Has the relationship between the real exchange rate and its fundamentals changed over time?
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Other documents of the author: Cuestas, Juan Carlos; Monfort Bellido, Mercedes; Shimbov, Bojan
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Show full item recordcomunitat-uji-handle:10234/9
comunitat-uji-handle2:10234/8643
comunitat-uji-handle3:10234/8644
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INVESTIGACIONMetadata
Title
Has the relationship between the real exchange rate and its fundamentals changed over time?Date
2022-07-11Publisher
Taylor and FrancisISSN
1406-099X; 2334-4385Bibliographic citation
Juan Carlos Cuestas, Mercedes Monfort & Bojan Shimbov (2022) Has the relationship between the real exchange rate and its fundamentals changed over time?, Baltic Journal of Economics, 22:2, 68-89, DOI: 10.1080/1406099X.2022.2096732Type
info:eu-repo/semantics/articlePublisher version
https://www.tandfonline.com/doi/full/10.1080/1406099X.2022.2096732Version
info:eu-repo/semantics/publishedVersionSubject
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 ... [+]
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. [-]
Is part of
Baltic Journal of Economics, 2022, vol. 22, no 2Funder Name
Universitat Jaume I | Generalitat Valencia
Project code
UJI-B2019-15 | UJI-B2020-16 | AICO2021/005
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info:eu-repo/semantics/openAccess
This item appears in the folowing collection(s)
- IEI_Articles [116]
- ECO_Articles [696]