Internal and External Exchange Rate Equilibrium in a Cointegration Framework. An Application to the Spanish Peseta

Enrique Alberola and Humberto Lopez

Working Papers from Banco de España

Abstract: A simple method to estimate multilateral equilibrium real exchange rates in a cointegration framework is used to compute the equilibrium real exchange rate for the peseta. The stock of foreign assets and the evolution of sectoral prices have been considered to be the fundamentals for the real exchange rate. After testing for cointegration among the three variables, we proceed to decompose the series in a permanent and a transitory component, following the method devised by Gonzalo and Granger.

Keywords: EXCHANGE RATE; ECONOMIC EQUILIBRIUM; ECONOMIC MODELS (search for similar items in EconPapers)
JEL-codes: C32 F31 F41 (search for similar items in EconPapers)
Pages: 30 pages
Date: 1999
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Citations: View citations in EconPapers (2)

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Journal Article: Internal and external exchange rate equilibrium in a cointegration framework. An application to the Spanish peseta (2001)
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Persistent link: https://EconPapers.repec.org/RePEc:bde:wpaper:9916

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