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ifo Institut – Leibniz-Institut für Wirtschaftsforschung an der Universität München >
CESifo Working Papers, CESifo Group Munich >
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http://hdl.handle.net/10419/30685
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| Title: | | International financial integration and real exchange rate long-run dynamics in emerging countries : some panel evidence  |
| Authors: | | Caporale, Guglielmo Maria Amor, Thouraya Hadj Rault, Christophe |
| Issue Date: | | 2009 |
| Series/Report no.: | | CESifo working paper 2819 |
| Abstract: | | 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. |
| Subjects: | | emerging economies real exchange rate financial integration misalignment second-generation panel unit-root and cointegration tests |
| JEL: | | E31 F00 F31 C15 |
| Document Type: | | Working Paper |
| Appears in Collections: | | CESifo Working Papers, CESifo Group Munich
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