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Real exchange rate and elasticity of labour supply in a balance-of-payments-constrained macrodynamics

PORCILE, Gabriel; LIMA, Gilberto Tadeu
Fonte: OXFORD UNIV PRESS Publicador: OXFORD UNIV PRESS
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
95.97%
A macrodynamic model is proposed in which the real exchange rate and the elasticity of labour supply interact defining different trajectories of growth and income distribution in a developing economy. Growth depends on imports of capital goods which are paid with exports (there are no capital flows) and hence is constrained by equilibrium in current account. The role of the elasticity of labour supply is to prevent the real exchange rate from appreciating as the economy grows, thereby sustaining international competitiveness. The model allows for endogenous technological change and considers the impact of migration from the subsistence to the modern sector on the cumulative (Kaldor-Verdoorn) process of learning.

Micro evidence on brazilian price stickiness and its consequences for sectoral real exchange rate and inflation persistence

Matos, Silvia Maria
Fonte: Fundação Getúlio Vargas Publicador: Fundação Getúlio Vargas
Tipo: Tese de Doutorado
Português
Relevância na Pesquisa
95.99%
The purpose of this thesis is to investigate the price-setting behavior in Brazil and, in particular, the effects on inflation and good-level real exchange rate persistence. This thesis is composed by three Chapters. In the first Chapter, we present the main stylized facts about the behavior of retail prices in Brazil using micro data from the CPI index computed by the Fundação Getulio Vargas. Moreover we construct time series of price-setting statistics and relate them to macroeconomic variables using regression analyses. In Chapter 2, we investigated the relevance of heterogeneity in countries price stickiness on good-level real exchange rate persistence, considering a newly constructed panel data set of relative prices of 115 common products between the U.S. and Brazil. Chapter 3 is devoted to the relation between sectoral price stickiness and inflation persistence.; O objetivo desta tese é investigar as estratégias de precificação no Brasil, enfatizando os efeitos sobre a persistência da inflação e da taxa de câmbio real setorial. Esta tese é composta por três capítulos. No primeiro capítulo, nós apresentamos as principais características do comportamento dos preços no Brasil, utilizando os microdados do Índice de Preços ao Consumidor...

The Portuguese real exchange rate, 1995-2010 : competitiveness or price effects?

Freitas, Miguel Lebre de; Castro, Miguel de Faria e
Fonte: Universidade do Minho. Núcleo de Investigação em Políticas Económicas Publicador: Universidade do Minho. Núcleo de Investigação em Políticas Económicas
Tipo: Trabalho em Andamento
Publicado em //2014 Português
Relevância na Pesquisa
96%
We disentangle the extent to which the real exchange rate appreciation in Por- tugal during 1995-2010 re ected the emergence of wage-productivity misalignments or, instead, changes in the relative price of tradable and non-tradable goods. The available data suggests that the latter e ect dominated at the aggregate level. The evidence is consistent with the view that the external imbalance that character- ized the Portuguese economy during the 1990s and early 2000s was triggered by the liberalization of capital ows, and not by dysfunctional wage setting institu- tions. Using the Fundamental Equilibrium Exchange Rate approach, we nd that recent oil price shocks played an important role in explaining the real exchange rate overvaluation in Portugal.; COMPETE; QREN; FEDER; Fundação para a Ciência e a Tecnologia (FCT)

A panel data investigation of real exchange rate misalignment and growth

Vieira,Flávio Vilela; MacDonald,Ronald
Fonte: Fundação Instituto de Pesquisas Econômicas - FIPE Publicador: Fundação Instituto de Pesquisas Econômicas - FIPE
Tipo: Artigo de Revista Científica Formato: text/html
Publicado em 01/09/2012 Português
Relevância na Pesquisa
96.09%
The paper investigates the role of real exchange rate misalignment on long-run growth for a set of ninety countries using time series data from 1980 to 2004. We first estimate a panel data model (fixed and random effects) for the real exchange rate in order to produce estimates of the equilibrium real exchange rate and this is then used to construct measures of real exchange rate misalignment. We provide an alternative set of estimates of RER misalignment using panel cointegration methods. The results for the two-step System GMM panel growth models indicate that the coefficients for real exchange rate misalignment are positive for different model specification and samples, which means that a more depreciated (appreciated) real exchange rate helps (harms) long-run growth. The estimated coefficients are higher for developing and emerging countries.

Assessing Real Exchange Rate Misalignments

Kubota, Megumi
Fonte: Banco Mundial Publicador: Banco Mundial
Português
Relevância na Pesquisa
96.21%
There is a renewed debate on the role of exchange rate policies as an industrial policy tool in both academic and policy circles. Policy practitioners usually examine real exchange rate misalignments to monitor the behavior of this key relative price and, if possible, exploit distortions in the traded and non-traded relative price to promote growth. Anecdotal evidence shows that some countries have pursued very active exchange rate policies to promote the export sector and enhance growth by undervaluing their currencies. The main goal of this paper is to provide a systematic characterization of real exchange rate undervaluations. The long-run real exchange rate equation is estimated using: (a) Johansen time series cointegration estimates, and (b) pooled mean group estimates for non-stationary panel data. The paper constructs a dataset of real undervaluation episodes. It first evaluates whether (and if so, to what extent) economic policies can be used to either cause or sustain real undervaluations. In this context the paper empirically models the likelihood and magnitude of sustaining real exchange rate undervaluations by examining their link to policy instruments (such as exchange rate regimes and capital controls...

Does Higher Openness Cause More Real Exchange Rate Volatility?

Calderón, César; Kubota, Megumi
Fonte: Banco Mundial Publicador: Banco Mundial
Português
Relevância na Pesquisa
96.2%
The "New Open Economy Macroeconomics" argues that: (a) non-monetary factors have gained importance in explaining exchange rate volatility, and (b) trade and financial openness may have a potential role of mitigating and/or amplifying real and nominal shocks to real exchange rates. The goal of the present paper is to examine the ability of trade and financial openness to exacerbate or mitigate real exchange rate volatility. The authors collected information on the real effective exchange rate, its fundamentals, and (outcome and policy measures of) trade and financial openness for a sample of industrial and developing countries for the period 1975-2005. Using instrumental variables techniques, the analysis finds that: (a) High real exchange rate volatility is the result of highly volatile productivity shocks, and sharp oscillations in monetary and fiscal policy shocks. (b) Countries more integrated with international markets of goods and services tend to display more stable real exchange rate fluctuations. (c) Financial openness seems to amplify the fluctuations in real exchange rates. (d) The composition of trade and capital flows plays a role in explaining the smoothing properties of trade and financial openness. Although the former is mainly driven by manufacturing trade...

Aid, Growth, and Real Exchange Rate Dynamics

Devarajan, Shantayanan; Go, Delfin S.; Page, John; Robinson, Sherman; Thierfelder, Karen
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Português
Relevância na Pesquisa
96.14%
Devarajan, Go, Page, Robinson, and Thierfelder argued that if aid is about the future and recipients are able to plan consumption and investment decisions optimally over time, then the potential problem of an aid-induced appreciation of the real exchange rate (Dutch disease) does not occur. In their paper, "Aid, Growth and Real Exchange Rate Dynamics," this key result is derived without requiring extreme assumptions or additional productivity story. The economic framework is a standard neoclassical growth model, based on the familiar Salter-Swan characterization of an open economy, with full dynamic savings and investment decisions. It does require that the model is fully dynamic in both savings and investment decisions. An important assumption is that aid should be predictable for intertemporal smoothing to take place. If aid volatility forces recipients to be constrained and myopic, Dutch disease problems become an issue.

Remittances and the Real Exchange Rate

Lopez, Humberto; Molina, Luis; Bussolo, Maurizio
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Português
Relevância na Pesquisa
96.11%
Existing empirical evidence indicates that remittances have a positive impact on a good number of development indicators of recipient countries. Yet when flows are too large relative to the size of the recipient economies, as those observed in a number of Latin American countries, they may also bring a number of undesired problems. Among those probably the most feared in this context is the Dutch Disease. This paper explores the empirical evidence regarding the impact of remittances on the real exchange rate. The findings suggest that remittances indeed appear to lead to a significant real exchange rate appreciation. The paper also explores policy options that may somewhat offset the observed effect.

Estimating the Half-Life of Theoretically Founded Real Exchange Rate Misalignments

Kubota, Megumi
Fonte: World Bank, Washington, D.C. Publicador: World Bank, Washington, D.C.
Português
Relevância na Pesquisa
96.2%
This paper models empirically the short and long-term behavior of the real exchange rate misalignment -- a key variable in academic and policy circles. The equilibrium real exchange rate is derived from a theoretical model with intertemporal external equilibrium and internal equilibrium (in traded and non-traded markets) based on the current account dynamics and Harrod-Balassa-Samuelson productivity, respectively. This provides a bridge between theory and empirics that links the real exchange rate and its fundamentals (terms of trade, the ratio of net foreign assets to gross domestic product, and productivity differentials). The paper contributes to the literature by: (a) estimating an unrestricted vector error correction model that examines the short-term dynamics of real exchange rate misalignments and links these deviations with shocks to fundamentals from 1970 to 2010, and (b) computing the speed of reversion of real exchange rate misalignments with respect to a fundamentals-based equilibrium level. The paper reconciles two strands of the empirical literature that estimate the half-life of purchasing power parity deviations: one...

Real Exchange Rate Uncertainty and Private Investment in Developing Countries

Servén, Luis
Fonte: World Bank, Washington, D.C. Publicador: World Bank, Washington, D.C.
Português
Relevância na Pesquisa
96.13%
The author examines empirically the link between real exchange rate uncertainty and private investment in developing countries using a large cross country-time series data set. He builds a GARCH-based measure of real exchange rate volatility and finds that it has a strong negative impact on investment, after controlling for other standard investment determinants and taking into account their potential endogeneity. The impact of uncertainty is not uniform, however. There is some evidence of threshold effects, so that uncertainty only matters when it exceeds some critical level. In addition, the negative impact of real exchange rate uncertainty on investment is significantly larger in economies that are highly open and in those with less developed financial systems.

Aid, Disbursement Delays, and the Real Exchange Rate

Jarotschkin, Alexandra; Kraay, Aart
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Português
Relevância na Pesquisa
96.15%
Aid donors and recipients have long been concerned that aid inflows may lead to an appreciation of the real exchange rate and an associated loss of competitiveness. This paper provides new evidence of the dynamic effects of aid on the real exchange rate, using an identification strategy that exploits the long delays between the approval of aid projects and the subsequent disbursements on them. These disbursement delays enable the isolation of a source of variation in aid inflows that is uncorrelated with contemporaneous macroeconomic shocks that may drive both aid and the real exchange rate. Using this predetermined component of aid as an instrument, there is little evidence that aid inflows lead to significant real exchange rate appreciations.

The Real Exchange Rate and Export Growth : Are Services Different?

Eichengreen, Barry; Gupta, Poonam
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Português
Relevância na Pesquisa
96.14%
This paper considers the determinants of exports of modern services and traditional services. It considers the growth of export volumes as well as export surges, that is, the periods of rapid sustained export growth. It asks whether the determinants of export growth rates and export surges differ between merchandise, traditional services, and modern services and whether developing countries are different. It confirm the importance of the real exchange rate for export growth. The paper finds that the effect of the real exchange rate is even stronger for exports of services than for exports of goods and that it is especially strong for exports of modern services. The results suggest that in the course of their development, as developing countries shift from exporting commodities and merchandise to exporting traditional and modern services, appropriate policies toward the real exchange rate become even more important.

Capital inflows and the real exchange rate: a comparative study of Asia and Latin America

Athukorala, Prema-Chandra; Rajapatirana, Sarath
Fonte: Universidade Nacional da Austrália Publicador: Universidade Nacional da Austrália
Tipo: Working/Technical Paper Formato: 166873 bytes; 360 bytes; application/pdf; application/octet-stream
Português
Relevância na Pesquisa
96.04%
The nexus of real exchange rate (RER) and capital inflows is examined through a comparative analysis of the experiences of emerging market economies in Asian and Latin America during the period 1985-2000. It is found that the degree of appreciation in RER associated with capital inflow is uniformly much higher in Latin American countries compared to their Asian counterparts, despite the fact that the latter experienced far greater foreign capital inflows relative to the size of the economy. The econometric evidence suggests that both the composition of capital flows and differences in the degree of response of RER to capital flows matter in explaining these contrasting experiences. While RER appreciation is a phenomenon predominantly associated with other (non-FDI) forms of capital inflows (OCFW), a given level of OCFW brings about a far greater degree of appreciation of the real exchange rate in Latin America where the importance of these flows in total capital inflow is also far greater. On the policy front, Asian countries seem to have used fiscal contraction and nominal exchange rate adjustment more effectively to cushion the RER against the appreciation pressure of capital inflows. There is, however, no evidence to suggest that sterilized intervention can generate a lasting impact on the real exchange rate.; no

The determinants of real exchange rate: theory and evidence from Papua New Guinea

Chowdhury, Mamta B
Fonte: Universidade Nacional da Austrália Publicador: Universidade Nacional da Austrália
Tipo: Working/Technical Paper Formato: 88682 bytes; application/pdf
Português
Relevância na Pesquisa
96.1%
This paper examines the determinants of real exchange rate in Papua New Guinea employing annual data for the period 1970-1994. The theoretical framework for the analysis is provided by the two goods (tradable and nontradable) dependent economy (Australian) model modified in the light of recent theoretical advances of macroeconomic modelling of external shocks in developing countries. In this dynamic model of the real exchange rate both real and nominal determinants of real exchange rate misalignment are studied, with emphasis on macroeconomic policy and nominal devaluation, along with other explanatory variables suggested by the theory. The findings are generally consistent with the predictions of the model. They suggest that nominal devaluation plays a major role in determining real exchange rate behaviour, whereas an improvement in external terms of trade seems to have no long run effect on the trade-weighted real exchange rate. Net capital inflow, foreign aid, trade restrictions and expansionary macroeconomic policies tend to cause the real exchange rate of Papua New Guinea to appreciate.

Correcting Real Exchange Rate Misalignment : Conceptual and Practical Issues

Eden, Maya; Nguyen, Ha
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Tipo: Publications & Research :: Policy Research Working Paper; Publications & Research
Português
Relevância na Pesquisa
96.19%
This paper studies the issue of real exchange rate misalignment and the difficulties in settling international real exchange rate disputes. The authors show theoretically that determining when a country should be sanctioned for real exchange rate "manipulations" is difficult: in some situations a country's real exchange rate targeting can be beneficial to other countries, while in others it is not. Regardless, it is difficult to establish whether a misaligned real exchange rate is intentionally manipulated rather than unintentionally caused by other policies or by various distortions in the economy. The paper continues by illustrating the difficulty in measuring real exchange rate misalignment, and provides a critical assessment of existing methodologies. It concludes by proposing a new method for measuring real exchange rate misalignment based on differences in marginal products between producers of tradable and non-tradable goods.

Post-Conflict Aid, Real Exchange Rate Adjustment, and Catch-up Growth

Elbadawi, Ibrahim A.; Kaltani, Linda; Schmidt-Hebbel, Klaus
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Tipo: Publications & Research :: Policy Research Working Paper; Publications & Research
Português
Relevância na Pesquisa
96%
Post-conflict countries receive substantial aid flows after the start of peace. While post-conflict countries' capacity to absorb aid (that is, the quality of their policies and institutions) is built up only gradually after the onset of peace, the evidence suggests that aid tends to peak immediately after peace is attained and decline thereafter. Aid composition broadly reflects post-conflict priorities, with large parts of aid financing social expenditure and infrastructure investment. Aid has significant short-term effects on the real exchange rate (RER), as inferred from the behavior of RER in the world. While moderate RER overvaluation is observed in post-conflicts, it cannot be traced down to the aid flows. The empirical evidence on world growth reveals new findings about the pattern of catch-up growth during post-conflicts and the role of key growth determinants on post-conflict growth. Aid is an important determinant of growth, both generally and more strongly during post-conflict periods. Because RER misalignment reduces growth...

Cyclical fluctuations in Brazil's real exchange rate: the role of domestic and external factors (1988-95)

Agénor,Pierre-Richard; Hoffmaister,Alexandre W.; Medeiros,Carlos
Fonte: Fundação Getúlio Vargas Publicador: Fundação Getúlio Vargas
Tipo: Artigo de Revista Científica Formato: text/html
Publicado em 01/03/2002 Português
Relevância na Pesquisa
96.08%
This paper examines the behavoir of capital inflows and the real exchange rate in Brazil during the period 1988-95. The first part describes the analytical framework. The second part estimates (using monthly data) a near-VAR linking capital flows, changes in domestic and foreign nominal interest rates, changes in the expected depreciation rate, the government spending-output ratio, and changes in the real exchange rate. Generalized variance decompositions indicate that world interest rate shocks explain only a fraction of medium-term fluctuations in capital flows, whereas fluctuations in the real exchange rate are driven mostly by its own innovations. Generalized impulse response functions show that a reduction in the world interest rate leads on impact to a fall in domestic interest rates, a reduction in the rate of nominal exchange rate appreciation, a capital inflow, and a depreciation of the real exchange rate.

A Panel Data Investigation of Real Exchange Rate Misalignment and Growth; Uma Investigação com Dados em Painel do Desalinhamento da Taxa de Câmbio Real e do Crescimento

Vieira, Flávio Vilela; MacDonald, Ronald
Fonte: Universidade de São Paulo. Faculdade de Economia, Administração e Contabilidade Publicador: Universidade de São Paulo. Faculdade de Economia, Administração e Contabilidade
Tipo: info:eu-repo/semantics/article; info:eu-repo/semantics/publishedVersion; ; Formato: application/pdf
Publicado em 01/09/2012 Português
Relevância na Pesquisa
96.12%
O trabalho investiga o papel do desalinhamento da taxa de câmbio real no crescimento de longo prazo para um conjunto de noventa países para o período de 1980 a 2004. Primeiramente estima-se um modelo de dados em painel (efeitos fixos e aleatórios) para a taxa de câmbio real, no intuito de se obter estimações da taxa de câmbio real de equilíbrio que são utilizadas para construir as medidas de desalinhamento da taxa de câmbio real. O trabalho utiliza também estimações adicionais do desalinhamento da; taxa de câmbio real com base em análise de cointegração em painel. Os resultados dos modelos de crescimento em painel (two-step System GMM) indicam que os coeficientes do desalinhamento da taxa de câmbio real são positivos para diferentes especificações e amostras, indicando que uma taxa de câmbio real mais depreciada (apreciada) estimula (prejudica) o crescimento de longo prazo. Os coeficientes estimados são maiores para os países emergentes e em desenvolvimento.; The paper investigates the role of real exchange rate misalignment on long-run growth for a set of ninety countries using time series data from 1980 to 2004. We first estimate a panel data model (fixed and random effects) for the real exchange rate in order to produce estimates of the equilibrium real exchange rate and this is then used to construct measures of real exchange rate misalignment. We provide an alternative set of estimates of RER misalignment using panel cointegration methods. The results for the two-step System GMM panel growth models indicate that the coefficients for real exchange rate misalignment are positive for different model specification and samples...

Does Capital Control Policy Affect Real Exchange Rate Volatility? A Novel Approach Using Propensity Score Matching

Gross, Adam
Fonte: Universidade Duke Publicador: Universidade Duke
Formato: 861273 bytes; application/pdf
Português
Relevância na Pesquisa
96%
Propensity score matching is a statistical technique recently introduced in the field of economics, which researchers use to assess the treatment effect of policy initiatives. In this study I use propensity score matching to analyze the treatment effect of capital control policy on real exchange rate volatility. I find the treatment effect of adopting relatively liberal capital controls is a decrease in real exchange rate volatility. This is the first empirical study to provide insight into the causal relationship between capital controls and real exchange rates, which may be crucial to macroeconomic policy decisions for emerging economies such as China.; Winner of the 2008 Robert F. Durden Prize

An alternative theory of real exchange rate determination: theory and empirical evidence for the Mexican economy, 1970-2004

Martínez-Hernández,Francisco A
Fonte: UNAM, Facultad de Economía Publicador: UNAM, Facultad de Economía
Tipo: Artigo de Revista Científica Formato: text/html
Publicado em 01/09/2010 Português
Relevância na Pesquisa
96.03%
It is well known that mainstream approaches to real exchange rate determination (e.g. those based on purchasing power parity) can fail because price adjustments between trading partners do not occur simultaneously. This paper puts forth an alternative theory with regard to the Mexico-United States (US) real exchange rate. Our approach takes a long term perspective and employs a classical political economy framework developed by Shaikh (1980, 1991, 1998, 1999b), with foundations in the works of David Ricardo and Karl Marx. Unlike mainstream theories which focus on relative consumer or producer prices, we argue that relative real unit labor costs of the Mexican and US manufacturing sectors is a good indicator of the effective real exchange rate between the two countries. The empirical methods used in this paper include unit root tests and a co-integrated vector autoregression model (VAR). This paper seeks to provide some critical insights with regard to relative prices and relative and absolute competitiveness between Mexico and the United States.