Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/203771 
Year of Publication: 
2018
Series/Report no.: 
Serie Documentos de Trabajo No. 630
Publisher: 
Universidad del Centro de Estudios Macroeconómicos de Argentina (UCEMA), Buenos Aires
Abstract (Translated): 
Through a VECM, during 1961-2017 in Argentina, we found cointegration between the Multilateral Real Exchange Rate and four fundamental variables: Net Foreign Assets, Public Expenditure, Terms of Trade, and Productivity. Defining the Real Exchange Rate as domestic prices in dollars, we estimate a positive relationship with its fundamentals except for the Terms of Trade. The model anticipates the large devaluations that occurred in 1975 (Rodrigazo), 1981 (Martínez de Hoz), 2002 (end of the Convertibility) and 2015 (end of the "cepo cambiario"). The speed of adjustment is 30% per year. Finally, during 2012-2017 the model estimates an average misalignment (real appreciation) of 15% per year.
Subjects: 
Argentina
multilateral real exchange rate
net foreign assets
public expenditure
terms of trade
productivity
VECM
JEL: 
C13
F14
F31
Document Type: 
Working Paper

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