El rol del tipo de cambio en Perú: ¿amortiguador o fuente de choques?

Joao Riveiro

doi:10.4067/S0718-88702018000200079

Authors

Joao Riveiro Universidad Alberto Hurtado

DOI:

https://doi.org/10.4067/S0718-88702018000200079

Keywords:

SVAR, open macroeconomics, exchange rate, Peru

Abstract

This paper examines the role of the exchange rate in Peru using a stochastic model for a small open economy that is identified through a structural model with autoregressive vectors (SVAR) with long term restrictions to the Blanchard and Quah. The decomposition of variance indicates that the EL ROL DEL TIPO DE CAMBIO EN PERU: ¿AMORTIGUADOR O FUENTE DE CHOQUES? THE ROLE OF EXCHANGE RATE IN PERU: A SHOCK ABSORBER OR A SOURCE OF SHOCKS? JOAO RIBEIRO* Universidad Peruana de Ciencias Aplicadas real supply and demand shocks are the main source of fluctuations in the economic cycles in Peru and that, as the quarters pass, they are gaining relevance in explaining the movements of the exchange rate. These results suggest that the exchange rate plays a role in absorbing the real shocks that affect the Peruvian economy.

Downloads

Download data is not yet available.

References

An, L., & Kim, Y. (2010). Sources of exchange rate movement in Japan: Is the exchange rate a shock absorber or a source of shock? Review of International Economics, 18(2), 265–276.

Artis, M., & Ehrmann, M. (2006). The exchange rate: A shock absorber or source of shocks? A study of four economies. Journal of International Money and Finance, 31(6), 42–59. https://doi.org/10.1016/j.jimonfin.2006.07.003

Bjørnland, H. (2004). The role of the exchange rate as a shock absorber in a small open economy. Open Economies Review, 15(1), 23–43. https://doi.org/10.1023/b:open.0000009423.30895.fe

Blanchard, O., & Quah, D. (1989). The dynamic effects of aggregate demand and supply disturbances. American Economic Review, 79, 655–673.

Bluedorn, J., & Bowdler, C. (2010). The empirics of international monetary transmission: Identification and the impossible trinity (IMF Working Paper N.º 15/79). International Monetary Fund.

Borghis, A., & Kuijs, L. (2004). Exchange rates in Central Europe: A blessing or a curse? (IMF Working Paper N.º WP/04/2). International Monetary Fund.

Canzoneri, M., Vallés, J., & Viñals, J. (1996). Do exchange rates move to address international macroeconomic imbalances? (CEPR Discussion Paper N.º 1498). Centre for Economic Policy Research.

Clarida, R., & Galí, J. (1994). Sources of real exchange rate fluctuations: How important are nominal shocks? Carnegie-Rochester Conference Series on Public Policy, 41, 1–56.

Dabrowski, M. (2012a). Exchange rate regimes and output variability in Central European countries. Actual Problems of Economics, 2/10, 80–91.

Dabrowski, M., & Wróblewska, J. (2015). Exchange rate as a shock absorber or a shock propagator in Poland and Slovakia: An approach based on Bayesian SVAR models with common serial correlation (MPRA Paper N.º 61441). Munich Personal RePEc Archive.

Doojav, G. (2011). The role of exchange rate in Mongolia: A shock absorber or a source of shocks? (MPRA Paper N.º 72145). Munich Personal RePEc Archive.

Edwards, S., & Yeyati, E. (2005). Flexible exchange rates as shock absorbers. European Economic Review, 49(8), 2079–2105. https://doi.org/10.1016/j.euroecorev.2004.07.002

Farrant, K., & Peersman, G. (2006). Is the exchange rate a shock absorber or a source of shocks? New empirical evidence. Journal of Money, Credit, and Banking, 38(4), 939–961.

Funke, M. (2000). Macroeconomic shocks in Euroland vs. the UK: Supply, demand or nominal? Department of Economics, Hamburg University.

Goo, S., & Siregar, R. (2009). Economic shocks and exchange rate as a shock absorber in Indonesia and Thailand (Staff Paper N.º 72). SEACEN Centre.

Kim, S., & Lee, S. (2008). The role of the exchange rate in Korean economy: A shock absorber or a source of shocks. Journal of Economic Research, 13(2), 303–324. https://doi.org/10.17256/jer.2008.13.2.005

Korhonen, I., & Mehrotra, A. (2009). Real exchange rate, output and oil: Case of four large energy producers (BOFIT Discussion Paper N.º 6/2009). Bank of Finland Institute for Economies in Transition.

Obstfeld, M. (1985). Floating exchange rates: Experience and prospects. Brookings Papers on Economic Activity, 2(2), 369–464. https://doi.org/10.2307/2534443

Thomas, A. (1997). Is the exchange rate a shock absorber? The case of Sweden (IMF Working Paper N.º 97/176). International Monetary Fund.