Search results for "real exchange rate"
showing 7 items of 7 documents
The real exchange rate in the long run: Balassa-Samuelson effects reconsidered
2017
Historical data for over hundred years and 14 countries is used to estimate the long-run effect of productivity on the real exchange rate. We find large variations in the productivity effect across four distinct monetary regimes in the sample period. Although the traditional Balassa-Samuelson model is not consistent with these results, we suggest an explanation of the results in terms of contemporary variants of the model that incorporate the terms of trade mechanism. Specifically we argue that changes in trade costs over time may affect the impact of productivity on the real exchange rate over time. We undertake simulations of the modern versions of the Balassa-Samuelson model to show that…
El tipo de cambio real dólar-euro y el diferencial de intereses reales
2006
This paper investigates whether threshold effects exist in the relationship between dollar-euro real exchange rate and real interest differential, over the period January 1984 to December 2004. We specify a three-regime threshold model and the results provide evidence that there is no threshold effect in the short term, but the nonlinear behaviour of real exchange rate implies threshold effect in the long term. On the other hand, the nonlinearity into the behaviour of real exchange rates can be modelled by a Band-TAR which implies a symmetric response to the real interest differential outside the bank. Finally, into the threshold band the behaviour of real exchange rate is near to follow a …
Competitiveness, Economic Freedom and Real Exchange Rate. Evidence from Romania
2006
In the new context of European Integration, Romania has to improve some important macroeconomic indicators, such as: competitiveness, economic freedom and real exchange rate for a sustainable economic growth. Many authors emphasize that competitiveness and economic freedom affects economic growth through stimulating investment and business environment. The equilibrium exchange rate is crucial as it directly influences external competitiveness, especially through export prices. For Romania, the competitiveness can be improved through the economic freedom growth and the real exchange rate appreciation. But this appreciation must be accompanied by a rise in productivity and in the quality of t…
Disaggregate Real Exchange Rate Behaviour
2007
In this paper, we re-examine the “PPP Puzzle” using sectoral disaggregated data. Specifically, we first analyse the mean reversion speeds of real exchange rates for a number of different sectors in eleven industrial economies and then focus on relating these rates to variables identified in the literature as key determinants of CPI-based real exchange rates, namely: the trade balance, productivity and the mark up. In particular, we seek to understand to what extent the relationships existing at the aggregate level are borne out at the disaggregate level. We believe that this analysis can help shed light on the PPP puzzle.
The effects of competitiveness on trade balance: The case of Southern Europe
2016
AbstractAccording to conventional wisdom, “peripheral” Southern European members of the euro area (Greece, Italy, Portugal and Spain) suffer from a problem of competitiveness. Since their membership of the euro area renders devaluation impossible, adjustment should come through decreasing wages and prices in these countries, which, by improving the trade balance, should lead to a recovery of previous levels of employment and growth. In this paper, the authors estimate trade balance equations for the Southern European countries, both for total trade and for the trade performed with the European Union, taking three alternative measures of the real exchange rate, based on consumption price ind…
A panel cointegration approach to the estimation of the peseta real exchange rate
2001
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 Bullet…
The Euro-Dollar Exchange Rate: Is it Fundamental?
2002
In this paper we have applied two approaches to the study of the dollar real exchange rate in relation with the Euro-area currencies. First, using dynamic panel techniques, we estimate an error correction model for the dollar real exchange rate versus seven developed countries, four of them Euro-area members. Second, we aggregate the European variables and estimate a model for the Euro-dollar real exchange rate using time series techniques. After identification and model selection, the same specification can be adopted in the two cases, in an eclectic model including real interest rate and productivity differentials, together with relative fiscal policy and net foreign asset positions. This…