Real effective exchange rate and the constant elasticity of substitution assumption

• 成果类型: Article
• 署名作者: Spilimbergo, A; Vamvakidis, A
• 署名单位: International Monetary Fund
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/S0022-1996(02)00027-2
• 发表日期: 2003
• 页码: 337-354
• 关键词: foreign exchange; trade forecasting and simulation; panel unit root tests; Panel cointegration

摘要

The real effective exchange rate (BEER) is an aggregation of several bilateral real exchange rates assuming constant elasticity of substitution (CES) between goods from different countries. We investigate the validity of the CES assumption by estimating manufacturing export equations for 56 countries over 26 years. Under the CES assumption, splitting the REER into two components should not increase the fit in an export equation and the coefficients on the two REERs should be equal. We reject both these implications and find that the export equations with two REERs-vs. OECD and vs. nonOECD countries-perform better than the traditional ones. (C) 2002 Elsevier Science B.V. All rights reserved.