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Behavioural Equilibrium Exchange Rate and Total Misalignment: Evidence from the Euro Exchange Rate

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  • Nikolaos Giannellis

    (Department of Economics, University of Crete, Greece)

  • Minoas Koukouritakis

Abstract

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  • Nikolaos Giannellis & Minoas Koukouritakis, 2009. "Behavioural Equilibrium Exchange Rate and Total Misalignment: Evidence from the Euro Exchange Rate," Working Papers 0901, University of Crete, Department of Economics.
  • Handle: RePEc:crt:wpaper:0901
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    References listed on IDEAS

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    6. Carsten Trenkler & Pentti Saikkonen & Helmut Lütkepohl, 2008. "Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break," Journal of Time Series Analysis, Wiley Blackwell, vol. 29(2), pages 331-358, March.
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    9. Gomez, Manuel & Melvin, Michael & Nardari, Federico, 2007. "Explaining the early years of the euro exchange rate: An episode of learning about a new central bank," European Economic Review, Elsevier, vol. 51(3), pages 505-520, April.
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    18. Lutkepohl, Helmut & Saikkonen, Pentti, 2000. "Testing for the cointegrating rank of a VAR process with a time trend," Journal of Econometrics, Elsevier, vol. 95(1), pages 177-198, March.
    19. Junsoo Lee & Mark C. Strazicich, 2013. "Minimum LM unit root test with one structural break," Economics Bulletin, AccessEcon, vol. 33(4), pages 2483-2492.
    20. Hodrick, Robert J & Prescott, Edward C, 1997. "Postwar U.S. Business Cycles: An Empirical Investigation," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 29(1), pages 1-16, February.
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    22. Lutkepohl, Helmut & Saikkonen, Pentti & Trenkler, Carsten, 2003. "Comparison of tests for the cointegrating rank of a VAR process with a structural shift," Journal of Econometrics, Elsevier, vol. 113(2), pages 201-229, April.
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    24. Frank Engels & Panagiotis Th. Konstantinou & Jens Søndergaard, 2007. "Productivity Trends and the Sterling Real Exchange Rates," Review of International Economics, Wiley Blackwell, vol. 15(3), pages 612-637, August.
    25. Ronald Macdonald & Mark P. Taylor, 1992. "Exchange Rate Economics: A Survey," IMF Staff Papers, Palgrave Macmillan, vol. 39(1), pages 1-57, March.
    26. Regina Kaiser & Agustín Maravall, 1999. "Estimation of the business cycle: A modified Hodrick-Prescott filter," Spanish Economic Review, Springer;Spanish Economic Association, vol. 1(2), pages 175-206.
    27. Saikkonen, Pentti & Lutkepohl, Helmut, 2000. "Testing for the Cointegrating Rank of a VAR Process with Structural Shifts," Journal of Business & Economic Statistics, American Statistical Association, vol. 18(4), pages 451-464, October.
    28. Lucas, Robert Jr., 1982. "Interest rates and currency prices in a two-country world," Journal of Monetary Economics, Elsevier, vol. 10(3), pages 335-359.
    29. Søren Johansen & Rocco Mosconi & Bent Nielsen, 2000. "Cointegration analysis in the presence of structural breaks in the deterministic trend," Econometrics Journal, Royal Economic Society, vol. 3(2), pages 216-249.
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    Cited by:

    1. Nikolaos Giannellis & Minoas Koukouritakis, 2018. "Currency Misalignments in the BRIICS Countries: Fixed Vs. Floating Exchange Rates," Open Economies Review, Springer, vol. 29(5), pages 1123-1151, November.
    2. Yutaka Kurihara & Akio Fukushima, 2015. "Monetary Approach for Determining Exchange Rates and Recent Monetary Policy of Japan," International Journal of Financial Economics, Research Academy of Social Sciences, vol. 4(1), pages 23-31.
    3. Yutaka Kurihara, 2012. "Exchange rate determination and structural changes in response to monetary policies," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 29(3), pages 187-196, July.
    4. Patrik Abrahámek, 2017. "Importance of the Debt-Adjusted Real Exchange Rate in the Eurozone and V4," Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, Mendel University Press, vol. 65(4), pages 1325-1337.

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    More about this item

    Keywords

    Euro; BEER; Misalignment Rate; Cointegration; Structural Shifts;
    All these keywords.

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • F15 - International Economics - - Trade - - - Economic Integration
    • F42 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Policy Coordination and Transmission

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