EconStor >
Rheinisch-Westfälisches Institut für Wirtschaftsforschung (RWI), Essen >
Ruhr Economic Papers, RWI >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/29953
  
Title:When does it hurt? The exchange rate pain threshold for German exports PDF Logo
Authors:Belke, Ansgar
Goecke, Matthias
Guenther, Martin
Issue Date:2009
Series/Report no.:Ruhr economic papers 148
Abstract:This paper deals with the impact of the $/Euro exchange rate on German exports in the period from 1995Q1 to 2008Q4. Our main aim is to identify pain thresholds for German exporters. We rely on a non-linear model according to which suddenly strong spurts of exports occur when changes of the EXR go beyond a kind of play area (analogous to a mechanical play). We implement an algorithm describing play-hysteresis into a regression framework. A unique pain threshold of the $/Euro exchange rate does not exist, since the borders of the play area and, thus, also the pain threshold (as the upper border) depend on the historical path of the whole process. We come up with an estimate of a play area width of 24 US dollar cent per euro. At the end of our estimation period, the previous exchange rate movements had shifted the upper bound of the play area to about 1.55 US dollar per euro. In our interpretation, this is the current pain threshold, where a strong spurt reaction of exports to a further appreciation of the euro is expected to start.
Subjects:Exchange rate movements
play hysteresis
modelling techniques
switching regression, export demand
JEL:C51
C63
E24
F41
ISBN:978-3-86788-167-8
Document Type:Working Paper
Appears in Collections:Publikationen von Forscherinnen und Forschern des RWI
Ruhr Economic Papers, RWI

Files in This Item:
File Description SizeFormat
613589289.pdf266.57 kBAdobe PDF
No. of Downloads: Counter Stats
Download bibliographical data as: BibTeX
Share on:http://hdl.handle.net/10419/29953

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.