The EU real exchange rates: A structural Bayesian VAR. A note.
DOI:
https://doi.org/10.55444/2451.7321.2018.v56.n1.29387Keywords:
competitiveness, european integration, bayesian estimation, real exchange ratesAbstract
In this paper we contribute to the long literature on the real exchange determination by estimating a Bayesian structural vector autoregressive model. We aim at identifying the effect on the EU-28 RER of shock originating in its main fundamental variables, namely, current account, government consumptions, investment and real income. We find in most of the shocks that the RER moves away for long periods, proving yet again, that the purchasing power parity condition is rarely fulfilled empirically.
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Copyright (c) 2018 Juan Carlos Cuestas
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