The EU real exchange rates: A structural Bayesian VAR. A note.
In this paper we contribute to the long literature on the real exchange determination by estimating a Bayesian structural vector autoregressive model. We aim at identifying the effect on the EU-28 RER of shock originating in its main fundamental variables, namely, current account, government consump...
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| Format: | Online |
| Language: | eng |
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Instituto de Economía y Finanzas. Facultad de Ciencias Económicas. Universidada Nacional de Córdoba.
2018
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| Online Access: | https://revistas.unc.edu.ar/index.php/REyE/article/view/29387 |
| _version_ | 1830381896859648000 |
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| author | Cuestas, Juan C. Cuestas, Juan C. |
| author_facet | Cuestas, Juan C. Cuestas, Juan C. |
| author_sort | Cuestas, Juan C. |
| collection | Portal de Revistas |
| description | In this paper we contribute to the long literature on the real exchange determination by estimating a Bayesian structural vector autoregressive model. We aim at identifying the effect on the EU-28 RER of shock originating in its main fundamental variables, namely, current account, government consumptions, investment and real income. We find in most of the shocks that the RER moves away for long periods, proving yet again, that the purchasing power parity condition is rarely fulfilled empirically.
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| format | Online |
| id | oai:ojs.revistas.unc.edu.ar:article-29387 |
| institution | Universidad Nacional de Cordoba |
| language | eng |
| publishDate | 2018 |
| publisher | Instituto de Economía y Finanzas. Facultad de Ciencias Económicas. Universidada Nacional de Córdoba. |
| record_format | ojs |
| spelling | oai:ojs.revistas.unc.edu.ar:article-293872022-04-04T15:39:00Z The EU real exchange rates: A structural Bayesian VAR. A note. Los tipos de cambio reales de la UE: Un VAR bayesiano estructural. Una nota. Cuestas, Juan C. Cuestas, Juan C. competitiveness european integration bayesian estimation real exchange rates C22 F15 competitividad integración europea estimación bayesiana tipos de cambios reales C22 F15 In this paper we contribute to the long literature on the real exchange determination by estimating a Bayesian structural vector autoregressive model. We aim at identifying the effect on the EU-28 RER of shock originating in its main fundamental variables, namely, current account, government consumptions, investment and real income. We find in most of the shocks that the RER moves away for long periods, proving yet again, that the purchasing power parity condition is rarely fulfilled empirically. En este trabajo se contribuye a la larga literatura sobre la determinación del intercambio real mediante la estimación de un modelo autorregresivo del vector estructural bayesiano. Nuestro objetivo es identificar el efecto en la TRE de la UE-28 de los shocks originados en sus principales variables fundamentales, a saber, cuenta corriente, consumos del gobierno, inversión e ingresos reales. Encontramos en la mayoría de las perturbaciones que la TRE se aleja durante largos períodos, lo que demuestra una vez más, que la condición de paridad de poder adquisitivo rara vez se cumple empíricamente. Instituto de Economía y Finanzas. Facultad de Ciencias Económicas. Universidada Nacional de Córdoba. 2018-12-01 info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion application/pdf https://revistas.unc.edu.ar/index.php/REyE/article/view/29387 10.55444/2451.7321.2018.v56.n1.29387 Revista de Economía y Estadística; Vol. 56 No. 1 (2018); 43-57 Revista de Economía y Estadística; Vol. 56 Núm. 1 (2018); 43-57 2451-7321 0034-8066 10.55444/2451.7321.2018.v56.n1 eng https://revistas.unc.edu.ar/index.php/REyE/article/view/29387/30186 Derechos de autor 2018 Juan Carlos Cuestas http://creativecommons.org/licenses/by-nc-nd/4.0 |
| spellingShingle | competitiveness european integration bayesian estimation real exchange rates C22 F15 competitividad integración europea estimación bayesiana tipos de cambios reales C22 F15 Cuestas, Juan C. Cuestas, Juan C. The EU real exchange rates: A structural Bayesian VAR. A note. |
| title | The EU real exchange rates: A structural Bayesian VAR. A note. |
| title_alt | Los tipos de cambio reales de la UE: Un VAR bayesiano estructural. Una nota. |
| title_full | The EU real exchange rates: A structural Bayesian VAR. A note. |
| title_fullStr | The EU real exchange rates: A structural Bayesian VAR. A note. |
| title_full_unstemmed | The EU real exchange rates: A structural Bayesian VAR. A note. |
| title_short | The EU real exchange rates: A structural Bayesian VAR. A note. |
| title_sort | eu real exchange rates a structural bayesian var a note |
| topic | competitiveness european integration bayesian estimation real exchange rates C22 F15 competitividad integración europea estimación bayesiana tipos de cambios reales C22 F15 |
| topic_facet | competitiveness european integration bayesian estimation real exchange rates C22 F15 competitividad integración europea estimación bayesiana tipos de cambios reales C22 F15 |
| url | https://revistas.unc.edu.ar/index.php/REyE/article/view/29387 |
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