The misalignment of Tunisia's real effective exchange rate via the BEER approach

This paper adopts the methodology of error correction models on the BEER (Behavioral Equilibrium Exchange Rate) approach to express the Tunisian real effective exchange rate based on-trade openness, the money supply in terms of GDP, and GDP per capita on the period (1975–2017). Indeed, the error correction mechanism confirms one of the convergences of the REER series of its trajectory to its long-term target value and on the other hand, it reflects the success of the monetary and commercial policies exploited to absorb all unpredictable shocks capable of preventing the stability of ERER from its equilibrium value. The empirical results also show the low sensitivity of the REER to monetary and trade shocks.

Estimation of Impact of Quantitative Easing Policy on EUR/USD using behavioral Equilibrium Exchange Rate Model

The article examines the impact of the policy of the uSA quantitative easing and the euro area on the nominal EuR/ uSD exchange rate. After the economic crisis of 2008–2009, the policy of quantitative easing gained popularity among the world’s largest economies. The largest programs were implemented by the uS Federal Reserve (uS Federal Reserve System) and the European Central Bank (ECB). However, the impact of the actual purchase volume of securities on the EuR/uSD exchange rate within these policies has been little studied in modern literature. The author collected the data from 1999 to 2018 on the exchange rate, macroeconomic and market indicators, and calculated the monthly actual purchase volumes of securities under the asset purchase program of the united States and the euro area. The behavioral equilibrium exchange rate model was used. The linear model specification and the error correction model identified no significant impact of the ECB quantitative easing policy expressed in the actual purchase volume of securities. However, for some specifications, it has been proven that the increase in purchases of securities by the uS Federal Reserve leads to a weakening of the dollar against the euro. The cointegration test revealed a long-term dependence of the EuR/uSD exchange rate on the accumulated volumes of acquired assets. Thus, an increase in the purchase volume of securities led to a weakening of the dollar against the euro. The insignificant impact of the European Central Bank quantitative easing policy could have been caused by market expectations formed prior to the actual purchase of ECB securities in the market.

Fundamentos del tipo de cambio real en Costa Rica (2001-2014)

El documento está orientado a profesionales de ciencias sociales con el objetivo de orientarles en la comprensión del comportamiento del Índice de Tipo de Cambio Real de Costa Rica (ITCER) en relación con sus fundamentos. Se utiliza el modelo teórico behavioral equilibrium exchange rate (BEER) para identificar y analizar los efectos en estas variables sobre el ITCER. Los seis indicadores analizados fueron: términos de intercambio, absorción fiscal, IED, tasa de interés real doméstica y productividad relativa de la economía. Estos explican adecuadamente el comportamiento del tipo de cambio real, pese a presentar una gran variabilidad. Se identifican claramente dos periodos en el comportamiento del ITCER: el primero (2001 y 2005), se presenta un periodo de depreciación, observándose posteriormente (2006 y 2014) un marcado proceso de apreciación en términos reales del colón costarricense.

On equilibrium real exchange rates in euro area: Special focus on behavioral equilibrium exchange rates in Ireland and Greece

This paper focuses on the intra-euro-area imbalances. Therefore the first aim of this paper is to identify euro-area countries exhibiting macroeconomic imbalances. The subsequent aim is to estimate equilibrium real exchange rates for these countries and to compute their degrees of real exchange rate misalignment. The intra-area balance is assessed using the Cluster Analysis and the Principle Component Analysis; on this basis Greece and Ireland are selected as the two euro-area countries with largest imbalances in 2010. Further the medium-run equilibrium exchange rates for Greece and Ireland are estimated applying the Behavioral Equilibrium Exchange Rate (BEER) approach popularised by Clark and MacDonald (1998). In addition, the long-run equilibrium exchange rates are estimated using the Permanent Equilibrium Exchange Rate (PEER) model. Employing the BEER and PEER approaches on quarterly time series of real effective exchange rates (REER) from 1997: Q1 to 2010: Q4 we identify an undervaluation of the Greek and Irish REER around their entrance to the euro area. For the rest of the period analysed their REER is broadly in line with estimated BEER and PEER levels.