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Filtering the BEER : a permanent and transitory decomposition

Author: Peter B Clark; Ronald MacDonald; International Monetary Fund. Research Department.
Publisher: [Washington, D.C.] : International Monetary Fund, Research Dept., ©2000.
Series: IMF working paper, WP/00/144.
Edition/Format:   eBook : Document : International government publication : EnglishView all editions and formats
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Genre/Form: Electronic books
Additional Physical Format: Print version:
Clark, Peter B. (Peter Barton), 1941-
Filtering the BEER.
[Washington, D.C.] : International Monetary Fund, Research Dept., ©2000
(OCoLC)45177787
Material Type: Document, Government publication, International government publication, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Peter B Clark; Ronald MacDonald; International Monetary Fund. Research Department.
ISBN: 9781451901580 1451901585
ISSN:2227-8885
OCLC Number: 647454999
Reproduction Notes: Electronic reproduction. [S.l.] : HathiTrust Digital Library, 2010. MiAaHDL
Description: 1 online resource (37 pages) : illustrations.
Details: Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002.
Series Title: IMF working paper, WP/00/144.
Responsibility: Peter B. Clark and Ronald MacDonald.

Abstract:

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In this paper we extend the BEER (Behavioral Equilibrium Exchange Rate) approach which identifies an estimated equilibrium relationship between the real exchange rate and economic fundamentals. Here the economic fundamentals are decomposed using Johansen cointegration methods into transitory and permanent components, with the latter used to estimate the Permanent Equilibrium Exchange Rate, or PEER, for the U.S. and Canadian dollars and the pound sterling. the BEER and the PEER move closely together for the U.S. and Canadian dollars and generally track the actual exchange rate. By contrast, for the pound sterling the BEER and the PEER diverge sharply, with the latter following the actual exchange rate quite closely.

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