International financial integration and real exchange rate long-run dynamics in emerging countries: some panel evidence
The aim of this paper is to provide new empirical evidence on the impact of international financial integration on the long-run Real Exchange Rate (RER) in 39 developing countries belonging to three different geographical regions (Latin America, Asia and MENA). It covers the period 1979-2004, and carries out second-generation tests for non-stationary panels. Several factors, including international financial integration, are shown to drive the long-run RER in emerging countries. It is found that the new financial environment characterised by international financial integration leads to a depreciation of the RER in the long run. Further, RER misalignments take the form of an under-valuation in most MENA countries and an over-valuation in most Latin American and Asian countries.
Year of publication: |
2009
|
---|---|
Authors: | Caporale, Guglielmo Maria ; Hadj Amor, Thouraya ; Rault, Christophe |
Publisher: |
Berlin : Deutsches Institut für Wirtschaftsforschung (DIW) |
Subject: | Kaufkraftparität | Internationaler Finanzmarkt | Marktintegration | Panel | Unit Root Test | Kointegration | Schwellenländer | Asien | Lateinamerika | MENA-Staaten | Emerging economies | real exchange rate | financial integration | misalignment | second-generation panel unit-root and cointegration tests |
Saved in:
freely available
Series: | DIW Discussion Papers ; 941 |
---|---|
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 61147123X [GVK] hdl:10419/29740 [Handle] RePEc:diw:diwwpp:dp941 [RePEc] |
Classification: | E31 - Price Level; Inflation; Deflation ; F0 - International Economics. General ; F31 - Foreign Exchange ; C15 - Statistical Simulation Methods; Monte Carlo Methods |
Source: |
Persistent link: https://www.econbiz.de/10010271098