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Monitoring Euro Area Real Exchange Rates

  • Philipp Aschersleben
  • Martin WagnerEmail author
  • Dominik Wied
Conference paper
Part of the Springer Proceedings in Mathematics & Statistics book series (PROMS, volume 122)

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-\(\grave{a}\)-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.

Keywords

Euro Area Real Exchange Rate Purchase Power Parity Calibration Period Nominal Exchange Rate 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

Notes

Acknowledgements

Financial support from Deutsche Forschungsgemeinschaft via the Collaborative Research Center 823: Statistical Modelling of Nonlinear Dynamic Processes (Projects A1, A3 and A4) is gratefully acknowledged. The second author additionally acknowledges financial support from the Jubiläumfonds of the Oesterreichische Nationalbank (Grant No. 15334). The authors furthermore thank two anonymous referees for valuable suggestions.

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Copyright information

© Springer International Publishing Switzerland 2015

Authors and Affiliations

  • Philipp Aschersleben
    • 1
  • Martin Wagner
    • 1
    Email author
  • Dominik Wied
    • 1
  1. 1.Faculty of StatisticsTechnical University DortmundDortmundGermany

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