Has the relationship between the real exchange rate and its fundamentals changed over time?. Issue 2 (3rd July 2022)

• Record Type: Journal Article
• Authors: Cuestas, Juan Carlos; Monfort, Mercedes; Shimbov, Bojan
• Is Part Of: Baltic journal of economics. Volume 22:Issue 2(2022)
• Page Start: 68
• Page End: 89
• Publication Date: 2022-07-03
• Subjects: Real exchange rates -- competitiveness -- quantile regression -- Bayesian -- asymmetric model -- structural breaks -- European integration; C22 -- F15; Economics -- Baltic States -- Periodicals; Economics -- Europe, Eastern -- Periodicals; Baltic States -- Economic policy -- Periodicals; Europe, Eastern -- Economic policy -- Periodicals; Baltic States -- Economic conditions -- Periodicals; Europe, Eastern -- Economic conditions -- Periodicals; Periodicals; 330.947
• DOI: 10.1080/1406099X.2022.2096732
• Languages: English
• ISSNs: 1406-099X

Abstract

ABSTRACT: In this paper we contribute to the literature on determining the real exchange rate by using models that incorporate structural breaks and nonlinearities. We estimate cointegrated dynamic ordinary least squares regressions and quantile regressions. We find that the estimated coefficients for the EU members from central and eastern Europe are different to those for the other member states. We also find that the models are different before and after the crisis that started in 2008, and this affects the outcome of the long-run equations for the EU15 + Cyprus and Malta.