Equilibrium real exchange rate in Macedonia

Petrevski, Goran

doi:10.1504/ijmef.2007.016022

Cited by 3 publications

(6 citation statements)

References 5 publications

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“…Our modelling follows the approach adopted by Petrevski (2007). Since equilibrium values are unobservable, we resort to estimating a long-run relationship between the current values of the real exchange rate and the current values of the fundamentals.…”

Section: Modelling Methodology and Datamentioning

confidence: 99%

“…Most of the recent empirical studies test hypotheses against various theoretical backgrounds ranging from the law of one price or Purchasing Power Parity (PPP) theory to concepts of uncovered interest parity to equilibrium real exchange rates. These studies include Rusydi and Islam (2010), Petrevski (2007Petrevski ( , 2010, Hsing and Sergi (2009), Russel (2009). While some of the papers tested the validity of PPP or the Balassa-Samuelson effect, some modelled the dynamics of real exchange rates and others attempt to determine the long-run equilibrium real exchange rates and to assess the possible misalignment.…”

Section: Review Of Empirical Research On Real Exchange Ratesmentioning

confidence: 99%

“…The methodologies adopted in the studies included time series analysis working with cross section or panel data, utilising reduced form equations or large structural models. The earlier research employed simple regression models and recent research used co-integration techniques (Petrevski, 2007). Froot and Rogoff (1996) observe while most of the first-generation tests rejected the PPP hypothesis, the second-generation tests found that the PPP hypothesis was valid only for very long periods covering more than 100 years and that too for industrialised countries with similar income levels, growth rates and inflation.…”

Section: Review Of Empirical Research On Real Exchange Ratesmentioning

confidence: 99%

“…Important findings of a few major research studies on long-run real exchange rates of the major world currencies, which employed different methodologies, including co-integration technique and panel data analyses are succinctly summarised by Petrevski (2007). MacDonald (1997) and MacDonald and Nagayasu (1999) in their studies on real exchange rates of major world currencies formulated models on the lines that real exchange rates are functions of the standard fundamental variables such as: productivity differentials, fiscal balance, private savings and interest rate differentials.…”

Section: Review Of Empirical Research On Real Exchange Ratesmentioning

confidence: 99%

“…According to Petrevski (2007), the long-run parameters obtained based on the model could not be viewed as the equilibrium real exchange rate. Therefore, we obtain these values by employing two statistical techniques, namely a 5-year moving average and Hodrick-Prescott (HP) filter, proposed by Ravn and Uhlig (2002), for calculating the equilibrium real exchange rate.…”

Section: Estimation Of Degree Of Misalignmentmentioning

confidence: 99%

See 4 more Smart Citations

Equilibrium real exchange rate in Fiji: an empirical study

Jayaraman

Choong

2011

IJMEF

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Given the fact that Fiji has a very narrow range of exportable commodities with a high degree of dependence on tourism earnings, maintenance of a competitive real exchange rate is of utmost importance. This paper undertakes an empirical analysis of Fiji's real exchange rate, by estimating long-run equilibrium real exchange rate and examining the short-run dynamics of real exchange rates and detection of possible misalignment. Empirical investigation shows that there has been no large, persistent instance of misalignment of Fiji's Real Effective Exchange Rate (REER).

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Section: Modelling Methodology and Datamentioning

confidence: 99%

Section: Review Of Empirical Research On Real Exchange Ratesmentioning

confidence: 99%

Section: Review Of Empirical Research On Real Exchange Ratesmentioning

confidence: 99%

Section: Review Of Empirical Research On Real Exchange Ratesmentioning

confidence: 99%

Section: Estimation Of Degree Of Misalignmentmentioning

confidence: 99%

See 3 more Smart Citations

Equilibrium real exchange rate in Fiji: an empirical study

Jayaraman

Choong

2011

IJMEF

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Equilibrium Real Exchange Rate and Misalignment: The Sierra Leone Perspective

Tarawalie¹

2021

AEF

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This paper estimates the equilibrium real effective exchange rate and determine the level of exchange rate misalignment in Sierra Leone, for the period 1980 to 2018. The paper utilizes the behavioral equilibrium exchange rate methodology within the Johansen maximum likelihood framework to estimate the long run equilibrium real effective exchange rate. The unit root test result shows that all the variables are integrated of order one, whilst the cointegration test establishes the existence of one cointegrating vector as evidenced by both the Trace and Maximum Eigen Statistics. The normalized long run results reveal that openness, government expenditure and money supply were the most significant determinants of the real effective exchange rate in the long run. Furthermore, the findings reveal that the real effective exchange rate experienced sustained deviation from the long run equilibrium real effective exchange rate during the study period, with episodes of overvaluation and undervaluation. Specifically, the real effective exchange rate was overvalued by 3.69 percent during the period between 1980-1985; undervalued by 1.8 percent between 1986-1997, and overvalued by 0.9 percent between 1998-2004, Thus, the paper reveals episodes of misalignment of the real effective exchange rate. Based on these findings, the study recommends that, the monetary authorities should ensure stability of the exchange rate and maintain price stability, through sterilization of capital flows as well as contain money growth within the statutory limit.

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