What determines the sensitivity of the real exchange rate in Colombia to a terms of trade shock?

Autor:	Juan Carlos Parra Alvarez, Lavan Mahadeva
Rok vydání:	2012
Předmět:	Macroeconomics Economics and Econometrics Exchange rate Econometrics Economics Kalman filter Domestic consumption Elasticity (economics) Terms of trade Relative price Derived demand Finance
Zdroj:	Aalborg University Parra-Alvarez, J C & Mahadeva, L 2012, ' What determines the sensitivity of the real exchange rate in Colombia to a terms of trade shock? ', Macroeconomics and Finance in Emerging Market Economies, vol. 5, no. 2, pp. 161-176 . https://doi.org/10.1080/17520843.2012.682595
ISSN:	1752-0851 1752-0843
DOI:	10.1080/17520843.2012.682595
Popis:	We show that the sensitivity of the real exchange rate to terms of trade shocks is greater the lower the elasticity of final and derived demand between domestic and imported items. We develop a novel Kalman filter-based method to estimate these key parameters for Colombia, taking account of preference shifts, technological relative price trends and errors in sectoral data. We find that the elasticity of the input of the distribution sector in transforming imports from domestic consumption reliably indicates complementarity, implying that rigidities in this sector matter in determining the sensitivity of the Colombian economy to external shocks.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_dedup___::7e83995d31065ea53845a6afdc6b3853 https://doi.org/10.1080/17520843.2012.682595 Zobrazit plný text záznamu