Abstract

http://ssrn.com/abstract=1489069
 
 

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Robust Estimations of Equilibrium Exchange Rates within the G20: A Panel BEER Approach


Agnès Bénassy-Quéré


Paris School of Economics (University Paris 1)

Sophie Bereau


affiliation not provided to SSRN

Valérie Mignon


Université Paris Ouest - Nanterre, La Défense; Centre d'Etudes Prospectives et d'Info. Internationales (CEPII)

2009-03-31

Scottish Journal of Political Economy, Vol. 56, Issue 5, pp. 608-633, November 2009

Abstract:     
This paper is concerned with the robustness of equilibrium exchange rate estimations based on the BEER approach for a set of both industrial and emerging countries. The robustness is studied in four directions, successively. First, we investigate the impact of using alternative proxies for relative productivity. Second, we analyze the impact of estimating the equilibrium equation on one single panel covering G20 countries, or separately for G7 and non-G7 countries. Third, we measure the influence of the choice of the numeraire on the derivation of bilateral equilibrium rates. Finally, we study the temporal robustness of the estimations by dropping one or 2 years from the estimation period. Our main conclusion is that BEER estimations are quite robust to these successive tests, although at one point of time misalignments can differ by several percentage points depending on the methodology. The choice of the productivity proxy is the most sensible one, followed by the country sample. In contrast, the choice of the numeraire and the time sample have a relatively limited impact on estimated misalignments.

Number of Pages in PDF File: 26

Accepted Paper Series


Date posted: October 15, 2009  

Suggested Citation

Bénassy-Quéré, Agnès and Bereau, Sophie and Mignon, Valérie, Robust Estimations of Equilibrium Exchange Rates within the G20: A Panel BEER Approach (2009-03-31). Scottish Journal of Political Economy, Vol. 56, Issue 5, pp. 608-633, November 2009. Available at SSRN: http://ssrn.com/abstract=1489069 or http://dx.doi.org/10.1111/j.1467-9485.2009.00500.x

Contact Information

Agnes Benassy-Quere (Contact Author)
Paris School of Economics (University Paris 1) ( email )
106-112 boulevard de l'Hopital
Paris, F-75013
France
+33 1 44 07 82 19 (Phone)
HOME PAGE: http://www.parisschoolofeconomics.com/benassy-quere-agnes/agnesb.html
Sophie Bereau
affiliation not provided to SSRN
Valérie Mignon
Université Paris Ouest - Nanterre, La Défense ( email )
200 Avenue de la République
Nanterre, Hauts de Seine 92000
France
Centre d'Etudes Prospectives et d'Info. Internationales (CEPII)
9 rue Georges Pitard
Paris Cedex 15, F-75015
France
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