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Estimating Equilibrium Won/dollar Real Exchange Rate: A Behavioral Approach

Author

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  • Sun Eae Chun

    (Chonnam National University)

Abstract

A BEER-based measure of the Korean Won/dollar is estimated using the cointegration methods of Johansen(1995). Impulse response analysis shows that the responses of the real exchange rate to the various shocks differ. Variance decomposition anylysis demonstrates that the net foreign asset and productivity differential plays a important role in explaining the behavior of real exchange cointegrating equation reveals the periods of overvaluation in the 1990s until the 1997 financial crisis.

Suggested Citation

  • Sun Eae Chun, 2006. "Estimating Equilibrium Won/dollar Real Exchange Rate: A Behavioral Approach," Korean Economic Review, Korean Economic Association, vol. 22, pages 131-152.
    • Handle: RePEc:kea:keappr:ker-20060630-22-1-07
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    More about this item

    Keywords

    equilibrium exchange rate; misalignment; cointegration analysis;
    All these keywords.

    JEL classification:

    • F0 - International Economics - - General
    • F4 - International Economics - - Macroeconomic Aspects of International Trade and Finance

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