Journal
INTERNATIONAL REVIEW OF ECONOMICS & FINANCE
Volume 20, Issue 4, Pages 800-811Publisher
ELSEVIER SCIENCE BV
DOI: 10.1016/j.iref.2011.02.002
Keywords
Real exchange rate; Terms of trade; Reserve differential; Real oil price; Cointegration
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This study examines the real exchange rate determination in Asian economies. The methods show that the real exchange rate and terms of trade can be jointly determined. Productivity differential, terms of trade, the real oil price, and reserve differential are found to be important in the real exchange rate determination in the long run. However, the significant impacts of those variables on the real exchange rate determination are different across economies. Moreover, the results of the generalised forecast error variance decompositions show that the important contributors of the real exchange rate are different across economies. (C) 2011 Elsevier Inc. All rights reserved.
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