A History of the D-Mark's Real External Value

19 Pages Posted: 14 Jan 2003

See all articles by Christoph A. Fischer

Christoph A. Fischer

Deutsche Bundesbank

Karlhans Sauernheimer

Johannes Gutenberg University Mainz - Department of Economic Theory

Abstract

An equilibrium time path of the real effective exchange rate of Germany's currency in the post Bretton Woods period is calculated. For this purpose, a NATREX model for the long-run determination of this specific variable is developed. A cointegration analysis gives evidence in favour of the model and provides the equilibrium values. The theoretical and empirical results are used to analyse in detail movements in the real exchange rate of the D-Mark. Estimation results suggest, among other things, that the D-Mark has mostly been overvalued and that it often adjusted with some delay to changes in the fundamentals.

Suggested Citation

Fischer, Christoph A. and Sauernheimer, Karl-Hans, A History of the D-Mark's Real External Value. Available at SSRN: https://ssrn.com/abstract=368508

Christoph A. Fischer (Contact Author)

Deutsche Bundesbank ( email )

Wilhelm-Epstein-Str. 14
Frankfurt/Main, 60431
Germany

Karl-Hans Sauernheimer

Johannes Gutenberg University Mainz - Department of Economic Theory ( email )

D 55099 Mainz
Germany

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