Determinants of the Euro Real Effective Exchange Rate: A BEER/PEER Approach

Francisco Maeso–Fernandez, Chiara Osbat and Bernd Schnatz ()

Australian Economic Papers, 2002, vol. 41, issue 4, 437-461

Abstract: This paper presents an empirical analysis of the medium–term determinants of the euro effective exchange rate. The empirical analysis builds on synthetic quarterly data from 1975 to 1998, and derives a Behavioural Equilibrium Exchange Rate (BEER) and a Permanent Equilibrium Exchange Rate (PEER). Four different specifications are retained, due to the difficulties encountered in specifying an encompassing model. The results indicate that differentials in real interest rates and productivity, and (in some specifications) the relative fiscal stance and the real price of oil, have a significant influence on the euro effective exchange rate. Assessing the existence and the extent of the over– or undervaluation of the exchange rate is not straightforward, since these different specifications often lead to contrasting findings. However, all four specifications point unambiguously to the undervaluation of the euro in 2000, although the extent of this undervaluation largely depends on the specification chosen.

Date: 2002
References: Add references at CitEc
Citations: View citations in EconPapers (62)

Downloads: (external link)
https://doi.org/10.1111/1467-8454.00174

Related works:
Working Paper: Determinants of the euro real effective exchange rate: a BEER/PEER approach (2001)
Working Paper: Determinants of the euro real effective exchange rate: a BEER/PEER approach (2001)
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:bla:ausecp:v:41:y:2002:i:4:p:437-461

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0004-900X

Access Statistics for this article

Australian Economic Papers is currently edited by Daniel Leonard

More articles in Australian Economic Papers from Wiley Blackwell
Bibliographic data for series maintained by Wiley Content Delivery ().