Real Exchange Rates and Fundamentals: A Cross‐Country Perspective
Luca Ricci,
Gian Maria Milesi‐ferretti and
Jaewoo Lee
Authors registered in the RePEc Author Service: Gian Maria Milesi-Ferretti ()
Journal of Money, Credit and Banking, 2013, vol. 45, issue 5, 845-865
Abstract:
This paper employs newly constructed measures for productivity differentials, external imbalances, and commodity terms of trade to estimate a panel cointegrating relationship between real exchange rates and a set of fundamentals for a sample of 48 industrial countries and emerging markets. It finds evidence of a strong positive relation between the consumer price index‐based real exchange rate and commodity terms of trade. The estimated impact of productivity growth differentials between traded and nontraded goods, while statistically significant, is small. Increases in net foreign assets, government consumption, and trade restrictions tend to be associated with appreciating real exchange rates.
Date: 2013
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Citations: View citations in EconPapers (33)
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https://doi.org/10.1111/jmcb.12027
Related works:
Journal Article: Real Exchange Rates and Fundamentals: A Cross-Country Perspective (2013)
Working Paper: Real Exchange Rates and Fundamentals: A Cross-Country Perspective (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:wly:jmoncb:v:45:y:2013:i:5:p:845-865
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