Real Exchange Rates and Fundamentals: A Cross-Country Perspective

By Luca A Ricci, Jaewoo Lee, G. Milesi-Ferretti. Social Science Research Network, 2008

262 citations recorded by the source corpus.

This paper employs newly constructed measures for productivity differentials, external imbalances, and commodity terms of trade to estimate a panel cointegrating relationship between real exchange rates and a set of fundamentals for a sample of 48 industrial countries and emerging markets. It finds evidence of a strong positive relation between the CPI-based real exchange rate and commodity terms of trade. The estimated impact of productivity growth differentials between traded and nontraded goods, while statistically significant, is small. Increases in net foreign assets and in government consumption tend to be associated with appreciating real exchange rates.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/a1ce1357661260c85913cf296bb69351d9a9d0a7

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Luís A. V. Catão
2. Rudolfs Bems
3. Luca A Ricci
4. J. D. Giovanni
5. Robert C. Johnson

In Finance

1. Luís A. V. Catão
2. Luca A Ricci
3. J. D. Giovanni

Citations in the corpus

• The External Balance Assessment (EBA) Methodology (2013, background): “For recent IMF contributions see, for example, Bayoumi et al. (2005), Bems and de Carvalho Filho, (2009b), Cashin, Céspedes, and Sahay (2004), Christiansen et al. (2009), Lee et al. (2008), Ricci, Milesi-Ferretti, and Lee (2013).”