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Determinants of the Effective Real Exchange Rate of the Synthetic Euro: Alternative Methodological Approaches

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Author Info

  • Carsten Detken
  • Alistair Dieppe
  • Jér�me Henry
  • Frank Smets
  • Carmen Marin

Abstract

On the basis of historical data aggregated over the period 1973 to 2000, we have experimented with four different approaches to estimate the synthetic euro's equilibrium exchange rate. Using a number of competing models with the same data set, variable definitions and sample period offers the possibility to assess the uncertainty surrounding such equilibrium levels, both from an empirical (different estimates) and a theoretical viewpoint (different specifications). In this exercise, the 'Rest of the World' is proxied by the US, the UK, Japan and Switzerland, aggregated on the basis of trade weights. Copyright Blackwell Publishers Ltd/University of Adelaide and Flinders University of South Australia 2002.

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Bibliographic Info

Article provided by Wiley Blackwell in its journal Australian Economic Papers.

Volume (Year): 41 (2002)
Issue (Month): 4 (December)
Pages: 404-436

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Handle: RePEc:bla:ausecp:v:41:y:2002:i:4:p:404-436

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Web page: http://www.blackwellpublishing.com/journal.asp?ref=0004-900X

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Cited by:
  1. Hughes Hallett, Andrew & Richter, Christian, 2004. "Estimating an equilibrium exchange rate for the dollar and other key currencies," Economic Modelling, Elsevier, vol. 21(6), pages 1117-1144, December.
  2. Bank for International Settlements, 2003. "Monetary stability, financial stability and the business cycle: five views," BIS Papers, Bank for International Settlements, number 18, 3.
  3. Didier Borowski & Cecile Couharde, 2003. "The Exchange Rate Macroeconomic Balance Approach: New Methodology and Results for the Euro, the Dollar, the Yen and the Pound Sterling," Open Economies Review, Springer, vol. 14(2), pages 169-190, April.
  4. Carmen Mar? Mart?ez, 2003. "The Structural Approach of a Natrex Model on Equilibrium Exchange Rates," UFAE and IAE Working Papers 588.03, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
  5. Stein L., 2001. "The Equilibrium Value of The Euro/$ US Exchange Rate: An Evaluation of Research," European Research Studies Journal, European Research Studies Journal, vol. 0(1-2), pages 73-108, January -.
  6. Siregar, Reza, 2011. "The Concepts of Equilibrium Exchange Rate: A Survey of Literature," MPRA Paper 28987, University Library of Munich, Germany.
  7. ALISTAIR DIEPPE & KEITH KÜSTER & PETER McADAM, 2005. "Optimal Monetary Policy Rules for the Euro Area: An Analysis Using the Area Wide Model," Journal of Common Market Studies, Wiley Blackwell, vol. 43(3), pages 507-537, 09.
  8. Katerina Smidkova & Ray Barrell & Dawn Holland, 2002. "Estimates of Fundamental Real Exchange Rates for the Five EU Pre-Accession Countries," Working Papers 2002/03, Czech National Bank, Research Department.
  9. Nautz, Dieter & Offermanns, Christian J., 2006. "Does the Euro follow the German Mark? Evidence from the monetary model of the exchange rate," European Economic Review, Elsevier, vol. 50(5), pages 1279-1295, July.
  10. Dieppe, Alistair & Henry, Jerome, 2004. "The euro area viewed as a single economy: how does it respond to shocks?," Economic Modelling, Elsevier, vol. 21(5), pages 833-875, September.

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