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Real Exchange Rates and Fundamentals: A Cross-Country Perspective

Real Exchange Rates and Fundamentals: A Cross-Country Perspective by Luca Antonio Ricci
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This paper employs newly constructed measures for productivity differentials, external imbalances, and commodity terms of trade to estimate a panel cointegrating relationship between real exchange rates and a set of fundamentals for a sample of 48 industrial countries and emerging markets. It finds evidence of a strong positive relation between the CPI-based real exchange rate and commodity terms of trade. The estimated impact of productivity growth differentials between traded and nontraded goods, while statistically significant, is small. Increases in net foreign assets and in government consumption tend to be associated with appreciating real exchange rates.
International Monetary Fund; January 2008
25 pages; ISBN 9781452725888
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Title: Real Exchange Rates and Fundamentals: A Cross-Country Perspective
Author: Luca Antonio Ricci; Jaewoo Lee; Gian-Maria Milesi-Ferretti