This paper develops a NATREX (NATural Real EXchange rate) model for two large economies, the Eurozone and the United States, which are fully specified and allowed to interact. The theoretical framework, grounded on dynamic disequilibrium modelling approach in continuous time, provides the basis for empirical estimation. The model is estimated in its structural form as a simultaneous nonlinear differential equations system for the 1975–2003 period. The estimated parameters are then used to derive the simulated Euro/USD NATREX series in- and out of-sample that offers the benchmark against which the misalignements of the actual real exchange rate are measured.
A Two-Country NATREX Model for the Euro/Dollar
FEDERICI, Daniela;
2010-01-01
Abstract
This paper develops a NATREX (NATural Real EXchange rate) model for two large economies, the Eurozone and the United States, which are fully specified and allowed to interact. The theoretical framework, grounded on dynamic disequilibrium modelling approach in continuous time, provides the basis for empirical estimation. The model is estimated in its structural form as a simultaneous nonlinear differential equations system for the 1975–2003 period. The estimated parameters are then used to derive the simulated Euro/USD NATREX series in- and out of-sample that offers the benchmark against which the misalignements of the actual real exchange rate are measured.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
