Munich Personal RePEc Archive
Estimating the Real Exchange Rate
Misalignment : case of the cfa franc zone
Kuikeu, Oscar
21 June 2012
Online at https://mpra.ub.uni-muenchen.de/39623/
MPRA Paper No. 39623, posted 24 Jun 2012 02:51 UTC
! " #$$% &
! " #$'( ) * "
+ + , ! " !
! " ! - ! ! "
)
!
. " .
. . .! ". #$$% " " . . +
/ " #$'() 0 1 & " 1.! "
.! " . + 1 . 2"1 + .! " " 2" 2"
" " .! ". " .! ". + " 3 " 4.! " " "
! + / #$$%)
" # $ %$ !
& '
* - " " " 9" : 9
! #$;< #$;7 - + = >
" ? 5 5" , = 0@ 1 ! A" :
5 " B 9 * > 0 0 0
+" 0 0 2" A" A )
* " -
0 ? " - 50
5 2" 0 1 2" 1 " ? 5 0 5 2"
1 2" 0 0 >
+" 0 " - 0
, 5 2" 0 0 )
& " - #$$% ! " - C( ) 9
! " + - + "
DCC)$C; # " )
+ + " ! " E " - #$$% !
! " ! - ! ! "
" -1 + ! #
1 )
= #$'$ F #$$; 0 , F #$$'
- ! !
! G " H
RER F ! G " H G + "
)
? G " H ! ! ! - ! "
G " H
: " 2" " !
( )
F*G
RER= #
RER* 2" " F* ! ! G " H)
9" ! " : " 2" " !
+
( )t RER* G
(
F( )t F*)
RER − = −
( )
t G(
F F( )
t)
RER
RER* − = * − <
* " - 5 10 #$$$ 1 +
+ +
- - G " H
+ ! - < + -
: " + G " H
7 " + -
: " + ! ! " G " H % -
" + " - " C )
( ) *
= - " " -1
+ ! " " " + )
" - + + -
+ ! " -1 + ! )
, -
! +
T N P P IRER=
PN + PT + )
* + " ! + " - + " "
! - ) IRER , + "
! - + " " ! "
) ! +
IRER + " -1
+ ! : " - + " ! - !
- :) * + IRER
+ - - + + !
+ ! )
++ 6" 6 6 - 666
" ! + " + + "
,
( )
∏
== nj EjP Pj j
ERER 1
θ
Ej " - +
j P + Pj + - j θj
+ j " -)
+ " ! - ++ + ! -
+ ERER + + ! " -1
+ ! )
+&
, - . " / 0001
? + - + " " "
) * " 2" + " + -
) ,
! +
T N P P IRER
e= = 7
PN + PT + )
- G " H #$$$
++ " ) * 2" "
, B" , #$%C ! "
& ! + ! ! " !
- " & ! )
# ,
( ) N N N
N eξ c g θc g
y , = + = + ∂yN ∂e>0 ∂yN ∂ξ <0 %
yN + "++ - " " + - c + !
+ " θ + !
gN ! + ξ + " ! - ,)
" * " ! " - " )
#$$$ " $ % 2" " ++ "
" -1 1 , !
- : 2" " " -1
+ ) 9 " " + ++
! " ! + 2" #
" " + "
( ), ( )1 * 0
* = − − − + =
+rf y e ξ g θ ec rf
tb T T C
tb + "
yT " ! gT + ! + c f* -
! " )
% C ! + : "
( ) ( )( ) − +
− −
=
N N
T T
ξ g e y
rf g ξ e θ y θ
e ,
1 ,
*
D
6 ! ! + ! " " ! " !
+
=
− +
− + g tbξ g
G
e N, T, , tb=−rF* ;
I + ! - : + ++ + ! -
+ G + " )
? + "+ " +" " +" + yX +
yM) J !
(e,tot)+y (e,tot)−g −(1−θ)ec+rf*=0
totyX M M tot=PXW PMW e=PN PMW '
gM ! + + tot PMW
+ + PXW + + )
? + +
G " H) !
) + ! "
+ + + ) * " "
, ∂yN ∂tot<0 "++ -
( + )∂ >0
∂totyX yM tot )
9 2" " + !
- + ! 2"
++ <%)
B ! " + - + + PX
+ PM - + ) *
" ! ++ + + " tm "
25" ! - " "
"++ - , ∂yN ∂tot >0
(
+)
∂ <0∂ totyX yM tot + 5 E) )
10 9) #$$$ )
+ tx) " + + PX PM
tot " η=1+tm 1−tx
η tot P PX M =
9 + - +
G " H) " " +" + +
+ - + " ) * " "
+ + + ) 9
+ ! " - " 2" "
+ ) * + - ++
)
* : " + G " H 2"
;
=
− + +
− +
+ ,g− ,tb,ξ,η,tot/
g G
e N T $
& 2 )
* +" + + + ! : " +
$ G " H)
5 + : " +
G " H)
& & 3
0 " 2" + ) +
+ : - ! ) +
: - ++ - " + !
+ ) + " - + + "
" + " ++
- ) * ! ++ ! + 2" -
< )
( +
K BERER " -
+ j
j jP P E
BERER= #(
Ej + " -
+ j P + ! Pj + j1 + ! )
? , " + ! :
+
( ) ( )α⋅ −α
= PN PT 1
P Pj =
( ) ( )
PNj α⋅ PTj1−α 0<α<1 ##PN + + : PT + α
: " " - )
## #< !
( )
( )
TjTj j T j N
T N
P P E P P
P
BERER= P αα ⋅ #<
: " " + ++
j jP P
E =
* PN PT + ! - PNj PTj +
" - + ! - + j
(IRERD) (α IRERF)α
BERER= IRERD=PN PT Tj
j N P P
IRERF= #7
* , 2" #% !
∆
−
∆
∆ =
IRERF IRERF IRERD α
IRERD BERER α
BERER
#%
∆ + " )
" " ! " -1
+ + ! " -1
IRERD IRERD IRERF k
IRERF = ∆
∆ 0< <1
k
9
( )
∆
−
∆ =
IRERD IRERD α k
BERER BERER
1
* " " + ! " -1
? " " #( ! +
& ' ( ' " ! " +
AF6)
& ' ' " A=0= AF6)
) , " #$'$ 5
10 #$$$ " 2"
! " ) * " + + " + AF6
" ))
* ! & + )
" " + + + + )
* 2" - " ! $ #C " 5
5" , 4= 0 0@ 1 ! A B 9 * !
#$'( : <((#) * - , ! " " 0 6
6 ? * )
&+& , 2 )
? 2" $ + = -
- 7 J " % +
" " - - , -
3* = F =
( (
SCRR −SCRSR)
SCRSR)
⋅( (
N(
T −1)
−K) (
N −1) )
9"92" " + 9" 92" "
" 4 * F →. (# * ( / ( ) J . L D)D' !
C ! )
4* J " , ! - H =qˆ′
[ ]
V( )
qˆ qˆ qˆ =βˆW −βˆGLS V( )
qˆ =V( ) ( )
βˆW −V βˆGLS0 ? AK9 A K 92" H → /1 $ $
%)$; ! #( ! ) * # + " AK9
2" $ + - +
* # 4 " + + -
RER 0 : "
open 4#(7)D%7 4D);%2
tot 4C)7(# 4<#)%C2
D';) '#( <C)('2
9
3 4 ();C
! #$'
M MM MMM " -+ & #N CN #(N ! L " !
RER L open L + + I + + AF6 tot L
)
+ " - :
+ ! " + ) * "
+ ! )
4&
? ! 2" " ! "
! ! ! " " 2" # ) J !
" ! ! " G " H ! ) 9
" " " ! + - +
" - ! ! " ! - +
+ ) * " - ! ! ! " G " H
+ - ! ! + 2" 2" ) J
+ + + - : - ! ! ) * " !
2" " 2" # ' L ! 2
" ! " + ! - ! ! " ' O(
+ ! - ' P ( )
* " # +
+ " - #$'( : <((# ! "
1 "
! ! " " " , " <(## " 1
> ! - ,
)
+ " # " ! " "
#$'( #$'( : #$'C + - " " #$$7) "
" + - " + #$'D : #$$7
! ! " - D)%7 ! ) ! " +
#$$% + -) 5 #$$C <((( "
" + - " ! " - ')<<
! )
5&
* " - , E " - #$$% ! " !
! " ! - ! ! " !
1 ) 5 " "
" " + ! " #$'( : #$$7 1
! ! " - <)C' ! " ! "
E " - #$$% ! C)
6
5 E) ) 10 9) #$$$ Q9 2" 2" "
1 " 1 ' ' ' K) J ,
6) ? 5 , 6" )
0 , 6) F ) #$$' Q " :
+ 5 = 1 # . 0 $ ' + B ) $'3D;
- =" )
F ! & 9) #$$; Q 0= 1 5
! ) D B ) 7 7C : C7)
9) #$'$ " 1 ' 3 " 1 ' ) '
* 6 0 " )
) ) 9 #$$; Q &" 9" :
9 ! + " 1 5 ! ) D B ) 7
# : CD)
B) ) ) ) R. <((< Q + !
" " + B " 1 0 $ ' + B ) <;)
" , " ) <(## S +
! 0 T & % 1 5 ! ) 7 B ) #(< 9 +
B , )
F ) #$$; Q? U * 1 # .
0 $ ' + B ) $;3<# - =" )
6)E) #$$$ QF : " 2" " -
1 " 1 ' ' ' K) J , 6)
? 5 , 6" )
B" , ) #$%C Q0 - 2" " 1 ) #
. % 6 ! - 6 = 9 B E - 9 )
) #$$< Q * " " " " +. 1
B ) ;; : ;' VV C$ : ;%)
9 ,, ) R " , ) #$$' Q " " +
9" : 9 1 * 1 + B ) #7%)
7 ) *
7 " 8 9
(
:% / 0001
0@ : 1 ! 5" , : =
0
A )
A=0=3AF6 + + " ! -
@ : 1 ! #$DC :
#$$7
5" , : = #$;( :
#$$7
5 ';4$7
0@ :
1 ! ! ! " - "
7; 5" ,
" ! " - " #%
3 * ; / 00<1
#< 0 "
0 0 *
A 0@
1 ! 9. . 0
+" B
5" , 5 0
0 +" A
2" "
0A
#$'( : #$$%
* 0 ! ! "
#$$7 - " 7#N
! ) + "
0 0 A
! ! "
" ,
0 + -
" ! "
)
= / 00>1
' " @
: 1 !
0 A
+ + +"
+ " +"
!
" - ,
@ 1 ! #$D( : #$$7
#$D' 4#$$7
* ! ! "
! - "
+ +
! " " ,
" 0@ 1 !
8$ ! /+??+1
C7 KF0 ;
0 "
F- "
+ -
+ + +"
+ " +"
!
!
#$;( 4 #$$$
* 0 ! ! " -
" D# !
#$;C : #$$$ -
" <' #$'C 4
#$$$
: / 00+1 #7 0 " 666 #$'# #$'( 4#$$(
* 0
! ! " "
#$'(
+
* 0 ! ! "
- ! <(N
- #$;() B !
"