Has the relationship between the real exchange rate and its fundamentals changed over time?

Juan Cuestas, Mercedes Monfort and Bojan Shimbov
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Mercedes Monfort: Department of Economics and IEI, Jaume I University, Castellón de la Plana, Spain
Bojan Shimbov: Department of Economics and IEI, Jaume I University, Castellón de la Plana, Spain

Baltic Journal of Economics, 2022, vol. 22, issue 2, 68-89

Abstract: In this paper we contribute to the literature on determining the real exchange rate by using models that incorporate structural breaks and nonlinearities. We estimate cointegrated dynamic ordinary least squares regressions and quantile regressions. We find that the estimated coefficients for the EU members from central and eastern Europe are different to those for the other member states. We also find that the models are different before and after the crisis that started in 2008, and this affects the outcome of the long-run equations for the EU15 + Cyprus and Malta.

Keywords: Real exchange rates; competitiveness; quantile regression; Bayesian; asymmetric model; structural breaks; European integration (search for similar items in EconPapers)
JEL-codes: C22 F15 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:bic:journl:v:22:y:2022:i:2:p:68-89

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