Nominal and real exchange rate co-movements



Título del documento: Nominal and real exchange rate co-movements
Revista: Journal of applied economics
Base de datos: CLASE
Número de sistema: 000430453
ISSN: 1667-6726
Autores: 1
2
Instituciones: 1Universidad de Salamanca, Salamanca. España
2Universidad de Málaga, Málaga. España
Año:
Periodo: Nov
Volumen: 17
Número: 2
Paginación: 283-300
País: Argentina
Idioma: Inglés
Tipo de documento: Artículo
Enfoque: Aplicado
Resumen en inglés This paper investigates the existence of common movements between nominal and real exchange rates across different countries in three regions – North America, Western Europe, and Central and Eastern Europe – by using the multi-factor model. It also examines the role of macroeconomic fundamentals (i.e., prices, money and output) in order to explain the variance of the exchange rate global factor. The findings suggest the existence of co-movements among exchange rates. The exchange rate global factor seems to play a central role in explaining exchange rate variability in Western Europe, whereas regional and country-specific factors are the most important ones in North America and Central and Eastern Europe, respectively. Finally, the paper shows empirical evidence in favour of the connection between exchange rate global factor variability and macroeconomic fundamentals. Moreover, the importance of fundamentals has increased in the recent global crisis
Disciplinas: Economía
Palabras clave: Economía monetaria,
Econometría,
Tipos de cambio,
Modelos econométricos,
Indicadores macroeconómicos,
Correlación,
Europa Occidental,
Europa Oriental,
América del Norte
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