Real and nominal determinants of real exchange rates in Latin America: Short-run dynamics and long-run equilibrium
研究了阿根廷、哥伦比亚和墨西哥实际汇率的长期决定因素，发现实际变量（如贸易条件、生产率）与汇率存在均衡关系，而名义变量（如名义汇率、货币）只有短期影响。
This article analyses the factors that determine the long-run real exchange rate in Argentina, Colombia and Mexico, distinguishing between real and nominal determinants. Cointegration analysis is utilised to establish that the real exchange rate has an equilibrium relationship with real variables (the terms of trade, capital flows, productivity, and government share of GDP) which excludes nominal variables (nominal exchange rate, money) and central bank intervention. Variance decompositions reveal that among the real variables that determine the real exchange rate, the terms of trade and productivity explain much of the variation in the real exchange rates. When nominal variables are included in the model, the nominal exchange rate accounts for most of the variation in the real exchange rates of all three countries. The impulse response functions are broadly consistent with theoretical predictions and shocks to the nominal variables have only transitory effects on the real exchange rate.