Un modelo de corrección de errores para el tipo de cambio real en el Uruguay: 1983:I-2005:IV

Diego Gianelli () and Matías Mednik ()
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Diego Gianelli: Banco Central del Uruguay
Matías Mednik: Banco Central del Uruguay

No 2006002, Documentos de trabajo from Banco Central del Uruguay

Abstract: In the following paper we develop an error correction model à la EngleGranger for the Real Effective Exchange Rate (REER). A cointegration relationship is found among productivity, interest rate differentials, terms of trade, and government spending as percentage of GDP. The dynamic equation for the REER shows several arguments, whose elasticities are in line with the mainstream theory. This short run equation appears to be stable, and exhibits the desired characteristics for prediction. As a result, the model seems a good candidate to be incorporated into the set of BCU’s macroeconomic models

Keywords: Tipo de cambio real de equilibrio; fundamentos; Modelo de corrección de errores; desalineamiento (search for similar items in EconPapers)
Pages: 34 pages
Date: 2006-08
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Citations: View citations in EconPapers (7)

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