IDEAS home Printed from https://ideas.repec.org/a/bic/journl/v22y2022i2p68-89.html
   My bibliography  Save this article

Has the relationship between the real exchange rate and its fundamentals changed over time?

Author

Listed:
  • Juan Carlos Cuestas

    (Department of Economics and IEI, Jaume I University, Castellón de la Plana, Spain; Department of Economics and Finance, Tallinn University of Technology, Tallinn, Estonia)

  • Mercedes Monfort

    (Department of Economics and IEI, Jaume I University, Castellón de la Plana, Spain)

  • Bojan Shimbov

    (Department of Economics and IEI, Jaume I University, Castellón de la Plana, Spain)

Abstract

In this paper we contribute to the literature on determining the real exchange rate by using models that incorporate structural breaks and nonlinearities. We estimate cointegrated dynamic ordinary least squares regressions and quantile regressions. We find that the estimated coefficients for the EU members from central and eastern Europe are different to those for the other member states. We also find that the models are different before and after the crisis that started in 2008, and this affects the outcome of the long-run equations for the EU15 + Cyprus and Malta.

Suggested Citation

  • Juan Carlos Cuestas & Mercedes Monfort & Bojan Shimbov, 2022. "Has the relationship between the real exchange rate and its fundamentals changed over time?," Baltic Journal of Economics, Baltic International Centre for Economic Policy Studies, vol. 22(2), pages 68-89.
    • Handle: RePEc:bic:journl:v:22:y:2022:i:2:p:68-89
    as

    Download full text from publisher

    File URL: https://www.tandfonline.com/doi/epdf/10.1080/1406099X.2022.2096732
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Mohammed Amine Lezar, 2023. "Real Exchange Rate of Moroccan Currency: Appreciated or Depreciated?," International Journal of Economics and Financial Issues, Econjournals, vol. 13(1), pages 89-101, January.
    2. Ramona Tiganasu & Gabriela Carmen Pascariu & Dan Lupu, 2022. "Competitiveness, fiscal policy and corruption: evidence from Central and Eastern European countries," Oeconomia Copernicana, Institute of Economic Research, vol. 13(3), pages 667-698, September.

    More about this item

    Keywords

    Real exchange rates; competitiveness; quantile regression; Bayesian; asymmetric model; structural breaks; European integration;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • F15 - International Economics - - Trade - - - Economic Integration

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bic:journl:v:22:y:2022:i:2:p:68-89. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Anna Zasova (email available below). General contact details of provider: https://edirc.repec.org/data/biceplv.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.