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

Borradores de Economia
Number: 
970
Published: 
Classification JEL: 
C32, F31, E43

The most recent

Juliana Jaramillo-Echeverri, Adriana Sofía Rodríguez
Gaurav Khanna, Carlos Alberto Medina-Durango, Anant Nyshadham, Daniel Ramos-Menchelli, Jorge Andrés Tamayo-Castaño, Audrey Tiew

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