Enrique Alberola

Author Statistics

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Citation

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i-10 index

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Global Equilibrium Exchange Rates: Euro, Dollar, 'Ins', 'Outs', and Other Major Currencies in a Panel Cointegration Framework

SSRN Electronic Journal (1999)

Enrique Alberola Humberto López Ángel Ubide Susana Garcia Cervero

This paper presents a methodology for calculating bilateral equilibrium exchange rates for a panel of currencies in a way that guarantees global consistency. The methodology has three parts: a theoretical model that encompasses the balance of payments and the Balassa-Samuelson approaches to real exchange rate determination; an unobserved components decomposition in a cointegration framework that identifies a time-varying equilibrium real exchange rate; and an algebraic transformation that extracts bilateral equilibrium nominal rates. The results uncover that, by the start of Stage III of the European Economic and Monetary Union (EMU), the euro was significantly undervalued against the dollar and the pound, but overvalued against the yen. The paper also shows that the four major EMU currencies locked their parities with the euro at a rate close to equilibrium.

Liberian dollar

10.2139/ssrn.880830

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Citations (107)

Banks, remittances and financial deepening in receiving countries. A model

RePEc: Research Papers in Economics (2006)

Enrique Alberola Rodrigo César Salvado

A remarkable fact of the mushrooming remittances market is the absence of commercial banks as relevant players. Furthermore, remittances have been identified as a potential catalyst for the financial deepening of receiving countries through higher access to banking services by migrants' families. Building upon these features, this paper sets up a two-period financial model of remittances without uncertainty. The formulation acknowledges, on the one hand, the altruism component of remittances sent by migrants to their families and, on the other hand, the dominant position of Money Transfer Operators (MTO's) due to migrants' mistrust to banks, which hinders the access of banks to the market. Altruism compounded with a non-competitive market allows MTO's to set excessively high remittance fees and to attain monopolistic rents. The model shows that banks can challenge this position thanks to their role as providers of remunerated saving and credit, which enables them to overcome the competitive disadvantage derived by migrants' mistrust. Notwithstanding this, the main positive impact of banks' entry is attained through higher competition, not through the provision of financial services. All in all, the entry of banks reduces the fees and increases the level of remittances, allows an optimal consumption smoothing and improves the welfare of migrants and their families, although it also increases the volatility of remittances.

Monopolistic competition

Consumption smoothing

Position (finance)

Remittance

Disadvantage

Economic rent

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Citations (3)

Assessing the Sustainability of External Positions in New EU Member States

Edward Elgar Publishing eBooks (2008)

Enrique Alberola José María Serena

This book combines currency matters with competitiveness considerations, with a view to raising the understanding of exchange rate dynamics and to analysing the role of exchange rates in reinforcing economic competitiveness.

Raising (metalworking)

10.4337/9781848445093.00025

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Citations (0)

Global Equilibrium Exchange Rates: Euro, Dollar, "Ins," "Outs," and Other Major Currencies in a Panel Cointegration Framework

Econometric Society World Congress 2000 Contributed Papers (2000)

Enrique Alberola Susana Garcia Cervero Humberto López Ángel Ubide

This paper presents a methodology for the calculation of bilateral equilibrium exchange rates for a panel of currencies in a way that guarantees consistency at the global level. A theoretical model, which encompasses the balance of payments and the Balassa-Samuelson approaches to real exchange rate determination, shows that the stock of net foreign assets and the evolution of sectoral prices are the fundamentals underlying the behavior of the real exchange rate. An unobserved components methodology in a cointegration framework allows us to identify a time-varying equilibrium real exchange rate, and deviations from this equilibrium provide an estimate of the degree of multilateral misalignment. Finally, an algebraic transformation converts these multilateral equilibrium real rates into bilateral equilibrium nominal rates. The results uncover, inter alia, that by the start of Stage III of EMU the euro was significantly undervalued against the dollar and even more against the pound, but overvalued relative to the yen. Regarding EMU currencies, it is shown that the four major EMU currencies locked their parities with the euro at a rate close to equilibrium.

Liberian dollar

Source

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Citations (4)

Unconventional monetary policy and debt sustainability in Japan

Journal of the Japanese and International Economies (2023)

Enrique Alberola Gong Cheng Andrea Consiglio Stavros A. Zenios

Fiscal sustainability

10.1016/j.jjie.2023.101274

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Citations (6)

Equilibrium Exchange Rates in the New EU Members: External Imbalances vs. Real Convergence

SSRN Electronic Journal (2007)

Enrique Alberola Daniel Navia

New EU members share two very marked features which have conflicting implications for the evolution of their real exchange rates in the long run: accelerated growth and systematic current account imbalances, which would anticipate, respectively an appreciation and a depreciation of their currencies, according to different theories of exchange rate determination. Furthermore, both elements are intertwined, for current account imbalances are the other side of capital inflows which have been central in boosting potential output and productivity convergence in these economies. In this paper, we aim at achieving some insight on the role of persistent and substantial capital inflows and the consequent accumulation of net foreign liabilities in improving competitiveness and in the determination of the exchange rate for the three largest new EU members: Poland, Hungary and the Czech Republic. We adopt a sequential approach that sheds light on the role of capital flows and their interaction with the Balassa-Samuelson hypothesis. We start by noting in a bivariate cointegration analysis that the accumulation of net foreign liabilities, far from depressing the exchange rate in the long-run, has gone hand-in-hand with exchange rate appreciation. We claim that this may be due to the induced effect that capital inflows are expected to have on productivity and competitiveness. After testing that foreign direct investment is cointegrated with productivity trends, we show that a extended empirical model comprising relative productivity and net foreign assets is well-suited in general to capture this indirect, opposite effect of liabilities accumulation on the real exchange rate. Finally, the model makes it possible to estimate for the considered countries equilibrium exchange rates and misalignments and perform some simulations on their expected future path.

10.2139/ssrn.996585

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Citations (57)

Micro data and the exchange rate pass-through to prices and trade

Journal of International Money and Finance (2020)

Enrique Alberola Fabrizio Zampolli

Exchange-rate pass-through

10.1016/j.jimonfin.2020.102185

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Citations (0)

Revisiting the Commodity Resource Curse: A Financial Perspective

RePEc: Research Papers in Economics (2016)