ECONOMETRIC ANALYSIS OF EXCHANGE RATE IN SERBIA AND ITS INFLUENCE ON AGRICULTURAL SECTOR
DOI:
https://doi.org/10.5937/ekoPolj1601047PKeywords:
ARDL, assessment, equilibrium real exchange rate, ERER, SerbiaAbstract
This paper attempts to empirically estimate equilibrium exchange rate level of Serbian dinar. In that purpose reduced form equilibrium real exchange rate approach (ERER) is used, developed by IMFs Consultative Group on Exchange Rate Issues (CGER). The research was made by using ARDL approach in the single-country analysis. It has been started from dynamic model which has described relation between real effective exchange rate and a set of fundamental variables. Bound test has been provided due to determination of the long-term relationship existence between variables. F-statistics has been used for long-term relationship testing between dependent variable and set of indicators. Since assumptions were met, least squares method was used for coeffcient estimation. The results have shown constant dinars overvaluation over medium term.
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References
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3. Clark, P.B., MacDonald, R. (1998): Exchange Rates and Economic Fundamentals: A Methodological Comparison of BEERs and FEERs, IMF Working Paper WP/98/67, 38, (available at: https://www.imf.org/external/pubs/ft/wp/wp9867.pdf).
4. Driver, R., Westaway, P. (2004): Concepts of Equilibrium Exchange Rates, Working Paper no. 248, ISSN 1368-5562. Bank of England, (available at: http://www.bankofengland.co.uk/archive/Documents/historicpubs/workingpapers/2004/wp248.pdf).
5. Egert, B., Halpern, L., MacDonald, R. (2006): Equilibrium Exchange Rates in Transition Economies: Taking Stock of the Issues, Journal of Economic Surveys, Vol. 20, No. 2, pp. 257-268.
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12. Lane R.P., Milesi-Ferretti G.M. (2007): The external wealth of nations mark II: Revised and extended estimates of foreign assets and liabilities, 1970–2004, Journal of International Economics 73/2007, pp. 223-250.
13. Lane R.P., Milesi-Ferretti G.M., Updated and Extended "External Wealth of Nations" Dataset, 1970-2011. (aailable at: http://www.philiplane.org/EWN.html).
14. Lane, R.P., Milesi-Ferretti, G.M. (2011): External Adjustment and the Global Crisis, IMF Working Paper WP/11/197. Washington, DC: IMF, (available at: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1917918).
15. Lee, J., Milesi-Ferretti, G.M., Ostray, J., Prati, A., Ricci, L.A. (2008): Exchange Rate Assessment: CGER Methodologies, IMF Occasional Paper No. 261/2008, Washington, DC: IMF, (available at: https://www.imf.org/external/pubs/nft/op/261/op261.pdf).
16. MacDonald, R. (2000): Concepts to Calculate Equilibrium Exchange Rates: An Overview, Discussion Paper 3/00, Economic Research Group of the Deutsche Bundesbank, (available at: https://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2000/2000_07_03_dkp_03.pdf?__blob=publicationFile).
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21. Pažun, B. (2014): Savremeni koncepti procene ravnotežnog realnog deviznog kursa, HiT Menadžment, God. 2(2)2014, UDK 339.743.053, ISSN 2334-8267, 106-112.
22. Pažun, B. (2014): Primena CGER metodologija za procenu ravnotežnog realnog deviznog kursa u Srbiji, Ph.D. dissertation, Faculty of international economy, Megatrend University, Belgrade, Serbia.
23.Pazun, B., Langovic Milicevic, A., Langovic, Z. (2014): Equilibrium real exchange rate modelling in Serbia – ES approach, Annals of faculty engineering Hunedoara – International journal of engineering, XII/2014, Fascicule 4 (November), 367 – 370, ISSN 1584 – 2665, (available at: http://annals.fh.upt.ro/pdf-full/2014/ANNALS-2014-4-61.pdf).
24. Pesaran, H. (2006): Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure, Econometrica, Volume 74, Issue 4, pages 967–1012.
25. Pesaran, M.H., Shin, Y., Smith, R.J. (2001): Bound Testing Approaches to the Analysis of Level Relationships, Journal of Applied Econometrics, J. Appl. Econ. 16: 289–326. DOI: 10.1002/jae.616.
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27. Republički zavod Republike Srbije, Spoljnotrgovinska robna razmena Republike Srbije, (available at: http://webrzs.stat.gov.rs/WebSite/public/PublicationView.aspx?pKey=41&pLevel=1&pubType=2&pubKey=3308).
28. Ricci, L.A., Milesi-Ferretti G.M, Lee, J. (2008): Real Exchange Rates and Fundamentals: A Cross-Country Perspective, IMF WP/08/13, Washington, DC: IMF, (available at: https://www.imf.org/external/pubs/ft/wp/2008/wp0813.pdf)
29. Siregar, R., Rajan, R. (2006): Models of Equilibrium Real Exchange Rates Revisited: A Selective Review of the Literature, CIES. Discussion Paper No. 0604. University of Adelaide, Adelaide, 5005, Australia, (available at: https://www.adelaide.edu.au/cies/documents/papers/0604.pdf)
30. Siregar R. (2011): The Concepts of Equilibrium Exchange Rate: A Survey of Literature, Munich Personal RePEc Archive. Paper No. 28987. pp. 21-37, (available at: https://mpra.ub.uni-muenchen.de/28987/).
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32. WDI (2013): World Development Indicators & Global Development Finance. Washington, DC: The World Bank. (available at: http://databank.worldbank.org/ddp/home.do?Step=1&id=4).
33. Weber, A., Yang, C. (2011): Armenia: An Assessment of the Real Exchange Rate and Competitiveness, WP/11/20, Middle East and Central Asia Department, International Monetary Fund, (available at: https://www.imf.org/external/pubs/ft/wp/2011/wp1120.pdf)
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Published
2016-01-31
How to Cite
Pažun, B., Langović, Z., & Langović-Milićević, A. (2016). ECONOMETRIC ANALYSIS OF EXCHANGE RATE IN SERBIA AND ITS INFLUENCE ON AGRICULTURAL SECTOR. Ekonomika Poljoprivrede, 63(1), 47–59. https://doi.org/10.5937/ekoPolj1601047P
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