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http://bura.brunel.ac.uk/handle/2438/3440
Title: | International financial integration and real exchange rate long-run dynamics in emerging countries: Some panel evidence |
Authors: | Caporale, GM Amor, TH Rault, C |
Keywords: | emerging economies; real exchange rate; financial integration; misalignment; secondgenerationpanel unit root and cointegration tests |
Issue Date: | 2009 |
Publisher: | Brunel University |
Citation: | Economics and Finance Discussion Paper, Brunel University, 09-16. |
Abstract: | The aim of this paper is to provide new empirical evidence on the impact of international financial integration on the long-run Real Exchange Rate (RER) in 39 developing countries belonging to three different geographical regions (Latin America, Asia and MENA). It covers the period 1979-2004, and carries out “second-generation” tests for non-stationary panels. Several factors, including international financial integration, are shown to drive the long-run RER in emerging countries. It is found that the new financial environment characterised by international financial integration leads to a depreciation of the RER in the long run. Further, RER misalignments take the form of an under-valuation in most MENA countries and an over-valuation in most Latin American and Asian countries. |
URI: | http://bura.brunel.ac.uk/handle/2438/3440 |
Appears in Collections: | Economics and Finance Dept of Economics and Finance Research Papers |
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