{
  "title": "Real Exchange Rates and Fundamentals: A Cross-Country Perspective",
  "publication": "IMF Working Papers, January 1, 2008",
  "sourceUrl": "https://www.imf.org/en/publications/wp/issues/2016/12/31/real-exchange-rates-and-fundamentals-a-cross-country-perspective-21425",
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  "summary": "This paper employs newly constructed measures for productivity differentials, external imbalances, and commodity terms of trade to estimate a panel cointegrating relationship between real exchange rates and a set of fundamentals for a sample of 48 industrial countries and emerging markets.",
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    {
      "heading": "Overview",
      "content": "- Authors: Luca A Ricci, Jaewoo Lee, Gian M Milesi-Ferretti\n- Date: January 1, 2008\n- Core objective: Estimate a panel cointegrating relationship between real exchange rates and a set of fundamentals using newly constructed measures for productivity differentials, external imbalances, and commodity terms of trade.\n- Sample: 48 industrial countries and emerging markets."
    },
    {
      "heading": "Key findings",
      "content": "- There is evidence of a strong positive relation between the CPI-based real exchange rate and commodity terms of trade.\n- The estimated impact of productivity growth differentials between traded and nontraded goods, while statistically significant, is small.\n- Increases in net foreign assets tend to be associated with appreciating real exchange rates.\n- Increases in government consumption tend to be associated with appreciating real exchange rates."
    },
    {
      "heading": "Data, methodology, and scope",
      "content": "- Measures constructed: productivity differentials, external imbalances, commodity terms of trade.\n- Empirical approach: panel cointegrating relationship between real exchange rates and fundamentals.\n- Exchange rate measure emphasized: CPI-based real exchange rate.\n- Country coverage: 48 industrial countries and emerging markets.\n\n---\n\n Content in this bundle\n\n- wp0813\n  - wp0813 (Markdown version){rel=\"alternate\" type=\"text/markdown\"}\n  - wp0813 (PDF){rel=\"external\" type=\"application/pdf\"}\n\n---\n\nSource: https://www.imf.org/en/publications/wp/issues/2016/12/31/real-exchange-rates-and-fundamentals-a-cross-country-perspective-21425"
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    "Authors: Luca A Ricci, Jaewoo Lee, Gian M Milesi-Ferretti",
    "Published: January 1, 2008",
    "Series: IMF Working Papers",
    "Authors: Luca A Ricci, Jaewoo Lee, Gian M Milesi-Ferretti",
    "Date: January 1, 2008",
    "Core objective: Estimate a panel cointegrating relationship between real exchange rates and a set of fundamentals using newly constructed measures for productivity differentials, external imbalances, and commodity terms of trade.",
    "Sample: 48 industrial countries and emerging markets.",
    "There is evidence of a strong positive relation between the CPI-based real exchange rate and commodity terms of trade.",
    "The estimated impact of productivity growth differentials between traded and nontraded goods, while statistically significant, is small.",
    "Increases in net foreign assets tend to be associated with appreciating real exchange rates.",
    "Increases in government consumption tend to be associated with appreciating real exchange rates.",
    "Measures constructed: productivity differentials, external imbalances, commodity terms of trade.",
    "Empirical approach: panel cointegrating relationship between real exchange rates and fundamentals.",
    "Exchange rate measure emphasized: CPI-based real exchange rate.",
    "Country coverage: 48 industrial countries and emerging markets.",
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