The Equilibrium Real Exchange Rate in Peru: BEER Models and Confidence Band Building
Jesus Ferreyra Gugliermino and
Jorge Salas ()
No 2006-006, Working Papers from Banco Central de Reserva del Perú
This paper uses the "Behavioral Equilibrium Exchange Rate" (BEER) approach to estimate the equilibrium real exchange rate (RER) for Peru. A bootstrap technique is then employed to build confidence bands for the equilibrium path, so that it is possible to determine whether exchange rate misalignments are statistically significant. Additionally, structural breaks are modeled in the long-run relationship between the RER and its fundamentals. Using quarterly data for 1980.I-2005.III, the authors find that the long-run behavior of the Peruvian RER is explained by the following fundamentals: net foreign liabilities, terms of trade, and, less conclusively, government expenditure and openness. Moreover, the ratio of tradable to non-tradable sector productivities, both in domestic terms and relative to trading partners, appears as an additional RER fundamental only since the 1990s. Finally, there is evidence of some statistically significant RER misalignment episodes over the analyzed period.
Keywords: Equilibrium Real Exchange Rate; BEER Models; Cointegration; Structural Break; Bootstrap (search for similar items in EconPapers)
JEL-codes: F31 F41 C15 C22 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba, nep-ets, nep-fmk, nep-ifn and nep-int
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
https://www.bcrp.gob.pe/docs/Publicaciones/Documen ... -Trabajo-06-2006.pdf Application/pdf
Our link check indicates that this URL is bad, the error code is: 403 Forbidden
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:rbp:wpaper:2006-006
Access Statistics for this paper
More papers in Working Papers from Banco Central de Reserva del Perú Contact information at EDIRC.
Bibliographic data for series maintained by Research Unit ().