重新审视实际有效汇率变动对国内产出的不对称影响:来自埃及的证据

M. Sharaf, A. M. Shahen
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引用次数: 1

摘要

目的研究1960-2020年实际有效汇率(REER)对埃及实际国内产出的不对称影响。设计/方法/方法利用非线性自回归分布滞后(NARDL)模型将实际货币贬值与升值隔离开来,并解释REER影响的潜在不对称性。这些分析说明了REER可能影响国内产出的各种渠道。研究结果表明,REER变化的产出效应存在长期不对称性,只有实际货币贬值对产出有收缩影响,而REER在短期内对产出没有影响。实际含义埃及货币当局不能依赖本币贬值作为提高国内产出的政策工具。原创性/价值与之前的大多数研究不同,这些研究假设REER对产出的影响呈线性,我们放松了这一假设,并假设REER的变化对埃及国内产出具有不对称影响。我们使用了从1960年到2020年的长时间跨度,并控制了REER产出关系中的潜在结构性断裂,以及REER影响国内产出的各种渠道。
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Asymmetric impact of real effective exchange rate changes on domestic output revisited: evidence from Egypt
PurposeThis paper investigates the asymmetric impact of the real effective exchange rate (REER) on Egypt's real domestic output from 1960 to 2020.Design/methodology/approachA Nonlinear Autoregressive Distributed Lag (NARDL) model is utilized to isolate real currency depreciations from appreciations and account for the potential asymmetry in the impact of the REER. The analyses account for the various channels via which the REER could affect domestic output.FindingsResults show evidence of a long-run asymmetry in the output effect of REER changes in which only real currency depreciations have a contractionary impact on output, while the REER has no impact on output in the short run.Practical implicationsThe Egyptian monetary authority cannot rely on domestic currency depreciation as a policy instrument to boost domestic output.Originality/valueUnlike most of the previous studies, which assume linearity in the impact of the REER on output, we relax this assumption and hypothesize that the REER changes have an asymmetric effect on the Egyptian domestic output in Egypt. We use a long time span from 1960 to 2020 and control for the potential structural breaks in the REER-output nexus and the various channels through which the REER can affect domestic output.
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审稿时长
8 weeks
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