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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.:IZA discussion papers 4038
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
F0
F31
C15
Persistent Identifier of the first edition:urn:nbn:de:101:1-20090306317
Document Type:Working Paper
Appears in Collections:IZA Discussion Papers, Forschungsinstitut zur Zukunft der Arbeit (IZA)

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