Exchange Rate Bands of Inaction and Play-Hysteresis in German Exports: Sectoral Evidence for Some OECD Destinations
AbstractA non-linear model is applied where suddenly strong spurts of exports occur when changes of the exchange rate go beyond a zone of inaction. We call the latter a "play" area - analogous to mechanical play and implement an algorithm describing path-dependent playhysteresis into a regression framework. The hysteretic impact of real exchange rates on German exports is then estimated based on quarterly data from 1995Q1 to 2010Q3. For some of the main export partners of Germany outside the euro area and some of the most important tradable sectors we find significant hysteretic effects for a part of the German exports.
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Bibliographic InfoPaper provided by DIW Berlin, German Institute for Economic Research in its series Discussion Papers of DIW Berlin with number 1203.
Length: 22 p.
Date of creation: 2012
Date of revision:
exchange rate movements; play-hysteresis; modelling techniques; switching/spline regression; export demand;
Other versions of this item:
- Ansgar Belke & Matthias Göcke & Martin Günther, 2013. "Exchange Rate Bands Of Inaction And Play-Hysteresis In German Exports—Sectoral Evidence For Some Oecd Destinations," Metroeconomica, Wiley Blackwell, vol. 64(1), pages 152-179, 02.
- Ansgar Belke & Matthias Göcke & Martin Guenther, 2012. "Exchange Rate Bands of Inaction and Play-Hysteresis in German Exports – Sectoral Evidence for Some OECD Destinations," Ruhr Economic Papers 0327, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen.
- F14 - International Economics - - Trade - - - Empirical Studies of Trade
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-05-02 (All new papers)
- NEP-EUR-2012-05-02 (Microeconomic European Issues)
- NEP-INT-2012-05-02 (International Trade)
- NEP-OPM-2012-05-02 (Open Economy Macroeconomic)
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