Modeling the impact of real and financial shocks on Mercosur: the role of the exchange rate regime

Jean-Pierre Allegret () and Alain Sand-Zantman ()
Additional contact information
Jean-Pierre Allegret: GATE - Groupe d'analyse et de théorie économique - UL2 - Université Lumière - Lyon 2 - ENS LSH - Ecole Normale Supérieure Lettres et Sciences Humaines - CNRS - Centre National de la Recherche Scientifique
Alain Sand-Zantman: GATE - Groupe d'analyse et de théorie économique - UL2 - Université Lumière - Lyon 2 - ENS LSH - Ecole Normale Supérieure Lettres et Sciences Humaines - CNRS - Centre National de la Recherche Scientifique

Post-Print from HAL

Abstract: This paper studies to what extent the diversity of exchange rate regimes within Mercosur exerts an influence on the feasibility of a monetary union in this area. A semi-structural VAR model is built for each country, including a set of international and domestic variables. Based on impulse response functions and forecast error decomposition, we conclude that differences of exchange rate regime explain significantly the divergences of economic dynamics triggered by foreign or domestic shocks. Second, we decompose the structural innovations generated by each country model into unobservable common and idiosyncratic components, using a state-space model. This last exercise, intended to assess the degree of policy coordination between the Mercosur members, did not disclose any common component for the structural innovations generated by the three national models.

Keywords: co-movement; Cycles; Mercosur; optimum currency area; unobserved components model; co-mouvement; modèle à composantes inobservables; VAR; zone monétaire optimale (search for similar items in EconPapers)
Date: 2007-01
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00142506
References: Add references at CitEc
Citations:

Published in 2007

Downloads: (external link)
https://shs.hal.science/halshs-00142506/document (application/pdf)

Related works:
Journal Article: Modeling the Impact of Real and Financial Shocks on Mercosur: The Role of the Exchange Rate Regime (2009)
Working Paper: Modeling the Impact of Real and Financial Shocks on Mercosur: the Role of the Exchange Rate Regime (2007)
Working Paper: Modeling the impact of real and financial shocks on Mercosur: the role of the exchange rate regime (2007)
Working Paper: Modeling the impact of real and financial shocks on Mercosur: the role of the exchange rate regime (2007)
Working Paper: Modeling the impact of real and financial shocks on Mercosur: the role of the exchange rate regime (2007)
Working Paper: Modeling the impact of real and financial shocks on Mercosur: the role of the exchange rate regime (2007)
Working Paper: Modeling the impact of real and financial shocks on Mercosur: the role of the exchange rate regime (2007)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-00142506

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().