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On European monetary integration and the persistence of real effective exchange rates

Author

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  • Robinson Kruse

    (Aarhus University, School of Economics and Management, CREATES)

Abstract

This paper deals with the possibility of changing persistence in European real effective exchange rates as initially analyzed by Gadea and Gracia (2009). By applying a CUSUM of squares-based test for constant versus changing persistence with desirable statistical properties, an OECD data set is reconsidered. The empirical results suggest that persistence remains constant over time for nearly all time series. Thus, European monetary integration has not affected the persistence of external competitiveness significantly. Moreover, strong evidence for non-stationarity is found. Explanations for the sharp contrast of new results towards the ones by Gadea and Gracia (2009) are provided.

Suggested Citation

  • Robinson Kruse, 2010. "On European monetary integration and the persistence of real effective exchange rates," CREATES Research Papers 2010-26, Department of Economics and Business Economics, Aarhus University.
    • Handle: RePEc:aah:create:2010-26
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    File URL: https://repec.econ.au.dk/repec/creates/rp/10/rp10_26.pdf
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    Cited by:

    1. is not listed on IDEAS
    2. Michail Nerantzidis & Nikolaos Stoupos & Panayiotis Tzeremes, 2024. "Realized Volatility Spillover Connectedness among the Leading European Currencies after the End of the Sovereign-Debt Crisis: A QVAR Approach," JRFM, MDPI, vol. 17(8), pages 1-17, August.

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    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E61 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - Policy Objectives; Policy Designs and Consistency; Policy Coordination
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • F42 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Policy Coordination and Transmission

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