The macroeconomic effects of large exchange rate appreciations


Kappler, Marcus ; Reisen, Helmut ; Schularick, Moritz ; Turkisch, Edouard


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    Official URL: http://ub-madoc.bib.uni-mannheim.de/3144
    URN: urn:nbn:de:bsz:180-madoc-31440
    Item Type: Working Paper
    Year of publication: 2011
    Language: English
    Divisions: Sonstige Einrichtungen > Zentrum für Europ. Wirtschaftsforschung (ZEW)
    MADOC-Schriftenreihe: Veröffentlichungen des ZEW (Zentrum für Europäische Wirtschaftsforschung) > ZEW Discussion Papers
    Subjects: 330 Economics
    Thesauri: JEL: F4 F31 F32 N10 O16
    SWD Keywords
    (Library Service Center BW)
    :
    Wechselkurspolitik , Außenhandel , Wirtschaftswachstum , Bruttoinlandsprodukt , Leistungsbilanz , Schwellenländer
    Keywords in alternate Language: current account adjustment , global imbalances , exchange rate changes
    Abstract: 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.
    Additional Information:

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