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Internal and External Exchange Rate Equilibrium in a Cointegration Framework. An Application to the Spanish Peseta

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Author Info

  • Enrique Alberola
  • Humberto López

Abstract

A simple method to estimate multilateral equilibrium real exchange rates in a cointegration framework is used to compute the equilibrium real exchange rate for the peseta. The stock of foreign assets and the evolution of sectoral prices have been considered to be the fundamentals for the real exchange rate. After testing for cointegration among the three variables, we proceed to decompose the series in a permanent and a transitory component, following the method devised by Gonzalo and Granger.

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Bibliographic Info

Paper provided by Banco de Espa�a in its series Banco de Espa�a Working Papers with number 9916.

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Length: 30 pages
Date of creation: 1999
Date of revision:
Handle: RePEc:bde:wpaper:9916

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Keywords: EXCHANGE RATE ; ECONOMIC EQUILIBRIUM ; ECONOMIC MODELS;

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Cited by:
  1. Kubota, Megumi, 2013. "Estimating the half-life of theoretically founded real exchange rate misalignments," Policy Research Working Paper Series 6411, The World Bank.
  2. Enrique Alberola & Humberto López & Luis Servén, 2004. "Tango with the gringo: the hard peg and real misalign ment in Argentina," Banco de Espa�a Working Papers 0405, Banco de Espa�a.
  3. César Calderón M., 2004. "Un Análisis del Comportamiento del Tipo de Cambio Real en Chile," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 7(1), pages 5-30, April.
  4. Lopez, Humberto & Molina, Luis & Bussolo, Maurizio, 2007. "Remittances and the real exchange rate," Policy Research Working Paper Series 4213, The World Bank.
  5. Megumi Kubota, . "Real Exchange Rate Misalignments: Theoretical Modelling and Empirical Evidence," Discussion Papers 09/24, Department of Economics, University of York.
  6. Alper, Ahmet Murat & Civcir, İrfan, 2012. "Can overvaluation prelude to crisis and harm growth in Turkey," Journal of Policy Modeling, Elsevier, vol. 34(1), pages 112-131.
  7. Elena Pelinescu, 2013. "Exchange Rate During The Financial Crisis," Internal Auditing and Risk Management, Athenaeum University of Bucharest, vol. 2(30), pages 101-110, June.
  8. Enrique Alberola & Susana G. Cervero & Humberto Lopez & Angel Ubide, 2000. "Global Equilibrium Exchange Rates: Euro, Dollar, "Ins," "Outs," and Other Major Currencies in a Panel Cointegration Framework," Econometric Society World Congress 2000 Contributed Papers 0051, Econometric Society.
  9. Hugo Oliveros & Carlos Huertas, . "Desequilibrios Nominales y Reales del Tipo de Cambio en Colombia," Borradores de Economia 220, Banco de la Republica de Colombia.

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