Articles
Année
2010
Abstract
This paper investigates episodes of real exchange rate appreciations and depreciations for a sample of 85 countries from 1960 to 1998. A Markov Switching Model is used to characterize real exchange rate misalignment series as stochastic autoregressive processes governed by two states corresponding to different means and variances. Our main findings are: first, some countries present no evidence of distinct misalignment regimes; second, for some countries there is no RER misalignment in one of the regimes; and, third, for the countries with two misalignment regimes, the appreciated regime has higher persistence than the depreciated one.
TERRA, C. et VALLADARES, F.E.C. (2010). Real Exchange Rate Misalignments. International Review of Economics and Finance, 19(1), pp. 119-144.