Ajust del tipus de canvi real : una dinàmica no lineal a l'equilibri?

Un dels indicadors més importants per valorar l'estat d'una economia és l'estabilitat del tipus de canvi real davant un cert nivell d'equilibri. Efectivament, és àmpliament reconegut que els desajusts del tipus de canvi poden originar greus crisis econòmiques. Tanmateix, no existeix consens respecte al que es considera com a "equilibri" del tipus de canvi, sent la Paritat de Poder de Compra (PPC) el punt de referència més àmpliament utilitzat. L'article següent explora la idea que la dinàmica d'ajust cap a aquest punt de referència (la PPC) pugui donar-se de manera no lineal. És a dir, s'analitza la possibilitat que la reversió del tipus de canvi a l'equilibri s'incrementi a mesura que el tipus de canvi s'allunya de l'esmentat equilibri, mostrant llavors una velocitat d'ajust que no és ni contínua ni constant. Smooth Transition Autoregressive (STAR) és el model economètric que s'ha utilitzat per estudiar aquestes dinàmiques no lineals, al mateix temps que es controla per la possible presència d'observacions atípiques -coneguda com a outliers -. Es constata que, en alguns casos, a prop de l'equilibri el tipus de canvi real tendeix a desviar-se i, al contrari, l'ajust s'incrementa a mesura que el desequilibri es torna més important. Tanmateix, aquesta no és la generalitat una vegada que es considera la presència d'outlier.Uno de los indicadores más importantes para valorar el estado de una economía es la estabilidad del tipo de cambio real frente a un cierto nivel de equilibrio. Efectivamente, es ampliamente reconocido que los desajustes del tipo de cambio pueden originar graves crisis económicas. Sin embargo, no existe consenso respecto a lo que se considera como "equilibrio" del tipo de cambio, siendo la Paridad de Poder de Compra (PPC) el punto de referencia más ampliamente utilizado. El artículo siguiente explora la idea de que la dinámica de ajuste hacia este punto de referencia (la PPC) pueda darse de manera no lineal. Es decir, se analiza la posibilidad de que la reversión del tipo de cambio al equilibrio se incremente a medida que el tipo de cambio se aleja de dicho equilibrio, mostrando entonces una velocidad de ajuste que no es ni continua ni constante. Smooth Transition Autoregressive (STAR) es el modelo econométrico que se ha utilizado para estudiar estas dinámicas no lineales, al mismo tiempo que se controla por la posible presencia de observaciones atípicas -conocidas como "outliers"-. Se constata que, en algunos casos, cerca del equilibrio el tipo de cambio real tiende a desviarse y, por el contrario, el ajuste se incrementa a medida que el desequilibrio se vuelve más importante. Sin embargo, esta no es la generalidad, una vez que se considera la presencia de "outlier"

The short and long-run determinants of the real exchange rate in Mexico

This paper explores the real exchange rate behavior in Mexico from 1960 until 2005. Since the empirical analysis reveals that the real exchange rate is not mean reverting, we propose that economic fundamental variables affect its evolution in the long-run. Therefore, based on equilibrium exchange rate paradigms, we propose a simple model of real exchange rate determination which includes the relative labor productivity, the real interest rates and the net foreign assets over a long period of time. Our analysis also considers the dynamic adjustment in response to shocks through impulse response functions derived from the multivariate VAR model.real exchange rate, purchasing power parity, Balassa-Samuelson effect, error correction models, bounds cointegration test.

On the link between credit procyclicality and bank competition

This paper investigates the relationship between bank competition and credit procyclicality for 17 OECD countries on the 1986-2009 period. We account for heterogeneity among countries in terms of bank competition through the use of a hierarchical clustering methodology. We then estimate panel VAR models for the identified sub-groups of economies to investigate whether credit procyclicality is more important when the degree of bank competition is high. Our findings show that while credit significantly responds to shocks to GDP, the degree of bank competition is not essential in assessing the procyclicality of credit for OECD countries.Credit cycle, economic cycle, bank competition, financial stability, panel VAR.

Introducing price-setting behaviour in the Phillips Curve: the role of nonlinearities

Based on the theoretical literature on price setting behavior, we model three distinct forms of nonlinearity that can describe the reduced-form Phillips curve: reaction asymmetry, state dependence and a mix of both. Employing these models to the G5 for the 1985-2011 period, we find that: (i) the Phillips curve is unstable and nonlinear and (ii) there exist threshold levels of inflation and capacity utilization that erode price rigidity. Our results reinforce the existence of downward price rigidity in Japan, helping to explain the puzzle of gradual deflation. In opposition, downward price flexibility is verified for U.S

Introducing price-setting behaviour in the Phillips Curve: the role of nonlinearities

Based on the theoretical literature on price setting behavior, we model three distinct forms of nonlinearity that can describe the reduced-form Phillips curve: reaction asymmetry, state dependence and a mix of both. Employing these models to the G5 for the 1985-2011 period, we find that: (i) the Phillips curve is unstable and nonlinear and (ii) there exist threshold levels of inflation and capacity utilization that erode price rigidity. Our results reinforce the existence of downward price rigidity in Japan, helping to explain the puzzle of gradual deflation. In opposition, downward price flexibility is verified for U.S

The short and long-run determinants of the real exchange rate in Mexico

This paper explores the real exchange rate behavior in Mexico from 1960 until 2005. Since the empirical analysis reveals that the real exchange rate is not mean reverting, we propose that economic fundamental variables affect its evolution in the long-run. Therefore, based on equilibrium exchange rate paradigms, we propose a simple model of real exchange rate determination which includes the relative labor productivity, the real interest rates and the net foreign assets over a long period of time. Our analysis also considers the dynamic adjustment in response to shocks through impulse response functions derived from the multivariate VAR model

Labor disruption costs and real wages cyclicality

In this paper, we propose a matching and search model with adjustment costs in the form of labor disruption charges that can generate counter-cyclical real wages. Empirically, we use a measure of wage cyclicality based on the generalized impulse response function of real wages to a shock in a cycle measure. We provide evidence that wages in the United States are counter-cyclical during the first few quarters. The calibration and simulated results of the model match remarkably well the counter-cyclicality obtained from our empirical model

Labor disruption costs and real wages cyclicality

In this paper, we propose a matching and search model with adjustment costs in the form of labor disruption charges that can generate counter-cyclical real wages. Empirically, we use a measure of wage cyclicality based on the generalized impulse response function of real wages to a shock in a cycle measure. We provide evidence that wages in the United States are counter-cyclical during the first few quarters. The calibration and simulated results of the model match remarkably well the counter-cyclicality obtained from our empirical model

Nurses' perceptions of aids and obstacles to the provision of optimal end of life care in ICU

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