The real exchange rate of the dollar for a panel of OECD countries: Balassa-Samuelson or distribution sector effect?
AbstractThe purpose of this paper is to analyse the role of productivity in the behaviour of the dollar real exchange rate against a group of OECD countries’ currencies. To do this, a general specification is tested, paying special attention to the breakdown of the productivity variable into tradables, non-tradables and distribution sector productivity. The applied methodology relies on the Pool Mean Group estimation methodology proposed by Pesaran et al (1999) to obtain error correction models in panels without imposing equal long and shortrun parameters for the panel. The results point to the relevance of the differences in the distribution sector productivity to explain the real exchange rate, especially in the European Union countries. These results are in accordance with New Open Macroeconomics models predictions concerning the role of both distribution sector productivity and fiscal expenditure on the real exchange rate.
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Bibliographic InfoPaper provided by Asociación Española de Economía y Finanzas Internacionales in its series Working Papers with number 06-04.
Length: 28 pages
Date of creation: Sep 2006
Date of revision:
real exchange rates; productivity; cointegration; panel; distribution sector;
Other versions of this item:
- Camarero, Mariam, 2008. "The real exchange rate of the dollar for a panel of OECD countries: Balassa-Samuelson or distribution sector effect?," Journal of Comparative Economics, Elsevier, vol. 36(4), pages 620-632, December.
- C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Longitudinal Data; Spatial Time Series
- F31 - International Economics - - International Finance - - - Foreign Exchange
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