Implications of Exchange Rate Pass-Through and Nontradable Goods for International Policy Cooperation

This paper investigates the welfare consequences of international policy cooperation by simultaneously introducing the following three elements in a standard two-country general equilibrium model: (i) general degrees of exchange rate pass-through, (ii) nontradable goods and their sector-specific productivity shocks, and (iii) general weights on goods in Cobb–Douglas consumption indices. There are two channels for possible mutual welfare gains from policy cooperation: First, cooperation can compensate for insufficient changes in the terms of trade when the degree of exchange rate pass-through is intermediate. Second, countries can cooperate in reaction to shocks in the nontradable goods sectors. This second channel is revealed by deriving an analytical condition for welfare gains under full pass-through and this condition is characterized by the weights in the consumption indices and the variances of sector-specific productivity shocks. Numerical evaluation demonstrates that when the two countries are symmetric and equal weights on consumption goods are assumed, welfare gains from cooperation increase as symmetric pass-through elasticity increases, which implies that the second channel dominates the first, whose effect on welfare gains is nonmonotonic in pass-through elasticity.     

Intermediate Goods and Exchange Rate Disconnect

Open Economies Review - This paper introduces intermediate goods trade into a two-country real business cycle model and examines its implications for real exchange rate behavior. Intermediate goods...     

Productivity and the Euro-Dollar Real Exchange Rate

This paper analyses how productivity differentials between the United States and the euro area drive the euro-dollar real exchange rate. We derive impulse responses from a two-sector new open economy macro (NOEM) model. These are used as sign restrictions to identify a structural vector autoregression. Our results show that the Balassa–Samuelson effect, through traded sector productivity shocks, is less important in explaining the variation in the euro-dollar exchange rate than are demand and nominal shocks. In particular, productivity can explain part of the appreciation of the dollar in the late 1990s only to the extent that it created a boost to aggregate demand in the United States. JEL no. F41, F31     

Government Purchases and the Real Exchange Rate

Recent empirical research documents that an exogenous rise in government purchases in a given country triggers a persistent depreciation of its real exchange rate—which raises an important puzzle, as standard macro models predict an appreciation of the real exchange rate. This paper presents a simple model with limited international risk sharing that can account for the empirical real exchange rate response. When faced with a country-specific rise in government purchases, local households experience a negative wealth effect; they thus work harder, and domestic output increases. Under balanced trade (financial autarky) this supply-side effect is so strong that the terms of trade worsen, and the real exchange rate depreciates. In a bonds-only economy, an increase in government purchases triggers a real exchange rate depreciation, if the rise in government purchases is sufficiently persistent and/or labor supply is highly elastic.     

Real and Monetary Determination of the Egyptian Real Exchange Rate

Abstract: The purpose of this paper is twofold. First, the question of whether the equilibrium condition of Purchasing Power Parity (PPP) holds is investigated using Egyptian data between 1970(1) to 1990(4). Second, the role played by real and monetary variables on the Egyptian real exchange rates appreciation is also analyzed. The results of this paper suggest that PPP does not hold and that monetary expansion, capital controls, the increase in government consumption and terms of trade deterioration played a key role in the growing Egyptian real exchange rate appreciation. Résumé: Cet article comporte deux volets. Il évalue d'abord l'importance dc la condition d'équilibre que constitue la parité du pouvoir d'achat (PPA), en utilisant les données égyptiennes des années 1970 (1) a 1990 (4). Il analyse ensuite l'influence des variables réellcs et monétaires sur l'appréciation des taux de change réels en Egypte. Les conclusions de cette double analyse font croire que la PPA n'est pas un factcur déterminant et que l'expansion monétaire, les mesures de régulation des capitaux, l'accroissement de la consommation publique et la détérioration des termes de l'échange ont joué un rôle clé dans l'appréciation du taux de change réel en Egypte.     

市场分割与实际汇率

文章考察了财政分权背景下市场分割现象对实际汇率的影响。市场分割现象会导致实际汇率升值,通过消费者替代弹性效应和本地差别消费权重效应两种渠道来实现实际汇率升值,其中差别消费权重效应会在一定临界值之上制约替代弹性效应,当不可贸易品比重上升到一定程度时,亦会减弱本地差别消费权重对实际汇率的正向效应。文章以中国27个省为样本(2001～2016年),利用面板参数模型和半参数模型进行的实证检验支持了理论假说。     

Disaggregate Real Exchange Rate Behaviour

In this paper, we re-examine the “PPP Puzzle” using sectoral disaggregated data. Specifically, we first analyse the mean reversion speeds of real exchange rates for a number of different sectors in 11 industrial economies and then focus on relating these rates to variables identified in the literature as key determinants of CPI-based real exchange rates, namely: the trade balance, productivity and the mark up. In particular, we seek to understand to what extent the relationships existing at the aggregate level are borne out at the disaggregate level. We believe that this analysis can help shed light on the PPP puzzle.

The Behavior of the Real Exchange Rate Under Fixed and Floating Exchange Rate Regimes

This article investigates the behavior of real exchange rates under fixed and flexible exchange rates. Using data from both the Bretton Woods and the modern floating periods, we decompose real exchange rate movements into components attributable to supply shocks, real demand shocks, monetary shocks, capital flows shocks, and real oil price shocks. Empirical results show that real demand shocks are an important source of real exchange rate movements under both fixed and flexible rates, while monetary shocks are negligible. Supply and oil price shocks seem to be more important under Bretton Woods, while capital flows shocks seem to explain a relatively higher proportion of real exchange rate movements under the modern floating period.     

Real Exchange Rate Misalignments in the Euro Area

Open Economies Review - Building upon a Behavioural Equilibrium Exchange Rate model, estimated at a quarterly frequency since 1999 on a broad sample of 57 countries, this paper assesses both the...     

Foreign Direct Investment and Real Exchange Rate Interlinkages

This paper examines theoretically and empirically the relationship between Foreign Direct Investment and the real exchange rate. It is found that in large countries with freely floating currencies, such as the USA, the UK and Japan, causality runs from the real exchange rate to FDI. These results are consistent with the predictions of models of financial behavior. Causality runs both ways in small countries with fixed or quasi fixed currencies, such as the EU countries. These results are consistent with models, which emphasize on trade integration. It is shown that a weaker euro will not have uniform effects on FDI inflows across the unified Europe.     

利率扭曲、房产价格与汇率波动

文章在构建一个包含信贷约束、价格粘性和工资粘性的新开放经济动态随机一般均衡(NOEM-DSGE)模型的基础上,运用贝叶斯方法估计模型中的结构参数,考察抵押率冲击、技术冲击和利率冲击对我国房产价格及实际汇率的动态影响。研究发现,一方面,正向的抵押率冲击使得房价上涨,汇率先贬值而后升值,而负向的利率冲击则使得房价上涨,汇率贬值,另一方面,正向的技术冲击则使得房价上涨和汇率升值;此外,我们进一步构建了MS-VAR模型实证研究了自2005年汇改以来利率、房价和汇率之间的动态关系。实证结果表明:扭曲的利率冲击导致了房价上涨和汇率贬值同时存在,因此,推动利率市场化改革对于实现我国经济长期均衡健康发展十分必要。     

Overvaluation of the Real Exchange Rate and Export-related Loans in Korea

This paper discusses exchange rates, finance for exports and plant and equipment investment for export industries in Korea. The real effective exchange rate of the won was substantially overvalued in 1991 using 1985 as the base year. In addition, the amount of low interest export loans has dropped substantially since 1987. These factors are some of the most important reasons for the sluggish growth of Korean exports in recent years.     

城乡劳动力市场分割与人民币实际汇率

本文建立一个简单的均衡模型,证明城乡劳动力市场分割造成的要素价格扭曲会最终反映至汇率市场,导致实际汇率偏低,偏低的程度取决于劳动力市场的分割程度。本文还利用2000-2008年的跨国经验数据检验二者之间的关系,发现城乡劳动力市场分割与实际汇率偏低存在着显著的统计关系,验证了本文的结论。本文研究表明,人民币实际汇率的形成过程中,国内要素市场的有效性起着至关重要的作用。建立健全的汇率形成机制,需要以理顺国内要素市场价格为依托。     

资本流动对实际汇率的结构性冲击

实际汇率是开放经济环境下的核心变量,会直接影响一国从微观到宏观的各个层面。随着我国资本流动规模和波动性的不断增大,其对实际汇率造成的冲击越来越显著。文章通过将资本流动划分为多种类型,基于边界协整(Bound Test)方法分析了其对实际汇率造成的结构性冲击。实证结果显示,不同类型的资本流动对实际汇率的冲击存在显著区别:经常项目下的投资收益和经常转移净流入造成实际汇率升值;而资本与金融项目下的外商直接投资与其他投资净流入造成实际汇率贬值,证券投资净流入造成实际汇率升值;热钱净流入造成实际汇率大幅升值。在此基础上,文章分析了各自的冲击传导机制,并提出了完善资本流动监管体系以维持外部均衡的政策建议。