Transcript Impactul socurilor structurale asupra ratei reale de

ACADEMY OF ECONOMIC STUDIES
DOFIN 2009
Coord. Prof. Moisa Altar, Ph.D
stud. Ana-Maria Castravete
Balaita
Introduction
1.
2.
The importance of studying the types of shocks
that affect the real exchange rate is twofold:
Regarding monetary and governmental policies;
e.g. justifying or not a controlled nominal
exchange rate;
Regarding the economic theoretical models that
include this variable; e.g. invalidation of the PPP
or of the uncovered interest parity hypothesis;
Overview of economic literature
 Identifying permanent and temporary shocks of the
real exchange rate has followed two main directions
suring the last two decades:
1. Identifying one permanent and one temporary
shock, with the approximation that the former
includes real shocks and the latter monetary shocks.
Lastrapes (1992), Evans&Lothian (1993), Enders&Lee
(1997), Dibooglu and Kutan (2001), Narayan (2008)
analyze the shocks on the real rate of the USD with
the main trading partners, including in the
Blanchard Quah decomposition the time series of
nominal exchange rate or inflation in the home and
foreign countries;
Overview of economic literature(cont.)
 2. Identifying different types of monetary and real
shocks that influence the real exchange rate by including
in the analysis variables such as government
consumption, GDP, monetary aggregates, prices: Clarida
&Gali (1994), Rogers (1999), Alexius (2005);
 Unlike the previous approach, this allows the
identification of various type of real and monetary
shocks, which are possibly acting in opposite ways.
Overview of economic literature(cont.)
 The theoretical models used in the literature
follow two main models:
1. The Dornbusch “overshooting” model (1976),
according to which the fluctuations of the real
exchange rate in the short run are due to
monetary shocks;
2.The Stockman model (1980), according to
which the fluctuations in the real exchage rate
are caused by real shocks both on the short and
long-time horizon.
Identification of the model: types of shocks
and variables
 The shocks on the real exchange rate are:
 Fiscal shocks – increases of government taxes. Influences
the variable “Share of government consumption in
GDP”;
 Productivity shocks. Influences the “Real GDP”
variable;
 Preference shocks – changes in preferences of the
population towards or away traded goods. Influences the
variable “Real exchange rate “;
 Monetary shocks. Influences the variable “Consumer
Price Index “.
Solving the model: restrictions
The long-run restrictions are as follows:
 The productivity, preference and monetary shocks do
not affect the share of government consumption in
GDP;
 The preference and monetary shocks do not affect real
GDP;
 The monetary shock does not affect the real variables
(share of government consumption, real GDP and
consumer preferences)
Solving the model: data
• Save for the real RON/EUR exchange rate, the series are
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calculated as log differential between the value of the
variable in Romania and the value in the Euro zone
(Source: Eurostat).
Frequency: quarterly, over 1998:3 – 2000:3
The differential of government consumption share of GDP;
The real GDP differential;
Log of real exchange rate;
CPI differential, base July 2000.
Real GDP series and the series of government consumption
share of GDP are deseasonalized (using Tramo/Seats);
Unit root tests
Series
ADF test
Level
Philips Perron test
First difference
-4.582835
-10.27251
Level
Conclusion
First difference
-4.555969
-11.93934
DLGOV
I(0)
(0.0007)
1.148434
(0.0000)
(0.0007)
-2.787268
(0.0000)
0.196695
-6.620463
DLGDP
I(1)
(0.9971)
-0.319777
(0.0704)
-4.733657
(0.9690)
-0.635424
(0.0000)
4.733657
LRER
I(1)
(0.9129)
-6.979194
(0.0004)
-0.759765
(0.8511)
-6.812498
(0.0000)
-5.389427
DLCPI
I(0)
(0.0000)
(0.9599)
(0.0000)
(0.0004)
VAR estimation
 Stationarity
condition:
Roots of Characteristic Polynomial
Endogenous variables: DLGOV DIFDLGDP DIFLRER
DLCPI
Exogenous variables: C
Lag specification: 1 2
Date: 07/01/09 Time: 22:36
Root
0.918099
-0.062073 - 0.573863i
-0.062073 + 0.573863i
-0.494308
0.403856 - 0.205666i
0.403856 + 0.205666i
-0.237974
0.009307
No root lies outside the unit circle.
VAR satisfies the stability condition.
Modulus
0.918099
0.577210
0.577210
0.494308
0.453209
0.453209
0.237974
0.009307
VAR estimation
 Normality of the residuals:
VAR Residual Normality Tests
Orthogonalization: Cholesky (Lutkepohl)
H0: residuals are multivariate normal
Date: 07/01/09 Time: 22:41
Sample: 1998Q4 2008Q3
Included observations: 38
Component
Jarque-Bera
df
Prob.
1
2
3
4
1.619460
4.199317
3.754361
2.789446
2
2
2
2
0.4450
0.1225
0.1530
0.2479
Joint
12.36258
8
0.1357
VAR estimation
 White's test:
VAR Residual Heteroskedasticity Tests: No Cross Terms (only levels and squares)
Date: 07/01/09 Time: 22:50
Sample: 1998Q4 2008Q3
Included observations: 38
Joint test:
Chi-sq
df
Prob.
132.4330
160
0.9454
Individual components:
Dependent
R-squared
F(16,21)
Prob.
Chi-sq(16)
Prob.
res1*res1
res2*res2
res3*res3
res4*res4
res2*res1
res3*res1
res3*res2
res4*res1
res4*res2
res4*res3
0.323730
0.528570
0.267238
0.273078
0.238095
0.259710
0.333114
0.368407
0.290824
0.356862
0.628294
1.471584
0.478669
0.493059
0.410157
0.460454
0.655604
0.765580
0.538238
0.728276
0.8268
0.2010
0.9315
0.9234
0.9632
0.9410
0.8037
0.7040
0.8950
0.7387
12.30175
20.08567
10.15506
10.37698
9.047624
9.868983
12.65835
13.99948
11.05129
13.56076
0.7230
0.2164
0.8584
0.8462
0.9114
0.8734
0.6976
0.5988
0.8063
0.6314
Long-run restrictions
 The restrictions are imposed according to the
equation:

Yt
=
Impulse Response Functions of the
real exchange rate
The response of the change in the
real exchange rate to shocks
 The relative fiscal shock generates an initial
appreciation of the real exchange rate, indicating that
an increase of taxation encourages consumption of
non-tradable goods;
 The productivity shock generates an appreciation of
the real exchange rate which is persistent in the logrun.
The response of the change in the
real exchange rate to shocks (cont.)
• As expected, the preferences shock generates a
depreciation of the real exchange rate that remains
permanent above the level of the initial shock. We
notice that the supply shock (previous table) and the
demand shock (current table) have contrasting
influences over the real exchange rate, thus justifying
our approach of using several “real” variables in order
to identify various real structural shocks.
 The monetary shock generates an initial appreciation
of the real exchange rate, indicating price stickiness,
which is absorbed within approximately a year.
Variance decomposition
Horizon
fiscal
productivity
preference
monetary
1
16.6
58.5
16.5
0.9
2.0,48.0
34.5,77.0
6.9,30.4
0.1, 3.5
14.2
62.5
16.4
0.5
2.7,42.0
40.4,79.1
6.8,29.4
0.1, 1.5
12.9
63.0
16.8
0.4
3.3,40.3
41.2,78.7
7.2,30.5
0.1, 1.0
13.0
62.6
17.0
0.3
3.4,39.1
42.4,78.5
7.4,30.4
0.1, 0.8
13.8
62.3
16.6
0.2
3.3,40.5
41.5,79.1
6.9,30.0
0.0, 0.4
14.1
62.4
16.4
0.1
3.1,43.0
39.7,79.1
6.6,29.8
0.0, 0.3
14.1
62.6
16.2
0.1
2.3,44.7
38.5,79.4
6.4,29.7
0.0, 0.2
2
3
4
8
12
24
Variance decomposition (cont.)
 The largest part of the forecast error variance is
due to the productivity shock, followed by the
preference and the fiscal shock;
 The monetary shock has an extremely small
influence;
 The majority of studies of structural shocks
affecting the real exchange rate find over 50% of
the forecast error variance explained by real (or
“permanent”) shocks, although the percentage due
to monetary shocks is much larger.
Historical decomposition – fiscal
shock
Historical decomposition –
productivity shock
Historical decomposition –
preference shock
Historical decomposition –
monetary shock
Historical decomposition (cont.)
 the fiscal and preference shocks act in opposite
directions in influencing the RER; during the two
main swings of the real path: the preference shock
influences towards the depreciation of the RER and
the fiscal shock towards appreciation.
Conclusions
• The shocks affecting the RON/EUR real exchange rate
are over 95% real in nature;
• The real shock with the most important weight is the
productivity shock; the historical decomposition
shows that the main changes in the RER are due to this
shock;
• The real shocks have contradictory signs, which
justifies the inclusion of more than one "real" variable
in our model;
Conclusions (cont.)
• The results regarding the shocks that influence the
EUR/RON real exchange rate are in line with the
findings for the developed countries and also with the
results obtained by Dibooglu&Kutan (2001) for
Hungary;
• These findings confirm the predictions of the
"equilibrium" models over those of the
"disequilibrium" models;
References
• Alexius, A. (2005). Productivity shocks and real exchange rates. Journal of
Monetary Economics, 52, 555−566.
• Blanchard, O. J., & Quah, D. (1989). The dynamic effects of aggregate demand
and supply disturbances. American Economic Review, 79, 655−673.
• Clarida, R., & Gali, J. (1994). Sources of real exchange rate fluctuations: How
important are nominal shocks? Carnegie Rochester Series on Public Policy, 41,
1−56.
• Devereux, M. B., & Lane, P. R. (2003). Understanding bilateral exchange rate
volatility. Journal of International Economics, 60, 109−132.
• Dibooglu, S., & Kutan, A. M. (2001). Sources of real exchange rate fluctuations
in transition economies: The case of Poland and Hungary. Journal of
Comparative Economics, 29, 257−275.
• Dornbush, R. (1976). The theory of flexible exchange rate regimes and
macroeconomic policy. Scandinavian Journal of Economics, 78, 255−275.
Bibliografie
• Enders, W., & Lee, B. -S. (1997). Accounting for real
and nominal real exchange rate movements in the
post-Bretton Woods period. Journal of International
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• Evans, M. D. D., & Lothian, J. R. (1993). The response
of exchange rates to permanent and transitory shocks
under floating
• Jang, K., & Ogaki, M. (2004). The effects of monetary
policy shocks on exchange rates: A structural vector
error correction model approach. Journal of Japanese
and International Economies, 18, 99−114.
Bibliografie
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