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RESEARCH PRODUCT

A panel cointegration approach to the estimation of the peseta real exchange rate

Cecilio TamaritMariam Camarero

subject

MacroeconomicsEconomics and Econometricsreal exchange rate European Monetary Union panel cointegrationCointegrationFinancial marketMonte Carlo methodjel:F31Probability and statisticsjel:C33Exchange rateEconometricsEconomicsmedia_common.cataloged_instanceEuropean unionReal interest ratemedia_commonPanel data

description

Abstract In this paper we estimate different specifications of a model for the determination of the bilateral real exchange rate of the peseta relative to nine European Union members. The model is based on Meese and Rogoff (The Journal of Finance 43 (1988) 933) monetary approach as extended by MacDonald (Journal of International Financial Markets, Institutions and Money 8 (1998) 117). The applied econometric techniques are the recent panel cointegration tests developed by Kao (Journal of Econometrics 90 (1999) 1), McCoskey and Kao (A Monte Carlo comparison of tests for cointegration in panel data. Journal of Propagations in Probability and Statistics 1 (2001) 165) and Pedroni (Oxford Bulletin of Economics and Statistics 61 (1999) 653) for homogeneous and heterogeneous panels. The results are favorable to a model containing relative productivities in tradables and non-tradables and the real interest rate differentials as explanatory variables.

yearjournalcountryeditionlanguage
2001-11-01Journal of Macroeconomics
https://doi.org/10.1016/s0164-0704(02)00043-5