Government Spending Shocks and External Competitiveness: Evidence from South Africa

2020 ◽  
Vol 11 (03) ◽  
pp. 2050013
Author(s):  
Naser Yenus Nuru
Keyword(s):  
South Africa ◽  
Exchange Rate ◽  
Government Spending ◽  
Real Effective Exchange Rate ◽  
Impulse Responses ◽  
Economic Cycle ◽  
Vector Autoregressive ◽  
Effective Exchange ◽  
Spending Shocks ◽  
Effective Exchange Rate

This study examines the effects of government spending shocks on real effective exchange rate in South Africa over the period 1970Q1–2019Q2. In doing so, a version of vector autoregressive impulse response model developed by Jordà is employed and the shocks are identified recursively. The impulse responses show that government spending shock has a significant appreciation effect on real effective exchange rate and its effect depends on the nature of the fiscal shock. Although the effect of government spending on real effective exchange rate does not depend on the sign of the shock, it varies over economic cycle.

scholarly journals THE IMPACT OF EXCHANGE RATE ON ECONOMIC GROWTH IN ALGERIA

2019 ◽  
Vol 7 ◽  
Author(s):  
Mohammed Touitou ◽  
Yacine Laib ◽  
Ahmed Boudeghdegh
Keyword(s):  
Economic Growth ◽  
Exchange Rate ◽  
Real Effective Exchange Rate ◽  
Vector Autoregressive ◽  
The Real ◽  
Effective Exchange ◽  
The Exchange Rate ◽  
Effective Exchange Rate ◽  
The Impact ◽  
Growth Economic

The transmission of changes in the exchange rate to macroeconomic performance has led to debates about their impact, particularly on growth economic. Many economists consider the exchange rate as a transmission channel of economic policy for open economies. This article focuses to determining empirically the impact of the exchange rate on economic growth. For this, we will adopt an approach in terms of the vector autoregressive model (VAR) with four variables namely, the real effective exchange rate, economic growth, financial development with credit indicators and finally the money supply. The empirical results allow us to confirm our theoretical expectations that decline in the real effective exchange rate of the dinar increases the growth economy through public spending for consumption and is stimulated by oil taxation.

scholarly journals INFRAESTRUTURA PORTUÁRIA, DINÂMICA DAS EXPORTAÇÕES E CRESCIMENTO ECONÔMICO BRASILEIRO: uma análise empírica para o período de 2006 a 2011

2014 ◽  
Vol 17 (2) ◽  
pp. 303
Author(s):  
Guilherme Jonas Costa da Silva Silva ◽  
Paulo Henrique Costa
Keyword(s):  
Exchange Rate ◽  
Capacity Utilization ◽  
The United States ◽  
Sustainable Growth ◽  
Real Effective Exchange Rate ◽  
Vector Autoregressive ◽  
Flow Capacity ◽  
Effective Exchange ◽  
Port Infrastructure ◽  
Effective Exchange Rate

O trabalho tem por objetivo analisar teórica e empiricamente o papel dos portos no crescimento das exportações e do PIB no Brasil. O setor portuário é estratégico para a competitividade e ampliação do comércio brasileiro no mercado internacional, visando alcançar uma trajetória decrescimento mais sustentada. O trabalho faz um diagnostico da situação da infraestrutura portuária brasileira no período compreendido entre 2006 e 2011 e, na sequencia, avalia empiricamente, através da metodologia de vetores autorregressivos (VAR), os efeitos de choques nas principais variáveis relacionadas à dinâmica das exportações no Brasil (renda mundial, taxa de câmbio e capacidade utilizada dos portos). A análise indicou ainda que as exportações respondem relevantemente ao comportamento da capacidade utilizada dos portos e da taxa de câmbio. Os resultados demonstram que 38% da capacidade utilizada dos portos dependem da renda dos Estados Unidos e da taxa real de câmbio efetiva. Esses resultados reforçam o argumento do governo federal de que a  infraestrutura portuária é um gargalo e mostram a necessidade de ampliação da capacidade de escoamento da produção nacional, tal como elucida a Medida Provisória 595/2012.Palavras-chave: Infraestrutura Portuária; Capacidade Utilizada; Exportações; Brasil; VARPort Infrastructure, Dynamics of exports and Brazilian economic growth: an empirical analysis to the period from 2006 to 2011Abstract: The paper aims to analyze theoretical and empirically the role of ports in export growth and GDP in Brazil. The port sector is strategic for the competitiveness and expansion of Brazilian market in the international market, aiming to achieve a more sustainable growth path. The workmakes a diagnosis of the situation of the port infrastructure in Brazil between 2006 and 2011 and evaluates empirically, through the methodology of vector autoregressive (VAR), the effects of shocksin the main variables related to the dynamics of exports in Brazil (world income, exchange rate and capacity utilization of the ports). The analysis indicated that exports respond significantly to the behavior of the utilized capacity of ports and the exchange rate. The results show that 38% ofthe capacity of the ports used depends on the income of the United States and the real effective exchange rate. These results reinforce the federal government’s argument that the port infrastructure is a bottleneck and show the need to increase the flow capacity of the national production, aselucidates the Provisional Measure 595/2012.Keywords: Port Infrastructure, Exports, Capacity Used, Brazil, VAR Analysis.

The EMU-REER Spillovers on Southeastern European Economies: A G-VAR Model

2020 ◽  
Vol 66 (4) ◽  
pp. 259-290
Author(s):  
Petros Golitsis ◽  
Sotirios K. Bellos ◽  
Anastasios Alexandridis
Keyword(s):  
Exchange Rate ◽  
Interest Rates ◽  
Policy Coordination ◽  
Policy Implications ◽  
Real Effective Exchange Rate ◽  
Vector Autoregressive ◽  
Effective Exchange ◽  
Monetary Policy Coordination ◽  
Global Vector ◽  
Effective Exchange Rate

In this paper, we empirically investigate the spillovers of Real Effective Exchange rate of European Monetary Union (EMU-REER) on Industrial Production, Real Effective Exchange rate, Foreign Reserves and interest rates for the South Eastern European (SEE) economies of Bulgaria, Croatia, Greece, North Macedonia, Romania, and Slovenia, using monthly data over 2002–2016. In a global vector autoregressive framework with EMU-REER as a global variable, we show that the EMU variable has a lasting impact on the SEE variables and economies. Specifically, we provide strong evidence that this impact of EMU-REER is not only of a greater importance compared to the importance of the domestic variables, but also that it negatively affects the competitive stance of the investigated SEE economies, which is partly compensated by the lower interest rates that certain SEE countries face in return. Our results offer potential policy implications with respect to monetary policy coordination and discretion.

scholarly journals The Impact of Exchange Rate Uncertainty on Exports in South Africa

2015 ◽  
Vol 06 (01) ◽  
pp. 1550004 ◽  
Author(s):  
Goodness C. Aye ◽  
Rangan Gupta ◽  
Prudence S. Moyo ◽  
Nehrunaman Pillay
Keyword(s):  
South Africa ◽  
Exchange Rate ◽  
Real Effective Exchange Rate ◽  
Structural Vector Autoregression ◽  
Exchange Rate Uncertainty ◽  
Effective Exchange ◽  
Negative Effect ◽  
Effective Exchange Rate ◽  
The Impact ◽  
Structural Vector

This paper examines the impact of real effective exchange rate uncertainty (REER) on aggregate exports of South Africa for the period 1986Q4–2013Q2. Using a bivariate framework where the structural vector autoregression (VAR) is modified to accommodate bivariate GARCH-in-Mean (GARCH-M) errors, we find that exchange rate uncertainty has a significant and negative effect on exports. Comparing the response of exports to a shock in exchange rate from a model that includes the REER uncertainty with results from a model that restricts the coefficient of the exchange rate uncertainty to zero, we find that the response is more pronounced in the former model. Furthermore, real exports respond asymmetrically to negative and positive shocks of REER of the same size.

scholarly journals The exchange rate, the trade balance and the J-curve effect in South Africa

2014 ◽  
Vol 17 (5) ◽  
pp. 601-608 ◽  
Author(s):  
Eric Schaling ◽  
Alain Kabundi
Keyword(s):  
South Africa ◽  
Exchange Rate ◽  
Trade Balance ◽  
Real Effective Exchange Rate ◽  
Long Run ◽  
J Curve ◽  
Curve Effect ◽  
Effective Exchange ◽  
Short Run ◽  
Effective Exchange Rate

We find that for the period 1994-2011 there is robust statistical evidence that, in the long run, net exports are boosted by a weaker real effective exchange rate. However, this effect does not hold in the short run. We thus find empirical evidence supporting the J-curve effect for South Africa.

scholarly journals Currency Depreciation, Trade Balance and Intra-Industry Trade Interactions in Turkey’s OECD Trade

2016 ◽  
Vol 8 (4) ◽  
pp. 8 ◽  
Author(s):  
Mehmet Demiral
Keyword(s):  
Exchange Rate ◽  
Trade Balance ◽  
Real Effective Exchange Rate ◽  
Series Data ◽  
Adjustment Process ◽  
Industry Trade ◽  
Long Run ◽  
Effective Exchange ◽  
Short Run ◽  
Effective Exchange Rate

<p>This study re-examines the determinants of Turkey’s trade balance in its manufactures trade with 33 OECD-member countries for the short-run and the long-run. Unlike other studies, in the relationships we also control the moderating effects of the availability of import substitutes proxied by intra-industry trade. We analyze quarterly aggregated time-series data of the period spanning from 1998.QI to 2015.QIII, following the autoregressive distributed lag (ARDL) bounds testing approach to the cointegration and the error correction modeling. Estimation results reveal that real effective exchange rate, together with domestic and foreign incomes are still among the core determinants of Turkey’s trade balance in the manufacturing sectors. There is no significant impact of domestic final oil prices that also include all the taxes on gasoline. The trade balance depends on domestic income negatively and the aggregated income of the OECD countries positively. The finding that real depreciation of Turkish lira against to those of Turkey’s OECD trade partners improves trade balance in both the short-run and the long-run, indicates no evidence of J-curve adjustment process. Unsurprisingly, the intra-industry trade seems to be an important factor that moderates the elasticities of trade balance to its determinants, especially to real effective exchange rate and domestic income. Overall results underline the importance of import-substitution capability besides the export-oriented production to ease the longstanding large trade deficits for Turkey.</p><strong></strong>

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