Real equilibrium exchange rates. A panel data approach for advanced and emerging economies

Antonia López Villavicencio

Working Papers from Department of Applied Economics at Universitat Autonoma of Barcelona

Abstract: Based on an behavioral equilibrium exchange rate model, this paper examines the determinants of the real effective exchange rate and evaluates the degree of misalignment of a group of currencies since 1980. Within a panel cointegration setting, we estimate the relationship between exchange rate and a set of economic fundamentals, such as traded-nontraded productivity differentials and the stock of foreign assets. Having ascertained the variables are integrated and cointegrated, the long-run equilibrium value of the fundamentals are estimated and used to derive equilibrium exchange rates and misalignments. Although there is statistical homogeneity, some structural differences were found to exist between advanced and emerging economies.

Keywords: Equilibrium exchange rates; panel data; cointegration; emerging economies; misalignments; error correction models. (search for similar items in EconPapers)
JEL-codes: C33 F31 F41 (search for similar items in EconPapers)
Pages: 27 pages
Date: 2006-11
New Economics Papers: this item is included in nep-cba and nep-ifn
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10)

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Journal Article: Real Equilibrium Exchange Rates: a Panel Data Approach for Advanced and Emerging Economies (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:uab:wprdea:wpdea0605

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