Misalignment, Liabilities Dollarization and Exchange Rate Adjustment in Latin America

Abstract

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The impact of real exchange rates adjustments on global imbalances: A multilateral approach

“…We rely on the BEER approach introduced by Clark and MacDonald (1998), and more specifically on the stock-flow model developed by Alberola et al (1999Alberola et al ( , 2002, where the real exchange rate is jointly determined by external balance as well as internal balance. The real exchange rate q is defined as the relative price of domestic goods.…”

“…20 Net foreign assets series are constructed as an interpolation of the updated dataset on world foreign asset and liabilities developed by Lane andMilesi-Ferretti (2001, 2006) 21 The relative productivity differential, which refers to the Balassa-Samuelson effect, is proxied by the ratio of consumer prices index to the producer prices index. 2002;Ghironi, 2008). In the general framework of Alberola et al (1999Alberola et al ( , 2002, net foreign assets position is viewed as an exogenous variable that influences real exchange rate.…”

“…2002;Ghironi, 2008). In the general framework of Alberola et al (1999Alberola et al ( , 2002, net foreign assets position is viewed as an exogenous variable that influences real exchange rate. Theoretical approaches predict that real exchange rate appreciations should be associated with accumulation of net foreign assets in the long run.…”

Establishing Conversion Values for New Currency Unions: Method and Application to the planned Gulf Cooperation Council (GCC) Currency Union

“…The expected sign of its coefficient is usually positive (Lee, MilesiFerretti and Ricci, 2008). Others get mixed results (McDonald and Wojcik, 2002;Alberola, 2003) or even negative signs (Alonso-Gamo et al, 2002;Lommatzsch and Tober, 2002;Burgess et al 2003). Notes, critical value tables and comments: In the tables above, *** (resp.…”

Overvaluation trend of the Brazilian currency in the 2000s: empirical estimation

“…This result is then compared with the actual real exchange rate RER to construct an index that allows us to evaluate the trend of real exchange rate overvaluation in Brazil. As suggested by Edwards (1989) and Alberola (2003), this paper uses the Hodrick-Prescott (HP) filter technique to estimate (RÊR) Figure 2 jointly shows the actual (RER) and long-term estimated real exchange rates RÊR (this latter by OLS, 2SLS and ECm models). As Figure 2 reveals, the episodes that produced strong and damaging depreciations happened exclusively in response to either internal or external shocks (such as in early 1999, due to the speculative attack which forced the adoption of a floating exchange rate regime in Brazil; in the first semester of 2001 in virtue of the severe electric energy crisis -the apagão crisis; in the second semester of 2002, due to the negative expectations of the upcoming presidential elections; and in the aftermath of the September 2008 financial crisis).…”