Exchange Rate Bands of Inaction and Play-Hysteresis in German Exports – Sectoral Evidence for Some OECD Destinations

Ansgar Belke, Matthias Goecke and Martin Guenther
Authors registered in the RePEc Author Service: Matthias Göcke ()

No 327, Ruhr Economic Papers from RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen

Abstract: A non-linear model is applied where suddenly strong spurts of exports occur when changes of the exchange rate go beyond a zone of inaction. We call the latter a 'play' area - analogous to mechanical play and implement an algorithm describing path-dependent play-hysteresis into a regression framework. The hysteretic impact of real exchange rates on German exports is then estimated based on quarterly data from 1995Q1 to 2010Q3. For some of the main export partners of Germany outside the euro area and some of the most important tradable sectors we fi nd significant hysteretic effects for a part of the German exports.

Keywords: Exchange rate movements; play-hysteresis; modelling techniques; switching/spline regression; export demand (search for similar items in EconPapers)
JEL-codes: C51 F14 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (2)

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Related works:
Journal Article: EXCHANGE RATE BANDS OF INACTION AND PLAY-HYSTERESIS IN GERMAN EXPORTS—SECTORAL EVIDENCE FOR SOME OECD DESTINATIONS (2013)
Working Paper: Exchange Rate Bands of Inaction and Play-Hysteresis in German Exports: Sectoral Evidence for Some OECD Destinations (2012)
Working Paper: Exchange Rate Bands of Inaction and Play-Hysteresis in German Exports - Sectoral Evidence for Some OECD Destinations (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:rwirep:327

DOI: 10.4419/86788376

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