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Filtering the Beer :, A Permanent and Transitory Decomposition, Peter Clark, Ronald MacDonald

Label
Filtering the Beer :, A Permanent and Transitory Decomposition, Peter Clark, Ronald MacDonald
Language
eng
Abstract
In this paper we extend the BEER (Behavioral Equilibrium Exchange Rate) approach which identifies an estimated equilibrium relationship between the real exchange rate and economic fundamentals. Here the economic fundamentals are decomposed using Johansen cointegration methods into transitory and permanent components, with the latter used to estimate the Permanent Equilibrium Exchange Rate, or PEER, for the U.S. and Canadian dollars and the pound sterling. The BEER and the PEER move closely together for the U.S. and Canadian dollars and generally track the actual exchange rate. By contrast, for the pound sterling the BEER and the PEER diverge sharply, with the latter following the actual exchange rate quite closely
resource.governmentPublication
international or intergovernmental publication
Literary Form
non fiction
Main title
Filtering the Beer :
Nature of contents
dictionaries
Responsibility statement
Peter Clark, Ronald MacDonald
Series statement
IMF Working Papers
Sub title
A Permanent and Transitory Decomposition
Content
Other version