Estimating The Equilibrium Real Exchange Rate

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Estimating the Equilibrium Real Exchange Rate

Mr.Tarhan Feyzioglu
Estimating the Equilibrium Real Exchange Rate Book PDF

Author : Mr.Tarhan Feyzioglu
Publisher : International Monetary Fund
Page : 25 pages
File Size : 45,7 Mb
Release : 1997-09-01
Category : Business & Economics
ISBN : 9781451853179

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Estimating the Equilibrium Real Exchange Rate by Mr.Tarhan Feyzioglu Pdf

An equilibrium exchange rate is here defined as the level that is consistent with simultaneous internal and external balances as specified in Montiel (1996). Exogenous “fundamental” variables determining these balances are identified. Along the lines of Edwards (1994), a reduced form is estimated with the cointegration technique for Finland for the period 1975-95. The estimation produced a reasonable set of equilibrium exchange rates that appreciate with positive shocks to the terms of trade, world real interest rates, and the productivity differential between Finland and its trading partners.

How Robust are Estimates of Equilibrium Real Exchange Rates

Steven Vincent Dunaway,Lamin Leigh,Xiangming Li
How Robust are Estimates of Equilibrium Real Exchange Rates Book PDF

Author : Steven Vincent Dunaway,Lamin Leigh,Xiangming Li
Publisher : Unknown
Page : 20 pages
File Size : 43,6 Mb
Release : 2006
Category : Equilibrium (Economics)
ISBN : UCSD:31822034343285

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How Robust are Estimates of Equilibrium Real Exchange Rates by Steven Vincent Dunaway,Lamin Leigh,Xiangming Li Pdf

Increased attention is being paid to assessments of the actual values of countries' real exchange rates relative to their "equilibrium" values as suggested by "fundamental" determining factors. This paper assesses the robustness of alternative approaches and models commonly used to derive equilibrium real exchange rate estimates. Using China's currency to illustrate this analysis, the variance in estimates raises serious questions regarding how robust the results are. The basic conclusion from the tests used here is that, at least for China, small changes in model specifications, explanatory variable definitions, and time periods used in estimation can lead to very substantial differences in equilibrium real exchange rate estimates. Thus, such estimates should be treated with great caution.

Estimating Egypt’s Equilibrium Real Exchange Rate

Mr.Joannes Mongardini
Estimating Egypt s Equilibrium Real Exchange Rate Book PDF

Author : Mr.Joannes Mongardini
Publisher : International Monetary Fund
Page : 42 pages
File Size : 41,8 Mb
Release : 1998-01-01
Category : Business & Economics
ISBN : 9781451842159

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Estimating Egypt’s Equilibrium Real Exchange Rate by Mr.Joannes Mongardini Pdf

In light of the real appreciation of the Egyptian pound over the last six years and Egypt’s lackluster export growth, questions of external competitiveness and exchange rate policy have arisen. This paper sheds light on these issues by estimating empirically Egypt’s equilibrium real exchange rate, that is, the rate that is consistent with fundamentals. The results show that, while the real exchange rate was substantially overvalued before 1993, today it is only moderately above the equilibrium rate. Moreover, the analysis shows that the recent appreciation of the pound does not indicate a worsening misalignment.

Estimating Equilibrium Exchange Rates

John Williamson
Estimating Equilibrium Exchange Rates Book PDF

Author : John Williamson
Publisher : Peterson Institute
Page : 608 pages
File Size : 40,5 Mb
Release : 1994
Category : Business & Economics
ISBN : 0881320765

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Estimating Equilibrium Exchange Rates by John Williamson Pdf

The problems of exchange rate misalignments and the resulting payments imbalances have plagued the world economy for decades. At the Louvre Accord of 1987, the Group of Five industrial countries adopted a system of reference ranges for exchange rate management, influenced by proposals of C. Fred Bergstan and John Williamson for a target zone system. The reference range approach has, however, been operated only intermittently and half-heartedly, and questions continue to be raised in policy and scholarly circles about the design and operation of a full-fledged target zone regime. This volume, with chapters by leading international economists, explores one crucial issue in the design of a target zone system: the problem of calculating Williamson's concept of the fundamental equilibrium exchange rate (FEER). Williamson contributes an overview of the policy and analytic issues and a second chapter on his own calculations.

Estimation of the Equilibrium Real Exchange Rate for South Africa

Mr.Luca Antonio Ricci,Mr.Ronald MacDonald
Estimation of the Equilibrium Real Exchange Rate for South Africa Book PDF

Author : Mr.Luca Antonio Ricci,Mr.Ronald MacDonald
Publisher : International Monetary Fund
Page : 25 pages
File Size : 45,5 Mb
Release : 2003-03-01
Category : Business & Economics
ISBN : 9781451846430

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Estimation of the Equilibrium Real Exchange Rate for South Africa by Mr.Luca Antonio Ricci,Mr.Ronald MacDonald Pdf

Based on the Johansen cointegration estimation methodology, much of the long-run behavior of the real effective exchange rate of South Africa can be explained by real interest rate differentials, GDP per capita (both relative to trading partners), real commodity prices, trade openness, the fiscal balance, and the extent of net foreign assets. On the basis of these fundamentals, the real exchange rate in early 2002 was found to be significantly more depreciated with respect to the estimated equilibrium level. The half-life of the deviation of the real exchange rate from the estimated equilibrium one was found to be somewhat more than two years.

Estimating China's "Equilibrium" Real Exchange Rate

Steven Vincent Dunaway,Xiangming Li
Estimating China s Equilibrium Real Exchange Rate Book PDF

Author : Steven Vincent Dunaway,Xiangming Li
Publisher : INTERNATIONAL MONETARY FUND
Page : 12 pages
File Size : 40,7 Mb
Release : 2005-10-01
Category : Electronic
ISBN : 1451862210

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Estimating China's "Equilibrium" Real Exchange Rate by Steven Vincent Dunaway,Xiangming Li Pdf

The number of studies attempting to estimate the "equilibrium" real value of China's currency has proliferated in recent years as the country's presence in world markets has grown. These studies have sought to establish whether or not a significant part of China's competitive prowess can be attributed to the foreign exchange value of the renminbi. Unfortunately, no consensus has emerged because the studies yield a very wide range of estimates. The paper looks at a sample of these studies, with estimates of undervaluation ranging from zero to nearly 50 percent. It attributes the wide variation in these estimates to the influence of such factors as the different methodologies used, explanatory variables included, subjective judgments of the various researchers in deriving their results, and instability in underlying economic relationships, especially in a rapidly developing economy like China.

The Equilibrium Real Exchange Rate of the Malagasy Franc

Mr.John Cady
The Equilibrium Real Exchange Rate of the Malagasy Franc Book PDF

Author : Mr.John Cady
Publisher : International Monetary Fund
Page : 20 pages
File Size : 51,5 Mb
Release : 2003-02-01
Category : Business & Economics
ISBN : 9781451844689

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The Equilibrium Real Exchange Rate of the Malagasy Franc by Mr.John Cady Pdf

Employing cointegration techniques, the long-run determinants of Madagascar's real exchange rate are examined from a stock-flow perspective. The long-run behavior of the real effective exchange rate is explained by the net foreign asset position and factors affecting trade flows. An index of the long-run equilibrium real exchange rate is developed to assess the degree of misalignment. The general conclusions are that the Malagasy franc has experienced significant misalignment in the past, but that the recent appreciation of the real effective exchange rate is consistent with changes in the fundamentals, particularly anticipated improvements in the net foreign assets position stemming from Madagascar's eligibility for assistance under the enhanced HIPC Initiative.

Estimation of the Near Unit Root Model of Real Exchange Rates

Mr.C. John McDermott
Estimation of the Near Unit Root Model of Real Exchange Rates Book PDF

Author : Mr.C. John McDermott
Publisher : International Monetary Fund
Page : 32 pages
File Size : 54,6 Mb
Release : 1996-05-01
Category : Business & Economics
ISBN : 9781451846928

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Estimation of the Near Unit Root Model of Real Exchange Rates by Mr.C. John McDermott Pdf

The time-series properties of real exchange rates, on a number of definitions, for 22 industrial countries during 1979-95 were used to re-examine whether PPP holds. It is shown that if real exchange rates reverted to a constant mean slowly, say by five percent a month, then at standard levels of significance we should expect 11 of the 22 series examined to yield evidence of mean reversion and to reject that hypothesis of a unit root. Using models that imply a constant unconditional mean or trend-stationary productivity changes, we find that only one of the 22 real exchange rates shows evidence against unit roots. This low rate of rejection of unit roots in real exchange rates can be construed as evidence against PPP.

Fundamental Determinants of Exchange Rates

Jerome L. Stein,Polly Reynolds Allen
Fundamental Determinants of Exchange Rates Book PDF

Author : Jerome L. Stein,Polly Reynolds Allen
Publisher : Oxford University Press
Page : 273 pages
File Size : 47,7 Mb
Release : 1997
Category : Business & Economics
ISBN : 9780198293064

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Fundamental Determinants of Exchange Rates by Jerome L. Stein,Polly Reynolds Allen Pdf

Neo-classical in its stress on fundamentals that drive a real economy, this study also offers an alternative paradigm to describe and explain short-run movements of nominal exchange rates.

Estimation of a Behavioral Equilibrium Exchange Rate Model for Ghana

Ms.Elena Loukoianova,Mr.Plamen Iossifov
Estimation of a Behavioral Equilibrium Exchange Rate Model for Ghana Book PDF

Author : Ms.Elena Loukoianova,Mr.Plamen Iossifov
Publisher : International Monetary Fund
Page : 23 pages
File Size : 52,9 Mb
Release : 2007-07-01
Category : Business & Economics
ISBN : 9781451867190

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Estimation of a Behavioral Equilibrium Exchange Rate Model for Ghana by Ms.Elena Loukoianova,Mr.Plamen Iossifov Pdf

The paper estimates a behavioral equilibrium exchange rate model for Ghana. Regression results show that most of the REER's long-run behavior can be explained by real GDP growth, real interest rate differentials (both relative to trading-partner countries), and the real world prices of Ghana's main export commodities. On the basis of these fundamentals, the REER in late 2006 was found to be very close to its estimated equilibrium level. The results also suggest, that deviations from the equilibrium path are eliminated within two to three years.

Long-Run Determinants of the Real Exchange Rate

Mr.Hamid Faruqee
Long Run Determinants of the Real Exchange Rate Book PDF

Author : Mr.Hamid Faruqee
Publisher : International Monetary Fund
Page : 40 pages
File Size : 41,9 Mb
Release : 1994-08-01
Category : Business & Economics
ISBN : 9781451851359

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Long-Run Determinants of the Real Exchange Rate by Mr.Hamid Faruqee Pdf

This paper examines the long-run determinants of the real exchange rate from a stock-flow perspective. The empirical analysis estimates a long-run relationship between the real exchange rate, net foreign assets and other factors affecting trade flows. Using postwar data for the United States and Japan, cointegration analysis supports the finding that the structural factors underlying each country’s net trade and net foreign asset positions determine the long-run path for the real value of the dollar and the yen. The empirical analysis also provides estimates for the underlying stochastic trend in each real exchange rate series.

Equilibrium Exchange Rates

Ronald MacDonald,Jerome L. Stein
Equilibrium Exchange Rates Book PDF

Author : Ronald MacDonald,Jerome L. Stein
Publisher : Springer Science & Business Media
Page : 353 pages
File Size : 45,5 Mb
Release : 2012-12-06
Category : Business & Economics
ISBN : 9789401144117

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Equilibrium Exchange Rates by Ronald MacDonald,Jerome L. Stein Pdf

How successful is PPP, and its extension in the monetary model, as a measure of the equilibrium exchange rate? What are the determinants and dynamics of equilibrium real exchange rates? How can misalignments be measured, and what are their causes? What are the effects of specific policies upon the equilibrium exchange rate? The answers to these questions are important to academic theorists, policymakers, international bankers and investment fund managers. This volume encompasses all of the competing views of equilibrium exchange rate determination, from PPP, through other reduced form models, to the macroeconomic balance approach. This volume is essentially empirical: what do we know about exchange rates? The different econometric and theoretical approaches taken by the various authors in this volume lead to mutually consistent conclusions. This consistency gives us confidence that significant progress has been made in understanding what are the fundamental determinants of exchange rates and what are the forces operating to bring them back in line with the fundamentals.

Estimation of the Equilibrium Real Exchange Rate for Malawi

Mr.Johan Mathisen
Estimation of the Equilibrium Real Exchange Rate for Malawi Book PDF

Author : Mr.Johan Mathisen
Publisher : International Monetary Fund
Page : 26 pages
File Size : 53,7 Mb
Release : 2003-05-01
Category : Business & Economics
ISBN : 9781451852783

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Estimation of the Equilibrium Real Exchange Rate for Malawi by Mr.Johan Mathisen Pdf

This paper computes Malawi's equilibrium real exchange rate as a function of its fundamentals as derived from economic theory. It finds evidence in favor of the equilibrium approach to exchange rate determination, with several variables (particularly government consumption and real per capita growth) found to drive movements in the time-varying equilibrium real exchange rate. The results also indicate that following a shock there is a rapid reversion of the real exchange rate to its time-varying equilibrium, with a half-life of reversion of about 11 months.

Equilibrium Exchange Rates in the Transition

Balázs Égert
Equilibrium Exchange Rates in the Transition Book PDF

Author : Balázs Égert
Publisher : Unknown
Page : 63 pages
File Size : 52,5 Mb
Release : 2007
Category : Electronic
ISBN : OCLC:1290322679

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Equilibrium Exchange Rates in the Transition by Balázs Égert Pdf

This paper sets out to estimate equilibrium real exchange rates for the Czech Republic, Hungary, Poland, Slovakia and Slovenia. A theoretical model is developed that provides an explanation for the appreciation of the real exchange rate based on tradable prices in the acceding countries. Our model can be considered as a competing but also completing framework to the traditional Balassa-Samuelson model. With this as a background, alternative cointegration methods are applied to time series (Engle-Granger, DOLS, ARDL and Johansen) and to three small-size panels (pooled and fixed effect OLS, DOLS, PMGE and MGE), which leaves us with around 5,000 estimated regressions. This enables us to examine the uncertainty surrounding estimates of equilibrium real exchange rates and the size of the underlying real misalignments.

Real Exchange Rates for the Year 2000

Simon Wren-Lewis,Rebecca Driver
Real Exchange Rates for the Year 2000 Book PDF

Author : Simon Wren-Lewis,Rebecca Driver
Publisher : Peterson Institute for International Economics
Page : 192 pages
File Size : 50,6 Mb
Release : 1998
Category : Business & Economics
ISBN : UCSD:31822025957689

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Real Exchange Rates for the Year 2000 by Simon Wren-Lewis,Rebecca Driver Pdf

This study estimates fundamental equilibrium exchange rates (FEERs) for the Group of Seven (G7) countries for 1995 and 2000. Three developments motivate this new analysis.