Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/91088
Authors: 
Marçal, Emerson Fernandes
Year of Publication: 
2013
Series/Report no.: 
Texto para Discussão, Instituto de Pesquisa Econômica Aplicada (IPEA) 1891
Abstract (Translated): 
This paper aims to discuss a methodology to calculate the error bands for exchange rate misalignments estimative. The exchange misalignment is not directly observed and its precision depends on the coefficients that link fundamentals to real effective exchange rate. The precision of exchange rate misalignments relies on standard errors of the parameters estimative. This paper bases its results on the econometric methodology developed by Alberola et al. (1999) to calculate misalignments and suggest a bootstrap approach to calculate error bands. The misalignment estimative is based on cointegration techiniques and the permanent and transitory decomposition developed by Gonzalo e Granger (1995). The development of error bands is important to highlight the precision and the limitations of the misalignment exchange rate calculus exercise and allows the analysts to distingue minor from relevant misalignments.
Subjects: 
error bands
VECM
cointegration
misalignment
JEL: 
F31
C32
Document Type: 
Working Paper

Files in This Item:
File
Size
893.53 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.