روش هم انباشتگی پانل برای برآورد نرخ ارز واقعی

In this paper we estimate different specifications of a model for the determination of the bilateral real exchange rate of the peseta relative to nine European Union members. The model is based on Meese and Rogoff (The Journal of Finance 43 (1988) 933) monetary approach as extended by MacDonald (Journal of International Financial Markets, Institutions and Money 8 (1998) 117). The applied econometric techniques are the recent panel cointegration tests developed by Kao (Journal of Econometrics 90 (1999) 1), McCoskey and Kao (A Monte Carlo comparison of tests for cointegration in panel data. Journal of Propagations in Probability and Statistics 1 (2001) 165) and Pedroni (Oxford Bulletin of Economics and Statistics 61 (1999) 653) for homogeneous and heterogeneous panels. The results are favorable to a model containing relative productivities in tradables and non-tradables and the real interest rate differentials as explanatory variables.