Estimating the Half-Life of Theoretically Founded Real Exchange Rate Misalignments (Record no. 25222)
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| fixed length control field | 03168cam a22003734a 4500 |
| 001 - CONTROL NUMBER | |
| control field | 6411 |
| 003 - CONTROL NUMBER IDENTIFIER | |
| control field | The World Bank |
| 006 - FIXED-LENGTH DATA ELEMENTS--ADDITIONAL MATERIAL CHARACTERISTICS--GENERAL INFORMATION | |
| fixed length control field | m d |
| 007 - PHYSICAL DESCRIPTION FIXED FIELD--GENERAL INFORMATION | |
| fixed length control field | cr cn||||||||| |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION | |
| fixed length control field | 020129s2013 dcu i001 0 eng |
| 024 8# - OTHER STANDARD IDENTIFIER | |
| Standard number or code | 10.1596/1813-9450-6411 |
| 035 ## - SYSTEM CONTROL NUMBER | |
| System control number | (The World Bank)6411 |
| 100 1# - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Kubota, Megumi |
| 245 10 - TITLE STATEMENT | |
| Title | Estimating the Half-Life of Theoretically Founded Real Exchange Rate Misalignments |
| Medium | [electronic resource] / |
| Statement of responsibility, etc | Megumi Kubota |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT) | |
| Place of publication, distribution, etc | Washington, D.C., |
| Name of publisher, distributor, etc | The World Bank, |
| Date of publication, distribution, etc | 2013 |
| 300 ## - PHYSICAL DESCRIPTION | |
| Extent | 1 online resource (24 p.) |
| 520 3# - SUMMARY, ETC. | |
| Summary, etc | This paper models empirically the short and long-term behavior of the real exchange rate misalignment-a key variable in academic and policy circles. The equilibrium real exchange rate is derived from a theoretical model with intertemporal external equilibrium and internal equilibrium (in traded and non-traded markets) based on the current account dynamics and Harrod-Balassa-Samuelson productivity, respectively. This provides a bridge between theory and empirics that links the real exchange rate and its fundamentals (terms of trade, the ratio of net foreign assets to gross domestic product, and productivity differentials). The paper contributes to the literature by: (a) estimating an unrestricted vector error correction model that examines the short-term dynamics of real exchange rate misalignments and links these deviations with shocks to fundamentals from 1970 to 2010, and (b) computing the speed of reversion of real exchange rate misalignments with respect to a fundamentals-based equilibrium level. The paper reconciles two strands of the empirical literature that estimate the half-life of purchasing power parity deviations: one, the linear adjustment model that renders the consensus half-life estimates of purchasing power parity deviations, and another, the non-linear adjustment model of purchasing power parity deviations. The model estimates the half-life of real exchange rate deviations from their fundamental equilibrium at approximately 2.8 years. Consequently, about 25 percent of the real exchange rate deviation from its equilibrium level is corrected in the next year. Approximately 43 percent of the countries in the sample have a half-life of real exchange rate deviations from equilibrium less than 2.5 years-which is consistent with predictions from non-linear mean reversion models. |
| 650 #4 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | A Half-life |
| 650 #4 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | An Unrestricted VECM |
| 650 #4 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Currencies and Exchange Rates |
| 650 #4 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Debt Markets |
| 650 #4 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Economic Stabilization |
| 650 #4 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Economic Theory & Research |
| 650 #4 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Fundamentals |
| 650 #4 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Macroeconomic Management |
| 650 #4 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Macroeconomics and Economic Growth |
| 650 #4 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Misalignment |
| 650 #4 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Poverty Reduction |
| 650 #4 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | The HBS Effect |
| 700 1# - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Kubota, Megumi |
| 776 18 - ADDITIONAL PHYSICAL FORM ENTRY | |
| Main entry heading | Print version: |
| Display text | Kubota, Megumi |
| Title | Estimating the Half-Life of Theoretically Founded Real Exchange Rate Misalignments. |
| Place, publisher, and date of publication | Washington, D.C. : The World Bank, 2013 |
| 830 #0 - SERIES ADDED ENTRY--UNIFORM TITLE | |
| Uniform title | Policy research working papers. |
| 830 #0 - SERIES ADDED ENTRY--UNIFORM TITLE | |
| Uniform title | World Bank e-Library. |
| 856 40 - ELECTRONIC LOCATION AND ACCESS | |
| Uniform Resource Identifier | <a href="http://elibrary.worldbank.org/doi/book/10.1596/1813-9450-6411">http://elibrary.worldbank.org/doi/book/10.1596/1813-9450-6411</a> |
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