A two-country NATREX model for the euro/dollar

Marianna Belloc and Daniela Federici

Journal of International Money and Finance, 2010, vol. 29, issue 2, 315-335

Abstract: This paper develops a NATREX (NATural Real EXchange rate) model for two large economies, the Eurozone and the United States, which are fully specified and allowed to interact. The theoretical framework, grounded on dynamic disequilibrium modelling approach in continuous time, provides the basis for empirical estimation. The model is estimated in its structural form as a simultaneous nonlinear differential equations system for the 1975-2003 period. The estimated parameters are then used to derive the simulated Euro/USD NATREX series in- and out-of-sample that offers the benchmark against which the misalignements of the actual real exchange rate are measured.

Keywords: NATREX; Equilibrium; exchange; rate; Euro/USD; Structural; approach; Continuous; time; econometrics; Misalignment (search for similar items in EconPapers)
Date: 2010
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0261-5606(08)00175-7
Full text for ScienceDirect subscribers only

Related works:
Working Paper: A Two-Country NATREX Model for the Euro/Dollar (2008)
Working Paper: A Two-Country NATREX Model for the Euro/Dollar (2007)
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:eee:jimfin:v:29:y:2010:i:2:p:315-335

Access Statistics for this article

Journal of International Money and Finance is currently edited by J. R. Lothian

More articles in Journal of International Money and Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().