Title
The role of permanent and transitory components in the fluctuations of Latin-American real exchange rates
Date Issued
01 December 2007
Access level
metadata only access
Resource Type
journal article
Author(s)
Romero I.
University of Ottawa
Abstract
Following the approach suggested by Engel and Kim (1999), we estimate the permanent and transitory components of the real exchange rates in four Latin-American countries for the period 1957:01 to 2002:04. Results suggest that transitory component is the driving force of the real exchange rates in Argentina and Mexico. A principal role of the permanent component is observed in the real exchange rates of Brazil and Chile. Estimates probabilities of the high-variance regime allow to identify the principal events happened in these countries. This information is closely related to nominal shocks and therefore, it explains the significant role of this component in these countries.
Start page
2713
End page
2722
Volume
39
Issue
21
Language
English
OCDE Knowledge area
Economía
Scopus EID
2-s2.0-36549024049
Source
Applied Economics
ISSN of the container
00036846
Sponsor(s)
This article is drawn from the Indira Romero’s M. A. Thesis at the Department of Economics, University of Ottawa. We thank Emmanuel Apel for useful comments to an earlier version of this article. We also thank an anonymous referee and the Editor for valuable comments. Rodríguez thanks financial support from the Social Sciences Faculty of the University of Ottawa.
Sources of information:
Directorio de Producción Científica
Scopus