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Déterminants de long terme des taux de change réels pour les pays en développement : une comparaison internationale

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  • Imed Drine
  • Christophe Rault

Abstract

The aim of this paper is to apply recent advances in the econometrics of non-stationary dynamic panel methods to examine the main long-run determinants of real exchange rate. We consider here a sample of 45 developing countries, divided into three groups according to geographical criteria : Africa, Latin America and Asia. Our investigations confirm that having a reference to assess the degree of distortion of real exchange rate is not as simple as it can be thought with the PPP concept. The real exchange rate is effectively at the centre of an economic spiral and its value depends on the economic specificities of each country. In other words, we don't have a fixed and general norm but, for each economy, the real exchange rate trajectory depends on its development level, on the way economic policy is conducted, and on its position on the international market.

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Bibliographic Info

Article provided by De Boeck Université in its journal Revue d'économie du développement.

Volume (Year): 19 (2005)
Issue (Month): 1 ()
Pages: 123-150

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Handle: RePEc:cai:edddbu:edd_191_123

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Related research

Keywords: Real exchange rate; developing country; Panel unit-root and cointegration tests;

References

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  1. Jeffrey A. Frankel and Andrew K. Rose., 1995. "A Panel Project on Purchasing Power Parity: Mean Reversion Within and Between Countries," Center for International and Development Economics Research (CIDER) Working Papers, University of California at Berkeley C95-052, University of California at Berkeley.
  2. Lionel Halpern & Charles Wyplosz, 1996. "Equilibrium Exchange Rates in Transition Economies," IMF Working Papers, International Monetary Fund 96/125, International Monetary Fund.
  3. Quah, Danny, 1994. "Exploiting cross-section variation for unit root inference in dynamic data," Economics Letters, Elsevier, Elsevier, vol. 44(1-2), pages 9-19.
  4. Imed Drine & Christophe Rault, 2003. "Do panel data permit the rescue of the Balassa-Samuelson hypothesis for Latin American countries?," Applied Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 35(3), pages 351-359.
  5. Levin, Andrew & Lin, Chien-Fu & James Chu, Chia-Shang, 2002. "Unit root tests in panel data: asymptotic and finite-sample properties," Journal of Econometrics, Elsevier, Elsevier, vol. 108(1), pages 1-24, May.
  6. Cottani, Joaquin A & Cavallo, Domingo F & Khan, M Shahbaz, 1990. "Real Exchange Rate Behavior and Economic Performance in LDCs," Economic Development and Cultural Change, University of Chicago Press, University of Chicago Press, vol. 39(1), pages 61-76, October.
  7. Bela Balassa, 1964. "The Purchasing-Power Parity Doctrine: A Reappraisal," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 72, pages 584.
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  9. Ofair Razin & Susan M. Collins, 1997. "Real Exchange Rate Misalignments and Growth," NBER Working Papers 6174, National Bureau of Economic Research, Inc.
  10. Ronald Macdonald & Luca Antonio Ricci, 2004. "Estimation Of The Equilibrium Real Exchange Rate For South Africa," South African Journal of Economics, Economic Society of South Africa, Economic Society of South Africa, vol. 72(2), pages 282-304, 06.
  11. Phillips, Peter C B & Ouliaris, S, 1990. "Asymptotic Properties of Residual Based Tests for Cointegration," Econometrica, Econometric Society, Econometric Society, vol. 58(1), pages 165-93, January.
  12. Banerjee, Anindya, 1999. " Panel Data Unit Roots and Cointegration: An Overview," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, Department of Economics, University of Oxford, vol. 61(0), pages 607-29, Special I.
  13. Zhang, Zhichao, 2001. "Real Exchange Rate Misalignment in China: An Empirical Investigation," Journal of Comparative Economics, Elsevier, vol. 29(1), pages 80-94, March.
  14. Strauss, Jack, 1999. "Productivity differentials, the relative price of non-tradables and real exchange rates," Journal of International Money and Finance, Elsevier, Elsevier, vol. 18(3), pages 383-409.
  15. Peter Pedroni, 2000. "Fully Modified OLS for Heterogeneous Cointegrated Panels," Department of Economics Working Papers, Department of Economics, Williams College 2000-03, Department of Economics, Williams College.
  16. Ronald MacDonald, 1997. "What Determines Real Exchange Rates? The Long and Short of it," IMF Working Papers, International Monetary Fund 97/21, International Monetary Fund.
  17. Edwards, Sebastian, 1993. "Openness, Trade Liberalization, and Growth in Developing Countries," Journal of Economic Literature, American Economic Association, American Economic Association, vol. 31(3), pages 1358-93, September.
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Cited by:
  1. Khaled CHNAINA & Farid MAKHLOUF, 2012. "Impact des transferts de fonds sur le taux de change réel effectif en Tunisie," Working Papers, CATT - UPPA - Université de Pau et des Pays de l'Adour 2011-2012_4, CATT - UPPA - Université de Pau et des Pays de l'Adour, revised Jan 2012.
  2. Nébié, Gustave Adrien, 2008. "Syndrome Hollandais causé par l’aide : qu’en est-il pour les pays de l’UEMOA ?," Economics Papers from University Paris Dauphine, Paris Dauphine University 123456789/4066, Paris Dauphine University.

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