The Impact of Exchange Rate Regime on Interest Rates in Latin America

We develop a theoretical framework to study the impact of the exchange rate regime in the interest rate determination. Using VECM, we assess the role of both domestic conditions and US factors in the determination of eight Latin-American countries interest rates between February 1998 and April 2009...

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Autor principal:	Duburcq,Caroline
Lenguaje:	English
Publicado:	Instituto de Economía, Pontificia Universidad Católica de Chile 2010
Materias:	Interest Rate Determination Exchange Rate Regime Vector Error Correction Models
Acceso en línea:	http://www.scielo.cl/scielo.php?script=sci_arttext&pid=S0717-68212010000100004
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spelling	oai:scielo:S0717-682120100001000042010-09-30The Impact of Exchange Rate Regime on Interest Rates in Latin AmericaDuburcq,Caroline Interest Rate Determination Exchange Rate Regime Vector Error Correction Models We develop a theoretical framework to study the impact of the exchange rate regime in the interest rate determination. Using VECM, we assess the role of both domestic conditions and US factors in the determination of eight Latin-American countries interest rates between February 1998 and April 2009. Three countries have hard-peg while the remaining five follow alternative regimes. The long and short-run determinants of domestic rates as well as an impulse response analysis prove that economies with rigidly-fixed exchange rates do not bear a loss of monetary autonomy substantially higher than that of floating-rate economies, with the exception of Brazil.info:eu-repo/semantics/openAccessInstituto de Economía, Pontificia Universidad Católica de ChileCuadernos de economía v.47 n.135 20102010-05-01text/htmlhttp://www.scielo.cl/scielo.php?script=sci_arttext&pid=S0717-68212010000100004en10.4067/S0717-68212010000100004
institution	Scielo Chile
collection	Scielo Chile
language	English
topic	Interest Rate Determination Exchange Rate Regime Vector Error Correction Models
spellingShingle	Interest Rate Determination Exchange Rate Regime Vector Error Correction Models Duburcq,Caroline The Impact of Exchange Rate Regime on Interest Rates in Latin America
description	We develop a theoretical framework to study the impact of the exchange rate regime in the interest rate determination. Using VECM, we assess the role of both domestic conditions and US factors in the determination of eight Latin-American countries interest rates between February 1998 and April 2009. Three countries have hard-peg while the remaining five follow alternative regimes. The long and short-run determinants of domestic rates as well as an impulse response analysis prove that economies with rigidly-fixed exchange rates do not bear a loss of monetary autonomy substantially higher than that of floating-rate economies, with the exception of Brazil.
author	Duburcq,Caroline
author_facet	Duburcq,Caroline
author_sort	Duburcq,Caroline
title	The Impact of Exchange Rate Regime on Interest Rates in Latin America
title_short	The Impact of Exchange Rate Regime on Interest Rates in Latin America
title_full	The Impact of Exchange Rate Regime on Interest Rates in Latin America
title_fullStr	The Impact of Exchange Rate Regime on Interest Rates in Latin America
title_full_unstemmed	The Impact of Exchange Rate Regime on Interest Rates in Latin America
title_sort	impact of exchange rate regime on interest rates in latin america
publisher	Instituto de Economía, Pontificia Universidad Católica de Chile
publishDate	2010
url	http://www.scielo.cl/scielo.php?script=sci_arttext&pid=S0717-68212010000100004
work_keys_str_mv	AT duburcqcaroline theimpactofexchangerateregimeoninterestratesinlatinamerica AT duburcqcaroline impactofexchangerateregimeoninterestratesinlatinamerica
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The Impact of Exchange Rate Regime on Interest Rates in Latin America

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