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

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  • Camarero, Mariam
  • Tamarit, Cecilio

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.
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  • Camarero, Mariam & Tamarit, Cecilio, 2002. "A panel cointegration approach to the estimation of the peseta real exchange rate," Journal of Macroeconomics, Elsevier, vol. 24(3), pages 371-393, September.
    • Handle: RePEc:eee:jmacro:v:24:y:2002:i:3:p:371-393
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    5. Simplice Asongu, 2013. "How Would Population Growth Affect Investment in the Future? Asymmetric Panel Causality Evidence for Africa," African Development Review, African Development Bank, vol. 25(1), pages 14-29.
    6. Simplice A. Asongu, 2014. "Correcting Inflation with Financial Dynamic Fundamentals: Which Adjustments Matter in Africa?," Journal of African Business, Taylor & Francis Journals, vol. 15(1), pages 64-73, April.
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    8. GUISAN, Maria-Carmen, 2009. "Real Exchange Rate Euro-Dollar And Foreign Trade Balance: Analysis Of Spain, Germany And France In Comparison With The Usa. 1960-2007," Economic Development 100, University of Santiago de Compostela. Faculty of Economics and Business. Econometrics..
    9. Malebogo Bakwena & Philip Bodman & Sandy Suardi, "undated". "Making Abundant Natural Resources Work for Developing Economies: The Role of Financial Institutions," MRG Discussion Paper Series 2108, School of Economics, University of Queensland, Australia.
    10. Asongu, Simplice A., 2014. "A note on the long-run neutrality of monetary policy: new empirics," European Economic Letters, European Economics Letters Group, vol. 3(1), pages 1-6.
    11. Atif, Syed Muhammad & Sauytbekova, Moldir & Macdonald, James, 2012. "The Determinants of Australian Exchange Rate: A Time Series Analysis," EconStor Preprints 65665, ZBW - Leibniz Information Centre for Economics.
    12. Westerlund, Joakim & Basher, Syed A., 2008. "Mixed signals among tests for panel cointegration," Economic Modelling, Elsevier, vol. 25(1), pages 128-136, January.
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    JEL classification:

    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
    • F31 - International Economics - - International Finance - - - Foreign Exchange

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