What are the Long-Run Determinants of the Real Exchange Rate in Mena Countries? An Empirical Investigation

I Drine and Christophe Rault

Studies in Economics and Econometrics, 2006, vol. 30, issue 1, 83-100

Abstract: This paper investigates the main determinants of the real exchange rate in the Meadle East and North African (MENA) countries. We carry out recent panel data unit-root tests proposed by Im, Pesaran and Shin (1997, 2003) and panel data cointegration techniques developed by Pedroni (1999, 2004) to estimate the long-run determinants of the real exchange rate and we compare the results with those obtained with conventional time series unit-roots and cointegration tests. Our main finding is that whereas standard time series approach rejects the Balassa-Samuelson hypothesis for 12 countries out of 16, recent panel cointegration techniques permit to rescue this hypothesis for MENA countries. Moreover, further investigations show that government consumption, real interest rate differentials and the openness degree of the economy also influence real exchange rate in the long-run.

Date: 2006
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/10800379.2006.12106401 (text/html)
Access to full text is restricted to subscribers.

Related works:
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:taf:rseexx:v:30:y:2006:i:1:p:83-100

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/rsee20

DOI: 10.1080/10800379.2006.12106401

Access Statistics for this article

Studies in Economics and Econometrics is currently edited by Willem Bester

More articles in Studies in Economics and Econometrics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().