메뉴 건너뛰기




Volumn 20, Issue 6, 2011, Pages 789-808

International financial integration and real exchange rate long-run dynamics in emerging countries: Some panel evidence

Author keywords

Cointegration tests; Emerging economies; Financial integration; Misalignment; Real exchange rate; Second generation panel unit root

Indexed keywords

COINTEGRATION ANALYSIS; DEVELOPING WORLD; EMPIRICAL ANALYSIS; FINANCIAL SYSTEM; REAL EXCHANGE RATE; VALUATION;

EID: 80053512797     PISSN: 09638199     EISSN: 14699559     Source Type: Journal    
DOI: 10.1080/09638190903365948     Document Type: Article
Times cited : (5)

References (78)
  • 4
    • 3042765507 scopus 로고    scopus 로고
    • A panic attack on unit roots and cointegration
    • Bai, J., and S. Ng. 2004. A panic attack on unit roots and cointegration. Econometrica 72, no. 4: 127-77.
    • (2004) Econometrica , vol.72 , Issue.4 , pp. 127-177
    • Bai, J.1    Ng, S.2
  • 7
    • 84881426775 scopus 로고    scopus 로고
    • Burden sharing and exchange rate misalignment within the group of twenty
    • Benassy-Quere, A., P. Duran Vigneron, A. Lahreche Revil, and V. Mignon. 2004. Burden sharing and exchange rate misalignment within the group of twenty. CEPII, 2004, no. 13, 6-11.
    • (2004) CEPII , vol.2004 , Issue.13 , pp. 6-11
    • Benassy-Quere, A.1    Duran, V.P.2    Lahreche, R.A.3    Mignon, V.4
  • 8
    • 33645358014 scopus 로고    scopus 로고
    • Latvijas Banka. Analysis of the Real Exchange Rate in Latvia: 1994-2001. Bank of Latvia. Mimeo
    • Bitans, M., and I. Tillers. 2003. Estimates of equilibrium exchange rate in Latvia. Latvijas Banka. Analysis of the Real Exchange Rate in Latvia: 1994-2001. Bank of Latvia. Mimeo.
    • (2003) Estimates of Equilibrium Exchange Rate In Latvia
    • Bitans, M.1    Tillers, I.2
  • 9
    • 85016078433 scopus 로고
    • The dynamic effects of aggregate demand and supply disturbances
    • Blanchard, O., and D. Quah. 1989. The dynamic effects of aggregate demand and supply disturbances. American Economic Review 79: 655-73.
    • (1989) American Economic Review , vol.79 , pp. 655-673
    • Blanchard, O.1    Quah, D.2
  • 10
    • 33746376858 scopus 로고    scopus 로고
    • Financial globalization, exchange rates, and international trade
    • ed. Gerald Epstein, Camberley: Edward Elgar
    • Blecker, R.A. 2005. Financial globalization, exchange rates, and international trade. In Financialization and the World Economy, ed. Gerald Epstein, 1-10. Camberley: Edward Elgar.
    • (2005) Financialization and The World Economy , pp. 1-10
    • Blecker, R.A.1
  • 12
    • 3142739582 scopus 로고
    • The two-sector model and the real exchange rate
    • Bruno, M. 1976. The two-sector model and the real exchange rate. American Economic Review 66, no. 4: 566-77.
    • (1976) American Economic Review , vol.66 , Issue.4 , pp. 566-577
    • Bruno, M.1
  • 14
    • 0001825070 scopus 로고
    • Currency substitution and the demand for money: Some evidence for Canada
    • Calvo, G. Bordo, D. Michael, and Ehsan U. Choudhri. 1982. Currency substitution and the demand for money: Some evidence for Canada. Journal of Money, Credit and Banking 14, no. 1: 48-57.
    • (1982) Journal of Money, Credit and Banking , vol.14 , Issue.1 , pp. 48-57
    • Calvo, G.B.1    Michael, D.2    Choudhri, E.U.3
  • 15
    • 80053557534 scopus 로고    scopus 로고
    • CHELEM Database
    • CHELEM Database. 2005. http://www.cepii.fr/anglaisgraph/bdd/chelem.htm
    • (2005)
  • 16
    • 84883190371 scopus 로고    scopus 로고
    • Combination unit root tests for cross-sectionally correlated panels
    • ed. D. Corbae, S. Durlauf, and B. Hansen. Essays in Honor of Peter C.B. Phillips, 124-48. Cambridge: Cambridge University Press
    • Choi, I. 2006. Combination unit root tests for cross-sectionally correlated panels. In Econometric theory and practice: Frontiers of analysis and applied research, ed. D. Corbae, S. Durlauf, and B. Hansen. Essays in Honor of Peter C.B. Phillips, 124-48. Cambridge: Cambridge University Press.
    • (2006) Econometric Theory and Practice: Frontiers of Analysis and Applied Research
    • Choi, I.1
  • 20
    • 0001726295 scopus 로고
    • Exchange rates and the current account
    • Dornbusch, Rudiger, and Stanley Fischer. 1980. Exchange rates and the current account. American Economic Review 70: 960-71.
    • (1980) American Economic Review , vol.70 , pp. 960-971
    • Dornbusch, R.1    Fischer, S.2
  • 25
    • 0024220675 scopus 로고
    • Real and monetary determinants of real exchange rate behavior: Theory and evidence from developing countries
    • Edwards, S. 1988. Real and monetary determinants of real exchange rate behavior: Theory and evidence from developing countries. Journal of Development Economics 29, no. 3: 311-41.
    • (1988) Journal of Development Economics , vol.29 , Issue.3 , pp. 311-341
    • Edwards, S.1
  • 30
    • 0003296619 scopus 로고
    • Estimating long-run equilibrium real exchange rates
    • ed. Dans Williamson, J., Washington, DC: Institute for International Economics
    • Elbadawi, I. 1994. Estimating long-run equilibrium real exchange rates. In Estimating equilibrium exchange rates, ed. Dans Williamson, J., 93-131. Washington, DC: Institute for International Economics.
    • (1994) Estimating Equilibrium Exchange Rates , pp. 93-131
    • Elbadawi, I.1
  • 32
    • 0001841085 scopus 로고
    • Long-run determinants of the real exchange rate: A stock-flow perspective
    • Faruqee, H. 1995. Long-run determinants of the real exchange rate: A stock-flow perspective. IMF Staff Papers 42, no. 1: 80-107.
    • (1995) IMF Staff Papers , vol.42 , Issue.1 , pp. 80-107
    • Faruqee, H.1
  • 34
    • 0042762133 scopus 로고    scopus 로고
    • Currency crashes in emerging markets: An empirical treatment
    • Frankel, J.A., and A.K. Rose. 1996. Currency crashes in emerging markets: An empirical treatment. Journal of International Economics 41, no. 3-4: 351-66.
    • (1996) Journal of International Economics , vol.41 , Issue.3-4 , pp. 351-366
    • Frankel, J.A.1    Rose, A.K.2
  • 35
    • 0027756572 scopus 로고
    • Exchange rate variability and the level of international trade
    • Gagnon, J. 1993. Exchange rate variability and the level of international trade. Journal Of International Economics, no. 34: 269-87.
    • (1993) Journal of International Economics , vol.34 , pp. 269-287
    • Gagnon, J.1
  • 37
    • 38249014442 scopus 로고
    • Monetary policy, exchange rates and investment in Keynesian economy
    • Gavin, M. 1992. Monetary policy, exchange rates and investment in Keynesian economy. Journal of International Money and Finance 11: 45-161.
    • (1992) Journal of International Money and Finance , vol.11 , pp. 45-161
    • Gavin, M.1
  • 38
    • 0000260582 scopus 로고    scopus 로고
    • Testing for stationarity in heterogeneous panel data
    • Hadri, K. 2000. Testing for stationarity in heterogeneous panel data. Econometrics Journal 3, no. 2: 148-61.
    • (2000) Econometrics Journal , vol.3 , Issue.2 , pp. 148-161
    • Hadri, K.1
  • 40
    • 0001841002 scopus 로고
    • Fluctuations in the dollar: A model of nominal and real exchange rate determination
    • Hooper, P., and J. Morton. 1982. Fluctuations in the dollar: A model of nominal and real exchange rate determination. Journal of International Money and Finance 1: 39-56.
    • (1982) Journal of International Money and Finance , vol.1 , pp. 39-56
    • Hooper, P.1    Morton, J.2
  • 41
    • 0013494462 scopus 로고    scopus 로고
    • Discussion Paper, Department of Economics, University of Central Florida
    • Im, K., and J. Lee. 2001. Panel LM unit root test with level shifts. Discussion Paper, Department of Economics, University of Central Florida.
    • (2001) Panel LM Unit Root Test With Level Shifts
    • Im, K.1    Lee, J.2
  • 43
    • 80053530309 scopus 로고    scopus 로고
    • International Financial Statistic (IFS)
    • International Financial Statistic (IFS). 2006. http://www.imf.org/external/data.htm
    • (2006)
  • 44
    • 35448971123 scopus 로고    scopus 로고
    • On the estimation and inference of a cointegrated regression in panel data
    • Kao, C., and M.H. Chiang. 2000. On the estimation and inference of a cointegrated regression in panel data. Advances in Econometrics 15: 179-222.
    • (2000) Advances In Econometrics , vol.15 , pp. 179-222
    • Kao, C.1    Chiang, M.H.2
  • 45
    • 0021050715 scopus 로고
    • The macroeconomic effects of changes in barriers to trade and capital flows: A simulation analysis
    • Khan, M.S., and R. Zahler. 1983. The macroeconomic effects of changes in barriers to trade and capital flows: A simulation analysis. IMF Staff Papers 30: 223-82.
    • (1983) IMF Staff Papers , vol.30 , pp. 223-282
    • Khan, M.S.1    Zahler, R.2
  • 49
    • 0000391884 scopus 로고    scopus 로고
    • Unit root tests in panel data: Asymptotic and finite sample properties
    • Levin, A., C.-F. Lin, and C.-S. Chu. 2002. Unit root tests in panel data: Asymptotic and finite sample properties. Journal of Econometrics 108, no. 1: 1-24.
    • (2002) Journal of Econometrics , vol.108 , Issue.1 , pp. 1-24
    • Levin, A.1    Lin, C.-F.2    Chu, C.-S.3
  • 50
    • 84981611585 scopus 로고
    • Testing for unit roots using forward and reverse Dickey-Fuller regressions
    • Leybourne, S. 1995. Testing for unit roots using forward and reverse Dickey-Fuller regressions. Oxford Bulletin of Economics and Statistics 57, no. 4: 559-71.
    • (1995) Oxford Bulletin of Economics and Statistics , vol.57 , Issue.4 , pp. 559-571
    • Leybourne, S.1
  • 52
    • 0000566754 scopus 로고    scopus 로고
    • Exchange rate behaviour: Are fundamentals important
    • MacDonald, R. 1999. Exchange rate behaviour: Are fundamentals important. The Economic Journal 169: 673-91.
    • (1999) The Economic Journal , vol.169 , pp. 673-691
    • Macdonald, R.1
  • 53
    • 33947614007 scopus 로고    scopus 로고
    • A comparative study of unit root tests with panel data and a new simple test
    • Maddala, G.S., and S. Wu. 1999. A comparative study of unit root tests with panel data and a new simple test. Oxford Bulletin of Economics and Statistics 12: 167-76.
    • (1999) Oxford Bulletin of Economics and Statistics , vol.12 , pp. 167-176
    • Maddala, G.S.1    Wu, S.2
  • 54
    • 85066177790 scopus 로고    scopus 로고
    • A residual-based test of the null of cointegration in panel data
    • McCoskey, S., and C. Kao. 1998. A residual-based test of the null of cointegration in panel data. Econometric Reviews 17: 57-84.
    • (1998) Econometric Reviews , vol.17 , pp. 57-84
    • McCoskey, S.1    Kao, C.2
  • 55
    • 3042730368 scopus 로고    scopus 로고
    • Testing for a unit root in panels with dynamic factors
    • Moon, H., and B. Perron. 2004. Testing for a unit root in panels with dynamic factors. Journal of Econometrics 122, no. 1: 8-126.
    • (2004) Journal of Econometrics , vol.122 , Issue.1 , pp. 8-126
    • Moon, H.1    Perron, B.2
  • 56
    • 80053475518 scopus 로고    scopus 로고
    • Relation entre le taux de change et les exportations nettes: Test de la condition Marshall-Lerner pour le Canada
    • Morel, B., and B. Perron. 2003. Relation entre le taux de change et les exportations nettes: test de la condition Marshall-Lerner pour le Canada. L'Actualité économique 79, no. 4: 481-502.
    • (2003) L'Actualité Économique , vol.79 , Issue.4 , pp. 481-502
    • Morel, B.1    Perron, B.2
  • 58
    • 0000272897 scopus 로고
    • Determinants of the equilibrium real exchange rate
    • Neary, P. 1988. Determinants of the equilibrium real exchange rate. American Economic Review 78, no. 1: 210-5.
    • (1988) American Economic Review , vol.78 , Issue.1 , pp. 210-215
    • Neary, P.1
  • 59
    • 0001068985 scopus 로고
    • Balance-of-payments crises and devaluation
    • Obstfeld, M. 1984. Balance-of-payments crises and devaluation. Journal of Money, Credit and Banking 16, no. 2: 208-17.
    • (1984) Journal of Money, Credit and Banking , vol.16 , Issue.2 , pp. 208-217
    • Obstfeld, M.1
  • 60
    • 0002216005 scopus 로고    scopus 로고
    • The global capital market: Benefactor or menace
    • Obstfeld, M. 1998. The global capital market: Benefactor or menace? Journal of Economic Perspectives 12, no. Fall: 9-30.
    • (1998) Journal of Economic Perspectives , vol.12 , Issue.Fall , pp. 9-30
    • Obstfeld, M.1
  • 63
    • 0041110046 scopus 로고    scopus 로고
    • Critical values for co-integration tests in heterogeneous panels with multiple regressors
    • Pedroni, P. 1999. Critical values for co-integration tests in heterogeneous panels with multiple regressors. Oxford Bulletin of Economics and Statistics 61: 653-78.
    • (1999) Oxford Bulletin of Economics and Statistics , vol.61 , pp. 653-678
    • Pedroni, P.1
  • 64
    • 2542568123 scopus 로고    scopus 로고
    • Panel cointegration. Asymptotic and finite sample properties of pooled time series tests with an application to the PPP hypothesis
    • Pedroni, P. 2004. Panel cointegration. Asymptotic and finite sample properties of pooled time series tests with an application to the PPP hypothesis. Econometric Theory 20, no. 3: 597-625.
    • (2004) Econometric Theory , vol.20 , Issue.3 , pp. 597-625
    • Pedroni, P.1
  • 65
    • 23044445565 scopus 로고    scopus 로고
    • Cambridge Working Papers in Economics 435, Cambridge, and CESifo Working Paper Series 1229, Munich
    • Pesaran, M. 2004. General diagnostic tests for cross section dependence in panels. Cambridge Working Papers in Economics 435, Cambridge, and CESifo Working Paper Series 1229, Munich.
    • (2004) General Diagnostic Tests For Cross Section Dependence In Panels
    • Pesaran, M.1
  • 66
    • 34248177429 scopus 로고    scopus 로고
    • A simple panel unit root test in the presence of cross section dependence
    • Pesaran, M.H. 2007. A simple panel unit root test in the presence of cross section dependence. Journal of Applied Econometrics 22, no. 2: 265-312.
    • (2007) Journal of Applied Econometrics , vol.22 , Issue.2 , pp. 265-312
    • Pesaran, M.H.1
  • 69
    • 77953794778 scopus 로고    scopus 로고
    • NBER Working Papers 8422, National Bureau of Economic Research, Cambridge, MA
    • Reinhart Carmen, M., and R. Todd Smith. 2001. Temporary controls on capital inflows. NBER Working Papers 8422, National Bureau of Economic Research, Cambridge, MA.
    • (2001) Temporary Controls On Capital Inflows
    • Reinhart, C.M.1    Todd, S.R.2
  • 70
    • 0000786475 scopus 로고    scopus 로고
    • The purchasing power parity puzzle
    • Rogoff, K.S. 1996. The purchasing power parity puzzle. Journal of Economic Literature 34, no. 2: 647-68.
    • (1996) Journal of Economic Literature , vol.34 , Issue.2 , pp. 647-668
    • Rogoff, K.S.1
  • 71
    • 10044239584 scopus 로고    scopus 로고
    • More powerful panel unit root tests with an application to the mean reversion in real exchange rates
    • Smith, V., S. Leybourne, and T.-H. Kim. 2004. More powerful panel unit root tests with an application to the mean reversion in real exchange rates. Journal of Applied Econometrics 19, no. 2: 147-70.
    • (2004) Journal of Applied Econometrics , vol.19 , Issue.2 , pp. 147-170
    • Smith, V.1    Leybourne, S.2    Kim, T.-H.3
  • 72
    • 0003230958 scopus 로고
    • The natural real exchange rate of the US dollar and determinants of capital flows
    • ed. J. Williamson, Washington, DC: Institute for International Economics
    • Stein, J. 1994. The natural real exchange rate of the US dollar and determinants of capital flows. In Estimating Equilibrium Exchange Rates, ed. J. Williamson, 133-75. Washington, DC: Institute for International Economics.
    • (1994) Estimating Equilibrium Exchange Rates , pp. 133-175
    • Stein, J.1
  • 75
    • 34548700606 scopus 로고    scopus 로고
    • A panel bootstrap cointegration test
    • Westerlund, J., and D. Edgerton. 2007. A panel bootstrap cointegration test. Economics Letters 97: 185-90.
    • (2007) Economics Letters , vol.97 , pp. 185-190
    • Westerlund, J.1    Edgerton, D.2
  • 76
    • 0003802346 scopus 로고
    • In Policy Analyses in International Economics. Washington, DC: Institute for International Economics
    • Williamson, J. 1985. The exchange rate system. In Policy Analyses in International Economics. Washington, DC: Institute for International Economics.
    • (1985) The Exchange Rate System
    • Williamson, J.1
  • 77
    • 0003346038 scopus 로고
    • In Estimating Equilibrium Exchange Rates, ed. J. Williamson. Washington, DC: Institute for International Economics
    • Williamson, J. 1994. Estimates of FEERs. In Estimating Equilibrium Exchange Rates, ed. J. Williamson. Washington, DC: Institute for International Economics.
    • (1994) Estimates of FEERs
    • Williamson, J.1
  • 78
    • 80053522334 scopus 로고    scopus 로고
    • World Development Indicators (WDI)
    • World Development Indicators (WDI). 2006. http://www.worldbank.org/datacatalog/world-development-indicators
    • (2006)


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.