Are there non-linearities in US-Latin American Exchange Behavior?

This study tests for non-linearities in the behavior of US dollar real exchange rates of thirteen Latin American countries. For this purpose, logistic and exponential smooth transition regression models are applied to quarterly data over the sample period 1973Q2-2001Q1. There is evidence of non-linearities in the behavior of seven real exchange rates where, in most of these cases, nonlinearities are captured by the logistic smooth transition autoregressive model. The extent of non-linearities varies across Latin American countries with Colombia and Venezuela exhibiting the sharpest transition between regimes of low and high real exchange rates.This study tests for non-linearities in the behavior of US dollar real exchange rates of thirteen Latin American countries. For this purpose, logistic and exponential smooth transition regression models are applied to quarterly data over the sample period 1973Q2-2001Q1. There is evidence of non-linearities in the behavior of seven real exchange rates where, in most of these cases, nonlinearities are captured by the logistic smooth transition autoregressive model. The extent of non-linearities varies across Latin American countries with Colombia and Venezuela exhibiting the sharpest transition between regimes of low and high real exchange rates.Este estudio realiza test de no-linealidades en la conducta de los tipos de cambio real del dólar de EE.UU., para trece países de latinoamérica. Para este propósito, se aplican modelos de regresión con transición suavizada, logísticos y exponenciales a los datos trimestrales de la muestra sobre 1973 Q2 2001 Q1. Hay evidencia de no-linealidades en la conducta de siete tipos de cambio real, donde, en la mayoría de estos casos, las no-linealidades son capturadas por el modelo logístico autorregresivo de transición suavizada. La magnitud de las no linealidades varía entre los países de Latinoamérica, con Colombia y Venezuela que exhiben la transición más aguda entre los regímenes de tipo de cambio real altos y bajos