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Bilaterial equilibrium exchange rates of EU accession countries against the euro

  • Jörg Rahn
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    We apply BEER and PEER approaches to calculate real equilibrium exchange rates for five EU accession countries in central and east Europe. Bilateral nominal equilibrium exchange rates against the euro are obtained through algebraic transformation of the results. Panel cointegration techniques are used to check the adequacy of the empirical model. The results reveal substantial overvaluations of the real exchange rate in several EU accession countries. Overvaluation is even higher when these exchange rates are expressed in nominal terms against the euro.

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    File URL: http://econwpa.repec.org/eps/mac/papers/0401/0401010.pdf
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    Paper provided by EconWPA in its series Macroeconomics with number 0401010.

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    Length: 33 pages
    Date of creation: 30 Jan 2004
    Date of revision:
    Handle: RePEc:wpa:wuwpma:0401010
    Note: Type of Document - pdf; pages: 33; figures: included
    Contact details of provider: Web page: http://econwpa.repec.org

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    1. Enrique Alberola & Susana G. Cervero & Humberto Lopez & Angel Ubide, 2000. "Global Equilibrium Exchange Rates: Euro, Dollar, "Ins," "Outs," and Other Major Currencies in a Panel Cointegration Framework," Econometric Society World Congress 2000 Contributed Papers 0051, Econometric Society.
    2. Canzoneri, Matthew B. & Cumby, Robert E. & Diba, Behzad, 1999. "Relative labor productivity and the real exchange rate in the long run: evidence for a panel of OECD countries," Journal of International Economics, Elsevier, vol. 47(2), pages 245-266, April.
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    12. Pasaran, M.H. & Im, K.S. & Shin, Y., 1995. "Testing for Unit Roots in Heterogeneous Panels," Cambridge Working Papers in Economics 9526, Faculty of Economics, University of Cambridge.
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    16. Gonzalo, J. & Granger, C., 1992. "Estimation of Common Long-Memory Components in Cointegrated Systems," Papers 4, Boston University - Department of Economics.
    17. Hansen, Bruce E, 1992. "Tests for Parameter Instability in Regressions with I(1) Processes," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(3), pages 321-35, July.
    18. Peter Pedroni, 2000. "Fully Modified OLS for Heterogeneous Cointegrated Panels," Department of Economics Working Papers 2000-03, Department of Economics, Williams College.
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