Real exchange rates in the long and short run: a panel co-integration approach

• Autores: César A. Calderón
• Localización: Revista de análisis económico, ISSN-e 0718-8870, ISSN 0716-5927, Vol. 19, Nº 2, 2004, págs. 41-84
• Idioma: inglés
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• Resumen

  • The main goal of this paper is fo tackle the empirical issues of the real exchange rafe literature by applying recenfly developed panel coinfegration fechniques fo a structural long-run real exchange rafe equatioíí. Using annual data for 67 cauntries over 1966-97, we find evidetace of cointegration between the real exchange rafe and ifs fundanaentals. 1 also flnd: (a) evidence of coinfegrafion holds for ah sub-samples of counfries (classífled by income or capital controis), (b) parameter constancy across units holds only for high income counfries and low capital controls, (c) sfrucfural change lo the cointegrafing relationship around 1973, (d) estimated parameters consistent with fheoretical values implied with calibrated parameters of preferences and techoíology, (e) deviafions from fhe equilibrium are large and persistent with half-lífe (beisveen 2.8 and 5) consistenf with the consensus interval of 2.5-5 found la the literature (Murray and Papelí, 2002),