The Macroeconomic Effects of Large Exchange Rate Appreciations

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

doi:10.2139/ssrn.1782804

Cited by 8 publications

(7 citation statements)

References 51 publications

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“…Indeed, we show that overvaluation shocks and undervaluation shocks do not produce the same effects in terms of size. Finally, by disentangling between overvaluation and undervaluation shocks, we contribute to the recent literature on the contribution of the exchange rate to the reduction of current account deficits (Chiu et al, 2010;Kappler et al, 2013).…”

Section: Introductionmentioning

confidence: 99%

The impact of real exchange rates adjustments on global imbalances: A multilateral approach

Allégret

Sallenave

2014

Economic Modelling

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An extensive literature stresses that currency misalignments are costly in terms of growth performance. However, these studies do not consider the direct and indirect effects of currenciesí misalignments on other countries. In this paper, we analyze how misalignments of the dollar, the euro, and the renminbi affect their respective economies and those of their trading partners using a multi-country dataset GVAR model. Our model includes 15 advanced and emerging countries and uses quarterly data spanning the period 1980-2010. We find that misalignments significantly influence the world economy. We show that overvaluation and undervaluation shocks do not produce the same effects.

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Section: Introductionmentioning

confidence: 99%

The impact of real exchange rates adjustments on global imbalances: A multilateral approach

Allégret

Sallenave

2014

Economic Modelling

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“…The macroeconomic effects of large exchange rate appreciations in a sample of 128 countries (Kappler, Reisen, Schularick, & Turkisch, 2011) show that an exchange rate appreciation has strong effects on current account balances. The empirical results of this study explicity indicate that within three years after appreciation event, the current account balance on average deteriorates by three percentage points of GDP.…”

Section: Review Of the Related Literaturementioning

confidence: 99%

The Impact of Foreign Direct Investment on GDP Growth in East Africa

Urgaia¹

2017

CUBR

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This study empirically investigates the impact of foreign direct investment (FDI) on GDP growth in East Africa.The study employs annual panel data, obtained from the United Nations aggregate database for the selected countries in the region over the period 1970-2015. Unlike time series and cross-sectional, panel dataset reduces the identification problems in the presence of endogenous variables and estimates more robust and efficient parameters.This study uses methods of panel autoregressive distributed lag and random effect models combined with time scaling wavelet decomposition analysis in order to show a panel of short-, medium-, and long-run effects for the entire region and individual countries. Flowing FDI into developing countries is one of the most dynamic resources which play an important role in economic development by supplementing domestic savings in capital accumulation, creating innovation and income growth, transferring modern technology and employment generation, and providing a means for creating stable and long-lasting economic growth. Examining the correlation between FDI and economic growth, cannot identify the direction of causation using traditional approaches such as dynamic panel ARDL. However, the time scaling wavelet decomposition method can help to recognize the dynamic causality in time horizons. The Granger causality of wavelet analysis in a panel indicates that there are bi-directional dynamic relationships between real GDP and FDI in the short, medium, and long run. According to the empirical evidence, the long-run estimated coefficients reveal that a one percentage increase in FDI significantly increases the real GDP by approximately 0.16 percent in a panel of seven East African countries.

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“…We estimate a univariate panel autoregressive model in x applying the methodology used in Cerra and Saxena (2008), Bussi ere et al (2010) and Kappler et al (2011), and simulate impulse responses of several macroeconomic variables for the three different types of currency crises. This way we are able to analyze how the macroeconomic adjustments differ between the three types of currency crises.…”

Section: Macroeconomic Dynamics Of Currency Crisesmentioning

confidence: 99%

“…21 Furthermore, heteroscedasticity 20 Test statistics show that all underlying variables are integrated of order 1. 21 We use a common lag length for all model specifications in order to ensure a direct comparison of impulse response functions of the different macroeconomic indicators (see Kappler et al, 2011;pp. 13).…”

Section: Macroeconomic Dynamics Of Currency Crisesmentioning

confidence: 99%