georg A. & Nicol, Matthew, 2002. "On the nature of Benford's Law," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 303(3), pages 387-396.
- Koedijk, Kees G. & Stork, Philip A., 1994. "Should we care? psychological barriers in stock markets," Economics Letters, Elsevier, vol. 44(4), pages 427-432, April.
- Mitchell, Jason & Izan, H.Y., 2006. "Clustering and psychological barriers in exchange rates," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 16(4), pages 318-344, October. Full references (including those not matched with items on IDEAS)
When requesting a correction, please mention this item's handle: RePEc:rbp:wpaper:2014-020. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Research Unit)
If references are entirely missing, you can add them using this form.