汇率动态与基本均衡汇率

IF 0.6 Q3 Economics, Econometrics and Finance Economics Bulletin Pub Date : 2011-07-06 DOI:10.2139/SSRN.1933305

Jamel Saadaoui

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引用次数: 11

摘要

本文研究了购买力平价法(PPP)最常用的估算均衡汇率的替代方法——基本均衡汇率(FEER)在长期内对汇率动态的影响。对于1982-2007年期间工业化国家和新兴国家的大型面板，我们在实际有效汇率系列和feer系列中发现了单位根的存在。我们发现并估计了实际有效汇率与FEERs之间的协整关系。结果表明，从长期来看，FEER对汇率动态具有显著的正向影响。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Exchange Rate Dynamics and Fundamental Equilibrium Exchange Rates

The paper investigates if the most popular alternative to the purchasing parity power approach (PPP) to estimate equilibrium exchange rates, the fundamental equilibrium exchange rate (FEER) influences exchange rate dynamics in the long run. For a large panel of industrialized and emerging countries and on the period 1982-2007, we detect the presence of unit roots in the series of real effective exchange rates and in the series of FEERs. We find and estimate a cointegration relationship between real effective exchange rates and FEERs. The results show that the FEER has a positive and significant influence on exchange rate dynamics in the long run.

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来源期刊

Economics Bulletin ECONOMICS-

CiteScore

1.60

自引率

0.00%

发文量

期刊介绍： The Economic Bulletin is an open-access letters journal founded in 2001 with the mission of providing free and extremely rapid scientific communication across the entire community of research economists. EB publishes original notes, comments, and preliminary results. We are especially interested in publishingmanuscripts that keep the profession informed about on-going research programs. Our publication standard is that a manuscript be original, correct and of interest to a specialist. Submissions in these categories are refereed and our objective is to make a decision within two months. Accepted papers are published immediately. It is expected that in many cases, manuscripts published in these categories will form the foundation for more complete works to besubsequently submitted to other journals. In all cases, submissions are restricted to seven printed pages exclusive of references, tables, figures, and appendices, and must be in PDF format. EB also publishes non-refereed letters to the editor, conference announcements and research announcements.