Testing the Equilibrium Exchange Rate Model - Updated

We find favorable evidence for the textbook equilibrium exchange rate model of Stockman (1987) using Blanchard and Quah’s (1989) decomposition. Real shocks are shown to account for more than 90 percent of movements in the real exchange rate between Brazil and the US, and for more than half of nominal exchange rate changes. Impulse response functions also suggest that real shocks alter these countries’relative prices.

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Year of publication:	2006
Authors:	Guilherme, Moura ; Sergio, Da Silva

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Type of publication:	Book / Working Paper
Language:	English
Notes:	Guilherme, Moura and Sergio, Da Silva (2006): Testing the Equilibrium Exchange Rate Model - Updated. Forthcoming in: Finance Letters
Classification:	F41 - Open Economy Macroeconomics ; F31 - Foreign Exchange ; F47 - Forecasting and Simulation ; F37 - International Finance Forecasting and Simulation
Source:	BASE

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