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Equilibrium Exchange Rates in Southeastern Europe, Russia, Ukraine and Turkey: Healthy or (Dutch) Diseased?

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  • Balázs Égert

    ()
    (Oesterreichische Nationalbank)

Abstract

This paper investigates the equilibrium exchange rates of three Southeastern European countries, namely Bulgaria, Croatia and Romania, of two CIS economies, namely Russia and Ukraine, and of Turkey. A systematic approach in terms of different time horizons at which the equilibrium exchange rate is assessed is conducted, combined with a careful analysis of country-specific factors. The deviation from absolute purchasing power parity (PPP) and from the real exchange rate, which is given by relative productivity levels, is investigated. For Russia, a first look is taken at the Dutch disease phenomenon as a possible driving force behind equilibrium exchange rates. As a next step, a Behavioral Equilibrium Exchange Rate (BEER) model including productivity and net foreign assets is estimated using both time series and panel techniques. Control variables such as openness, public debt and public expenditures are also used to check for the robustness of the results. In a final stage, total real misalignment bands are computed for the countries under study.

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Bibliographic Info

Article provided by Oesterreichische Nationalbank (Austrian Central Bank) in its journal Focus on European Economic Integration.

Volume (Year): (2004)
Issue (Month): 2 ()
Pages: 138-181

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Handle: RePEc:onb:oenbfi:y:2004:i:2:b:6

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Citations

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Cited by:
  1. Stephan Barisitz, 2004. "Exchange Rate Arrangements and Monetary Policy in Southeastern Europe and Turkey: Some Stylized Facts," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue 2, pages 95-118.
  2. Benkovskis, Konstantins & Wörz, Julia, 2013. "Non-price competitiveness of exports from emerging countries," Working Paper Series 1612, European Central Bank.
  3. Dülger, Fikret & Lopcu, Kenan & Burgaç, Almıla & Ballı, Esra, 2013. "Is Russia suffering from Dutch Disease? Cointegration with structural break," Resources Policy, Elsevier, vol. 38(4), pages 605-612.
  4. Bassem Kamar & Jean-Etienne Carlotti & Russell C. Krueger, 2009. "Establishing Conversion Values for New Currency Unions," IMF Working Papers 09/184, International Monetary Fund.
  5. Hasanov, Fakhri, 2010. "The impact of real oil price on real effective exchange rate: The case of Azerbaijan," MPRA Paper 33493, University Library of Munich, Germany.
  6. Hayat, Aziz & Ganiev, Bahodir & Tang, Xueli, 2013. "Expectations of future income and real exchange rate movements," Journal of Banking & Finance, Elsevier, vol. 37(4), pages 1274-1285.
  7. Claudio Paiva, 2006. "External Adjustment and Equilibrium Exchange Rate in Brazil," IMF Working Papers 06/221, International Monetary Fund.
  8. Ian Babetskii & Balázs Égert, 2005. "Equilibrium Exchange Rate in the Czech Republic: How Good is the Czech BEER?," William Davidson Institute Working Papers Series wp781, William Davidson Institute at the University of Michigan.
  9. Aziz Hayat & Bahodir Ganiev & Xueli Tang, 2012. "Expectations of future income and real exchange rate movements," Financial Econometics Series 2012_05, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance.
  10. repec:onb:oenbwp:y::i:106:b:1 is not listed on IDEAS
  11. Lee, Chin & Law, Chee-Hong, 2013. "The Effects of Trade Openness on Malaysian Exchange Rate," MPRA Paper 45185, University Library of Munich, Germany.
  12. Altar, Moisa & Albu, Lucian Liviu & Dumitru, Ionut & Necula, Ciprian, 2009. "Estimation of Equilibrium Real Exchange Rate and of Deviations for Romania," Working Papers of National Institute of Economic Research 090105, National Institute of Economic Research.
  13. Onishchenko, Kateryna, 2011. "Can a pure real business cycle model explain the real exchange rate: the case of Ukraine," Cardiff Economics Working Papers E2011/17, Cardiff University, Cardiff Business School, Economics Section.
  14. Pavel Trunin & Dmitriy Kniazev & Ekaterina Kuduykina, 2010. "Perspective issues in the CBR`s exchange rate policy," Research Paper Series, Gaidar Institute for Economic Policy, issue 144P.
  15. Nadezhda Ivanova, 2007. "Estimation of the Equilibrium Real Exchange Rate in Russia: Trade-Balance Approach," Working Papers w0102, Center for Economic and Financial Research (CEFIR).

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