Advanced Search
MyIDEAS: Login

Are the Real Exchange Rates of the New EU Member Countries in Line with Fundamentals? – Implications of the NATREX Approach

Contents:

Author Info

  • Michael Frenkel

    ()
    (Otto Beisheim School of Management)

  • Isabell Koske

    ()
    (Otto Beisheim School of Management)

Abstract

This paper derives equilibrium real exchange rates for the EU member countries that joined in 2004 and in 2007. Our analysis is based on the natural real exchange rate approach and uses data for the period 1980-2007. We employ a two-step estimation strategy to deal with the limited availability and reliability of data from these countries. We first estimate the model for a panel of 17 OECD countries and then apply the estimated relationship to the new EU member countries. While the model does not support the appreciation of some of the examined currencies in 2005–2007, the development of several other currencies of the CEECs appears to be fairly in line with our NATREX estimates.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.wiso-net.de/webcgi?START=A60&DOKV_DB=ZECO&DOKV_NO=JFNS1277942302535C2EA070D9F8010A37C9&DOKV_HS=0&PP=1
File Function: Main text
Download Restriction: Access via GENIOS - German Business Information - http://www.genios.de/r_startseite/index.ein

File URL: http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=1302205&site=ehost-live
File Function: Main text
Download Restriction: Access via EBSCOhost Econlit - http://www.ebscohost.com/

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Bibliographic Info

Article provided by Justus-Liebig University Giessen, Department of Statistics and Economics in its journal Journal of Economics and Statistics.

Volume (Year): 232 (2012)
Issue (Month): 2 (March)
Pages: 129-145

as in new window
Handle: RePEc:jns:jbstat:v:232:y:2012:i:2:p:129-145

Contact details of provider:
Postal: Licher Straße 74, 35394 Gießen
Phone: +49 (0)641 99 22 001
Fax: +49 (0)641 99 22 009
Web page: http://wiwi.uni-giessen.de/home/oekonometrie/Jahrbuecher/
More information through EDIRC

Related research

Keywords: Exchange rate models; EMU; EU enlargement;

Find related papers by JEL classification:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. International Monetary Fund, 2003. "Competitiveness in the Baltics in the Run-Up to EU Accession," IMF Staff Country Reports 03/114, International Monetary Fund.
  2. Jan Br u ˚ ha & Jiří Podpiera, 2010. "Real exchange rates in emerging economies," The Economics of Transition, The European Bank for Reconstruction and Development, vol. 18(3), pages 599-628, 07.
  3. Im, Kyung So & Pesaran, M. Hashem & Shin, Yongcheol, 2003. "Testing for unit roots in heterogeneous panels," Journal of Econometrics, Elsevier, vol. 115(1), pages 53-74, July.
  4. Coricelli, Fabrizio & Jazbec, Bostjan, 2004. "Real exchange rate dynamics in transition economies," Structural Change and Economic Dynamics, Elsevier, vol. 15(1), pages 83-100, March.
  5. Piritta Sorsa & Dimitar Chobanov, 2004. "Competitiveness in Bulgaria," IMF Working Papers 04/37, International Monetary Fund.
  6. Kwiatkowski, Denis & Phillips, Peter C. B. & Schmidt, Peter & Shin, Yongcheol, 1992. "Testing the null hypothesis of stationarity against the alternative of a unit root : How sure are we that economic time series have a unit root?," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 159-178.
  7. Christoph Fischer & Karlhans Sauernheimer, 2002. "A History of the D-Mark's Real External Value," Australian Economic Papers, Wiley Blackwell, vol. 41(4), pages 480-498, December.
  8. Balázs Égert, & László Halpern & Ronald MacDonald, 2005. "Equilibrium Exchange Rates in Transition Economies: Taking Stock of the Issues," William Davidson Institute Working Papers Series wp793, William Davidson Institute at the University of Michigan.
  9. Jerome L. Stein, 2005. "The Transition Economies: A NATREX Evaluation of Research," CESifo Working Paper Series 1449, CESifo Group Munich.
  10. Isabell Koske, 2008. "A Semi-Structural Method to Estimate the NATREX for a Small Open Economy. The Case of Finland," Applied Economics Quarterly (formerly: Konjunkturpolitik), Duncker & Humblot, Berlin, vol. 54(2), pages 73-93.
  11. Frait , Jan & Komárek, Luboš, 2001. "REAL Exchange rate trends in transitional countries," The Warwick Economics Research Paper Series (TWERPS) 596, University of Warwick, Department of Economics.
  12. Maeso-Fernandez, Francisco & Osbat, Chiara & Schnatz, Bernd, 2005. "Pitfalls in estimating equilibrium exchange rates for transition economies," Economic Systems, Elsevier, vol. 29(2), pages 130-143, June.
  13. Byung-Yeon Kim & Iikka Korhonen, 2002. "Equilibrium Exchange Rates in Transition Countries: Evidence from Dynamic Heterogeneous Panel Models," Macroeconomics 0212014, EconWPA.
  14. Lai, Kon S., 2008. "The puzzling unit root in the real interest rate and its inconsistency with intertemporal consumption behavior," Journal of International Money and Finance, Elsevier, vol. 27(1), pages 140-155, February.
  15. International Monetary Fund, 2002. "Lithuania," IMF Working Papers 02/127, International Monetary Fund.
  16. 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, vol. 108(1), pages 1-24, May.
  17. Gutierrez, Luciano, 2003. "On the power of panel cointegration tests: a Monte Carlo comparison," Economics Letters, Elsevier, vol. 80(1), pages 105-111, July.
  18. Fischer, Christoph, 2002. "Real currency appreciation in accession countries: Balassa-Samuelson and investment demand," BOFIT Discussion Papers 8/2002, Bank of Finland, Institute for Economies in Transition.
  19. Jörg Rahn, 2003. "Bilateral Equilibrium Exchange Rates of the EU Accession Countries against the Euro," Quantitative Macroeconomics Working Papers 20306, Hamburg University, Department of Economics.
  20. László Halpern & Charles Wyplosz, 1997. "Equilibrium Exchange Rates in Transition Economies," IMF Staff Papers, Palgrave Macmillan, vol. 44(4), pages 430-461, December.
  21. Lommatzsch, Kirsten & Tober, Silke, 2004. "What is behind the real appreciation of the accession countries' currencies?: An investigation of the PPI-based real exchange rate," Economic Systems, Elsevier, vol. 28(4), pages 383-403, December.
  22. Maddala, G S & Wu, Shaowen, 1999. " A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 61(0), pages 631-52, Special I.
  23. Pesaran, M.H., 2003. "A Simple Panel Unit Root Test in the Presence of Cross Section Dependence," Cambridge Working Papers in Economics 0346, Faculty of Economics, University of Cambridge.
  24. Dimitris, Christopoulos & Miguel, Leon-Ledesma, 2009. "Smooth Breaks and Nonlinear Mean Reversion: Post-Bretton Woods Real Exchange Rates," MPRA Paper 22553, University Library of Munich, Germany.
  25. Detken, Carsten & Dieppe, Alistair & Henry, Jérôme & Marin, Carmen & Smets, Frank, 2002. "Model uncertainty and the equilibrium value of the real effective euro exchange rate," Working Paper Series 0160, European Central Bank.
  26. Maeso-Fernandez, Francisco & Osbat, Chiara & Schnatz, Bernd, 2006. "Towards the estimation of equilibrium exchange rates for transition economies: Methodological issues and a panel cointegration perspective," Journal of Comparative Economics, Elsevier, vol. 34(3), pages 499-517, September.
  27. Peter Pedroni, 2004. "Panel Cointegration: Asymptotic and Finite Sample Properties of Pooled Time Series Tests with an Application to the PPP Hypothesis," Department of Economics Working Papers 2004-15, Department of Economics, Williams College.
  28. Broeck, Mark De & Sløk, Torsten, 2001. "Interpreting real exchange rate movements in transition countries," BOFIT Discussion Papers 7/2001, Bank of Finland, Institute for Economies in Transition.
  29. Charalambos Pattichis & Marios Maratheftis & Stavros Zenios, 2007. "Is the Cyprus Pound Real Effective Exchange Rate Misaligned? A BEER Approach," International Economic Journal, Taylor & Francis Journals, vol. 21(1), pages 133-154.
  30. Balazs Egert & Amina Lahrèche-Revil, 2003. "Estimating the Fundamental Equilibrium Exchange Rate of Central and Eastern European Countries; The EMU Enlargement Perspective," Working Papers 2003-05, CEPII research center.
  31. MacDonald, Ronald, 2000. "Concepts to Calculate Equilibrium Exchange Rates: An Overview," Discussion Paper Series 1: Economic Studies 2000,03, Deutsche Bundesbank, Research Centre.
  32. Kao, Chihwa, 1999. "Spurious regression and residual-based tests for cointegration in panel data," Journal of Econometrics, Elsevier, vol. 90(1), pages 1-44, May.
Full references (including those not matched with items on IDEAS)

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:jns:jbstat:v:232:y:2012:i:2:p:129-145. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Peter Winker).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.