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

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

Lo más reciente

Jhorland Ayala-García, Yesica Tatiana Lara-Silva, Alejandro Alberto Vargas-Villamil, Lina Romero-Chaparro
Jesús Alonso Botero-García, Ligia Alba Melo-Becerra, Cristian Castrillón Gaviria, Daniela Gallo

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