Monitoring Euro Area Real Exchange Rates

Aschersleben, Philipp; Wagner, MartinORCID: https://orcid.org/0000-0002-6123-4797 and Wied, Dominik (2015) Monitoring Euro Area Real Exchange Rates. In: Steland, Ansgar; Rafajłowicz, Ewaryst and Szajowski, Krzysztof, (eds.) Stochastic Models, Statistics and Their Applications. 122. Springer International Publishing, pp. 363-370. DOI: 10.1007/978-3-319-13881-7_40

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Abstract

We apply the stationarity and cointegration monitoring procedure of Wagner and Wied in (Monitoring stationarity and cointegration. SFB823 Discussion Paper 23/14. http://​hdl.​handle.​net/​2003/​33430, 2014) to monthly real exchange rate indices, vis-a`-vis Germany, of the first round Euro area member states. For all countries except Portugal structural breaks are detected prior to the onset of the Euro area crisis triggered in turn by the global financial crisis. The results indicate that a more detailed investigation of RER behavior in the Euro area may be useful for understanding the unfolding of the deep crisis currently plaguing many countries in the Euro area. (author's abstract)

Item Type: Book Contribution
Date Deposited: 19 Feb 2015 12:45
Last Modified: 20 Nov 2023 09:29
DOI: 10.1007/978-3-319-13881-7_40
ISSN: 2194-1009
URI: https://irihs.ihs.ac.at/id/eprint/3005

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