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Estimarea cursului de schimb real de echilibru in România
[The equilibrium exchange rate in Romania]

Author

Listed:
  • Dumitru, Ionut

Abstract

This paper estimates using econometric techniques the equilibrium exchange rate in Romania based on fundamentals. The cointegration technique lead to the conclusion that an increase in relative prices differential between Romania and Euro zone and an increase in net foreign assets of the banking system appreciate the equilibrium exchange rate. Based on estimation of the equilibrium exchange rate, the actual exchange rate in Romania had periods of overvaluation and periods of undervaluation. On short term the undervaluation of the exchange rate has positive effects on trade balance, but on long term perspective the situation should be seen carefully. The paper assesses also the impact of the deviation of the exchange rate from equilibrium on the Romania’s future participation to ERM2.

Suggested Citation

  • Dumitru, Ionut, 2006. "Estimarea cursului de schimb real de echilibru in România [The equilibrium exchange rate in Romania]," MPRA Paper 10631, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:10631
    as

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    File URL: https://mpra.ub.uni-muenchen.de/10631/1/MPRA_paper_10631.pdf
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    References listed on IDEAS

    as
    1. Egert, Balazs, 2005. "Equilibrium exchange rates in South Eastern Europe, Russia, Ukraine and Turkey: Healthy or (Dutch) diseased?," Economic Systems, Elsevier, vol. 29(2), pages 205-241, June.
    2. repec:zbw:bofitp:2002_008 is not listed on IDEAS
    3. Christoph Fischer, 2004. "Real currency appreciation in accession countries: Balassa-Samuelson and investment demand," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 140(2), pages 179-210, June.
    4. Michael W. Klein, 2005. "Capital Account Liberalization, Institutional Quality and Economic Growth: Theory and Evidence," NBER Working Papers 11112, National Bureau of Economic Research, Inc.
    5. Kim, Byung-Yeon & Korhonen, Iikka, 2005. "Equilibrium exchange rates in transition countries: Evidence from dynamic heterogeneous panel models," Economic Systems, Elsevier, vol. 29(2), pages 144-162, June.
    6. William Ellery Channing, 1994. "Change," American Journal of Economics and Sociology, Wiley Blackwell, vol. 53(1), pages 15-15, January.
    7. Michael W. Klein, 2003. "Capital Account Openness and the Varieties of Growth Experience," NBER Working Papers 9500, National Bureau of Economic Research, Inc.
    8. John Williamson, 1994. "Estimating Equilibrium Exchange Rates," Peterson Institute Press: All Books, Peterson Institute for International Economics, number 17, April.
    9. repec:zbw:bofitp:2002_015 is not listed on IDEAS
    10. Balázs Égert, 2004. "Equilibrium Exchange Rates in Southeastern Europe, Russia, Ukraine and Turkey: Healthy or (Dutch) Diseased?," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue 2, pages 138-181.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. Ailinca, Alina Georgeta & Milea, Camelia & Iordache, Floarea, 2012. "Theoretical And Practical Aspects Regarding The Exchange Rate And The Equilibrium Exchange Rate In Romania," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", vol. 16(3), pages 112-125.

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    More about this item

    Keywords

    curs real de echilibru; convergenta; diferential de productivitate; preturi relative; efect Balassa-Samuelson;
    All these keywords.

    JEL classification:

    • F15 - International Economics - - Trade - - - Economic Integration
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • F31 - International Economics - - International Finance - - - Foreign Exchange

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