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

Borradores de Economia
Number: 
970
DOI: 
http://doi.org/10.32468/be.970
Published: 
Classification JEL: 
C32, F31, E43
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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