Equilibrium exchange rates in the transition: the tradable price-based real appreciation and estimation uncertainty

Balázs Égert and Kirsten Lommatzsch

No 9/2004, BOFIT Discussion Papers from Bank of Finland Institute for Emerging Economies (BOFIT)

Abstract: This paper sets out to estimate equilibrium real exchange rates for the Czech Republic, Hungary, Po-land, Slovakia and Slovenia.A theoretical model is developed that provides an explanation for the ap-preciation of the real exchange rate based on tradable prices in the acceding countries.Our model can be considered as a competing but also completing framework to the traditional Balassa-Samuelson model.With this as a background, alternative cointegration methods are applied to time series (Engle-Granger, DOLS, ARDL and Johansen) and to three small-size panels (pooled and fixed effect OLS, DOLS, PMGE and MGE), which leaves us with around 5,000 estimated regressions.This enables us to examine the uncertainty surrounding estimates of equilibrium real exchange rates and the size of the underlying real misalignments.

Keywords: Real exchange rate; equilibrium exchange rate; tradable prices; transition; cointegration (search for similar items in EconPapers)
JEL-codes: F31 (search for similar items in EconPapers)
Date: 2004
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Citations: View citations in EconPapers (1)

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https://www.econstor.eu/bitstream/10419/212540/1/bofit-dp2004-009.pdf (application/pdf)

Related works:
Chapter: Equilibrium Exchange Rates in the Transition: The Tradable Price-Based Real Appreciation and Estimation Uncertainty (2005)
Working Paper: Equilibrium Exchange Rates in the Transition: The Tradable Price-Based Real Appreciation and Estimation Uncertainty (2004)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:bofitp:bdp2004_009

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