A panel cointegration approach to the estimation of the peseta real exchange rate

No 01-08, Working Papers from Asociación Española de Economía y Finanzas Internacionales

Abstract: In this paper we estimate different specifications of a model for the determination of the bilateral real exchange rate of the peseta relative to nine European Union members. The model is based on Meese and Rogo (1988) monetary approach as extended by MacDonald (1998). The applied econometric techniques are the recent panel cointegration tests developed by Kao (1999), McCoskey and Kao (1998) and Pedroni (1999) for homogeneous and heterogeneous panels. The results are favorable to a model containing relative productivities in tradables and non-tradables and the real interest rate diferentials as explanatory variables.

Keywords: real exchange rate; European Monetary Union; panel cointegration (search for similar items in EconPapers)
JEL-codes: C33 F31 (search for similar items in EconPapers)
Pages: 38 pages
Date: 2001-11
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Citations: View citations in EconPapers (2)

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Related works:
Journal Article: A panel cointegration approach to the estimation of the peseta real exchange rate (2002)
Working Paper: A panel cointegration approach to the estimation of the peseta real exchange rate
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