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Cuiabano, Simone (2017) Long-run equilibrium exchange rate in Latin America and Asia: a comparison using cointegrated vector. TSE Working Paper, n. 17-837, Toulouse
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Abstract
The goal of this paper is to analyze the long-run equilibrium exchange rate in Latin America and Asia countries using the monetary model described in Obstfeld and Rogoff (1996) to evaluate the exchange rate gap between the regions. I use panel cointegration tests to verify the existence of panel cointegration for the countries. I estimate the coefficients of the long-run exchange rate function using the dynamic OLS (DOLS) from a balanced panel of 14 countries and quarterly observations that span from 1999 to 2015. The estimation shows the impact of monetary aggregates on the exchange rate. In addition, it points the exchange rate gap between Latin America and Asia. For example, long run equilibrium exchange rate between Latin America and Asia means 4% depreciation in this last region’s currency.
| Item Type: | Monograph (Working Paper) |
|---|---|
| Sub-title: | a comparison using cointegrated vector |
| Language: | English |
| Date: | August 2017 |
| Place of Publication: | Toulouse |
| Uncontrolled Keywords: | exchange rate determination, monetary model, cointegration, panel |
| JEL Classification: | C22 - Time-Series Models C23 - Models with Panel Data F21 - International Investment; Long-Term Capital Movements F31 - Foreign Exchange |
| Subjects: | B- ECONOMIE ET FINANCE |
| Divisions: | TSE-R (Toulouse) |
| Institution: | Université Toulouse 1 Capitole |
| Site: | UT1 |
| Date Deposited: | 16 Apr 2018 13:49 |
| Last Modified: | 16 Apr 2018 13:49 |
| OAI Identifier: | oai:tse-fr.eu:31959 |
| URI: | https://publications.ut-capitole.fr/id/eprint/25672 |
