Suchergebnisse

As the study of Indonesian Real Effective Exchange Rate is still rare, this research tries to define the determinants of the Indonesian Real Effective Exchange Rate (REER). Variables used in this research are General Fixed Capital Formation (GFCF), Government Final Consumption Expenditure (GFCE), Gross Domestic Product (GDP), Inflation, and the Ratio of Export to Import in the period of 2005 Q1 to 2019 Q4. All of data are obtained from The United States's Central Bank of The Federal Reserve. Analytical method used in this research is Autoregressive Distributed Lag (ARDL) that is modified with Newey-West HAC Estimator. The results show that in the short run, GFCF and GFCE have no positive effects toward Indonesian REER, yet GDP and the Ratio of Export to Import have positive effects toward Indonesian REER, while Inflation has no a negative effect toward Indonesian REER. In the long run, GFCF, GFCE, and the Ratio of Export to Import have positive effects toward Indonesian REER. GDP has no a positive effect toward Indonesian REER, and Inflation has a negative effect toward Indonesian REER. This research is expected to fill the study gap of Indonesian Real Exchange Rate.

AbstractThis paper provides new insights into the relationship between exchange rates and productivity developments forEuropean Economies. We focus on the question whether productivity changes have a long‐run impact on real effective exchange rates for a large number ofEuropean economies. Focusing on a sample period running from 1995 until 2013, we adopt a cointegrated vector autoregressive approach and distinguish between long‐run equilibrium, short‐run dynamics and long‐run impact of shocks. Our findings show that for several industrialized economies, real effective exchange rates and labor productivity are not related over the long‐run. A possible explanation for this result is that wage developments do not reflect increases in labor productivity to a large degree, which prevents a transmission to the real effective exchange rate through the price channel. The results forCentral and EasternEuropeanCountries are more encouraging since a positive impact of labor productivity on real effective exchange rate is frequently observed.

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This study analyzes the dynamics between real effective exchange rates and current accounts from a novel perspective. We start by dissecting long-run and time-varying short-run dynamics as well as causalities between both variables. Following this, we extend our framework by including short-term interest rates. Finally, we examine common exchange rate and current account dynamics across countries based on common factors. Our results show that a real appreciation coincides with a worsening of the current account in most cases. The adjustment pattern is time-varying but suggests that the causality mainly runs from effective exchange rates to current accounts. However, an extension of our framework based on monthly data shows that trade balance adjustment is observed less frequently, suggesting that valuation effects play an important role for the relationship between current accounts and exchange rates. From a global point of view, cross-country trends which drive exchange rates and current accounts also share similar dynamics over the long-run, which is an important finding in the context of global imbalances. ; Diese Studie analysiert die Dynamik zwischen realen effektiven Wechselkursen und Leistungsbilanzen aus einem neuen Blickwinkel. Um Kausalitäten zwischen den beiden Variablen adäquat zu untersuchen, wird mit der Zerlegung der langfristigen und zeitlich variierenden kurzfristigen Dynamiken begonnen. Anschließend wird der Ansatz um kurzfristige Zinsen erweitert, um geldpolitische Schocks in die Analyse mit einzubeziehen. Abschließend werden Wechselkurs- und Leistungsbilanzdynamiken in Form von gemeinsamen Faktoren über Länder hinweg untersucht. Die Ergebnisse zeigen, dass in den meisten Fällen eine reale Aufwertung mit einer Verschlechterung der Leistungsbilanz einhergeht. Das Anpassungsmuster verändert sich jedoch über die Zeit und deutet darauf hin, dass die Kausalität in erster Linie von effektiven Wechselkursen in Richtung Leistungsbilanz läuft. Eine Erweiterung des Ansatzes basierend auf monatlichen Daten zeigt, dass eine Reaktion der Handelsbilanz auf Wechselkursänderungen weniger häufig zu beobachten ist. Dies deutet darauf hin, dass Bewertungseffekte für Interdependenzen zwischen Leistungsbilanzen und Wechselkursen eine wichtige Rolle spielen.

The article is focused on the estimation of advantages and risks of the policy of "strong" ruble. The author analyzes factors, that cause effective exchange rate appreciation, studies the influence of ruble appreciation on the import dynamics. In the end suggestions on the optimal exchange rate policy in Russia are offered.