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Title:Exchange rate bands of inaction and play-hysteresis in German exports: Sectoral evidence for some OECD destinations PDF Logo
Authors:Belke, Ansgar
Göcke, Matthias
Günther, Martin
Issue Date:2012
Series/Report no.:Discussion Papers, German Institute for Economic Research, DIW Berlin 1203
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 playhysteresis 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.
Subjects:exchange rate movements
play-hysteresis
modelling techniques
switching/spline regression
export demand
JEL:F14
C51
Document Type:Working Paper
Appears in Collections:DIW-Diskussionspapiere
Publikationen von Forscherinnen und Forschern des DIW

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