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

Número: 
970
Publicado: 
Clasificación JEL: 
C32, F31, E43
Palabras clave: 
Real Exchange Rate, Misalignment, Sovereign Risk, International Parities

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