Please use this identifier to cite or link to this item: http://buratest.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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