The effects of real exchange rate volatility on productivity growth

Ibrahima Diallo

MPRA Paper from University Library of Munich, Germany

Abstract: This paper employs panel data instrumental variable regression and threshold effect estimation methods to study the link between real effective exchange rate volatility and total factor productivity growth on a sample of 74 countries on six non overlapping sub-periods spanning in total from 1975 to 2004. The results illustrate that real effective exchange rate volatility affects negatively total factor productivity growth. But this effect is not very high. This outcome is corroborated by estimations using an alternative measurement of real effective exchange rate volatility and on a subsample of developed countries. But for developing countries the negative effect of real effective exchange rate volatility is very large. We also found that real effective exchange rate volatility acts on total factor productivity according to the level of financial development. For very low and very high levels of financial development, real exchange rate volatility has no effect on productivity growth but for moderately financially developed countries, real exchange rate volatility reacts negatively on productivity.

Keywords: real effective exchange rate; volatility; total factor productivity growth; panel data instrumental variable regression; threshold effect estimation; stochastic frontier analysis (search for similar items in EconPapers)
JEL-codes: F3 F41 O47 (search for similar items in EconPapers)
Date: 2012-01-24
New Economics Papers: this item is included in nep-eff and nep-opm
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/36171/1/MPRA_paper_36171.pdf original version (application/pdf)

Related works:
Journal Article: The Effects of Real Exchange Rate Volatility on Productivity Growth (2015)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:36171

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().