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| Author: | Alberola, E. (et al.) |
| Title: | Quo vadis Euro? |
| Journal: | European Journal of Finance
2002 : DEC, VOL. 8:4, p. 352-370 |
| Index terms: | Cointegration Euro Exchange equilibrium Exchange rates |
| Language: | eng |
| Abstract: | The equilibrium exchange rate is calculated for the Euro and the rest of the G-7 currencies. It is shown that the stock of net foreign assets and the evolution of productivity are the fundamentals underlying the behaviour of the real exchange rate. Panel cointegration techniques allow for the extraction, using an unobserved components methodology, of a time-varying equilibrium real exchange rate, and deviations from this equilibrium provide an estimate of the degree of multilateral misalignment. |
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