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Armenia; An Assessment of the Real Exchange Rate and Competitiveness


  • Anke Weber
  • Chunfang Yang


This paper uses a range of different methodologies to estimate the equilibrium real exchange rate in Armenia with both single-country and panel estimation techniques. We estimate a country specific autoregressive distributed lag model and then proceed with the estimation of a cointegrated panel consisting of transition economies in Europe and Central Asia. This addresses cross section dependence by using common correlated effects estimators. While our analysis focuses on Armenia, the methods are applicable to a large number of transition economies, and the paper thus provides an overview of methods that can be used to assess a country’s equilibrium exchange rate.

Suggested Citation

  • Anke Weber & Chunfang Yang, 2011. "Armenia; An Assessment of the Real Exchange Rate and Competitiveness," IMF Working Papers 11/20, International Monetary Fund.
  • Handle: RePEc:imf:imfwpa:11/20

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    References listed on IDEAS

    1. Holly, Sean & Pesaran, M. Hashem & Yamagata, Takashi, 2010. "A spatio-temporal model of house prices in the USA," Journal of Econometrics, Elsevier, vol. 158(1), pages 160-173, September.
    2. Pedroni, Peter, 2004. "Panel Cointegration: Asymptotic And Finite Sample Properties Of Pooled Time Series Tests With An Application To The Ppp Hypothesis," Econometric Theory, Cambridge University Press, vol. 20(03), pages 597-625, June.
    3. Kapetanios, G. & Pesaran, M. Hashem & Yamagata, T., 2011. "Panels with non-stationary multifactor error structures," Journal of Econometrics, Elsevier, vol. 160(2), pages 326-348, February.
    4. Raju Jan Singh & Markus Haacker & Kyung-woo Lee & Maëlan Le Goff, 2011. "Determinants and Macroeconomic Impact of Remittances in Sub-Saharan Africa," Journal of African Economies, Centre for the Study of African Economies (CSAE), vol. 20(2), pages 312-340, March.
    5. Im, Kyung So & Pesaran, M. Hashem & Shin, Yongcheol, 2003. "Testing for unit roots in heterogeneous panels," Journal of Econometrics, Elsevier, vol. 115(1), pages 53-74, July.
    6. Frees, Edward W., 1995. "Assessing cross-sectional correlation in panel data," Journal of Econometrics, Elsevier, vol. 69(2), pages 393-414, October.
    7. Joannes Mongardini & Brett Rayner, 2009. "Grants, Remittances, and the Equilibrium Real Exchange Rate in Sub-Saharan African Countries," IMF Working Papers 09/75, International Monetary Fund.
    8. Rafael E. De Hoyos & Vasilis Sarafidis, 2006. "Testing for cross-sectional dependence in panel-data models," Stata Journal, StataCorp LP, vol. 6(4), pages 482-496, December.
    9. Arvind Subramanian & Raghuram Rajan, 2005. "What Undermines Aid’s Impact on Growth?," IMF Working Papers 05/126, International Monetary Fund.
    10. Ibrahim A. Elbadawi & Linda Kaltani & Klaus Schmidt-Hebbel, 2008. "Foreign Aid, the Real Exchange Rate, and Economic Growth in the Aftermath of Civil Wars," World Bank Economic Review, World Bank Group, vol. 22(1), pages 113-140, February.
    11. Bussière, Matthieu & Ca' Zorzi, Michele & Chudik, Alexander & Dieppe, Alistair, 2010. "Methodological advances in the assessment of equilibrium exchange rates," Working Paper Series 1151, European Central Bank.
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    Cited by:

    1. Ojeda Joya, Jair & Torres, Jhon Edwar, 2012. "Posición externa de largo plazo y tipo de cambio real de equilibrio en Colombia," REVISTA LECTURAS DE ECONOMÍA, UNIVERSIDAD DE ANTIOQUIA - CIE, October.
    2. Gevorkyan, Aleksandr V., 2015. "The legends of the Caucasus: Economic transformation of Armenia and Georgia," International Business Review, Elsevier, vol. 24(6), pages 1009-1024.

    More about this item


    Armenia; Foreign exchange; Equilibrium exchange rate; competitiveness; panel estimations; exchange rate; real exchange rate; cointegration; survey; Open Economy Macroeconomics;

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