TY - JOUR
T1 - The real exchange rate in Colombia
T2 - An analysis using multivariate cointegration
AU - Otero, Jesús G.
N1 - Copyright:
Copyright 2017 Elsevier B.V., All rights reserved.
PY - 1999/5
Y1 - 1999/5
N2 - Johansen's analysis of cointegrated systems is used to build a model of the Colombian real exchange rate (RER). One cointegrating vector is found, which can be thought of as a long-run RER equation. The deviations of the RER from its long-run equilibrium relationship, after correcting for short-run dynamics, are interpreted as a measure of RER misalignment. The simulation performance of the model during the period of estimation and three years into the future is particularly good, with the simulated RER reproducing the long-run behaviour of the actual series.
AB - Johansen's analysis of cointegrated systems is used to build a model of the Colombian real exchange rate (RER). One cointegrating vector is found, which can be thought of as a long-run RER equation. The deviations of the RER from its long-run equilibrium relationship, after correcting for short-run dynamics, are interpreted as a measure of RER misalignment. The simulation performance of the model during the period of estimation and three years into the future is particularly good, with the simulated RER reproducing the long-run behaviour of the actual series.
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U2 - 10.1080/000368499324101
DO - 10.1080/000368499324101
M3 - Article
AN - SCOPUS:0032864529
SN - 0003-6846
VL - 31
SP - 661
EP - 671
JO - Applied Economics
JF - Applied Economics
IS - 5
ER -