Long-run equilibrium exchange rate in Latin America and Asia: a comparison using cointegrated vector

Authors

Keywords:

Car-Theft, Rational Choice, Computerized Simulation, Multiagent Systems, Porto Alegre

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.

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Author Biography

Simone Maciel Cuiabano, Toulouse School of Economics

Postdoctoral fellow at Toulouse School of Economics

PhD in Economics, University of Brasilia

Federal Auditor of Finance and Control, Federal Treasury of Brazil

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Published

2017-11-20

Issue

Vol. 17 No. 2 (2017): Finanças

Section

Artigos

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