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Quantile regressions, asymmetric adjustment and crisis: the case of EU real exchange rates

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  • Juan Carlos Cuestas

    (Department of Economics, Universitat Jaume I, Castellón, Spain)

Abstract

In this paper we contribute to the long literature on determining the real exchange rate by using models that incorporate structural breaks and nonlinearities. We estimate cointegrated dynamic ordinary least squares regressions, Bayesian vector autoregressions (VAR), and interactive panel VARs. We find that the estimated coefficients for the CEECs and for the other member states differ from each other. We also find that the models are different before and after the crisis, and appreciations and depreciations of the RER seem to condition the long run equations for the EU15+2.

Suggested Citation

  • Juan Carlos Cuestas, 2019. "Quantile regressions, asymmetric adjustment and crisis: the case of EU real exchange rates," Working Papers 2019/09, Economics Department, Universitat Jaume I, Castellón (Spain).
    • Handle: RePEc:jau:wpaper:2019/09
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    References listed on IDEAS

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    Cited by:

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    More about this item

    Keywords

    Real exchange rates; competitiveness; quantile regression; Bayesian; asymmetric model; structural breaks; European integration;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • F15 - International Economics - - Trade - - - Economic Integration
    • F32 - International Economics - - International Finance - - - Current Account Adjustment; Short-term Capital Movements

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