An asymmetrical overshooting correction model for G20 nominal effective exchange rates - Archive ouverte HAL Accéder directement au contenu
Pré-Publication, Document De Travail Année : 2020

An asymmetrical overshooting correction model for G20 nominal effective exchange rates

Résumé

This paper develops an asymmetrical overshooting correction autoregressive model to capture excessive nominal exchange rate variation. It is based on the widely accepted perception that open economies might react differently to under-evaluation or over-evaluation of their currency because of the trade-off between fostering their net exports and maintaining their international purchasing power. Our approach departs from existing works by considering explicitly both size and sign effects: the strength of the overshooting correction mechanism is indeed allowed to differ between large and small depreciations and appreciations. Evidence of overshooting correction is found in most G20 countries. Formal statistical tests confirm sign and/or size asymmetry of the overshooting correction mechanism in most countries. It turns out that the overshooting correction specification is heterogeneous among countries, even though most of Emerging Market and Developing Economies are found to adjust to over-depreciation whereas the Euro Area and the US are shown to adjust to over-appreciation only.
Fichier principal
Vignette du fichier
bbs_EB_final_HAL.pdf (232.7 Ko) Télécharger le fichier
Origine : Fichiers produits par l'(les) auteur(s)
Loading...

Dates et versions

hal-02908680 , version 1 (29-07-2020)

Identifiants

  • HAL Id : hal-02908680 , version 1

Citer

Frédérique Bec, Mélika Ben Salem. An asymmetrical overshooting correction model for G20 nominal effective exchange rates. 2020. ⟨hal-02908680⟩
99 Consultations
93 Téléchargements

Partager

Gmail Facebook X LinkedIn More