The Behavioral Equilibrium Exchange Rate of the Czech Koruna
Martin Melecký () and
Lubos Komarek ()
International Finance from University Library of Munich, Germany
The behavioural equilibrium exchange rate (BEER) model of the Czech koruna is derived in this paper and estimated by three methods suitable for non-stationary time series. The considered potential determinants of the real equilibrium exchange rate are the productivity differential, the interest rate differential, the terms of trade, net foreign direct investment, net foreign assets, government consumption and the degree of openness. We find that the Czech koruna was on average undervalued over the period 1994 to 2004 by about 7 percent with respect to the estimated BEER. The significant determinants of the equilibrium exchange rate of the Czech koruna appear to be the productivity differential, the real interest rate differential, the terms of trade and the net foreign direct investment.
Keywords: Equilibrium Exchange Rate Modelling; Time-Series Analysis; Exchange Rate Misalignments; Czech Republic; ERMII (search for similar items in EconPapers)
JEL-codes: C52 C53 E58 E61 F31 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ifn, nep-mac and nep-tra
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Journal Article: The Behavioral Equilibrium Exchange Rate of the Czech Koruna (2007)
Working Paper: The Behavioural Equilibrium Exchange Rate of the Czech Koruna (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpif:0504010
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