2 edition of **How robust are estimates of equilibrium real exchange rates** found in the catalog.

How robust are estimates of equilibrium real exchange rates

Steven Vincent Dunaway

- 357 Want to read
- 37 Currently reading

Published
**2006**
by International Monetary Fund, Asia and Pacific Dept. in [Washington, D.C.]
.

Written in English

- Foreign exchange rates -- China -- Econometric models.,
- Equilibrium (Economics)

**Edition Notes**

Statement | prepared by Steven Dunaway, Lamin Leigh, and Xiangming Li. |

Series | IMF working paper -- WP/06/220 |

Contributions | Leigh, Lamin, Li, Xiangming., International Monetary Fund. Asia and Pacific Dept. |

The Physical Object | |
---|---|

Pagination | 13 p. : |

Number of Pages | 13 |

ID Numbers | |

Open Library | OL19374349M |

the coefﬁcients estimated in the ﬁrst stage, we calculate the equilibrium real exchange rate. The coefﬁcients could be applied both to the actual values of regressors (resulting in the so- called current BEER) and to their cyclically adjusted values (the long-term BEER). Equilibrium Exchange Rates | Ronald MacDonald, Jerome L. Stein (auth.), Ronald MacDonald, Jerome L. Stein (eds.) | download | B–OK. Download books for free. Find books.

The theory that exchange rates between currencies are in equilibrium when their purchasing power is the same in each of the two countries. As a result, the exchange rate between two countries should equal the ratio of the two countries’ price level of a fixed based basket of goods and services. Estimation Results. The first column in Table 3 reports the estimated equilibrium long-run (cointegrating) relationship between the real exchange rate and the aforementioned set of explanatory variables, including a set of country-specific constant terms (the estimation methodology and robustness tests are described in Appendix ). 25 The specification in column 2 also includes a.

14 Michael Mussa An alternative asset price model of the exchange rate emerges (in sec. ) from a reduced-form expression of the condition of balance of pay- ments equilibrium that is derived from an extended version of the standard. In October , the base month of this new set of fundamental equilibrium exchange rate (FEER) estimates, the US dollar was overvalued by 8 percent, about the same amount as identified in the three previous issues in this series. The real effective exchange rate (REER) of the dollar in October was 17 percent above its level in mid

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The estimation produced a reasonable set of equilibrium exchange rates that appreciate with positive shocks to the terms of trade, world real interest rates, and the productivity differential between Finland and its trading partners. Category: Business & Economics How Robust Are Estimates Of Equilibrium Real Exchange Rates The Case Of China.

differences in equilibrium real exchange rate estimates. Therefore, such estimates should be treated with great caution. Increased attention is being paid to assessments of the actual values of countries’ real exchange rates relative to their ‘equilibrium’ values as.

Get this from a library. How robust are estimates of equilibrium real exchange rates: the case of China. [Steven Vincent Dunaway; Lamin Leigh; Xianming Li] -- Increased attention is being paid to assessments of the actual values of countries' real exchange rates relative to their "equilibrium" values as suggested by "fundamental" determining factors.

Download Citation | How Robust Are Estimates of Equilibrium Real Exchange Rates: The Case of China | This paper calculates indices of central bank autonomy (CBA) for central banks as of end.

Downloadable. Abstract. Assessments of a country's real exchange rate relative to its ‘equilibrium’ value as suggested by ‘fundamental’ determinants have received increasing attention. Using China as an example, the present paper illustrates models commonly used to derive equilibrium real exchange rate estimates.

The large variance in the estimates raises serious questions about the. How Robust are Estimates of Equilibrium Real Exchange Rates: The Case of China Pacific Economic Review, Vol. 14, Issue 3, pp. August Number of. Increased attention is being paid to assessments of the actual values of countries' real exchange rates relative to their "equilibrium" values as suggested by "fundamental" determining factors.

This paper assesses the robustness of alternative approaches and models commonly used to derive equilibrium real exchange rate estimates. Using China's currency to illustrate this analysis.

The real equilibrium exchange rate is constructed using a parsimonious model and estimators that are robust to cross-sectional independence and small sample size bias.

How Robust are Estimates of Equilibrium Real Exchange Rates: The Case of China 1 Prepared by Steven Dunaway, Lamin Leigh, and Xiangming Li Authorized for distribution by Steven Dunaway October Abstract This Working Paper should not be reported as representing the views of the IMF.

Estimating Long-Run Equilibrium Exchange Rates Ibrahim A. Elbadawi. The Natural Real Exchange Rate of the US Dollar and Determinants of Capital Flows Jerome L. Stein. Estimates of FEERS John Williamson. An Assessment of the Evidence on Purchasing Power Parity Janice Boucher Breuer.

On the Concept and Usefulness of the Equilibrium. This paper assesses the robustness of alternative approaches and models commonly used to derive equilibrium real exchange rate estimates.

Using China’s currency to illustrate this analysis, the variance in estimates raises serious questions regarding how robust the results are. an important determinant of real equilibrium exchange rates. A distinction is made between a tradable and a non tradable sector in order to capture the effects of productivity trends in these sectors on the exchange rate.

This extension also allows for a more detailed analysis of the effects of structural measures on the exchange rate. This paper presents a methodology to estimate equilibrium real exchange rates (ERER) for Sub-Saharan African (SSA) countries using both single-country and panel estimation techniques.

The limited data set hinders single-country estimation for most countries in the sample, but panel estimates are statistically and economically significant, and. 1. Introduction.

It is well known that real exchange rate fluctuations can be attributed primarily to non-monetary shocks. Clarida and Gali () use the Blanchard–Quah identification strategy to estimate the share of exchange rate variability that is due to different shocks by using quarterly US–Canada, US–Germany, US–Japan, and US–UK real exchange rate data from Q3 to Q4.

The Estimation of the Equilibrium Real Exchange Rate for Romania 5. Empirical Results In order to estimate the equilibrium real exchange rate using a BEER approach I have followed more steps.

First I checked if the series used are stationary, using Augmented Dickey-Fuller and Phillips-Perron tests. The positive coefficient estimate for the Japan trend variable (1 percent) suggests Equilibrium real exchange rates: R J Baiters and J H Bergstrand plausibly that Japan had a lower rate of time preference than the United States (although not statistically significantly lower),t6 Finally, Taylor () notes that equilibrium exchange rate.

This has been particularly so in the case of attempts to estimate the equilibrium exchange rate for China's currency, the RMB (Dunaway and Li ). The variance in these estimates also raises serious questions regarding how robust equilibrium exchange rate estimates are.

use various alternative approaches. Every equilibrium exchange rate estimate is influenced by the specific definition of equilibrium in the approach applied to obtain the estimate.

The objective of this paper is to apply the two most used approaches BEER and FEER to estimate equilibrium real effective exchange rate for the Slovak economy. Annotation. This paper presents a methodology to estimate equilibrium real exchange rates (ERER) for Sub-Saharan African (SSA) countries using both single-country and panel estimation techniques.

the limited data set hinders single-country estimation for most countries in the sample, but panel estimates are statistically and economically significant, and generally robust to different.

the estimate of the equilibrium real exchange rate. Finally, it should be borne in mind that although it is possible to calculate the equilibrium real exchange rate for individual years and even individual quarters, it is most appropriate to calculate the equi - librium real exchange rate based on conditions over a period of sev - eral years.

Downloadable! We follow the behavioral equilibrium exchange rate approach by Clark and MacDonald () to derive equilibrium real effective exchange rates and currency misalignments for the US and its 16 major trading partners.

We apply cointegration and panel cointegration techniques to derive fully countryspecific measures of misalignment and measures based on panel estimates. The IMF invests significant resources in developing models to estimate equilibrium exchange rates.

This column assesses the predictive power of one vintage of IMF exchange rate models during – The models performed exceptionally well at predicting exchange rate movements over the medium run, which is particularly remarkable given that the period covered the.equilibrium real exchange rate is a function of observable macroeconomic variables, and that the actual real exchange rate approaches the equilibrium rate over time.

A recent strand of the empirical literature exploits these observations to develop a single-equation approach to estimating the equilibrium real exchange rate.