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The monetary approach to exchange rates in the CEECs Author info | Abstract | Publisher info | Download info | Related research | Statistics Crespo-Cuaresma, Jesús () (BOFIT)
Fidrmuc, Jarko () (BOFIT)
McDonald, Ronald () (BOFIT)
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A panel data set for six Central and Eastern European countries (the Czech Republic, Hungary, Poland, Romania, Slovakia and Slovenia) is used to estimate the monetary exchange rate model with panel cointegration methods, including the Pooled Mean Group estimator, the Fully Modified Least Square estimator and the Dynamic Least Square estimator. The monetary model is able to convincingly explain the long-run dynamics of exchange rates in CEECs, particularly when this is supplemented by a Balassa-Samuelson effect. We then use our long-run monetary estimates to compute equilibrium exchange rates. Finally, we discuss the implications for the accession of selected countries to the European Economic and Monetary Union.
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Paper provided by Bank of Finland, Institute for Economies in Transition in its series BOFIT Discussion Papers with number
14/2003.
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Length: 27 pages
Date of creation: 16 Nov 2003Date of revision:
Handle: RePEc:hhs:bofitp:2003_014Contact details of provider: Postal: Bank of Finland, BOFIT, P.O. Box 160, FI-00101 Helsinki, Finland Phone: + 358 10 831 2268 Fax: + 358 10 831 2294 Email: Web page: http://www.bof.fi/bofit/ More information through EDIRC
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Keywords: exchange rates monetary model panel unit root tests panel cointegration EMU Other versions of this item:
Find related papers by JEL classification: C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data F31 - International Economics - - International Finance - - - Foreign Exchange F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
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