{"title":"Has the relationship between the real exchange rate and its fundamentals changed over time?","authors":"J. C. Cuestas, Mercedes Monfort, Bojan Shimbov","doi":"10.1080/1406099X.2022.2096732","DOIUrl":null,"url":null,"abstract":"ABSTRACT In this paper we contribute to the literature on determining the real exchange rate by using models that incorporate structural breaks and nonlinearities. We estimate cointegrated dynamic ordinary least squares regressions and quantile regressions. We find that the estimated coefficients for the EU members from central and eastern Europe are different to those for the other member states. We also find that the models are different before and after the crisis that started in 2008, and this affects the outcome of the long-run equations for the EU15 + Cyprus and Malta.","PeriodicalId":43756,"journal":{"name":"Baltic Journal of Economics","volume":"22 1","pages":"68 - 89"},"PeriodicalIF":1.2000,"publicationDate":"2022-07-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"3","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Baltic Journal of Economics","FirstCategoryId":"96","ListUrlMain":"https://doi.org/10.1080/1406099X.2022.2096732","RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"ECONOMICS","Score":null,"Total":0}
引用次数: 3
Abstract
ABSTRACT In this paper we contribute to the literature on determining the real exchange rate by using models that incorporate structural breaks and nonlinearities. We estimate cointegrated dynamic ordinary least squares regressions and quantile regressions. We find that the estimated coefficients for the EU members from central and eastern Europe are different to those for the other member states. We also find that the models are different before and after the crisis that started in 2008, and this affects the outcome of the long-run equations for the EU15 + Cyprus and Malta.
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