Arbeitspapier
Exchange rate bands of inaction and hysteresis in EU exports to the global economy: The role of uncertainty
This paper estimates the role of policy and exchange rate uncertainty shocks for EU countries' exports to the world economy. We examine the performance of the four biggest economies, namely Germany, France, Italy and the UK, under policy and exchange rate uncertainty in exports to some of the most important global export destinations (United States, Japan, Brazil, Russia, and China). For this purpose, we apply a non-linear model, where suddenly strong spurts of exports occur when changes of the exchange rate go beyond a zone of inaction, which we call "play" area - analogous to mechanical play. We implement an algorithm describing path-dependent play-hysteresis into a regression framework. The hysteretic impact of real exchange rates on exports is estimated based on the period from 1995M1 to 2015M12. Looking at some of the main export destinations of our selected EU member countries, the United States, Japan and some of the BRICs (Brazil, Russia and China), we identify significant hysteretic effects for a large part of the EU member countries' exports. We find that their export activity is characterized by "bands of inaction" with respect to changes in the real exchange.
- ISBN
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978-3-86788-808-0
- Language
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Englisch
- Bibliographic citation
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Series: Ruhr Economic Papers ; No. 695
- Classification
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Wirtschaft
Empirical Studies of Trade
Model Construction and Estimation
- Subject
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export demand
global economy
hysteresis
policy uncertainty
BRICs
playhysteresis
real exchange rate
switching/spline regression
- Event
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Geistige Schöpfung
- (who)
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Belke, Ansgar
Kronen, Dominik
- Event
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Veröffentlichung
- (who)
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RWI - Leibniz-Institut für Wirtschaftsforschung
- (where)
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Essen
- (when)
-
2017
- DOI
-
doi:10.4419/86788808
- Handle
- Last update
-
10.03.2025, 11:42 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Belke, Ansgar
- Kronen, Dominik
- RWI - Leibniz-Institut für Wirtschaftsforschung
Time of origin
- 2017
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Exchange rate bands of inaction and play-hysteresis in Greek exports to the euro area, the US and Turkey: Sectoral evidence