The DOI matches its Crossref record; 34 of the 34 references it cites were found in a registry or an index.
Real Exchange Rates and Fundamentals: A Cross‐Country Perspective
Open accessAbstract
This paper employs newly constructed measures for productivity differentials, external imbalances, and commodity terms of trade to estimate a panel cointegrating relationship between real exchange rates and a set of fundamentals for a sample of 48 industrial countries and emerging markets. It finds evidence of a strong positive relation between the consumer price index‐based real exchange rate and commodity terms of trade. The estimated impact of productivity growth differentials between traded and nontraded goods, while statistically significant, is small. Increases in net foreign assets, government consumption, and trade restrictions tend to be associated with appreciating real exchange rates.
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Citations
Cites
Testing for unit roots in heterogeneous panels
Im, K. S., Pesaran, M. H., & Shin, Y. (2003) · Journal of Econometrics · doi:10.1016/s0304-4076(03)00092-7 · Cited by 15,435
Unit root tests in panel data: asymptotic and finite-sample properties
Levin, A., Lin, C.-F., & James Chu, C.-S. (2002) · Journal of Econometrics · doi:10.1016/s0304-4076(01)00098-7 · Cited by 12,849
A simple panel unit root test in the presence of cross‐section dependence
Pesaran, M. H. (2007) · Journal of Applied Econometrics · doi:10.1002/jae.951 · Cited by 12,787
Spurious regression and residual-based tests for cointegration in panel data
Kao, C. (1999) · Journal of Econometrics · doi:10.1016/s0304-4076(98)00023-2 · Cited by 5,763
A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems
Stock, J. H., & Watson, M. W. (1993) · Econometrica · doi:10.2307/2951763 · Cited by 5,013
Economic Reform and the Process of Global Integration
Sachs, J. D., Warner, A., Aslund, A., & Fischer, S. (1995) · Brookings Papers on Economic Activity · doi:10.2307/2534573 · Cited by 4,950
Statistical Inference in Instrumental Variables Regression with I(1) Processes
Phillips, P. C. B., & Hansen, B. E. (1990) · The Review of Economic Studies · doi:10.2307/2297545 · Cited by 4,909
Empirical exchange rate models of the seventies
Meese, R. A., & Rogoff, K. (1983) · Journal of International Economics · doi:10.1016/0022-1996(83)90017-x · Cited by 4,107
The Purchasing Power Parity Puzzle
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Fully modified OLS for heterogeneous cointegrated panels
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Metadata
- Authors
- RICCI, L. A., MILESI‐FERRETTI, G. M., & LEE, J.
- Venue
- Journal of Money, Credit and Banking
- Publisher
- Wiley
- Published
- 2013-07-11
- Volume
- 45
- Issue
- 5
- Pages
- 845-865
- ISSN
- 0022-2879 (ISSN-L)
- 1538-4616
- OpenAlex
- W1924279227
- Cited by
- 253
- References
- 34
- FWCI
- 25.48
- Type
- journal article
- Language
- en
- Open access
- bronze
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- RICCI, L. A., MILESI‐FERRETTI, G. M., & LEE, J. (2013). Real Exchange Rates and Fundamentals: A Cross‐Country Perspective. Journal of Money, Credit and Banking. https://doi.org/10.1111/jmcb.12027
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
