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

Ansgar Belke (), Matthias Göcke () and Martin Günther

No 201202, ROME Working Papers from ROME Network

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 find 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: F14 C51 (search for similar items in EconPapers)
Date: 2012
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http://www.rome-net.org/RePEc/rmn/wpaper/rome-wp-2012-02.pdf First version, 2012 (application/pdf)

Related works:
Journal Article: EXCHANGE RATE BANDS OF INACTION AND PLAY-HYSTERESIS IN GERMAN EXPORTS—SECTORAL EVIDENCE FOR SOME OECD DESTINATIONS (2013) Downloads
Working Paper: Exchange Rate Bands of Inaction and Play-Hysteresis in German Exports: Sectoral Evidence for Some OECD Destinations (2012) Downloads
Working Paper: Exchange Rate Bands of Inaction and Play-Hysteresis in German Exports – Sectoral Evidence for Some OECD Destinations (2012) Downloads
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