Equilibrium exchange rates in transition countries: Evidence from dynamic heterogeneous panel models
- 作者：Byung-Yeon Kim and Iikka Korhonen
- 关键词：Exchange rates ; Transition economies ; Dynamic heterogeneous panel estimations
- 刊名：Economic Systems
- 出版年：2005
- 期刊代码：8_09393625
- 类别：eco
- 出版时间：2005
- 卷：29
- 期：2
- 页码：144-162
- 文件大小：217 K
摘要
We use a dynamic heterogeneous panel model to estimate real equilibrium exchange rates for advanced transition countries. Our method is based on out-of-sample estimations from middle-income and high-income countries, and we use a Pooled Mean Group estimator. We find that exchange rates in the Czech Republic, Poland, and Slovakia have converged in recent years with real equilibrium exchange rates expressed in the US dollars. Yet, in 2002, they were overvalued in Hungary but undervalued in Slovenia. We also find that the currencies of the transition countries studied, except Slovenia, were overvalued in 2002 if real effective exchange rates were used. In particular, the Hungarian currency was found to have the largest extent of misalignment.