IDEAS home Printed from https://ideas.repec.org/p/aep/anales/4429.html
   My bibliography  Save this paper

The random forest path of real exchange rate misalignments. The Argentinean case

Author

Listed:
  • Fernando Zarzosa Valdivia
  • Maximiliano Micheli

Abstract

This research studies the dynamics of the misalignments of the purchasing power parity real exchange rate, which are based on equilibrium values measured by the Hodrick and Prescott and the Christiano-Fitzgerald filters. Following a theoretical model, the behaviour of real exchange rate misalignments is featured by Random Forest Models; which is a novelty on these regards. Real exchange rate misalignments, which are of short nature, are explained, in importance order, for their lagged values (up to the third order), the market turbulence index, the nominal exchange rates, the volatility VIX index, the interest rates, the seigniorage and the international reserves. En este trabajo evaluamos la dinámica de los desalíneos del tipo de cambio real, desde un punto de vista teórico y desde una visión práctica aplicando modelos de Bosques Aleatorios. Incorporamos como variables explicativas de dichos desalíneos al índice de turbulencia de mercado (o sus componentes, tipo de cambio nominal, reservas y tasas de interés), la cantidad de dinero, el índice de volatilidad VIX y los rezagos de los desalineos cambiarios. Contribuimos a la literatura tanto en la aplicación del modelo de bosques aleatorios como en la inclusión de variables explanatorias de los desalíneos del tipo de cambio real.

Suggested Citation

  • Fernando Zarzosa Valdivia & Maximiliano Micheli, 2020. "The random forest path of real exchange rate misalignments. The Argentinean case," Asociación Argentina de Economía Política: Working Papers 4429, Asociación Argentina de Economía Política.
  • Handle: RePEc:aep:anales:4429
    as

    Download full text from publisher

    File URL: https://aaep.org.ar/works/works2020/Zarzosa_Micheli.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Eichengreen, Barry & Rose, Andrew K & Wyplosz, Charles, 1994. "Speculative Attacks on Pegged Exchange Rates: An Empirical Exploration with Special Reference to the European Monetary System," CEPR Discussion Papers 1060, C.E.P.R. Discussion Papers.
    2. Joan Robinson, 1979. "The Generalisation of the General Theory and other Essays," Palgrave Macmillan Books, Palgrave Macmillan, edition 0, number 978-1-349-16188-1, December.
    3. Ghura, Dhaneshwar & Grennes, Thomas J., 1993. "The real exchange rate and macroeconomic performance in Sub-Saharan Africa," Journal of Development Economics, Elsevier, vol. 42(1), pages 155-174, October.
    4. Joan Robinson, 1979. "The Generalisation of the General Theory," Palgrave Macmillan Books, in: The Generalisation of the General Theory and other Essays, edition 0, pages 1-76, Palgrave Macmillan.
    5. Mr. Evan C Tanner, 2002. "Exchange Market Pressure, Currency Crises, and Monetary Policy: Additional Evidence From Emerging Markets," IMF Working Papers 2002/014, International Monetary Fund.
    6. Eric J. Pentecost, 1993. "Exchange Rate Dynamics," Books, Edward Elgar Publishing, number 355.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Halil D. Kaya, 2021. "The Impact Of The 2008 Global Crisis On The Efficiency Of The Financial System," Annals - Economy Series, Constantin Brancusi University, Faculty of Economics, vol. 5, pages 86-97, October.
    2. Mpabe Bodjongo, Mathieu Juliot, 2012. "Infrastructures institutionnelles et développement financier en zone CEMAC [Institutional infrastructures and financial development in zone CEMAC]," MPRA Paper 37824, University Library of Munich, Germany.
    3. Linda S. Goldberg & Signe Krogstrup, 2018. "International Capital Flow Pressures," NBER Working Papers 24286, National Bureau of Economic Research, Inc.
    4. Efe Can KILINÇ & Cafer Necat BERBEROĞLU, 2019. "The Relationship Between Saving, Profit Rates and Business CyclesAbstract:There are different approaches of economics schools on the sources, causes and determinants of business cycles. These approach," Sosyoekonomi Journal, Sosyoekonomi Society.
    5. Roberto Marchionatti, 2003. "Dealing with Complexity: Marshall and Keynes on the Nature of Economic Thinking," Palgrave Macmillan Books, in: Richard Arena & Michel Quéré (ed.), The Economics of Alfred Marshall, chapter 3, pages 32-52, Palgrave Macmillan.
    6. Tapia, Jose, 2015. "Profits encourage investment, investment dampens profits, government spending does not prime the pump — A DAG investigation of business-cycle dynamics," MPRA Paper 64698, University Library of Munich, Germany.
    7. Goldberg, Linda S. & Krogstrup, Signe, 2023. "International capital flow pressures and global factors," Journal of International Economics, Elsevier, vol. 146(C).
    8. Bianchi, Benedetta, 2018. "Structural credit ratios," ESRB Working Paper Series 85, European Systemic Risk Board.
    9. Stavarek Daniel, 2008. "Exchange Market Pressure in Central European Countries from the Eurozone Membership Perspective," South East European Journal of Economics and Business, Sciendo, vol. 3(2), pages 7-18, November.
    10. Alessandro Giovannini & Maurizio Iacopetta & Raoul Minetti, 2013. "Financial Markets, Banks, and Growth : Disentangling the links," Revue de l'OFCE, Presses de Sciences-Po, vol. 0(5), pages 105-147.
    11. Halil D. Kaya, 2021. "The Impact Of The 2008 Global Crisis On The Depth Of The Financial System," Annals - Economy Series, Constantin Brancusi University, Faculty of Economics, vol. 5, pages 5-18, October.
    12. Wu, Yingjia & Cao, Nannan & Muda, Iskandar & Rady, Ahmed & Abduvaxitovna, Shamansurova Zilola, 2024. "Financial development and natural resource nexus: Evaluating the importance of mineral in BRICS economies," Resources Policy, Elsevier, vol. 89(C).
    13. Ichiro Takahashi, 2021. "An Artificial Wicksell—Keynes Macroeconomy," Springer Books, Springer, number 978-981-16-6839-5, October.
    14. Mr. Francis Y Kumah, 2007. "A Markov-Switching Approach to Measuring Exchange Market Pressure," IMF Working Papers 2007/242, International Monetary Fund.
    15. Omar F. Hamouda, 2012. "The General Theory: Seventy-Five Years Later," Chapters, in: Thomas Cate (ed.), Keynes’s General Theory, chapter 12, Edward Elgar Publishing.
    16. Isabel Sainz-Fernandez & Begoña Torre-Olmo & Carlos López-Gutiérrez & Sergio Sanfilippo-Azofra, 2018. "Development of the Financial Sector and Growth of Microfinance Institutions: The Moderating Effect of Economic Growth," Sustainability, MDPI, vol. 10(11), pages 1-16, October.
    17. Greg Hannsgen, 2014. "Fiscal Policy, Chartal Money, Mark-up Dynamics and Unemployment Insurance in a Model of Growth and Distribution," Metroeconomica, Wiley Blackwell, vol. 65(3), pages 487-523, July.
    18. Victoria Chick, 2013. "The future is open: on open-system theorising in economics," Chapters, in: Jesper Jespersen & Mogens Ove Madsen (ed.), Teaching Post Keynesian Economics, chapter 3, pages 56-72, Edward Elgar Publishing.
    19. Massimo Pivetti, 2019. "On Interest as a Monetary Phenomenon and the ‘Best’ Interest-rate Policy," Bulletin of Political Economy, Bulletin of Political Economy, vol. 13(2), pages 167-187, December.
    20. Fatima Zahra Bendriouch & Harit Satt & Mohamed M hamdi, 2020. "Do Islamic Banks Contribute to Economic Growth? Evidence from the GCC Countries," International Journal of Economics and Financial Issues, Econjournals, vol. 10(5), pages 352-360.

    More about this item

    Keywords

    Real exchange rate; Hodrick and Prescott filter misalignment; Christiano-Fitzgerald misalignment; Random Forest; Market turbulence index; volatility VIX index;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:aep:anales:4429. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Juan Manuel Quintero (email available below). General contact details of provider: https://edirc.repec.org/data/aaeppea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.