Sovereign risk and the real exchange rate : a non-linear approach

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Borradores de Economía; No. 970
Date published
2016-11-17
Date of last update
2016-11-17
Author
Ojeda-Joya, Jair N.
Sarmiento-Becerra, Gloria Inés
Document language
spa
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Las opiniones contenidas en el presente documento son responsabilidad exclusiva de los autores y no comprometen al Banco de la República ni a su Junta Directiva.
Abstract
We estimate a model of real exchange rate determination which is based on interest rate, term structure and purchasing power parities. This model takes into account sovereign risk as a key determinant with possibly non-linear effects. Estimations are perf
JEL Codes
F31 - Foreign ExchangeE43 - Interest Rates: Determination, Term Structure, and EffectsC32 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Keywords
Real exchange rate ; Misalignment ; Sovereign risk ; International parities ; Latin America ; Smooth transition regression ;
URI
https://repositorio.banrep.gov.co/handle/20.500.12134/6281
https://hdl.handle.net/20.500.12134/6281
https://doi.org/10.32468/be.970
https://ideas.repec.org/p/bdr/borrec/970.html
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This work is licensed under a Creative Commons Reconocimiento-NoComercial 4.0.This document has been deposited by the author (s) under the following certificate of deposit