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Article Dans Une Revue Manchester School Année : 2008

Modelling the slow mean-reversion of the Central and Eastern European countries ' real exchange rates

Résumé

In this paper we propose a new modelling approach of the exchange rate misalignments in four transition countries: Hungary, Poland, Slovakia and Slovenia. We provide an empirical framework that takes into account two characteristics of these misalignments: while the fundamentals and policies adjust to restore equilibrium towards the long-term exchange rate, there are factors that hinder a fast mean-reverting dynamics. When the exchange rates adjust slowly to their equilibrium long-run values, the standard regressions that assume zero-mean misalignments present some drawbacks and one needs a model that helps to capture the time-varying aspects of the misalignment dynamics. The model proposed in this paper reproduces well the periods of overvaluation and undervaluation observed in the four countries.

Dates et versions

hal-00693052 , version 1 (01-05-2012)

Identifiants

Citer

Gilles Dufrenot, Elisabeth Grimaud, Eugenie Latil, Valerie Mignon. Modelling the slow mean-reversion of the Central and Eastern European countries ' real exchange rates. Manchester School, 2008, 76 (1), pp.21--43. ⟨10.1111/j.1467-9957.2007.01048.x⟩. ⟨hal-00693052⟩
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