UNSPECIFIED (1999) The real exchange rate in Colombia: an analysis using multivariate cointegration. APPLIED ECONOMICS, 31 (5). pp. 661-671. ISSN 0003-6846

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Abstract

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.

Item Type:	Journal Article
Subjects:	H Social Sciences > HC Economic History and Conditions
Journal or Publication Title:	APPLIED ECONOMICS
Publisher:	ROUTLEDGE
ISSN:	0003-6846
Date:	May 1999
Volume:	31
Number:	5
Number of Pages:	11
Page Range:	pp. 661-671
Publication Status:	Published
URI:	http://wrap.warwick.ac.uk/id/eprint/14468

Data sourced from Thomson Reuters' Web of Knowledge

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