Document de travail

Long-run equilibrium exchange rate in Latin America and Asia

a comparison using cointegrated vector

Simone Cuiabano

Résumé

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.

Mots-clés

exchange rate determination; monetary model; cointegration; panel;

Codes JEL

  • C22: Time-Series Models • Dynamic Quantile Regressions • Dynamic Treatment Effect Models &bull Diffusion Processes
  • C23: Panel Data Models • Spatio-temporal Models
  • F21: International Investment • Long-Term Capital Movements
  • F31: Foreign Exchange

Voir aussi

Publié dans

TSE Working Paper, n° 17-837, août 2017