Internal and External Exchange Rate Equilibrium in a Cointegration Framework. An Application to the Spanish Peseta
AbstractA 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 InfoPaper provided by Banco de Espa�a in its series Banco de Espa�a Working Papers with number 9916.
Length: 30 pages
Date of creation: 1999
Date of revision:
EXCHANGE RATE ; ECONOMIC EQUILIBRIUM ; ECONOMIC MODELS;
Other versions of this item:
- Enrique Alberola & Humberto López, 2001. "Internal and external exchange rate equilibrium in a cointegration framework. An application to the Spanish peseta," Spanish Economic Review, Springer, vol. 3(1), pages 23-40.
- 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; Dynamic Treatment Effect Models; Diffusion Processes
- F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics
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- Alberola, Enrique & Lopez, Humberto & Serven, Luis, 2004.
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- Kubota, Megumi, 2013. "Estimating the half-life of theoretically founded real exchange rate misalignments," Policy Research Working Paper Series 6411, The World Bank.
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