Real Exchange Rate Misalignment: An Application of Behavioral Equilibrium Exchange Rate (BEER) to Nigeria

Rano, Aliyu Shehu Usman

doi:10.2139/ssrn.1333642

Cited by 13 publications

(10 citation statements)

References 58 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…In theory, the change in the terms of trade is regarded as an important source of fluctuations of RER. However, the final effect on the RER may not be known a priori because of the existence of two effects (Aliyu, 2007): an income effect and a substitution effect -The income effect: following a reduction of import tariffs, the domestic price of import decreases. Thus, a positive income effect generates an increase in demand for non-tradable and importable goods .To absorb the excess demand for non-tradable goods, the non-tradable price must be increased and therefore, it generates an appreciation of the equilibrium RER; -The substitution effect: lower import tariffs make imports cheaper than non-tradable goods.…”

Section: Terms Of Trade and Rermentioning

confidence: 99%

The Variability of the Tunisian Real Exchange Rate

Hadhek¹,

Hniya²,

Lassoued³

2018

IJEF

View full text Add to dashboard Cite

show abstract

Section: Terms Of Trade and Rermentioning

confidence: 99%

The Variability of the Tunisian Real Exchange Rate

Hadhek¹,

Hniya²,

Lassoued³

2018

IJEF

View full text Add to dashboard Cite

show abstract

“…The economic fundamentals chosen depend on the conditions and structure of the economy including terms of trade, productivity, net foreign assets, public debt, interest rate differentials, public expenditure, openness ratio, real wages, unemployment rates, index of crude oil, and the relative price of non-traded to traded goods (Aliyu, 2009;Bęza-Bojanowska, 2009;Chen, 2007;Clark & MacDonald, 1999;Égert, Halpern, & MacDonald, 2006;Iossifov & Loukoianova, 2007;Kemme, Roy, & Gabrisch, 2003;Maeso-Fernandez, Osbat, & Schnatz, 2006;Wadhwani, 1999;Wang, Hui, & Soofi, 2007).…”

Section: Behavioural Equilibrium Exchange Rate (Beer)mentioning

confidence: 99%

Is Vietnam's exchange rate overvalued?

Bui

Makin

Ratnasiri

2017

Journal of the Asia Pacific Economy

View full text Add to dashboard Cite

This paper focuses on Vietnam's exchange rate whose official rate has been pegged by the State Bank against the U.S dollar since 1989 despite wider market liberalisation over this time. Whether Vietnam's official exchange rate is appropriately valued has important implications for the economy's international competitiveness, trade balance and GDP. The main aim of the paper is to assess whether the official exchange rate has been valued appropriately with reference to macroeconomic fundamentals, as proposed by the Purchasing Power Parity (PPP) and the Behavioural Equilibrium Exchange Rate (BEER) approaches to evaluating equilibrium exchange rates. Our main empirical finding based on co-integration analysis using quarterly data from 1995 to 2014 is that according to both these approaches the Vietnamese Dong was significantly overvalued for extended times, most notably due to Vietnam's relatively high inflation rate.

show abstract

“…Therefore, in order to obtain the permanent values of the ERER, the Hodrick and Prescott filter (HP filter) is used [21]. In line with [1], [3] and [7], the PEER is obtained using the estimated cointegration parameters and feeding the model with permanent components of fundamentals. The permanent components of selected fundamentals are estimated using the HP filter and characterized as sustainable levels which are therefore consistent with the concept of equilibrium [1].…”

Section: Estimation Of the Equilibrium Relation Between The Real Exchmentioning

confidence: 99%

“…RER misalignment is defined as the deviation of the RER from its permanent equilibrium level [3]: Figure 2 shows the calculated values of the RER misalignment in Croatia, which are further summarized in Table 4. According to [14], an ER is considered undervalued when it is depreciated more than the ERER and overvalued when it is appreciated more than the ERER.…”

Section: Estimation Of Exchange Rate Misalignmentmentioning

confidence: 99%

Measuring real exchange rate misalignment in Croatia: cointegration approach

Palić

Dumičić

Šprajaček³

2014

Croat. Oper. Res. Rev.

View full text Add to dashboard Cite

Abstract. The purpose of the paper is to analyze misalignment of the real exchange rate in Croatia. The misalignment analysis is conducted using the permanent equilibrium exchange rate approach. The equilibrium real exchange rate is computed using the cointegration approach whereby the real exchange rate and its fundamentals, namely terms of trade, net foreign assets and the ratio of prices of tradables to non-tradables are included in cointegration analysis. The Hodrick and Prescott filter is used to obtain permanent values of the equilibrium real exchange rate. The real exchange rate misalignment is computed as the deviation of the RER from its permanent equilibrium level. Four overvaluation periods and three undervaluation periods are recorded in Croatia in the observed period. Overvaluation periods are more often and of longer duration than undervaluation periods. However, the real exchange rate does not deviate largely from its estimated equilibrium value in the observed period, and it is neither overvalued nor undervalued constantly, but the periods alternate. Considering the results of the analysis, together with the empirical characteristics of Croatian economy, namely the high foreign currency indebtedness, highly euroized economy and underdeveloped export oriented sector, the depreciation of the real exchange rate is not recommended to economic policy makers and the current Croatian exchange rate policy is appropriate.

show abstract

Real Exchange Rate Misalignment: An Application of Behavioral Equilibrium Exchange Rate (BEER) to Nigeria

Cited by 13 publications

References 58 publications

The Variability of the Tunisian Real Exchange Rate

The Variability of the Tunisian Real Exchange Rate

Is Vietnam's exchange rate overvalued?

Measuring real exchange rate misalignment in Croatia: cointegration approach

Contact Info

Product

Resources

About