The Impact of the Balassa-Samuelson Effect on the Real Ruble Exchange Rate: The Assessment

2008 ◽  
pp. 12-30 ◽  
Author(s):  
E. Gurvich ◽  
V. Sokolov ◽  
A. Ulyukaev
Keyword(s):  
Exchange Rate ◽  
Policy Instrument ◽  
Price Shocks ◽  
The Real ◽  
Long Run ◽  
Time Period ◽  
Productivity Differentials ◽  
Productivity Differential ◽  
The Impact ◽  
German Data

The article presents an empirical investigation of the impact of the Balassa-Samuelson effect on the real ruble appreciation in 1999-2007. We consider long-run, supply-side determinants of the real ruble exchange rate, such as changes in terms of trade and labor productivity. Using Russian and German data on price and productivity differentials between tradable and non-tradable sectors of the two economies, we estimate the significance of oil price shocks and the Balassa-Samuelson effect for the real ruble appreciation. Our study demonstrates that, on average, about 1/3 of the observed appreciation can be attributed to the Balassa-Samuelson effect. The cointegrating relationship between the productivity differential and the real exchange rate provides evidence of the healthy nature of the economic growth, which took place in Russia during the time period under investigation. These findings suggest that exchange rate adjustments should be used by the Central Bank of Russia mainly as a monetary policy instrument for fighting inflation rather than as a tool for competitive devaluations.

scholarly journals The Impact of Exchange Rate on Bangladesh’s Export: A Cointegration Approach

2020 ◽  
pp. 22-30
Author(s):  
Takrima Sayeda
Keyword(s):  
Exchange Rate ◽  
Foreign Exchange Market ◽  
Export Performance ◽  
Long Run ◽  
Time Period ◽  
Floating Exchange Rate ◽  
Short Run ◽  
Year 2000 ◽  
The Impact

The purpose of the paper is to see if there is any relationship exist between free floating exchange rate and export performance of Bangladesh. It inspects the monthly data of exchange rate and export value for the time period between year 2000 and 2017. It utilized the Johansen [1] cointegration approach to identify the extent of long run and short run relationship between them. The study could not establish neither any long term trend nor any short term dynamics between the variables. Respective variables are significantly related to their own immediate past values. Distant past values do not have any implications. This study suggests that short run macroeconomic policy would be beneficial to influence the foreign exchange market and eventually the performance of export of Bangladesh.

The Impact of Volatile Exchange Rate on Commodity Wise Trade of Pakistan to Its Major Trading Partner China: An Empirical Case Study

2019 ◽  
Vol 9 (2) ◽  
pp. 145
Author(s):  
Ahmer Bilal ◽  
Xiaoping Li ◽  
Muhammad Zubair Chishti ◽  
Minhaj Ali
Keyword(s):  
Exchange Rate ◽  
Trade Flow ◽  
Commodity Trade ◽  
Long Run ◽  
Time Period ◽  
Major Trading Partner ◽  
Unique Aspect ◽  
Short Run ◽  
The Impact

The current study endeavors to explore the effects of oscillations in exchange rate on commodity trade flow between Pakistan and China, employing the data for the time period of 1982-2017. Applying ARDL Bound Testing approach, we find that 63% exporting and 55% importing industries of Pakistan demonstrate the co-integration. Further, employing ARDL technique, the current study deduces that 55% in the short run and 18% exporting industries in the long run respond to the volatility. In imports function, the volatility affects 56% industries in short as well as long run. Intriguingly, two exporting industries coded as 651 (57% share) & 652 (13% share) do not respond to the volatility. And, this is the unique aspect of our study.

scholarly journals The Effect of Exchange Rate Movements and Economic Growth on Job Creation

2017 ◽  
Vol 62 (2) ◽  
pp. 20-41
Author(s):  
Chama Chipeta ◽  
Daniel Francois Meyer ◽  
Paul-Francois Muzindutsi
Keyword(s):  
Economic Growth ◽  
South Africa ◽  
Exchange Rate ◽  
Real Exchange Rate ◽  
Job Creation ◽  
Vector Autoregressive ◽  
The Real ◽  
Long Run ◽  
Exchange Rate Shocks ◽  
The Impact

Abstract Job creation is at the centre of economic development and remains a source of sustenance for social and human relations. The creation of a job-enabling economic environment is imperative in promoting social and economic cohesiveness in the macro and microeconomic environment. Any shocks to the economy, particularly those of exchange rate shocks and changes in economic growth, may negatively affect the labour market and job creation. This study made use of quarterly observations, from the first quarter of 1995 to the fourth quarter of 2015, to investigate the effect of the real exchange rate and economic growth on South Africa’s employment status. South Africa, a developing country, was selected as a case study due to its high unemployment rate that is still increasing. The Vector Autoregressive (VAR) model and multivariate co-integration techniques were used in assessing the impact and responsiveness of employment to the real exchange rate and real economic growth in South Africa. Findings of this study revealed that employment responds positively to economic growth and negatively to the real exchange rate in the long-run. The short-run displays a positive relationship between real economic growth and employment, while the relationship between employment and the real exchange rate is also negative. However, the effect of economic growth in creating jobs is not significant enough in stimulating job creation in South Africa, as indicated by results in variance decomposition. Movements in the exchange rate exerted a significant short and long-run negative effect on employment dynamics; implying that a depreciation of the rand against the U.S. dollar is associated with decrease in overall employment. Exchange rate stability is thus important for economic growth and job creation in South Africa. The study provided further recommendations on promoting job creation in South Africa and other developing countries.

scholarly journals NILAI TUKAR DAN TRADE FLOWS

2007 ◽  
Vol 8 (3) ◽  
Author(s):  
Siti Astiyah ◽  
M. Setyawan Santoso
Keyword(s):  
Exchange Rate ◽  
Export Performance ◽  
Exchange Rate Policy ◽  
Panel Regression ◽  
Business Climate ◽  
The Real ◽  
Trade Performance ◽  
Long Run ◽  
Short Run ◽  
The Impact

The paper is testing the Marshal-Lernercondition and the J-Curvephenomenon on the Indonesian trade. We apply the panel regression model and anlyze the impact of the real depreciation of Rupiah on the trade performance, both in the short run and in the long run.The study indicates the insignificant of the Rupiah real depreciation to boost the export performance in the short run. When the time horizon is long enough, the increase of the export caused by the depreciation, will offset the increase of the import, hence in the long run the real depreciation of Rupiah may significantly increase the trade performance, but still in a small number.The implication is clear for the policy maker; ifthe aim of the policy is to boost the trade performance, then the exchange rate policy should not be an alternative, rather using policy to increase the productivity, efficiency, product quality management, loose tax policy and the creation of the business climate. This includes the industrial re-structuring to lower the import dependences.JEL Classification: C23, F14Keywords: J-Curve, Marshal-Lerner, trade, exchange rate, panel regression

scholarly journals Government Budget Deficits and Exchange Rate Determination: Evidence from Pakistan

1992 ◽  
Vol 31 (4II) ◽  
pp. 871-882 ◽  
Author(s):  
Nadeem A. Burney ◽  
Naeem Akjitar
Keyword(s):  
Exchange Rate ◽  
Interest Rates ◽  
Real Exchange Rate ◽  
Relative Effectiveness ◽  
Policy Instrument ◽  
Nominal Exchange Rate ◽  
Relative Price ◽  
Budget Deficits ◽  
The Real ◽  
The Impact

It is now generally accepted that the real exchange rate is a key relative price in an econom/ Changes in the real exchange rate influence foreign trade flows, balance of payments, the structure and level of production, allocation of resources, etc. While the real exchange rate is an endogenous variable that responds to both exogenous as well as policy-induced shocks, the nominal exchange rate is usually taken as a policy instrument. The two rates, however, are found to be related to each other. 2 For effective policy-making, it is imperative to have some idea about different factors that influence the real exchange rate. Equally important is the knowledge of the manner in which the real exchange rate responds to changes in the exogenous variables. While there is a general consensus that the impact of various exogenous shocks on the exchange rate is transmitted through four broad channels, namely, (i) absolute prices, (ii) relative prices, (iii) income, and (iv) interest rates, the relative importance of each of these channels is found to vary across countries. In general, it depends on the degree of openness of the economy and the relative effectiveness of the fiscal and the monetary sectors within a country.

Modeling the real ruble exchange rate under monetary policyregime change

2017 ◽  
pp. 61-78 ◽  
Author(s):  
A. Polbin
Keyword(s):  
Exchange Rate ◽  
Real Exchange Rate ◽  
Structural Break ◽  
Oil Prices ◽  
Oil Price ◽  
Oil Price Shocks ◽  
Price Shocks ◽  
Policy Regime ◽  
The Real ◽  
Long Run

The paper estimates vector error correction model (VECM) for the real ruble exchange rate and real oil prices. The VECM model takes into account the structural break in short-term parameters due to the Bank of Russia monetary policy regime change in November 2014. Estimates show that the real exchange rate response to oil price shocks has dramatically changed. Before November2014 it took approximately one year to correct 50% of the real exchange rate gap due to oil prices permanent change. From November 2014 the real exchange rate adapts to oil price shocks almost instantly. The estimate of long-run elasticity of the real exchange rate on real oil prices is 0.33.

scholarly journals DINAMIKA PERUBAHAN EKONOMI MAKRO DAN DAMPAKNYA TERHADAP PERTUMBUHAN PENERIMAAN PAJAK PENGHASILAN NON MIGAS

2017 ◽  
Vol 1 (1) ◽  
pp. 23-37
Author(s):  
Mas'udin Mas'udin
Keyword(s):  
Economic Growth ◽  
Exchange Rate ◽  
Income Tax ◽  
Oil And Gas ◽  
Tax Revenue ◽  
Long Run ◽  
Time Period ◽  
Auto Regressive ◽  
Exchange Rate Shocks ◽  
The Impact

This study examines the impact of macroeconomic on tax revenue, especially non-oil and gas income tax. The time period of study ranges from 1970 to 2016. The study was conducted to obtain empirical evidence of factors influencing the growth of non-oil tax revenues in Indonesia. The model was analyzed using Vector Auto Regressive. The VAR estimation shows that there is a one-way relationship between economic growth, inflation rate, exchange rate and non-oil and gas income tax. In the short term, shocks of non-oil and gas income tax is the factor with the greatest influence on the growth of non-oil tax. In the long run, exchange rate shocks, inflation, economic growth, ICP, and non-oil income tax incidence shocks affect the growth of non-oil and gas income tax. Studi ini mengkaji dampak ekonomi makro terhadap penerimaan perpajakan, khususnya pajak penghasilan non migas. Rentang periode kajian selama 46 tahun yaitu dari 1970 s.d 2016. Studi dilakukan guna mendapatkan bukti empiris faktor-faktor yang mempengaruhi pertumbuhan penerimaan PPh non migas di Indonesia. Model dianalisis dengan menggunakan Vector Auto Regressive.  Hasil estimasi VAR menunjukkan terdapat hubungan satu arah antara pertumbuhan ekonomi, tingkat inflasi, nilai tukar rupiah dan PPh non migas. Dalam jangka pendek, guncangan (shock) PPh non migas merupakan faktor dengan pengaruh terbesar pada pertumbuhan PPh non migas itu sendiri. Dalam jangka panjang guncangan kurs, inflasi, pertumbuhan ekonomi, ICP, dan guncangan PPh non migas berpengaruh terhadap pertumbuhan PPh non migas. 

Real exchange rate misalignment and economy

2019 ◽  
Vol 46 (1) ◽  
pp. 211-227 ◽  
Author(s):  
Hock Tsen Wong
Keyword(s):  
Exchange Rate ◽  
Real Exchange Rate ◽  
Manufacturing Sector ◽  
Economic Sectors ◽  
Content Type ◽  
Distributed Lag ◽  
Long Run ◽  
Exchange Rate Misalignment ◽  
Productivity Differential ◽  
The Impact

PurposeThe purpose of this paper is to examine the impact of real exchange rate misalignment on economy and economic sectors, namely construction, manufacturing and mining and quarrying in Malaysia.Design/methodology/approachThe equilibrium real exchange rate and economic models are estimated using the autoregressive distributed lag approach.FindingsAn increase in productivity differential or reserve differential will lead to an appreciation of real exchange rate in the long run. An increase in positive (negative) real exchange rate misalignment will lead to an increase (decrease) in economy. An increase in long-run real exchange rate misalignment will lead to a decrease in economy. Real exchange rate misalignment or long-run real exchange rate misalignment can influence the manufacturing sector in Malaysia. More specifically, undervaluation will promote whereas overvaluation will hurt the manufacturing sector.Originality/valueReal exchange rate misalignment can be a policy to influence economy but may not be the best choice.

scholarly journals Mathematical Analysis of the Impact of Real Exchange Rate on Output Growth and Inflation: The Case of Tanzania Zanzibar

2013 ◽  
Vol 2 (4) ◽  
pp. 23-36
Author(s):  
Khamis Khalid Said ◽  
Eliab Luvanda ◽  
Estomih S Massawe
Keyword(s):  
Exchange Rate ◽  
Real Exchange Rate ◽  
Decomposition Analysis ◽  
Variance Decomposition ◽  
Output Growth ◽  
Stationary Time Series ◽  
Impulse Response Functions ◽  
The Real ◽  
Long Run ◽  
The Impact

This paper examines the dynamic relationship between stationary time series for the impact of real exchange rate on output growth and inflation in Tanzania: Zanzibar using vector autoregressive (VAR) model. The impact of the real exchange rate on economic performance in Tanzania using VAR approach shows that the main sources of variance decomposition in the volume of tourism and inflation are in their own shocks. Impulse response functions analysis show that the response generated by itself at short run and vanishing at the long run, and the inflation and number of tourism has no instantaneous impact on the first difference of real exchange rate. Variance decomposition analysis show that the impact of number of tourism arrival on real exchange rate increases monotonically to the long-run. Thus analysis show that 98 percent of the variance of number of tourism arrival is generated by its own innovations, while only 87 percent of the variance of inflation is generated by its own innovations and about 99 percent of the variance of real exchange rate generated by its own innovations. Furthermore; the real exchange rate is Granger causal to both inflation and number of tourism, while the number of tourism is Granger Causal to the inflation.

scholarly journals Can Financial Development Mitigate the Impact of Remittances on Real Exchange Rate Appreciation?

2019 ◽  
Vol 4 (2) ◽  
pp. 89-116
Author(s):  
Abubakar Lawan Ngoma ◽  
Normaz Wana Ismail
Keyword(s):  
Exchange Rate ◽  
Real Exchange Rate ◽  
Empirical Studies ◽  
Real Exchange Rates ◽  
Financial Sector ◽  
Asian Countries ◽  
The Real ◽  
Financial Sector Development ◽  
Long Run ◽  
The Impact

Remittances have been blamed for causing real exchange rate appreciation by raising the relative prices of nontraded goods and services in the recipient countries. However, empirical studies seeking to support this claim are lacking in Asia, despite the huge amount of remittances received by the region. In view of that, this paper used a panel dataset from eighteen remittance-recipient Asian countries during the period of 1981 – 2010 and Pooled Mean Group (PMG) estimator to examine the effect of remittances and financial sector development on real exchange rate. The paper, specifically, questions if the real exchange rate appreciation caused by the inflow of remittances varies with the degree of financial sector development in these countries. The paper finds that inflow of remittances has significant long-run impact on the appreciation of the real exchange rates in the remittance-recipient Asian countries. However, such effect of appreciation declines in countries with enhanced financial sector development.

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