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Title:International financial integration and real exchange rate long-run dynamics in emerging countries : some panel evidence PDF Logo
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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