covid
Buscar en
Cuadernos de Economía
Toda la web
Inicio Cuadernos de Economía Current Account Reversals Triggered by Large Exchange Rate Movements
Información de la revista
Vol. 31. Núm. 86.
Páginas 59-81 (mayo - agosto 2008)
Compartir
Compartir
Descargar PDF
Más opciones de artículo
Vol. 31. Núm. 86.
Páginas 59-81 (mayo - agosto 2008)
Acceso a texto completo
Current Account Reversals Triggered by Large Exchange Rate Movements
Visitas
2021
Nikolas A. Müller-Plantenberg
Universidad Autónoma de Madrid
Este artículo ha recibido
Información del artículo
Abstract

Japan's long-lasting current account surplus as well as Germany's temporary surplus during the 1980s are the two largest current account surpluses the world has witnessed. Remarkably, net exports were rising in both countries despite the large overall appreciation of the Japanese yen and the considerable strength of the German mark. This paper shows that the real exchange rate still mattered for the export performance of these economies. It applies a Markov-switching time series model to the current accounts of both countries, in which the transition probabilities depend on the level of the real exchange rate. It finds that both countries’ current accounts, while overall rising, experienced several setbacks and subsequent recoveries, with clear turning-points. It further demonstrates that current account reversals were triggered by the real exchange rate appreciating, or depreciating, too strongly.

Keywords:
current account reversals
exchange rate fluctuations
time-varying transition probabilities
El Texto completo está disponible en PDF
References
[Albert, 1993]
J.H. Albert, S. Chib.
Bayes inference via Gibbs sampling of autoregressive time series subject to Markov mean and variance shifts.
Journal of Business and Economic Statistics, 11 (1993), pp. 1-15
[Baldwin, 1988]
R.E. Baldwin.
Hysteresis in import prices: The beachhead effect.
American Economic Review, 78 (1988), pp. 773-785
[Baldwin and Krugman, 1989]
R.E. Baldwin, P.R. Krugman.
Persistent trade effects of large exchange rate shocks.
Quarterly Journal of Economics, 104 (1989), pp. 635-654
[Dixit and Pindyck, 1994]
A.K. Dixit, R.S. Pindyck.
Investment under Uncertainty. Princeton.
Princeton University Press, (1994),
[Filardo and Gordon, 1998]
A.J. Filardo, D.B. Gordon.
Business cycle durations.
Journal of Econometrics, 85 (1998), pp. 99-123
[Gelman et al., 1995]
A. Gelman, J.B. Carlin, H.S. Stern, D.B. Rubin.
Bayesian Data Analysis.
Chapman and Hall, (1995),
[Geweke, 1996]
J. Geweke.
Variable selection and model comparison in regression.
Proceedings on the Fifth Valencia International Meeting on Bayesian Statistics,
[Kim and Nelson, 1998]
C.J. Kim, C.R. Nelson.
Business cycle turning points, a new coincident index, and tests of duration dependence based on a dynamic factor model with regimeswitching.
Review of Economics and Statistics, 80 (1998), pp. 188-201
[Kim and Nelson, 1999]
C.-J. Kim, C.R. Nelson.
State-Space Models with Regime Switching: Classical and Gibbs-Sampling Approaches with Applications.
MIT Press, (1999),
[Kim, 1998]
C.K. Kim.
Exchange rate variations and the trade structure in the Federal Republic of Germany.
Jahrbücher für Nationalökonomie und Statistik, 217 (1998), pp. 161-184
[Krugman, 1991]
P.R. Krugman.
Has the adjustment process worked?.
International Adjustment and Financing,
[Müller-Plantenberg, 2006]
N. Müller-Plantenberg.
Japan's imbalance of payments.
Japan's Great Stagnation,
[Rose, 1990]
A.K. Rose.
Exchange rates and the trade balance: Some evidence from developing countries.
Economics Letters, 34 (1990), pp. 271-275
[Sawyer and Sprinkle, 1997]
W.C. Sawyer, R.L. Sprinkle.
The demand for imports and exports in Japan: a survey.
Journal of the Japanese and International Economies, 11 (1997), pp. 247-259
[Tanner and Wong, 1987]
M.A. Tanner, W.H. Wong.
The calculation of posterior densities by data augmentation.
Journal of the American Statistical Association, 82 (1987), pp. 528-540

* I thank Danny Quah and Wojciech S. Maliszewski for helpful suggestions. I am also grateful for comments I received from seminar participants at the International Financial Stability Programme at the CEP (LSE), the 8th Spring Meeting of Young Economists in Leuven, Belgium, and the 59th European Meeting of the Econometric Society in Madrid.

Copyright © 2008. Asociación Cuadernos de Economía
Descargar PDF
Opciones de artículo