%0 Generic
%A Terra, Cristina T
%D 2009
%G English
%B THEMA Working Papers
%T Real Exchange Rate Misalignments
%U http://bonn.summon.serialssolutions.com/2.0.0/link/0/eLvHCXMwrV07a8MwED6aeil0aGlLn-ChWzC4tiJbYwkJpZAMwVMXIdlK0qGKcVJa8ut7Jyd2uvWRRYjDSHf6LOl0utMB3MdpzwjGVcCSQgcsj3iQ5jgfceFjqpcIHRXOy3cshi88G4hxm56LrnPneh3Y6oNcLMjC9q4X_0YWaYgtRcr-At2mUSRgHTHGElHG8kc4T9zLwJ91AG93gqpjd_S6RO16VkevNUdzU7mUQpTIC6e1VRv3aGLSLCnf0uhxazpHvbLceMY3FgGxYxGowSJiu743Xnc0xpKO2aVrRFamNLlcVDPpCNK4Z1qxTrkphQxjOV-9daCT0D2x577e2XuzE_AcN6dwYOwZ-CSvv5XXJ3n9b_Kew_NwkPWfgrrfsn5NQ_6Jq_ACjhWFANiVCxUsLsFPmUlTHivc9Q1L8wfFwiKP9LQQKgkZ51fQ30PP13tp5QaOWuRuwZvi32ju4FAvrP0CIDwW-Q
%X This paper investigates episodes of real exchange rate appreciations and depreciations for a sample of 85 countries, from 1960 to 1998. The equilibrium real exchange rate series are constructed by estimating cointegration vectors with fundamentals, and departures from it are obtained. A Markov Switching Model is used to characterize the misalignments series as stochastic autoregressive processes governed by two states corresponding to different means and variances. Three are the main findings: first, some countries present no evidence of distinct regimes for misalignment; second, for some countries, there is no RER misalignment in one the regimes; and, third, for those countries with two misalignment regimes, the appreciated regime have higher persistence than the depreciated one.
%K real exchange rate misalignment; Markov switching model