The Exchange Rate Elasticity of Exports: A Shock-Dependent Approach

IF 3.3 2区经济学 Q1 BUSINESS, FINANCE Imf Economic Review Pub Date : 2024-02-29 DOI:10.1057/s41308-023-00234-7

Patrick Alexander, Abeer Reza

引用次数: 0

Abstract

The exchange rate elasticity of exports is often interpreted and estimated as an unconditional structural parameter in the literature. We show that this elasticity, in fact, varies across the structural shocks that generate movements in the exchange rate in the first place. We use a small-open-economy SVAR model, estimated with Canadian data, to derive estimates for the conditional exchange rate elasticity of exports (CEREE) for seven structural shocks used in the literature. Estimates for CEREEs vary in magnitude, sign, and significance across shocks. They are stronger for foreign shocks and weaker than expected by standard economic theory for domestic and exogenous exchange rate shocks. Recent developments from the dominant currency paradigm can potentially explain some, but not all, of our results. Our findings highlight the risk of treating the exchange rate elasticity as an unconditional structural relationship in forming expectations.

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出口的汇率弹性：依赖冲击的方法

在文献中，出口的汇率弹性通常被解释为一个无条件的结构参数并进行估算。我们的研究表明，事实上，这一弹性会随着首先导致汇率变动的结构性冲击而变化。我们使用加拿大数据估计的小型开放经济 SVAR 模型，得出了文献中使用的七种结构性冲击的条件出口汇率弹性（CEREE）的估计值。对不同冲击的 CEREE 的估计值在大小、符号和重要性上都有所不同。对于外来冲击，它们更强，而对于国内和外生汇率冲击，它们比标准经济理论预期的要弱。主导货币范式的最新发展有可能解释我们的部分结果，但不是全部。我们的研究结果凸显了在形成预期时将汇率弹性视为无条件结构关系的风险。

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来源期刊

Imf Economic Review Multiple-

CiteScore

5.50

自引率

4.70%

发文量

期刊介绍： The IMF Economic Review is the official research journal of the International Monetary Fund (IMF). It is dedicated to publishing peer-reviewed, high-quality, context-related academic research on open-economy macroeconomics. It emphasizes rigorous analysis with an empirical orientation that is of interest to a broad audience, including academics and policymakers. Studies that borrow from, and interact with, other fields such as finance, international trade, political economy, labor, economic history or development are also welcome. The views presented in published papers are those of the authors and should not be attributed to, or reported as, reflecting the position of the IMF, its Executive Board, or any other organization mentioned herein. Comments “The IMF Economic Review has been uniquely successful in publishing papers that rigorously analyze real international macroeconomic problems and in a manner that has immediate policy relevance. This success is owed to a great extent to the high quality of the editorial board, which is able to identify papers that are both relevant for policy and are executed using state-of-the-art tools so as to make the analysis compelling.” - Gita Gopinath, Economic Counsellor and Director of Research, IMF “IMF Economic Review is devoted to state-of-the-art research on the global economy. Given the Fund''s unique position on the front lines of surveillance and crisis management, anyone interested in international economic policy or in macroeconomics more generally will find this journal to be essential reading.” - Maurice Obstfeld, Professor of Economics at University of California, Berkeley; and former Economic Counsellor and Director of Research, IMF “There is great need for a rigorous academic publication that addresses the key global macro questions of our times. This is what the IMF Economic Review aims to be.” - Pierre-Olivier Gourinchas, Professor of Economics at University of California, Berkeley; and former Editor of the IMF Economic Review “To navigate the global crisis, and to take the best policy decisions, will require mobilizing and extending the knowledge we have about open economy macro, from the implications of liquidity traps, to the dangers of large fiscal deficits, to macro-financial interactions, to the contours of a better international monetary and financial system. My hope and my expectation is that the IMF Economic Review will be central to the effort.” - Olivier J. Blanchard, Peterson Institute for International Economics; former Economic Counsellor and Director of Research Department, IMF

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