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A panel cointegration approach to the estimation of the peseta real exchange rate

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  • Mariam Camarero
  • Cecilio Tamarit

Abstract

In this paper we estimate different specifications of a model for the determination of the bilateral real exchange rate of the peseta relative to nine European Union members. The model is based on Meese and Rogo (1988) monetary approach as extended by MacDonald (1998). The applied econometric techniques are the recent panel cointegration tests developed by Kao (1999), McCoskey and Kao (1998) and Pedroni (1999) for homogeneous and heterogeneous panels. The results are favorable to a model containing relative productivities in tradables and non-tradables and the real interest rate diferentials as explanatory variables.
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(This abstract was borrowed from another version of this item.)
(This abstract was borrowed from another version of this item.)
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Mariam Camarero & Cecilio Tamarit, "undated". "A panel cointegration approach to the estimation of the peseta real exchange rate," Working Papers on International Economics and Finance 01-08, FEDEA.
  • Handle: RePEc:fda:fdadef:01-08
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    Cited by:

    1. Simplice A. Asongu, 2014. "Does money matter in Africa?: New empirics on long- and short-run effects of monetary policy on output and prices," Indian Growth and Development Review, Emerald Group Publishing, vol. 7(2), pages 142-180, November.
    2. Simplice A. Asongu, 2013. "How Would Population Growth Affect Investment in the Future? Asymmetric Panel Causality Evidence for Africa," African Development Review, African Development Bank, vol. 25(1), pages 14-29, March.
    3. Simplice A. Asongu, 2014. "Correcting Inflation with Financial Dynamic Fundamentals: Which Adjustments Matter in Africa?," Journal of African Business, Taylor & Francis Journals, vol. 15(1), pages 64-73, April.
    4. Malebogo Bakwena & Philip Bodman & Sandy Suardi, "undated". "Making Abundant Natural Resources Work for Developing Economies: The Role of Financial Institutions," MRG Discussion Paper Series 2108, School of Economics, University of Queensland, Australia.
    5. Westerlund, Joakim & Basher, Syed A., 2008. "Mixed signals among tests for panel cointegration," Economic Modelling, Elsevier, vol. 25(1), pages 128-136, January.
    6. Simplice Asongu, 2014. "How Would Monetary Policy Matter In The Proposed African Monetary Unions? Evidence From Output And Prices," The African Finance Journal, Africagrowth Institute, vol. 16(2), pages 34-63.
    7. Atif, Syed Muhammad & Sauytbekova, Moldir & Macdonald, James, 2012. "The Determinants of Australian Exchange Rate: A Time Series Analysis," EconStor Preprints 65665, ZBW - German National Library of Economics.
    8. Asongu, Simplice A., 2014. "A note on the long-run neutrality of monetary policy: new empirics," European Economic Letters, European Economics Letters Group, vol. 3(1), pages 1-6.
    9. Mariam Camarero & Javier Ordóñez & Cecilio Tamarit, 2002. "The Euro-Dollar Exchange Rate: Is it Fundamental?," CESifo Working Paper Series 798, CESifo Group Munich.
    10. repec:dug:actaec:y:2017:i:5:p:201-221 is not listed on IDEAS
    11. Simplice Asongu, 2016. "New empirics of monetary policy dynamics: evidence from the CFA franc zones," African Journal of Economic and Management Studies, Emerald Group Publishing, vol. 7(2), pages 164-204, June.
    12. Simplice Asongu, 2014. "REER Imbalances and Macroeconomic Adjustments in the Proposed West African Monetary Union," South African Journal of Economics, Economic Society of South Africa, vol. 82(2), pages 276-289, June.
    13. Simplice A. Asongu, 2013. "Fighting consumer price inflation in Africa: What do dynamics in money, credit, efficiency and size tell us?," Journal of Financial Economic Policy, Emerald Group Publishing, vol. 5(1), pages 39-60, April.

    More about this item

    JEL classification:

    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
    • F31 - International Economics - - International Finance - - - Foreign Exchange

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