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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Find related papers by JEL classification: F31 - International Economics - - International Finance - - - Foreign Exchange C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics
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