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

Abstract : 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.
Type de document :
Article dans une revue
Manchester School, Wiley, 2008, 76 (1), pp.21--43
Liste complète des métadonnées

https://hal-upec-upem.archives-ouvertes.fr/hal-00693052
Contributeur : Admin Erudite <>
Soumis le : mardi 1 mai 2012 - 19:47:06
Dernière modification le : mardi 1 mai 2012 - 19:47:09

Identifiants

  • HAL Id : hal-00693052, version 1

Collections

Citation

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, Wiley, 2008, 76 (1), pp.21--43. <hal-00693052>

Partager

Métriques

Consultations de la notice

159