The macroeconomic effects of large exchange rate appreciations
| Autor: | Kappler, Marcus, Reisen, Helmut, Schularick, Moritz, Turkisch, Edouard |
|---|---|
| Rok vydání: | 2011 |
| Předmět: |
N10
Economics and Econometrics 330 Wirtschaft Leistungsbilanz exchange rate changes jel:F31 jel:F32 Current account adjustment global imbalances exchange rate changes O16 jel:N10 current account adjustment F4 ddc:330 F32 jel:F4 jel:O16 300 Sozialwissenschaften::330 Wirtschaft::339 Makroökonomie und verwandte Themen global imbalances Internationales Finanzsystem F31 |
| Popis: | In this paper we study the macroeconomic effects of large exchange rate appreciations. Using a sample of 128 countries from 1960-2008, we identify large nominal and real appreciations shocks and study their macroeconomic effects in a dummy-augmented panel autoregressive model. Our results show that an exchange rate appreciation can have strong effects on current account balances. Within three years after the appreciation event, the current account balance on average deteriorates by three percentage points of GDP. This effect occurs through a reduction of savings without a meaningful reduction in investment. Real export growth slows down substantially, while imports remain by and large unaffected. The output costs of appreciation are small and not statistically significant, indicating a shift towards domestic sources of growth. All these effects appear somewhat more pronounced in developing countries. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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