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The exchange rate, asymmetric shocks and asymmetric distributions

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  • di Mauro, Filippo
  • Demian, Calin-Vlad

Abstract

The elasticity of exports to exchange rate fluctuations has been the subject of a large literature without a clear consensus emerging. Using a novel sector level dataset based on firm level information, we show that exchange rate elasticities double in size when the country and sector specific firm productivity distribution is taken into account in empirical estimates. In addition, exports appear to be sensitive to appreciation episodes, but rather unaffected by depreciations. Finally, only rather large changes in the exchange rate appear to matter. JEL Classification: F14, F41, F31

Suggested Citation

  • di Mauro, Filippo & Demian, Calin-Vlad, 2015. "The exchange rate, asymmetric shocks and asymmetric distributions," Working Paper Series 1801, European Central Bank.
    • Handle: RePEc:ecb:ecbwps:20151801
    Note: 437559
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    Cited by:

    1. Mohsen Bahmani‐Oskooee & Ferda Halicioglu & Rebecca Neumann, 2018. "Domestic investment responses to changes in the real exchange rate: Asymmetries of appreciation versus depreciation," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 23(4), pages 362-375, October.
    2. Philip R Lane & Livio Stracca, 2018. "Can appreciation be expansionary? Evidence from the euro area," Economic Policy, CEPR;CES;MSH, vol. 33(94), pages 225-264.
    3. Fedoseeva, Svetlana & Zeidan, Rodrigo, 2016. "A dead-end tunnel or the light at the end of it: The role of BRICs in European exports," Economic Modelling, Elsevier, vol. 59(C), pages 237-248.

    More about this item

    Keywords

    bilateral trade; exchange rate elasticity; productivity dispersion; TFP;

    JEL classification:

    • F14 - International Economics - - Trade - - - Empirical Studies of Trade
    • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics
    • F31 - International Economics - - International Finance - - - Foreign Exchange

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