文章基本信息

标题：Measuring real exchange rate misalignment in Croatia: cointegration approach
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作者：Palić, Irena ; Dumičić, Ksenija ; Šprajaček, Petra 等
期刊名称：Croatian Operational Research Review
印刷版ISSN：1848-0225
出版年度：2014
卷号：5
期号：2
页码：135-148
语种：English
出版社：Croatian Operational Research Society
摘要：The purpose of the paper is to analyze misalignment of the real exchange rate in Croatia. The misalignment analysis is conducted using the permanent equilibrium exchange rate approach. The equilibrium real exchange rate is computed using the cointegration approach whereby the real exchange rate and its fundamentals, namely terms of trade, net foreign assets and the ratio of prices of tradables to non-tradables are included in cointegration analysis. The Hodrick and Prescott filter is used to obtain permanent values of the equilibrium real exchange rate. The real exchange rate misalignment is computed as the deviation of the RER from its permanent equilibrium level. Four overvaluation periods and three undervaluation periods are recorded in Croatia in the observed period. Overvaluation periods are more often and of longer duration than undervaluation periods. However, the real exchange rate does not deviate largely from its estimated equilibrium value in the observed period, and it is neither overvalued nor undervalued constantly, but the periods alternate. Considering the results of the analysis, together with the empirical characteristics of Croatian economy, namely the high foreign currency indebtedness, highly euroized economy and underdeveloped export oriented sector, the depreciation of the real exchange rate is not recommended to economic policy makers and the current Croatian exchange rate policy is appropriate.
关键词：cointegration approach; exchange rate equilibrium; currency misalignment; adjustment speed; Hodrick-Prescott filtering