IDEAS home Printed from https://ideas.repec.org/h/spr/fimchp/978-3-319-79075-6_12.html
   My bibliography  Save this book chapter

The Nature of the Shock Matters: Some Model-Based Results on the Macroeconomic Effects of Exchange Rate

In: International Macroeconomics in the Wake of the Global Financial Crisis

Author

Listed:
  • Sophie Haincourt

    (Banque de France)

Abstract

Exchange rate fluctuations have been particularly large since mid-2014, with the nominal effective exchange rate of the Dollar appreciating 22% between July 2014 and December 2016, well above normal fluctuation range. This article attempts to measure the impact of currency appreciation on domestic activity, accounting for the source of fluctuations. More specifically, by using the multi-country structural model NiGEM, we show that different types of exchange rate shocks can have different macroeconomic outcomes. Focusing on the period going from mid-2014 to December 2016, we show that the initial appreciation of the Dollar (from July 2014 to April 2015), coming from activity gaps and divergence in monetary policy expectations, choke 0.3 pp off US GDP growth, while the following phase of the currency appreciation, stemming from a fall in the Dollar risk premium would have been neutral, and even slightly positive, to US growth. When comparing the US with the euro area as regards the impact on growth, we get that the euro area is more sensitive than the US to a currency appreciation. As a result, a sustained rise in the currency could prove more challenging for the Euro area than for the US.

Suggested Citation

  • Sophie Haincourt, 2018. "The Nature of the Shock Matters: Some Model-Based Results on the Macroeconomic Effects of Exchange Rate," Financial and Monetary Policy Studies, in: Laurent Ferrara & Ignacio Hernando & Daniela Marconi (ed.), International Macroeconomics in the Wake of the Global Financial Crisis, pages 233-247, Springer.
    • Handle: RePEc:spr:fimchp:978-3-319-79075-6_12
    DOI: 10.1007/978-3-319-79075-6_12
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:fimchp:978-3-319-79075-6_12. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.