期刊名称：Discussion Papers in Economic and Social History / Oxford University
出版年度：2010
卷号：2010
出版社：Oxford
摘要：This paper analyses stability in real multilateral exchange rates in six leading Latin-
American economies during the XXth
century using a new data set. A univariate
approach is complemented by an error-correction model including key fundamentals.
Unit-root testing shows a very slow process of mean reversion – if any – in the series
in levels; however, mean reversion is found after allowing for trends and structural
breaks with half-life values ranges from 0.8 to 2.5 years. We also found reversion to a
conditional mean defined by the co-integrating relationship, and that the equilibrium
path is largely explained by fundamentals - especially terms of trade and trade
openness. Exchange rate policy proved to have only a transitory effect in generating
real depreciation.
