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Exchange Rate Dynamics and Fundamental Equilibrium Exchange Rates

Author

Listed:
  • Jamel Saadaoui

    (CEPN - Centre d'Economie de l'Université Paris Nord - UP13 - Université Paris 13 - USPC - Université Sorbonne Paris Cité - CNRS - Centre National de la Recherche Scientifique)

Abstract

The paper investigates if the most popular alternative to the purchasing parity power approach (PPP) to estimate equilibrium exchange rates, the fundamental equilibrium exchange rate (FEER) influences exchange rate dynamics in the long run. For a large panel of industrialized and emerging countries and on the period 1982-2007, we detect the presence of unit roots in the series of real effective exchange rates and in the series of FEERs. We find and estimate a cointegration relationship between real effective exchange rates and FEERs. The results show that the FEER has a positive and significant influence on exchange rate dynamics in the long run.

Suggested Citation

  • Jamel Saadaoui, 2011. "Exchange Rate Dynamics and Fundamental Equilibrium Exchange Rates," Post-Print hal-02169237, HAL.
    • Handle: RePEc:hal:journl:hal-02169237
    DOI: 10.2139/ssrn.1933305
    as

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    Citations

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    Cited by:

    1. Jamel Saadaoui, 2016. "Post-Brexit FEER," CEPN Working Papers hal-01394814, HAL.
    2. Vincent Duwicquet & Jacques Mazier & Jamel Saadaoui, 2012. "Exchange Rate Misalignments, Fiscal Federalism and Redistribution," Post-Print hal-02169241, HAL.
    3. Vincent Duwicquet & Jacques Mazier & Jamel Saadaoui, 2013. "Désajustements de change, fédéralisme budgétaire et redistribution. Comment s'ajuster en union monétaire," Revue de l'OFCE, Presses de Sciences-Po, vol. 0(1), pages 57-96.
    4. Saadaoui, Jamel, 2012. "Global Imbalances: Should We Use Fundamental Equilibrium Exchange Rates?," MPRA Paper 42554, University Library of Munich, Germany.
    5. Jamel Saadaoui, 2016. "Post-Brexit FEER," Working Papers of BETA 2016-51, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
    6. Jamel Saadaoui, 2016. "Sur la situation des mésalignements de taux de change après le Brexit," Bulletin de l'Observatoire des politiques économiques en Europe, Observatoire des Politiques Économiques en Europe (OPEE), vol. 35(1), pages 9-13, December.
    7. Jamel Saadaoui, 2016. "Post-Brexit FEER," Working Papers hal-01394814, HAL.
    8. Jamel Saadaoui, 2012. "Global Imbalances: Should We Use Fundamental Equilibrium Exchange Rates?," CEPN Working Papers halshs-00750551, HAL.
    9. Vincent Duwicquet & Jacques Mazier & Jamel Saadaoui, 2012. "Exchange Rate Misalignments, Fiscal Federalism and Redistribution: How to Adjust in a Monetary Union," Post-Print halshs-00848886, HAL.
    10. Saadaoui, Jamel, 2015. "Global imbalances: Should we use fundamental equilibrium exchange rates?," Economic Modelling, Elsevier, vol. 47(C), pages 383-398.
    11. Saadaoui, Jamel, 2012. "Déséquilibres globaux, taux de change d’équilibre et modélisation stock-flux cohérente [Global Imbalances, Equilibrium Exchange Rates and Stock-Flow Consistent Modelling]," MPRA Paper 51332, University Library of Munich, Germany.
    12. Jamel Saadaoui, 2017. "Internal Devaluations and Equilibrium Exchange Rates: New Evidences and Perspectives for the EMU," Working Papers halshs-01633389, HAL.
    13. Jamel Saadaoui, 2017. "Internal Devaluations and Equilibrium Exchange Rates: New Evidences and Perspectives for the EMU," CEPN Working Papers halshs-01633389, HAL.
    14. Jamel Saadaoui, 2016. "Sur la situation des mésalignements de taux de change après le Brexit," Post-Print hal-02453601, HAL.
    15. Jamel Saadaoui, 2013. "Global Imbalances: Should We Use Fundamental Equilibrium Exchange Rates?," Post-Print halshs-00861163, HAL.
    16. Jamel Saadaoui, 2018. "Internal Devaluations and Equilibrium Exchange Rates: new evidences and perspectives for the EMU," Post-Print hal-02168395, HAL.

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