International Financial Integration and Real Exchange Rate Long-Run Dynamics in Emerging Countries

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 countrieshttp://deepblue.lib.umich.edu/bitstream/2027.42/64383/1/wp970.pd

International Financial Integration and Real Exchange Rate Long-Run Dynamics in Emerging Countries: Some Panel Evidence

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.emerging economies, real exchange rate, financial integration, misalignment, second-generation panel unit-root and cointegration tests

International Financial Integration and Real Exchange Rate Long-Run Dynamics in Emerging Countries: Some Panel Evidence

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.emerging economies, real exchange rate, financial integration, misalignment, second-generation panel unit root and cointegration tests

Long Term Dynamic of Real Exchange Rate, Trade Liberalization and Financial Integration: The Case of South-East Mediterranean Countries

In this paper, we aim to test the empirical validity of the QTM relationship for the Turkish economy. Using some contemporaneous time series estimation techniques, our estimation results reveal that stationarity characteristics of the velocities of currency in circulation and the broad money aggregate in the economy cannot be rejected through a quantity theoretical co-integrating long-term variable space. We find that there exists an about one-to-one proportionality between money and prices and money and real income, and that exogeneity of money cannot be rejected for the currency in circulation in the economy. But, the exception here comes from the broad monetary aggregate used in the QTM equation such that money seems to be endogenous as for the long-term variable space.Equilibrium real exchange rate, Misalignment, Trade liberalization, International financial integration, Cointegration, PSEM

Sources of real exchange rate volatility and international financial integration: A dynamic GMM panel approach

The aim of this paper is to provide some new empirical evidence on the determinants of volatility of real exchange rates in emerging countries, focusing on the role of international financial integration in particular. A reduced-form model is estimated using the GMM method for dynamic panels over the period 1979-2004 for a sample of 39 developing countries grouped into three regions (Latin America, Asia and MENA). Our findings suggest that different types of shocks (external, real and monetary) can account for volatility of real exchange rates in emerging economies, with international financial integration being a major driving force. Therefore, financial liberalisation and integration should be pursued only gradually in emerging countries

Asymmetric effect and dynamic relationships between oil prices shocks and exchange rate volatility: Evidence from some selected MENA countries

The aim of this paper is to investigate the exchange rate consequences of oil-price fluctuations across selected MENA countries (including both commodity importers and exporters) and to examine the dynamic relationship between such shocks. We employed the asymmetry of volatility through the GJR-GARCH model using daily time series data covering the period between 2001 and mi-2015. We refer to impulse responses functions in order to test the dynamic relationships. Empirical results reveal that foreign exchange market and crude oil exhibit asymmetric and no asymmetric in the return series. Additionally, the findings show asymmetric response of volatilities to positive and negative shocks. Furthermore, the results suggest that there is a dynamic relationship among oil price shocks and exchange rate volatility. Indeed, in the short run, oil prices shocks had a significant impact on exchange rate changes. Finally, we found that in the case of oil-exporting country, the oil prices rise may experience exchange rate appreciation, while, the decrease of oil price leads to appreciation of the currency of oil importing countries. This implies that oil prices are a key variable in determining the strength of the currency and its volatility. Therefore, policy makers of most MENA countries should consider exchange rate and oil price fluctuations on their macroeconomic policies and diversify more their economics

Long term dynamic of real exchange rate, trade liberalization and financial integration: The case of south-east Mediterranean countries

The purpose of this paper is to estimate the effects of the trade liberalization and of the international financial integration on the long-term behavior of Real Exchange Rate (RER) for the South East Mediterranean countries. So the following question: how does the new trade and financial context affect the Equilibrium RER? We refer to the econometric technique of time series analysis, (the unit root tests of Dickey-Fuller (1979) and we apply the cointegration test of Engle and Granger (1987) of single equation for six South East Mediterranean countries (Algeria, Egypt, Lebanon, Morocco, Tunisia and Turkey) over the period of 1979-2004. Our estimates suggest that, for the six countries, long-term RER behavior depends essentially on economic specificity of each country and in particular on their degree of financial integration and trade opening. Our results also show that the evolution of the RER misalignment during our sample period, seem to be for some countries persistant and recurrent, but with decrease

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