Saadaoui, Jamel and Mazier, Jacques and Aflouk, Nabil (2013): On the Determinants of Exchange Rate Misalignments.
Preview |
PDF
MPRA_paper_47481.pdf Download (270kB) | Preview |
Abstract
The literature on exchange rate misalignments is very extensive as well as the literature on exchange rate determinants. To our knowledge, however, no study has analyzed the determinants of exchange rate misalignments. As huge capital inflows have been pouring into emerging countries since the climax of the crisis, exchange rate misalignments are becoming a crucial issue for policy makers. For a large panel of emerging and industrialized countries and on the period 1982-2008, we identify, empirically, the main determinants of exchange rate misalignments obtained thanks to a FEER approach (Williamson, 1994). Our analysis put forward trade openness, financial openness and regional specialization as determinant variables of exchange rate misalignments.
Item Type: | MPRA Paper |
---|---|
Original Title: | On the Determinants of Exchange Rate Misalignments |
Language: | English |
Keywords: | Exchange Rate Misalignments; Trade Openness; Financial Openness; Regional Specialization. |
Subjects: | F - International Economics > F3 - International Finance > F31 - Foreign Exchange F - International Economics > F3 - International Finance > F32 - Current Account Adjustment ; Short-Term Capital Movements O - Economic Development, Innovation, Technological Change, and Growth > O1 - Economic Development > O11 - Macroeconomic Analyses of Economic Development |
Item ID: | 47481 |
Depositing User: | Jamel Saadaoui |
Date Deposited: | 08 Jun 2013 18:31 |
Last Modified: | 27 Sep 2019 08:58 |
References: | Aflouk, N., Jeong, S.-E., Mazier, J., Saadaoui, J. (2010). Exchange Rate Misalignments and International Imbalances: a FEER Approach for Emerging Countries. Économie Internationale / International Economics, 124, 31-74. Borowski, D., Couharde, C. (2003). The Exchange Rate Macroeconomic Balance Approach: New Methodology and Results for the Euro, the Dollar, the Yen and the Pound Sterling. Open Economies Review, 14, 169-190. Breitung, J. (2000). The local power of some unit root tests for panel data, In B.H. Baltagi (Ed.) Advances in econometrics: Nonstationary panels, panel cointegration, and dynamic panels 15, Amsterdam: JAI Press. Chinn, M.D., Ito, H. (2008). Global Current Account Imbalances: American Fiscal Policy versus East Asian Savings. Review of International Economics, 16, 479-498. Choi, I. (2001). Unit root tests for panel data. Journal of International Money and Finance, 20, 249-272. Cline, W. R. (2008). Estimating Consistent Fundamental Equilibrium Exchange Rates. Working Papers No. 08-6, Peterson Institute for International Economics. Feldstein, M. S. (2011). The Role of Currency Realignments in Eliminating the US and China Current Account Imbalances. Working Paper No. 16674, NBER. Jeong, S.-E., Mazier, J. (2003). Exchange Rate Regimes and Equilibrium Exchange Rates in East Asia. Revue Économique, 54, 1161-1182. Jeong, S.-E., Mazier, J., Saadaoui, J. (2010). Exchange rate misalignments at world and European levels: A FEER approach. Économie Internationale / International Economics, 121, 25-58. Lee, J., Milesi-Ferretti, G. M., Ostry, J., Prati, A., Ricci, L. A. (2008). Exchange rate assessments: CGER methodologies. Occasional Papers 261, International Monetary Fund. Levin, A., Lin, C. -F., Chu, C. -S. J. (2002). Unit root tests in panel data: Asymptotic and finite sample properties. Journal of Econometrics, 108, 1-22. Maddala, G., Wu, S. (1999). A comparative study of unit root tests with panel data and a simple new test. Oxford Bulletin of Economics and Statistics, 61, 631-652. Pedroni, P. (1999). Critical Values for Cointegration Tests in Heterogeneous Panels with Multiple Regressors. Oxford Bulletin of Economics and Statistics, 61, 653-70. Pesaran, M. H. (2007). A simple unit root test in the presence of cross section dependence. Journal of Applied Econometrics, 22, 265-312. Persyn, D., Westerlund, J. (2008). Error correction based cointegration tests for panel data. Stata Journal, 8, 232-241. Pesaran, M. H., Shin Y., Smith R. P. (1999). Pooled mean group estimation of dynamic heterogeneous panels. Journal of the American Statistical Association, 94, 621-634. Saadaoui, J. (2011a). Exchange rate dynamics and fundamental equilibrium exchange rates. Economics Bulletin, 31, 1993-2005. Saadaoui, J. (2011b). Global imbalances and capital account openness: an empirical analysis, mimeo. Westerlund, J. (2007). Testing for error correction in panel data. Oxford Bulletin of Economics and Statistics, 69, 709-748. Williamson, J. (1994). Estimating Equilibrium Exchange Rates. Peterson Institute Press. Peterson Institute for International Economics. |
URI: | https://mpra.ub.uni-muenchen.de/id/eprint/47481 |