Exchange Rate Volatility and other Determinants of Hysteresis in Exports - Empirical Evidence for the Euro Area

IF 0.7 Q3 ECONOMICS
A. Belke, Matthias Göcke, Laura M. Werner
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引用次数: 17

Abstract

This paper surveys export hysteresis on a micro (firm) level and an aggregate level if sunk adjustment costs matter for export market entry and exit decisions. Furthermore, the impacts of option-to-wait effects due to uncertainty on the aggregation procedure are illustrated. It then illustrates the so-called play-algorithm which allows an estimation of the aggregate/macro hysteresis loop taking into account the variable option value effects resulting from on changing volatility of exchange rates. The play regression model is then applied to empirical export equations (Euro Area member countries to the United States). We do not confine ourselves to the aggregate macro level but also take a sectoral/branch perspective. Analyzing one of the largest export destinations outside the Eurozone, the US, to which 12% of total EA exports were directed in 2012, we find hysteretic effects in many cases of EA member countries’ exports. However, not every increase or decrease of the exchange rate will, automatically, lead to positive or negative reactions of the volume of exports. But a large appreciation of the euro means passing the play-area (i.e. a kind of 'pain-threshold') and results in a strong reaction of exports, et vice versa.
汇率波动和出口迟滞的其他决定因素——欧元区的经验证据
如果沉没调整成本对出口市场进入和退出决策有影响,本文将在微观(企业)和总体水平上考察出口滞后。此外,还说明了由于不确定性导致的选择等待效应对聚合过程的影响。然后说明了所谓的游戏算法,该算法允许考虑到汇率波动引起的可变期权价值影响的总体/宏观滞后回路的估计。然后将游戏回归模型应用于经验出口方程(欧元区成员国对美国)。我们不局限于总体宏观层面,也采取部门/分支的观点。美国是欧元区以外最大的出口目的地之一,2012年欧洲经济区出口总额的12%是针对美国的,通过分析美国,我们发现欧洲经济区成员国的许多出口都存在滞后性效应。然而,并不是每一次汇率的上升或下降都会自动导致出口量的积极或消极反应。但欧元的大幅升值意味着通过了“游戏区域”(即一种“痛苦阈值”),并导致出口的强烈反应,反之亦然。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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来源期刊
CiteScore
1.10
自引率
0.00%
发文量
10
审稿时长
26 weeks
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