Sanctions and the Exchange Rate in Time

IF 4.5 3区 经济学 Q1 ECONOMICS
Barry Eichengreen, Massimo Ferrari Minesso, Arnaud Mehl, Isabel Vansteenkiste, Roger Vicquéry
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引用次数: 0

Abstract

We test the predictions of recent theoretical studies of the impact of sanctions on the exchange rate. We build a database of exchange rates and sanctions spanning 1914-1945—an era when both large and small economies were targeted by multilateral sanction packages, facilitating comparisons with today’s Russian war episode. We estimate the dynamic response of the exchange rate in a panel of sanction episodes at weekly frequency using local projections, conditioning on the type of sanctions taken. We tease out mechanisms through which sanctions affect the exchange rate by estimating their effects on macroeconomic variables plausibly acting as transmission channels. Our estimates suggest that import restrictions, export restrictions, asset freezes and trade embargoes lead to exchange rate effects consistent with theory, though the precision of the measured effects varies across sanction type. These findings suggest that recent models of the effects of sanctions on the exchange rate do not just match developments in today’s specific Russia episode but have broader applicability. It follows that the direction of exchange rate movements is not an adequate metric of the success or failure of sanctions but a reflection of the type and scale of the measures taken.
制裁与汇率时间
我们检验了近期关于制裁对汇率影响的理论研究的预测。我们建立了一个汇率和制裁数据库,时间跨度为 1914-1945 年--在这一时期,大型和小型经济体都是多边制裁的目标,便于与今天的俄罗斯战争事件进行比较。我们利用本地预测,以采取的制裁类型为条件,按周频率估算了制裁事件面板中汇率的动态响应。我们通过估算制裁对宏观经济变量的影响,找出制裁影响汇率的机制,这些宏观经济变量可能是制裁的传导渠道。我们的估算结果表明,进口限制、出口限制、资产冻结和贸易禁运会导致汇率效应,这与理论是一致的,尽管不同制裁类型的测算效应的精确度有所不同。这些研究结果表明,近期关于制裁对汇率影响的模型并不仅仅符合当今俄罗斯的具体情况,而是具有更广泛的适用性。由此可见,汇率变动的方向并不能充分衡量制裁的成败,而只能反映所采取措施的类型和规模。
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来源期刊
Economic Policy
Economic Policy ECONOMICS-
CiteScore
4.80
自引率
0.00%
发文量
41
期刊介绍: Economic Policy provides timely and authoritative analyses of the choices confronting policymakers. The subject matter ranges from the study of how individual markets can and should work to the broadest interactions in the world economy. Economic Policy features: Analysis of key issues as they emerge Views of top international economists Frontier thinking without technical jargon Wide-reaching coverage of worldwide policy debate
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