The Macroeconomic Effects of Large Exchange Rate Appreciations

In this paper we study the macroeconomic effects of large exchange rate appreciations. In a sample of 128 countries since 1960, we identify 25 episodes of large nominal and real appreciations shocks and study their macroeconomic effects in a dummy-augmented panel autoregressive model. Our results sh...

Descripción completa

Detalles Bibliográficos
Autor principal: Kappler, Marcus (-)
Otros Autores: Reisen, Helmut, Schularick, Moritz, Turkisch, Edouard
Formato: Capítulo de libro electrónico
Idioma:Inglés
Publicado: Paris : OECD Publishing 2011.
Colección:OECD Development Centre Working Papers, no.296.
Materias:
Ver en Biblioteca Universitat Ramon Llull:https://discovery.url.edu/permalink/34CSUC_URL/1im36ta/alma991009706109906719
Descripción
Sumario:In this paper we study the macroeconomic effects of large exchange rate appreciations. In a sample of 128 countries since 1960, we identify 25 episodes of 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. However, 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.
Descripción Física:1 online resource (55 p. )