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Chocs externes et ajustements des taux de change réels européens
[External shocks and adjustment of European real exchange rates]

Author

Listed:
  • Bouoiyour, Jamal
  • Rey, Serge

Abstract

This paper asks whether external shocks (U.S. interest rates, U.S. industrial production, U.S. stocks prices and world industrial material price) have asymmetric effects on European relative prices (real exchange rates). On 1979-1993 period, the paper finds that two groups of countries may be distinguished; on one side Germany, France, Belgium and Netherlands; on another side, United Kingdom, Italy and Spain. The results imply misalignments in European real exchange rates when external shocks arise. Also, Europe is not an optimum currency area.

Suggested Citation

  • Bouoiyour, Jamal & Rey, Serge, 1995. "Chocs externes et ajustements des taux de change réels européens
    [External shocks and adjustment of European real exchange rates]
    ," MPRA Paper 30241, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:30241
    as

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    File URL: https://mpra.ub.uni-muenchen.de/30241/1/MPRA_paper_30241.pdf
    File Function: original version
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    References listed on IDEAS

    as
    1. Charles Wyplosz, 1991. "On the real exchange rate effect of German unification," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 127(1), pages 1-17, March.
    2. Robert B. Litterman, 1984. "Forecasting and policy analysis with Bayesian vector autoregression models," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Fall.
    3. Thomas Doan & Robert B. Litterman & Christopher A. Sims, 1983. "Forecasting and Conditional Projection Using Realistic Prior Distributions," NBER Working Papers 1202, National Bureau of Economic Research, Inc.
    4. Charles Wyplosz & Barry Eichengreen & Jean Pisani-Ferry, 1994. "Pourquoi le SME a explosé et comment le relancer ?," Revue Économique, Programme National Persée, vol. 45(3), pages 673-688.
    5. Niehans, Jurg, 1981. "Static deviations from purchasing-power parity," Journal of Monetary Economics, Elsevier, vol. 7(1), pages 57-68.
    6. Lawrence H. Officer, 1982. "The Relationship Between the Absolute and the Relative PPP Theory of Cassel," History of Political Economy, Duke University Press, vol. 14(2), pages 251-255, Summer.
    7. Hamada, Koichi, 1976. "A Strategic Analysis of Monetary Interdependence," Journal of Political Economy, University of Chicago Press, vol. 84(4), pages 677-700, August.
    8. Bela Balassa, 1964. "The Purchasing-Power Parity Doctrine: A Reappraisal," Journal of Political Economy, University of Chicago Press, vol. 72, pages 584-584.
    9. Berglas, Eitan & Razin, Assaf, 1973. "Real exchange rate and devaluation," Journal of International Economics, Elsevier, vol. 3(2), pages 179-191, May.
    10. von Hagen, Jurgen & Neumann, Manfred J M, 1994. "Real Exchange Rates within and between Currency Areas: How Far Away Is EMU?," The Review of Economics and Statistics, MIT Press, vol. 76(2), pages 236-244, May.
    11. Bayoumi, Tamim & Eichengreen, Barry, 1996. "Operationalizing the Theory of Optimum Currency Areas," CEPR Discussion Papers 1484, C.E.P.R. Discussion Papers.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    Relative prices; Real exchange rate; External shocks; Common European currency; Optimum currency area;

    JEL classification:

    • F15 - International Economics - - Trade - - - Economic Integration
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics

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