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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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
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:
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