Equilibrium real exchange rate estimates across time and space
No GRU_2019_008, GRU Working Paper Series from City University of Hong Kong, Department of Economics and Finance, Global Research Unit
Equilibrium real exchange rate and corresponding misalignment estimates differ tremendously depending on the panel estimation method used to derive them. Essentially, these methods differ in their treatment of the time-series (time) and the cross-section (space) variation in the panel. The study shows that conventional panel estimation methods (pooled OLS, fixed, random, and between effects) can be interpreted as restricted versions of a correlated random effects (CRE) model. It formally derives the distortion that arises if these restrictions are violated and uses two empirical applications from the literature to show that the distortion is generally very large. This suggests the use of the CRE model for the panel estimation of equilibrium real exchange rates and misalignments.
Keywords: Equilibrium real exchange rate; panel estimation method; correlated random effects model; productivity approach; BEER; price competitiveness (search for similar items in EconPapers)
JEL-codes: F31 C23 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-opm
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
Working Paper: Equilibrium Real Exchange Rate Estimates Across Time and Space (2019)
Working Paper: Equilibrium real exchange rate estimates across time and space (2019)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:cth:wpaper:gru_2019_008
Access Statistics for this paper
More papers in GRU Working Paper Series from City University of Hong Kong, Department of Economics and Finance, Global Research Unit Contact information at EDIRC.
Bibliographic data for series maintained by GRU ().