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Author: Isabell Koske Publisher: Peter Lang Gmbh, Internationaler Verlag Der Wissenschaften ISBN: Category : Business & Economics Languages : en Pages : 212
Book Description
Since the launch of the euro in 1999, researchers, policy makers, and business analysts have put great interest in the evolution of the external value of the euro. In 2004 the European Monetary Union expanded its membership with the accession of ten countries from central and eastern Europe and the Mediterranean. As these countries are committed to adopt the euro as soon as they fulfill the Maastricht criteria, knowing their currencies' equilibrium value is of great policy interest. This study addresses these questions by deriving equilibrium exchange rate paths for the euro and for the currencies of the new EU member countries. Specifically, one part investigates in how far variations in seven bilateral nominal euro exchange rates can be explained by monetary factors and then estimates the equilibrium path of the real effective exchange rate of the euro based on the NATREX approach. The final chapters derive equilibrium exchange rate paths for the currencies of the Czech Republic, Hungary, Poland, Slovenia, Slovakia, and the three Baltic countries using a small country version of the NATREX model.
Author: Isabell Koske Publisher: Peter Lang Gmbh, Internationaler Verlag Der Wissenschaften ISBN: Category : Business & Economics Languages : en Pages : 212
Book Description
Since the launch of the euro in 1999, researchers, policy makers, and business analysts have put great interest in the evolution of the external value of the euro. In 2004 the European Monetary Union expanded its membership with the accession of ten countries from central and eastern Europe and the Mediterranean. As these countries are committed to adopt the euro as soon as they fulfill the Maastricht criteria, knowing their currencies' equilibrium value is of great policy interest. This study addresses these questions by deriving equilibrium exchange rate paths for the euro and for the currencies of the new EU member countries. Specifically, one part investigates in how far variations in seven bilateral nominal euro exchange rates can be explained by monetary factors and then estimates the equilibrium path of the real effective exchange rate of the euro based on the NATREX approach. The final chapters derive equilibrium exchange rate paths for the currencies of the Czech Republic, Hungary, Poland, Slovenia, Slovakia, and the three Baltic countries using a small country version of the NATREX model.
Author: Jörg Rahn Publisher: Peter Lang Publishing ISBN: Category : Business & Economics Languages : en Pages : 204
Book Description
The upcoming enlargement of the European Monetary Union involves the selection of appropriate reference rates at which the exchange rates of the accession countries will be fixed against the euro in order to avoid economic distortions as consequences of serious exchange rate misalignments. Determination of an exchange rate that is neither undervalued nor overvalued raises the issue of equilibrium exchange rates. Based on time series as well as panel estimation techniques three different concepts - BEER, PEER and PPP - are applied in this study to calculate equilibrium exchange rate levels for ten Central and Eastern European countries. The results indicate significant real misalignments in a number of accession countries.
Author: Ronald MacDonald Publisher: Springer Science & Business Media ISBN: 9780792384243 Category : Business & Economics Languages : en Pages : 364
Book Description
How successful is PPP, and its extension in the monetary model, as a measure of the equilibrium exchange rate? What are the determinants and dynamics of equilibrium real exchange rates? How can misalignments be measured, and what are their causes? What are the effects of specific policies upon the equilibrium exchange rate? The answers to these questions are important to academic theorists, policymakers, international bankers and investment fund managers. This volume encompasses all of the competing views of equilibrium exchange rate determination, from PPP, through other reduced form models, to the macroeconomic balance approach. This volume is essentially empirical: what do we know about exchange rates? The different econometric and theoretical approaches taken by the various authors in this volume lead to mutually consistent conclusions. This consistency gives us confidence that significant progress has been made in understanding what are the fundamental determinants of exchange rates and what are the forces operating to bring them back in line with the fundamentals.
Author: Mr.Angel J. Ubide Publisher: International Monetary Fund ISBN: 1451858736 Category : Business & Economics Languages : en Pages : 44
Book Description
This paper presents a methodology for calculating bilateral equilibrium exchange rates for a panel of currencies in a way that guarantees global consistency. The methodology has three parts: a theoretical model that encompasses the balance of payments and the Balassa-Samuelson approaches to real exchange rate determination; an unobserved components decomposition in a cointegration framework that identifies a time-varying equilibrium real exchange rate; and an algebraic transformation that extracts bilateral equilibrium nominal rates. The results uncover that, by the start of Stage III of the European Economic and Monetary Union (EMU), the euro was significantly undervalued against the dollar and the pound, but overvalued against the yen. The paper also shows that the four major EMU currencies locked their parities with the euro at a rate close to equilibrium.
Author: Christian H. Fahrholz Publisher: Springer Science & Business Media ISBN: 3790817627 Category : Business & Economics Languages : en Pages : 157
Book Description
This work examines the political economy of exchange-rate policies in the eastward expansion of the eurozone. Analysis shows that prospective members of the EMU are likely to pass on some costs of convergence to the current EMU members. The mechanism is an altered exchange-rate policy that utilizes a "threaten-thy-neighbour" strategy. This could ensure a stabilization of the CEECs' convergence toward the EMU, and a successful eastward enlargement of the eurozone.
Author: Balázs Égert Publisher: ISBN: Category : Languages : en Pages : 0
Book Description
The ambition of this study is to estimate the equilibrium real and nominal exchange rates for 5 selected Central and Eastern European transition economies, namely for the Czech Republic, Hungary, Poland, Slovakia and Slovenia. For this purpose, the fundamental equilibrium exchange rate (FEER) methodology developed by Williamson (1994) is combined with the behavioural equilibrium exchange rate (BEER) approach advocated by Clark and McDonald (1998). Our investigation is based on the notion of internal and external balances defined respectively in terms of the relative price of non-tradable goods and the long-run sustainability of the current account position, and is carried out in the framework of a VAR-based 3-equation cointegration system. Long-term equilibrium values for relative prices are determined using relative productivity and private consumption, whereas the current account is regressed on terms of trade and the openness ratio. To derive the equilibrium real exchange rate and to compute subsequently the extent of misalignment, the long-run values for external and internal balances are substituted in the simultaneously estimated cointegration relationships connecting the real effective exchange rate with relative prices and the current account. The empirical findings show that the gap between the observed and estimated equilibrium real exchange rates differs across the 5 transition countries: the Czech Republic, Poland and Slovakia may have experienced an excessive appreciation of their real effective exchange rate whilst Hungary and Slovenia show little sign of overvaluation during the period under study. These results suggest the role flexible exchange rate regimes may play in exchange rate misalignments. Assuming that the obtained misalignment can be eliminated with adjustments in the nominal exchange rate, the estimated misalignment is used to derive the equilibrium nominal exchange rate against the euro. Finally, we construct a hypothetical ERM-II so as to investigate the nominal exchange rate stability around the estimated equilibrium nominal exchange rate.
Author: Enrique Alberola Publisher: ISBN: Category : Languages : en Pages : 43
Book Description
This paper presents a methodology for calculating bilateral equilibrium exchange rates for a panel of currencies in a way that guarantees global consistency. The methodology has three parts: a theoretical model that encompasses the balance of payments and the Balassa-Samuelson approaches to real exchange rate determination; an unobserved components decomposition in a cointegration framework that identifies a time-varying equilibrium real exchange rate; and an algebraic transformation that extracts bilateral equilibrium nominal rates. The results uncover that, by the start of Stage III of the European Economic and Monetary Union (EMU), the euro was significantly undervalued against the dollar and the pound, but overvalued against the yen. The paper also shows that the four major EMU currencies locked their parities with the euro at a rate close to equilibrium.
Author: Jörg Rahn Publisher: ISBN: Category : Languages : en Pages : 0
Book Description
We apply BEER and PEER approaches to calculate real equilibrium exchange rates for five EU accession countries in central and east Europe. Bilateral nominal equilibrium exchange rates against the euro are obtained through algebraic transformation of the results. Panel cointegration techniques are used to check the adequacy of the empirical model. The results reveal substantial overvaluations of the real exchange rate in several EU accession countries. Overvaluation is even higher when these exchange rates are expressed in nominal terms against the euro.
Author: Isabell Koske
Author: Isabell Koske
Author: Jörg Rahn
Author: Ronald MacDonald
Author: Mr.Angel J. Ubide
Author: Balázs Égert
Author: Christian H. Fahrholz
Author: Balázs Égert
Author: Enrique Alberola
Author: Enrique Alberola
Author: Jörg Rahn