Estimation of the Equilibrium Real Exchange Rate for South Africa
By Ronald R. MacDonald, Luca A Ricci. Social Science Research Network, 2003
218 citations recorded by the source corpus.
Based on the Johansen cointegration estimation methodology, much of the long-run behavior of the real effective exchange rate of South Africa can be explained by real interest rate differentials, GDP per capita (both relative to trading partners), real commodity prices, trade openness, the fiscal balance, and the extent of net foreign assets. On the basis of these fundamentals, the real exchange rate in early 2002 was found to be significantly more depreciated with respect to the estimated equilibrium level. The half-life of the deviation of the real exchange rate from the estimated equilibrium one was found to be somewhat more than two years.
Subfields: Economics and Econometrics
View Paper: https://www.semanticscholar.org/paper/179e3d1f45bef1e72ff6e771088d1fd6650efe86
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In Economics and Econometrics
Citations in the corpus
- Emigrants' remittances and Dutch Disease in Cape Verde (2006, background): “Changes in terms-of-trade affect the prices of non-tradables both 14See for example Edwards (1989), Aron et al (2000), and MacDonald & Ricci (2003). through an income effect and a substitution effect.”