A Panel Cointegration Approach to the Estimation of the Peseta Real Exchange Rate

Posted: 8 Oct 2002

See all articles by Mariam Camarero

Mariam Camarero

Jaume I University - Department of Economics

Cecilio R. Tamarit

University of Valencia - Department of Applied Economics

Abstract

In this paper we estimate different specifications of a model for the determination of the bilateral real exchange rate of the peseta relative to nine European Union members. The model is based on Meese and Rogoff (1988) monetary approach as extended by MacDonald (1998). The applied econometric techniques are the recent panel cointegration tests developed by Kao (1999), McCoskey and Kao (1998) and Pedroni (1999) for homogeneous and heterogeneous panels. The results are favorable to a model containing relative productivities in tradables and non-tradables and the real interest rate differentials as explanatory variables.

Suggested Citation

Camarero Olivas, María Amparo (Mariam) and Tamarit Escalona, Cecilio R., A Panel Cointegration Approach to the Estimation of the Peseta Real Exchange Rate. Journal of Macroeconomics, Vol. 24, No. 3, Summer 2002. Available at SSRN: https://ssrn.com/abstract=313599

María Amparo (Mariam) Camarero Olivas (Contact Author)

Jaume I University - Department of Economics ( email )

Campus del Riu Sec.
E-12071 Castellon
Spain

Cecilio R. Tamarit Escalona

University of Valencia - Department of Applied Economics ( email )

4F04 Edificio Departamental Oriental
P.O. Box 22.006
Valencia, 33006
Spain
+34-963828349 (Phone)
+34-963828354 (Fax)

HOME PAGE: http://www.uv.ed/~tamac/

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