Abstract
This paper uses a variance ratio statistic in order to capture the importance of the non-stationary component in the real exchange rate in 8 Latin-American countries. The outcome is then used to determine the behavior of this variable in the long run. The authors conclude that the real exchange rate shows a quasi-stationary process in all the countries, with an important mean-reverting component that reverts part of the innovation in a less than five years period.
Translated title of the contribution | Behavior of the real exchange rate in the long run: empirical evidence in eight Latin American countries |
---|---|
Original language | Spanish |
Pages (from-to) | 13-29 |
Journal | Apuntes |
Issue number | 27 |
DOIs | |
State | Published - Jul 1990 |
Keywords
- América Latina
- Econometría
- Política monetaria
- Tipo de cambio