Real Interest Rate and Exchange Rate Divergences within the EZ12: Evidence Based at Mean Group Estimators

• Olgica Glavaški ^[1] ; Emilija Beker Pucar ^[1]
  1. [1] University of Novi Sad. Serbia
• Localización: Revista de economía mundial, ISSN 1576-0162, Nº 58, 2021, págs. 141-162
• Idioma: inglés
• Títulos paralelos:
  • Divergencias de la tasa de interés real y la tasa de cambio dentro del EZ12: Evidence Based at Mean Group Estimators
• Enlaces
  • Texto completo
• Resumen
  • español

    Dado que la tasa de interés nominal y la tasa de cambio nominal son comunes para los miembros de la zona euro (EZ), los diferenciales de inflación inician divergencias en la tasa de interés real y en la tasa de cambio real con más efectos indirectos. El objetivo de la investigación es indagar en qué medida el nivel de precios nacional, la tasa de interés real y el tipo de cambio real se mueven conjuntamente o divergen de las variables EZ supranacionales. Los resultados de la investigación, basados en datos heterogéneos de macropanel dinámico de 12 miembros iniciales de la EZ en el período 1999Q1-2019Q4, confirman un ajuste heterogéneo, así como la falta de equilibrio hacia el equilibrio, como un signo de vulnerabilidad de la EZ.

  • English

    Since nominal interest rate and nominal exchange rate are common for the Euro-zone (EZ) members, inflation differentials initiate real interest rate and real exchange rate divergences with further spill-over effects. The aim of the research is to investigate in which extent national price level, real interest rate and real exchange rate, co-move or diverge from supranational EZ variables.

    The research results, based on heterogeneous dynamic macro-panel data of 12 initial EZ members in the period 1999Q1-2019Q4, confirm heterogeneous adjustment, as well as the lack of balancing towards equilibrium, as a sign of EZ vulnerability.

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