The random forest path of real exchange rate misalignments. The Argentinean case

Fernando Zarzosa Valdivia and Maximiliano Micheli

No 4429, Asociación Argentina de Economía Política: Working Papers from Asociación Argentina de Economía Política

Abstract: This research studies the dynamics of the misalignments of the purchasing power parity real exchange rate, which are based on equilibrium values measured by the Hodrick and Prescott and the Christiano-Fitzgerald filters. Following a theoretical model, the behaviour of real exchange rate misalignments is featured by Random Forest Models; which is a novelty on these regards. Real exchange rate misalignments, which are of short nature, are explained, in importance order, for their lagged values (up to the third order), the market turbulence index, the nominal exchange rates, the volatility VIX index, the interest rates, the seigniorage and the international reserves. En este trabajo evaluamos la dinámica de los desalíneos del tipo de cambio real, desde un punto de vista teórico y desde una visión práctica aplicando modelos de Bosques Aleatorios. Incorporamos como variables explicativas de dichos desalíneos al índice de turbulencia de mercado (o sus componentes, tipo de cambio nominal, reservas y tasas de interés), la cantidad de dinero, el índice de volatilidad VIX y los rezagos de los desalineos cambiarios. Contribuimos a la literatura tanto en la aplicación del modelo de bosques aleatorios como en la inclusión de variables explanatorias de los desalíneos del tipo de cambio real.

Keywords: Real exchange rate; Hodrick and Prescott filter misalignment; Christiano-Fitzgerald misalignment; Random Forest; Market turbulence index; volatility VIX index (search for similar items in EconPapers)
JEL-codes: C13 F31 F41 (search for similar items in EconPapers)
Pages: 17 pages
Date: 2020-11
New Economics Papers: this item is included in nep-opm
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Persistent link: https://EconPapers.repec.org/RePEc:aep:anales:4429

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