Real exchange rate misalignments

Cristina Terra and Frederico Valladares

International Review of Economics & Finance, 2010, vol. 19, issue 1, 119-144

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.

Keywords: Real; exchange; rate; misalignment; Markov; Switching; Model (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (10)

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Related works:
Working Paper: Real Exchange Rate Misalignments (2009)
Working Paper: Real Exchange Rate Misalignments (2004)
Working Paper: Real exchange rate misalignments (2003)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:19:y:2010:i:1:p:119-144

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