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Armenia

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Author Info

  • Anke Weber
  • Chunfang Yang

Abstract

This paper uses a range of different methodologies to estimate the equilibrium real exchange rate in Armenia with both single-country and panel estimation techniques. We estimate a country specific autoregressive distributed lag model and then proceed with the estimation of a cointegrated panel consisting of transition economies in Europe and Central Asia. This addresses cross section dependence by using common correlated effects estimators. While our analysis focuses on Armenia, the methods are applicable to a large number of transition economies, and the paper thus provides an overview of methods that can be used to assess a country’s equilibrium exchange rate.

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Bibliographic Info

Paper provided by International Monetary Fund in its series IMF Working Papers with number 11/20.

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Length: 39
Date of creation: 01 Jan 2011
Date of revision:
Handle: RePEc:imf:imfwpa:11/20

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Related research

Keywords: Economic models; Exchange rate assessments; Export prices; Global competitiveness; Real effective exchange rates; exchange rate; real exchange rate; cointegration; equilibrium exchange rate; survey; effective exchange rate; real effective exchange rate; logarithm; equation; econometrics; exchange rate misalignment; exchange rate appreciation; statistic; statistics; independent variables; exchange rates; current account balance; exchange rate adjustment; time series; significance level; mean group; sample size; real exchange rates; correlations; logarithms; exchange rate developments; standard error; stata; samples; significance levels; estimation procedure; foreign exchange; real exchange rate appreciation; equations; real exchange rate overvaluation; analysis of variance; floating exchange rate regime; standard errors; floating exchange rate; monte carlo simulations; correlation; parameter estimation; data analysis; exchange rate regime; degree of heterogeneity; pooled time series; estimation method; number of regressors; representative sample; exchange rate depreciation; finite sample;

This paper has been announced in the following NEP Reports:

References

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  1. Ibrahim A. Elbadawi & Linda Kaltani & Klaus Schmidt-Hebbel, 2008. "Foreign Aid, the Real Exchange Rate, and Economic Growth in the Aftermath of Civil Wars," World Bank Economic Review, World Bank Group, vol. 22(1), pages 113-140, February.
  2. 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.
  3. Kapetanios, G. & Pesaran, M. Hashem & Yamagata, T., 2011. "Panels with non-stationary multifactor error structures," Journal of Econometrics, Elsevier, vol. 160(2), pages 326-348, February.
  4. Raghuram G. Rajan & Arvind Subramanian, 2005. "What Undermines Aid's Impact on Growth?," NBER Working Papers 11657, National Bureau of Economic Research, Inc.
  5. Raju Jan Singh & Markus Haacker & Kyung-woo Lee & Ma�lan Le Goff, 2011. "Determinants and Macroeconomic Impact of Remittances in Sub-Saharan Africa," Journal of African Economies, Centre for the Study of African Economies (CSAE), vol. 20(2), pages 312-340, March.
  6. Holly, S. & Pesaran, M.H. & Yamagata. T., 2006. "A Spatio-Temporal Model of House Prices in the US," Cambridge Working Papers in Economics 0654, Faculty of Economics, University of Cambridge.
  7. Pasaran, M.H. & Im, K.S. & Shin, Y., 1995. "Testing for Unit Roots in Heterogeneous Panels," Cambridge Working Papers in Economics 9526, Faculty of Economics, University of Cambridge.
  8. Peter Pedroni, 2004. "Panel Cointegration: Asymptotic and Finite Sample Properties of Pooled Time Series Tests with an Application to the PPP Hypothesis," Department of Economics Working Papers 2004-15, Department of Economics, Williams College.
  9. Bussière, Matthieu & Ca' Zorzi, Michele & Chudik, Alexander & Dieppe, Alistair, 2010. "Methodological advances in the assessment of equilibrium exchange rates," Working Paper Series 1151, European Central Bank.
  10. Frees, Edward W., 1995. "Assessing cross-sectional correlation in panel data," Journal of Econometrics, Elsevier, vol. 69(2), pages 393-414, October.
  11. Rafael E. De Hoyos & Vasilis Sarafidis, 2006. "Testing for cross-sectional dependence in panel-data models," Stata Journal, StataCorp LP, vol. 6(4), pages 482-496, December.
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Cited by:
  1. Ojeda Joya, Jair & Torres, Jhon Edwar, 2012. "Posición externa de largo plazo y tipo de cambio real de equilibrio en Colombia," REVISTA LECTURAS DE ECONOMÍA, UNIVERSIDAD DE ANTIOQUIA - CIE.

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