Assessing interdependence among countries' fundamentals and its implications for exchange rate misalignment estimates: An empirical exercise based on GVAR

dc.creatorMarçal, Emerson Fernandes
dc.creatorZimmermann, Beatrice
dc.creatorde Prince, Diogo
dc.creatorMerlin, Giovanni
dc.date2018-12-12
dc.date.accessioned2022-11-03T20:56:05Z
dc.date.available2022-11-03T20:56:05Z
dc.identifierhttps://bibliotecadigital.fgv.br/ojs/index.php/rbe/article/view/62975
dc.identifier.urihttps://repositorioslatinoamericanos.uchile.cl/handle/2250/5044209
dc.descriptionAbstract Exchange rates are important macroeconomic prices and changes in these rates affect economic activity, prices, interest rates, and trade flows. Methodologies have been developed in empirical exchange rate misalignment studies to evaluate whether a real effective exchange is overvalued or undervalued. There is a vast body of literature on the determinants of long-term real exchange rates and on empirical strategies to implement the equilibrium norms obtained from theoretical models. This study seeks to contribute to this literature by showing that the global vector autoregressions model (GVAR) proposed by Pesaran and co-authors can add relevant information to the literature on measuring exchange rate misalignment. Our empirical exercise suggests that the estimative exchange rate misalignment obtained from GVAR can be quite different to that using the traditional cointegrated time series techniques, which treat countries as detached entities. The differences between the two approaches are more pronounced for small and developing countries. Our results also suggest a strong interdependence among eurozone countries, as expected.en-US
dc.formatapplication/pdf
dc.languageeng
dc.publisherEGV EPGEpt-BR
dc.relationhttps://bibliotecadigital.fgv.br/ojs/index.php/rbe/article/view/62975/74544
dc.rightsCopyright (c) 2018 Revista Brasileira de Economiapt-BR
dc.sourceRevista Brasileira de Economia; Vol. 72 No. 4 (2018): OUT-DEZ; 429-450en-US
dc.sourceRevista Brasileira de Economia; v. 72 n. 4 (2018): OUT-DEZ; 429-450pt-BR
dc.source1806-9134
dc.source0034-7140
dc.subjectC52en-US
dc.subjectF31en-US
dc.subjectF37en-US
dc.titleAssessing interdependence among countries' fundamentals and its implications for exchange rate misalignment estimates: An empirical exercise based on GVARen-US
dc.typeinfo:eu-repo/semantics/article
dc.typeinfo:eu-repo/semantics/publishedVersion
dc.typeArticlesen-US
dc.typeArtigospt-BR


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