Estimation of Equilibrium Exchange Rates in the Waemu: A Robustness Approach
Using the FEER approach we investigate the long-run equilibrium paths of the real effective exchange rates (REERs) of countries in the West African Economic and Monetary Union (WAEMU). In an attempt to address econometric estimation uncertainty, we employ both single-country (Johansen and ARDL) and...
Saved in:
| Main Author: | |
|---|---|
| Format: | Electronic eBook |
| Language: | English |
| Published: |
Washington, D.C
International Monetary Fund
2007
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| Series: | IMF Working Papers
Working Paper No. 07/194 |
| Online Access: | UBW01 UEI01 LCO01 SBR01 UER01 SBG01 UBG01 FAN01 UBT01 FKE01 UBY01 UBA01 FLA01 UBM01 UPA01 UBR01 FHA01 FNU01 BSB01 TUM01 Volltext |
| Summary: | Using the FEER approach we investigate the long-run equilibrium paths of the real effective exchange rates (REERs) of countries in the West African Economic and Monetary Union (WAEMU). In an attempt to address econometric estimation uncertainty, we employ both single-country (Johansen and ARDL) and panel-data (FMOLS and PMG) cointegration techniques. We find that (i) much of the long-run behavior of REERs in WAEMU countries can be explained by fluctuations in terms of trade, government consumption, investment, and productivity; (ii) the use of different econometric techniques suggests that there is significant uncertainty about the path of the underlying equilibrium REERs and the degree of exchange rate misalignment, which underscores the need for robustness analyses in exchange rate modeling; and (iii) results from panel-data cointegration may sometimes be useful, but should always be complemented with single-country estimations to ensure that the results take into account country-specific characteristics |
| Physical Description: | 1 Online-Ressource (54 p) |
| ISBN: | 1451867581 9781451867589 |
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| illustrated | Not Illustrated |
| index_date | 2024-07-03T20:13:23Z |
| indexdate | 2024-07-10T09:35:31Z |
| institution | BVB |
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| record_format | marc |
| series2 | IMF Working Papers |
| spelling | Saxegaard, Magnus Verfasser aut Estimation of Equilibrium Exchange Rates in the Waemu A Robustness Approach Saxegaard, Magnus Washington, D.C International Monetary Fund 2007 1 Online-Ressource (54 p) txt rdacontent c rdamedia cr rdacarrier IMF Working Papers Working Paper No. 07/194 Using the FEER approach we investigate the long-run equilibrium paths of the real effective exchange rates (REERs) of countries in the West African Economic and Monetary Union (WAEMU). In an attempt to address econometric estimation uncertainty, we employ both single-country (Johansen and ARDL) and panel-data (FMOLS and PMG) cointegration techniques. We find that (i) much of the long-run behavior of REERs in WAEMU countries can be explained by fluctuations in terms of trade, government consumption, investment, and productivity; (ii) the use of different econometric techniques suggests that there is significant uncertainty about the path of the underlying equilibrium REERs and the degree of exchange rate misalignment, which underscores the need for robustness analyses in exchange rate modeling; and (iii) results from panel-data cointegration may sometimes be useful, but should always be complemented with single-country estimations to ensure that the results take into account country-specific characteristics Online-Ausg Roudet, Stéphane Sonstige oth Tsangarides, Charalambos G. Sonstige oth http://elibrary.imf.org/view/IMF001/08612-9781451867589/08612-9781451867589/08612-9781451867589.xml Verlag URL des Erstveröffentlichers Volltext |
| spellingShingle | Saxegaard, Magnus Estimation of Equilibrium Exchange Rates in the Waemu A Robustness Approach |
| title | Estimation of Equilibrium Exchange Rates in the Waemu A Robustness Approach |
| title_auth | Estimation of Equilibrium Exchange Rates in the Waemu A Robustness Approach |
| title_exact_search | Estimation of Equilibrium Exchange Rates in the Waemu A Robustness Approach |
| title_exact_search_txtP | Estimation of Equilibrium Exchange Rates in the Waemu A Robustness Approach |
| title_full | Estimation of Equilibrium Exchange Rates in the Waemu A Robustness Approach Saxegaard, Magnus |
| title_fullStr | Estimation of Equilibrium Exchange Rates in the Waemu A Robustness Approach Saxegaard, Magnus |
| title_full_unstemmed | Estimation of Equilibrium Exchange Rates in the Waemu A Robustness Approach Saxegaard, Magnus |
| title_short | Estimation of Equilibrium Exchange Rates in the Waemu |
| title_sort | estimation of equilibrium exchange rates in the waemu a robustness approach |
| title_sub | A Robustness Approach |
| url | http://elibrary.imf.org/view/IMF001/08612-9781451867589/08612-9781451867589/08612-9781451867589.xml |
| work_keys_str_mv | AT saxegaardmagnus estimationofequilibriumexchangeratesinthewaemuarobustnessapproach AT roudetstephane estimationofequilibriumexchangeratesinthewaemuarobustnessapproach AT tsangaridescharalambosg estimationofequilibriumexchangeratesinthewaemuarobustnessapproach |