Long-Run Determinants of the Real Exchange Rate: A Stock-Flow Perspective

Hamid Faruqee

IMF Staff Papers, 1995, vol. 42, issue 1, 80-107

Abstract: This paper examines the long-run determinants of the real exchange rate from a stock-flow perspective. The empirical analysis estimates a long-run relationship between the real exchange rate, net foreign assets, and other factors affecting trade flows. Using postwar data for the United States and Japan, cointegration analysis supports the finding that the structural factors underlying each country's net trade and net foreign asset positions determine the long-run path for the real value of the dollar and the yen. The empirical analysis also provides estimates for the underlying stochastic trend in each real exchange rate series.

JEL-codes: F31 F41 (search for similar items in EconPapers)
Date: 1995
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Citations: View citations in EconPapers (185)

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Working Paper: Long-Run Determinants of the Real Exchange Rate: A Stock-Flow Perspective (1994)
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