The role of permanent and transitory components in the fluctuations of Latin–American real exchange rates

References

• Abuaf , N and Jorion , P . 1990 . Purchasing power parity in the long run . Journal of Finance , 45 : 157 – 74 .
   Web of Science ®Google Scholar
• Ahking , F . 2003 . Efficient unit root tests of real exchange rates in post-bretton woods era . Economics Bulletin , 6 : 1 – 12 .
   Google Scholar
• Asea , PK and Mendoza , EG . 1994 . The Balassa–Samuelson model: a general-equilibrium appraisal . Review of International Economics , 2 : 244 – 67 .
   Google Scholar
• Balassa , B . 1964 . The purchasing power parity doctrine: a reappraisal . Journal of Political Economy , 72 : 584 – 96 .
   Web of Science ®Google Scholar
• Chen , S-L and Wu , J-L . 1997 . Sources of real exchange-rate fluctuations: empirical evidence from four pacific basin countries . Southern Economic Journal , 63 : 776 – 87 .
   Web of Science ®Google Scholar
• Clarida , RH and Gali , J . 1994 . Sources of real exchange-rate fluctuations: how important are nominal shocks? . Carnegie-Rochester Conference Series on Public Policy , 41 : 1 – 56 .
   Google Scholar
• Coakley , J , Flood , RP , Fuertes , A-M and Taylor , MP . 2005 . Purchasing power parity and the theory of general relativity: the first tests . Journal of International Money and Finance , 24 : 293 – 316 .
   Google Scholar
• Dornbusch , R . 1976 . Expectations and exchange rate dynamics . Journal of Political Economy , 84 : 1161 – 76 .
   Web of Science ®Google Scholar
• Enders , W and Lee , B-S . 1997 . Accounting for real and nominal exchange rate movements in the post-bretton woods period . Journal of International, Money and Finance , 16 : 233 – 54 .
   Web of Science ®Google Scholar
• Engel , C . 1999 . Accounting for U.S. real exchange rates changes . Journal of Political Economy , 107 : 507 – 38 .
   Web of Science ®Google Scholar
• Engel , C . 2000 . Long-run PPP may not hold after all . Journal of International Economics , 57 : 243 – 73 .
   Web of Science ®Google Scholar
• Engel , C and Kim , CJ . 1999 . The long-run U.S./U.K. real exchange rate . Journal of Money, Credit and Banking , 31 : 335 – 56 .
   Web of Science ®Google Scholar
• Evans , MDD and Lothian , JR . 1993 . The response of exchange rates to permanent and transitory shocks under floating exchange rates . Journal of International Money and Finance , 12 : 563 – 86 .
   Google Scholar
• Faust , J and Rogers , JH . 2003 . Monetary policy's role in exchange rate behavior . Journal of Monetary Economics , 50 : 1403 – 24 .
   Web of Science ®Google Scholar
• Frankel , J . 1979 . On the mark: a theory of floating exchange rates based on real interest differentials . American Economic Review , 69 : 610 – 22 .
   Web of Science ®Google Scholar
• Frankel , JA and Rose , AK . 1996 . A Panel project on purchasing power parity: mean reversion within and between countries . Journal of International Economics , 40 : 209 – 24 .
   Web of Science ®Google Scholar
• Froot , K and Rogoff , K . 1995 . “ Perspectives on PPP and long-run real exchange rates ” . In Handbook of International Economics , Edited by: Grossman , G and Rogoff , K . Amsterdam : North Holland .
   Google Scholar
• Hoffmister , AW and Roldos , JE . 2001 . The sources of macroeconomic fluctuations in developing countries: Brazil and Korea . Journal of Macroeconomics , 23 : 213 – 39 .
   Google Scholar
• International Monetary Fund . 2006 . International Financial Statistics CD-ROM
   Google Scholar
• Kilian , L and Taylor , MP . 2003 . Why is so difficult to beat the random walk forecast of exchange rates? . Journal of International Economics , 60 : 85 – 107 .
   Web of Science ®Google Scholar
• Kim , S and Roubini , N . 2000 . Exchange rate anomalies in the industrial countries: a solution with a structural VAR approach . Journal of Monetary Economics , 45 : 561 – 86 .
   Web of Science ®Google Scholar
• Lothian , JR and Taylor , MP . 1996 . Real exchange rate behaviour: the recent float from the perspective of the past two centuries . Journal of Political Economy , 104 : 488 – 509 .
   Web of Science ®Google Scholar
• Mark , NC and Choi , D-Y . 1997 . Real exchange-rate prediction over long horizons . Journal of International Economics , 43 : 29 – 60 .
   Web of Science ®Google Scholar
• Mussa , M . 1986 . Nominal exchange rate regimes and the behavior of the real exchange rates: evidence and implications . Carnegie Rochester Series on Public Policy , 25 : 114 – 214 .
   Google Scholar
• Osbtfeld , M and Rogoff , K . 1995 . Exchange rate dynamics redux . Journal of Political Economy , 103 : 624 – 60 .
   Google Scholar
• Nelly , CJ and Sarno , L . 2002 . How well do monetary fundamentals forecast exchange rates? . Review of the Federal Reserve Bank of St. Louis , September/October : 51 – 74 .
   Google Scholar
• Ng , S and Perron , P . 2002 . PPP may not hold after all: futher investigation . Annals of Economics and Finance , 3 : 43 – 67 .
   Google Scholar
• Rogers , JH . 1999 . Monetary shocks and real exchange rates . Journal of International Economics , 49 : 269 – 88 .
   Web of Science ®Google Scholar
• Rogers , JH and Jenkins , MA . 1995 . Haircuts or hysteresis: sources of movements in real exchange rates . Journal of International Economics , 38 : 339 – 60 .
   Web of Science ®Google Scholar
• Samuelson , PA . 1964 . Theoretical notes on trade problems . Review of Economics and Statistics , 46 : 145 – 54 .
   Web of Science ®Google Scholar
• Sarno , L and Taylor , MP . 2002 . Purchasing power parity and the real exchange rate . IMF Staff Papers , 49 : 65 – 105 .
   Google Scholar
• Stockman , AC and Tesar , LL . 1995 . Tastes and technology in a two-country model of the business cycle: explaining international comovements . American Economic Review , 85 : 168 – 85 .
   Web of Science ®Google Scholar
• Taylor , AM and Taylor , MP . 2004 . The purchasing power parity debate . Journal of Economic Perspectives , 18 : 135 – 58 .
   Web of Science ®Google Scholar
• Taylor , MP . 1995 . The economics of exchange rates . Journal of Economic Literature , 33 : 13 – 47 .
   Web of Science ®Google Scholar
• Taylor , MP . 2004 . Is official exchange rate intervention effective? . Economica , 71 : 1 – 11 .
   Web of Science ®Google Scholar
• Taylor , MP . 2006 . Real exchange rates and purchasing power parity: mean-reversion in economic thought . Applied Financial Economics , 16 : 1 – 17 .
   Google Scholar
• Taylor , MP , Peelm , DA and Sarno , L . 2001 . Nonlinear mean-reversion in real exchange rates: towards a solution to the purchasing power parity puzzles . International Economic Review , 42 : 1015 – 42 .
   Web of Science ®Google Scholar
• Wu , Y . 1996 . Are real exchange rates non-stationary?: evidence from a panel-data test . Journal of Money, Credit and Banking , 28 : 54 – 63 .
   Web of Science ®Google Scholar