Real Exchange Rate Adjustment In European Transition Countries

Florin Maican and Richard J. Sweeney ()
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Richard J. Sweeney: McDonough School of Business, Georgetown University, Postal: 37th and "O" Sts., NW, Washington, DC 20057

No 202, Working Papers in Economics from University of Gothenburg, Department of Economics

Abstract: This paper presents unit-root test results for real exchange rates in ten Central and Eastern European transition countries during 1993:01-2003:12. Because of the shift from controlled to market economies and the accompanying crises, failed policy regimes and changes in exchange rate regimes, appropriate tests in transition countries require allowing for both structural changes and outliers. In both single-equation tests and panel tests with SUR techniques, the data reject the unit-root null for the CEE countries. Accounting for structural breaks and outliers gives much faster mean-reversion speeds than otherwise.

Keywords: Purchasing power parity; real exchange rate; Monte Carlo; unit root; transition countries; panel data (search for similar items in EconPapers)
JEL-codes: C15 C22 C32 C33 E31 F31 (search for similar items in EconPapers)
Pages: 30 pages
Date: 2006-02-14
New Economics Papers: this item is included in nep-cba, nep-fmk, nep-ifn, nep-mac and nep-tra
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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http://hdl.handle.net/2077/2715 (text/html)

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Journal Article: Real exchange rate adjustment in European transition countries (2013)
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