Quantile regressions, asymmetric adjustment and crisis: the case of EU real exchange rates

Juan Cuestas

No 2019/09, Working Papers from Economics Department, Universitat Jaume I, Castellón (Spain)

Abstract: In this paper we contribute to the long literature on determining the real exchange rate by using models that incorporate structural breaks and nonlinearities. We estimate cointegrated dynamic ordinary least squares regressions, Bayesian vector autoregressions (VAR), and interactive panel VARs. We find that the estimated coefficients for the CEECs and for the other member states differ from each other. We also find that the models are different before and after the crisis, and appreciations and depreciations of the RER seem to condition the long run equations for the EU15+2.

Keywords: Real exchange rates; competitiveness; quantile regression; Bayesian; asymmetric model; structural breaks; European integration (search for similar items in EconPapers)
JEL-codes: C22 F15 F32 (search for similar items in EconPapers)
Pages: 39 pages
Date: 2019
New Economics Papers: this item is included in nep-eec, nep-ets and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:jau:wpaper:2019/09

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