Real Exchange Rate Levels, Productivity and Demand Shocks: Evidence from a Panel of 14 Countries
IMF Working Paper No. 97/66
Posted: 4 Jun 1998
Date Written: 1997
Abstract
We investigate the long-run relationship between the real exchange rate, traded and non-traded productivity levels, and government spending for 14 OECD countries, using recently developed panel cointegration tests. The results indicate that under certain assumptions it is easier to detect cointegration in panel data than in the available time series; moreover, the rate of reversion to long-run equilibrium is estimated with greater precision.
JEL Classification: F31, C23, C22
Suggested Citation: Suggested Citation
Chinn, Menzie David and Johnston, Louis D., Real Exchange Rate Levels, Productivity and Demand Shocks: Evidence from a Panel of 14 Countries
(1997). IMF Working Paper No. 97/66, Available at SSRN: https://ssrn.com/abstract=76709
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