References
- Aflouk, N., Jeong, S.-E., Mazier, J., & Saadaoui, J. (2010). Exchange rate misalignments and international imbalances: A FEER approach for emerging countries. International Economics, 124, 31–16. https://doi.org/10.1016/S2110-7017(13)60019-0
- Ajevskis, V., Rimgailaite, R., Rutkaste, U., & Tkacevs, O. (2012). The assessment of equilibrium real exchange rate of Latvia. Latvijas Banka Working Paper 04/2012. Retrieved 17 July 2016 www.m.bank.lv
- Aron, J., Elbadawi, I., & Kahn, B. (1997). Determinants of the real exchange rate in South Africa. Working Paper Series WPS/97–16. Centre for the Study of African Economies, University of Oxford, London, April.
- Baak, S. (2012). Measuring misalignments in the Korean exchange rate. Japan and the World Economy, 24(4), 227–234. https://doi.org/10.1016/j.japwor.2012.09.001
- Bazdresch, S., & Werner, A. (2005). Regime switching models for the Mexican peso. Journal of International Economics, 65(1), 185–201. https://doi.org/10.1016/j.jinteco.2004.02.002
- Brooks, C. (2014). Introductory Econometrics for Finance (3rd ed.). Cambridge University Press.
- Brooks, C., & Persand, G. (2001). The trading profitability of forecasts of the gilt-equity yield ration. International Journal of Forecasting, 17(1), 11–29. https://doi.org/10.1016/S0169-2070(00)00060-1
- Clark, P. B., & MacDonald, R. (1998). Exchange rates and economic fundamentals: A comparison of BEERs and REERs. IMF Working Paper No. 98/67.
- De Jager, S. (2012). Modelling South Africa’s equilibrium real effective exchange rate: A VECM approach. Working Paper WP/12/02. South African Reserve Bank.
- Du Plessis, S. A. (2005). Exogeneity in a recent exchange rate model: A response to MacDonald and Ricci. South African Journal of Economics, 73(4), 741–746. https://doi.org/10.1111/j.1813-6982.2005.00050.x
- Eita, J. H., & Sichei, M. M. (2006). Estimating the equilibrium real exchange rate for Namibia. Working Paper 2006-8. University of Pretoria, Department of Economics.
- Elbadawi, I., Kaltani, L., & Soto, R. (2012). Aid, real exchange rate misalignment, and economic growth in Sub-Saharan Africa. World Development, 40(4), 681–700. https://doi.org/10.1016/j.worlddev.2011.09.012
- Engel, C. (1994). Can the Markov switching model forecast exchange rates? Journal of International Economics, 36(1–24), 151–165. https://doi.org/10.1016/0022-1996(94)90062-0
- Engel, C., & Hamilton, J. D. (1990). Long swings in the dollar: Are they in the data and do markets know it? American Economic Review, 80(4), 689–713. https://www.jstor.org/stable/2006703
- Gan, C., Ward, B., Ting, S. T., & Cohen, D. A. (2013). An empirical analysis of China’s equilibrium exchange rate: A co-integration approach. Journal of Asian Economics, 29 (issue C), 33–44. https://doi.org/10.1016/j.asieco.2013.08.005
- Goldfajn, I., & Valdés, R. O. (1999). The aftermath of appreciations. The Quarterly Journal of Economics, 114(1), 229–262. https://doi.org/10.1162/003355399555990
- Guo, H., Brooks, R., & Shami, R. (2010). Detecting hot and cold cycles using a Markov regime switching model—Evidence from the Chinese A-share IPO market. International Review of Economics and Finance, 19(2), 196–210. https://doi.org/10.1016/j.iref.2009.10.002
- Hamilton, J. D. (1989). A new approach to the economic analysis of nonstationary time series and the business cycle. Econometrica, 57(2), 357–384. https://doi.org/10.2307/1912559
- Hossfeld, O. (2010). Equilibrium real effective exchange rates and real exchange rate misalignments: Time series vs. panel estimates. FIW Working paper Series 065, FW.
- Johansen, S. (1995). Likelihood-based inference in cointegrated vector autoregressive models. Oxford University Press.
- Korsu, R. D., & Braima, S. J. (2011). The determinants of the real exchange rate in Sierra Leone. China-USA Business Review, 10(9), 745–762. doi: 10.17265/1537-1514/2011.09.002
- Lòpez-Villavicencio, A., Mazier, J., & Saadaoui, J. (2012). Temporal dimension and equilibrium exchange rate: A FEER/BEER comparison. Emerging Markets Review, 13(1), 58–77. https://doi.org/10.1016/j.ememar.2011.10.001
- Luintel, K. B., & Khan, M. (1999). A quantitative reassessment of the finance-growth nexus: Evidence from a multivariate VAR. Journal of Development Economics, 60(2), 381–405. https://doi.org/10.1016/S0304-3878(99)00045-0
- MacDonald, R., & Ricci, L. A. (2004). Estimation of the equilibrium real exchange rate for South Africa. South African Journal of Economics, 72(2), 282–304. https://doi.org/10.1111/j.1813-6982.2004.tb00113.x
- MacDonald, R., & Ricci, L. A. (2005). Exogeneity in a recent exchange rate model: A reply. South African Journal of Economics, 73(4), 747–753. https://doi.org/10.1111/j.1813-6982.2005.00051.x
- MacKinnon, J. G., Haug, A. A., & Michelis, L. (1999). Numerical distribution functions of likelihood ratio tests for cointegration. Journal of Applied Econometrics, 14(5), 563–577. https://doi.org/10.1002/(SICI)1099-1255(199909/10)14:5<563::AID-JAE530>3.0.CO;2-R
- Maitland-Smith, J., & Brooks, C. (1999). Threshold autoregressive and Markov switching models: An application to commercial real estate. Journal of Property Research, 16(1), 1–19. https://doi.org/10.1080/095999199368238
- Nikolsko-Rzhevskyy, A., & Prodan, R. (2012). Markov switching and exchange rate predictability. International Journal of Forecasting, 28(2), 353–365. https://doi.org/10.1016/j.ijforecast.2011.04.007
- Palić, I., Dumičić, K., & Šprajaček, P. (2014). Measuring real exchange rate misalignment in Croatia: Cointegration approach. Croatian Operational Research Review, 135(5), 135–148. https://doi.org/10.17535/crorr.2014.0003
- Perron, P. (2006). Dealing with structural breaks. In K. Patterson & T. C. Mills (Eds.), Palgrave Handbook of Econometrics, Vol 1: Econometric Theory (pp. 278–352). Palgrave Macmillan.
- Pinno, K., & Serletis, A. (2007). Long swings in the Canadian Dollar. Applied Financial Economics, 15(2), 73–76. https://doi.org/10.1080/0960310042000282292
- Rangasamy, L. (2009). Exports and economic growth: The case of South Africa. Journal of International Development, 21(5), 603–617. https://doi.org/10.1002/jid.1501
- Saayman, A. (2007). The real equilibrium South African rand/US dollar exchange rate: A comparison of alternative measures. International Advances in Economic Research, 13(2), 183–199. https://doi.org/10.1007/s11294-006-9075-6
- Saayman, A. (2010). A panel data approach to the behavioural equilibrium exchange rate of the ZAR. South African Journal of Economics, 78(1), 57–75. https://doi.org/10.1111/j.1813-6982.2010.01232.x
- Saikkonen, P. (1992). Estimation and testing of cointegrated systems by an autoregressive approximation. Econometric Theory, 8(1), 1–27. https://doi.org/10.1017/S0266466600010720
- Stock, J. H., & Watson, M. W. (1993). A simple estimator of cointegrating vectors in higher order integrated systems. Econometrica, LXI(4), 783–820. https://doi.org/10.2307/2951763
- Terra, C., & Valladares, F. (2010). Real exchange rate misalignments. International Review of Economics and Finance, 19(1), 119–144. https://doi.org/10.1016/j.iref.2009.05.004