The Macroeconomic Effects of Large Exchange Rate Appreciations

Marcus Kappler ; Helmut Reiseni ; Moritz Schularick ; Edouard Turkischi iOECD

Organisation for Economic Co-operation and Development

关键词: current account adjustment;    exchange rate changes;    global imbalances;   

DOI  :  https://doi.org/10.1787/5kgglsnbscbs-en

学科分类：社会科学、人文和艺术（综合）

来源: OECD iLibrary

【 摘 要 】

In this paper we study the macroeconomic effects of large exchange rate appreciations. In a sample of 128 countries since 1960, we identify 25 episodes of large nominal and real appreciations shocks and study their macroeconomic effects in a dummy-augmented panel autoregressive model. Our results show that an exchange rate appreciation can have strong effects on current account balances. Within three years after the appreciation event, the current account balance on average deteriorates by three percentage points of GDP. This effect occurs through a reduction of savings without a meaningful reduction in investment. Real export growth slows down substantially, while imports remain by and large unaffected. However, the output costs of appreciation are small and not statistically significant, indicating a shift towards domestic sources of growth. All these effects appear somewhat more pronounced in developing countries.