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In Search of Equilibrium

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  • Joannes Mongardini
  • Alexander Chudik

Abstract

This paper presents a methodology to estimate equilibrium real exchange rates (ERER) for Sub-Saharan African (SSA) countries using both single-country and panel estimation techniques. The limited data set hinders single-country estimation for most countries in the sample, but panel estimates are statistically and economically significant, and generally robust to different estimation techniques. The results replicate well the historical experience for a number of countries in the sample. Panel techniques can also be used to derive out of sample estimates for countries with a more limited data set.

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Bibliographic Info

Paper provided by International Monetary Fund in its series IMF Working Papers with number 07/90.

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Length: 39
Date of creation: 01 Apr 2007
Date of revision:
Handle: RePEc:imf:imfwpa:07/90

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Keywords: Economic models; exchange rate; real exchange rate; statistic; cointegration; exchange rates; exchange rate misalignments; mean group; real exchange rates; econometrics; equation; statistics; exchange rate misalignment; mean group estimator; effective exchange rate; samples; estimation technique; logarithms; real effective exchange rate; current accounts; standard errors; significance level; foreign exchange; financial statistics; official exchange rate; estimation procedure; exchange rate regime; real exchange rate overvaluation; factor analysis; equilibrium exchange rate; multiple exchange rate; nominal effective exchange rate; maximum likelihood estimation; real exchange rate misalignment; statistical inference; probabilities; mean group estimation; exchange rate determination; exchange rate behavior; estimation stage; time series; measurement errors; foreign exchange rate; exchange rate devaluation; real exchange rate behavior; monte carlo simulation; equations;

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References

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Citations

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Cited by:
  1. Magnus Saxegaard & Stéphane Roudet & Charalambos G. Tsangarides, 2007. "Estimation of Equilibrium Exchange Rates in the Waemu," IMF Working Papers 07/194, International Monetary Fund.
  2. Bussière, Matthieu & Ca' Zorzi, Michele & Chudik, Alexander & Dieppe, Alistair, 2010. "Methodological advances in the assessment of equilibrium exchange rates," Working Paper Series, European Central Bank 1151, European Central Bank.
  3. Magazzino, Cosimo, 2012. "Revenue and expenditure nexus: A case study of ECOWAS," Economics Discussion Papers 2012-57, Kiel Institute for the World Economy.
  4. Klaus-Stefan Enders, 2009. "Exchange Rate Assessment for Oil Exporters," IMF Working Papers 09/81, International Monetary Fund.
  5. Issiaka Coulibaly & Blaise Gnimassoun, 2012. "Optimality of a monetary union : New evidence from exchange rate misalignments in West Africa," EconomiX Working Papers 2012-37, University of Paris West - Nanterre la Défense, EconomiX.
  6. Blaise Gnimassoun, 2012. "Taux de change et mésalignements du franc CFA avant et après l’introduction de l’euro," EconomiX Working Papers 2012-3, University of Paris West - Nanterre la Défense, EconomiX.
  7. Corinne Deléchat & Matthew Gaertner, 2008. "Exchange Rate Assessment in a Resource-Dependent Economy," IMF Working Papers 08/83, International Monetary Fund.
  8. Cécile Couharde & Issiaka Coulibaly & Olivier Damette, 2011. "Misalignments and Dynamics of Real Exchange Rates in the CFA Franc Zone," EconomiX Working Papers 2011-28, University of Paris West - Nanterre la Défense, EconomiX.
  9. Niko Hobdari, 2008. "Tanzania's Equilibrium Real Exchange Rate," IMF Working Papers 08/138, International Monetary Fund.
  10. Camelia Minoiu & Patrick A. Imam, 2008. "Mauritius," IMF Working Papers 08/212, International Monetary Fund.
  11. Lone Engbo Christiansen & Alessandro Prati & Luca Antonio Ricci & Thierry Tressel, 2009. "External Balance in Low Income Countries," IMF Working Papers 09/221, International Monetary Fund.
  12. Carl Grekou, 2014. "Revisiting the nexus between currency misalignments and growth in the CFA Zone," EconomiX Working Papers 2014-4, University of Paris West - Nanterre la Défense, EconomiX.
  13. Mahvash Saeed Qureshi, 2008. "Africa's Oil Abundance and External Competitiveness," IMF Working Papers 08/172, International Monetary Fund.
  14. Nébié, Gustave Adrien, 2008. "Syndrome Hollandais causé par l’aide : qu’en est-il pour les pays de l’UEMOA ?," Economics Papers from University Paris Dauphine, Paris Dauphine University 123456789/4066, Paris Dauphine University.
  15. Sosunov, K. & Ushakov, N., 2009. "Determination of the Real Exchange Rate of the Ruble and Assessment of Long-Run Policy of Real Exchange Rate Targeting," Journal of the New Economic Association, New Economic Association, New Economic Association, issue 3-4, pages 97-121.
  16. Emilio Pineda & Paul Cashin & Yan Sun, 2009. "Assessing Exchange Rate Competitiveness in the Eastern Caribbean Currency Union," IMF Working Papers 09/78, International Monetary Fund.
  17. Joannes Mongardini & Brett Rayner, 2009. "Grants, Remittances, and the Equilibrium Real Exchange Rate in Sub-Saharan African Countries," IMF Working Papers 09/75, International Monetary Fund.
  18. Sossounov, Kirill & Ushakov, Nikolay, 2009. "Determination of the real exchange rate of rouble and assessment of long-rum policy of real exchange rate targeting," MPRA Paper 18549, University Library of Munich, Germany.
  19. Ho-don Yan & Cheng-lang Yang, 2012. "Does an Undervalued Currency Merit Economic Growth? – Evidence from Taiwan," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 59(1), pages 37-57, March.
  20. Ken Miyajima, 2007. "What Do We Know About Namibia's Competitiveness," IMF Working Papers 07/191, International Monetary Fund.

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