Reproduction permitted only if source is stated.ISBN 978-3-95729-299-5 (Printversion) Non-technical summary Research QuestionReal exports are commonly specified as depending on an indicator of price competitiveness and on a measure of foreign activity. It is unclear, however, which of the available indicators of price competitiveness is most closely connected to a country's export performance. Since the question of indicator suitability cannot be answered purely on conceptual grounds, we address it empirically. ContributionA panel cointegration analysis is conducted to examine which indicator is most closely tied to real exports in the long run for a broad group of up to 20 advanced economies. As a further criterion, the study checks whether models based on any of the indicators lead to superior forecasts of real exports. In the underlying forecast exercise, use is made of repeated sampling-and cross-validation techniques in order to avoid the need for imposing arbitrary sample splits. ResultsAccording to the estimation results, broad price-and cost-based indicators, such as real exchange rates based on GDP deflators, deflators of total sales or unit labour costs for the total economy, are to be preferred to narrow measures such as CPI-or PPI-deflated exchange rates. Nichttechnische ZusammenfassungFragestellung Üblicherweise wird unterstellt, dass reale Exporte von einem Indikator der preislichen Wettbewersfähigkeit und einem Maß der Auslandsaktivität bestimmt werden. Es besteht allerdings bisher kein Konsens darüber, welcher der verfügbaren Indikatoren in der engsten Beziehung zur Exportentwicklung eines Landes steht. Da die Frage der Eignung der verschiedenen Indikatoren auf Basis rein konzeptioneller Erwägungen nicht abschließend beantwortet werden kann, wird hier ein empirischer Ansatz verfolgt. BeitragGenauer gesagt wird eine Panel-Kointegrationsanalyse für eine breite Gruppe von bis zu 20 fortgeschrittenen Volkswirtschaften durchgeführt, um zu untersuchen, welcher der Indikatoren langfristig am engsten mit den realen Exporten verbunden ist. Als weiteres Kriterium zur Beurteilung der Indikatorqualität wird die Prognosegüte von Modellen auf Basis der verschiedenen Indikatoren analysiert. Dabei werden Verfahren der wiederholten Stichprobenziehung und der Kreuzvalidierung verwendet, um willkürliche Unterteilungen des Untersuchungszeitraums zu vermeiden. ErgebnisseDie empirischen Ergebnisse deuten darauf hin, dass breitgefasste preis-und kostenbasierte Indikatoren wie reale Wechselkurse auf Basis von BIP-Deflatoren, von Deflatoren des Gesamtabsatzes oder von Lohnstückkosten in der Gesamtwirtschaft enger gefassten konsumenten-oder produzentenpreis-basierten Indikatoren vorzuziehen sind. Bundesbank Discussion Paper No 36/2016On the suitability of alternative competitiveness indicators for explaining real exports of advanced economies * Christoph Fischer Deutsche BundesbankOliver Hossfeld Deutsche Bundesbank and Leipzig Graduate School of Management Karin Radeck Deutsche BundesbankAbstract Real exports are common...
Research QuestionReal exports are commonly specified as depending on an indicator of price competitiveness and on a measure of foreign activity. It is unclear, however, which of the available indicators of price competitiveness is most closely connected to a country's export performance. Since the question of indicator suitability cannot be answered purely on conceptual grounds, we address it empirically. ContributionA panel cointegration analysis is conducted to examine which indicator is most closely tied to real exports in the long run for a broad group of up to 20 advanced economies. As a further criterion, the study checks whether models based on any of the indicators lead to superior forecasts of real exports. In the underlying forecast exercise, use is made of repeated sampling-and cross-validation techniques in order to avoid the need for imposing arbitrary sample splits. ResultsAccording to the estimation results, broad price-and cost-based indicators, such as real exchange rates based on GDP deflators, deflators of total sales or unit labour costs for the total economy, are to be preferred to narrow measures such as CPI-or PPI-deflated exchange rates.
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