The monetary approach to exchange rates in the CEECs

Jesús Crespo-Cuaresma, Jarko Fidrmuc and Ronald McDonald
Additional contact information
Jesús Crespo-Cuaresma: University of Vienna Department of Economics
Ronald McDonald: University of Strathclyde Department of Economics
Authors registered in the RePEc Author Service: Jesus Crespo Cuaresma and Ronald MacDonald

Macroeconomics from University Library of Munich, Germany

Abstract: A panel data set for six Central and Eastern European countries (the Czech Republic, Hungary, Poland, Romania, Slovakia and Slovenia) is used to estimate the monetary exchange rate model with panel cointegration methods, including the Pooled Mean Group estimator, the Fully Modified Least Square estimator and the Dynamic Least Square estimator. The monetary model is able to convincingly explain the long-run dynamics of exchange rates in CEECs, particularly when this is supplemented by a Balassa-Samuelson effect. We then use our long-run monetary estimates to compute equilibrium exchange rates. Finally, we discuss the implications for the accession of selected countries to the European Economic and Monetary Union.

Keywords: Exchange rates; monetary model; panel unit root tests; panel cointegration; EMU (search for similar items in EconPapers)
JEL-codes: C33 F31 F36 (search for similar items in EconPapers)
Pages: 27 pages
Date: 2004-01-30
New Economics Papers: this item is included in nep-eec, nep-ifn, nep-mac and nep-tra
Note: Type of Document - pdf; pages: 27; figures: included
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

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Related works:
Journal Article: The monetary approach to exchange rates in the CEECs (2005)
Working Paper: The monetary approach to exchange rates in the CEECs (2003)
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Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpma:0401013

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