Gente
Karine Gente
Publications
Empirical evidence suggests that real exchange rates (RER) behave differently in developed and developing countries. We develop an overlapping generations two-sector exogenous growth model in which RER determination may depend on the country's capacity to borrow from international capital markets. The country faces a constraint on capital inflows. With high domestic savings, the RER only depends on the productivity spread between sectors (Balassa–Samuelson effect). If the constraint is too tight and/or domestic savings too low, the RER depends on both net foreign assets (transfer effect) and productivity. We then analyze the empirical implications of the model and find that, in accordance with the theory, the RER is mainly driven by productivity and net foreign assets in constrained countries and by productivity in unconstrained countries.
This paper examines the time series behavior of monthly bilateral real exchange rates (RER) on a comprehensive sample of 78 industrialized and developing countries, using the US Dollar, the UK Pound and the German Deutsche Mark as numeraires. We suggest a three step testing procedure based on recently introduced econometric techniques, in order to assess the mean-reverting properties of the RER and to address the question of whether real exchange rates follow a non linear process or a long memory process. The main results are as follows. Firstly, most of the bilateral real exchange rates under study are not mean-reverting. Secondly, the nonlinear ESTAR type adjustment is far from being prominent. Finally, only few bilateral RER exhibit true long memory mean-reverting properties.
This paper examines the relationships between the CAC40 index, the Dow Jones index and the Euro/USD exchange rate using daily data over the period 1999-2008. We find that these variables are I(1) nonstationary series, but they are fractionally cointegrated: equilibrium errors exhibit slow mean reversion, responding slowly to shocks. Therefore, with regard to the recent empirical cointegration literature, taking into account fractional cointegration techniques appears as a promising way to study the long-run relationships between stock prices and exchange rates.
This paper aims to measure the contribution of an aging population to explain the real appreciation experienced by the Yen-US Dollar since 1980s. We develop a two-good overlapping-generation model of a semi-small open economy to highlight the link between the birth rate and the real exchange rate. In a creditor (debtor) country, an aging population causes a real exchange rate appreciation (depreciation) due to a positive (negative) wealth effect. Structural parameters are estimated by GMM using quarterly data between 1960 and 2001. Then, numerical simulations show that the long-run relationship between population growth and real exchange rate is negative between 1960 and 1971 and positive between 1971 and 2000. The decrease in population growth may account for a large part of the real appreciation experienced by the Yen/USD between 1971 and 2000.
We analyze the consequences of US real interest rate rises on the real exchange rate (RER) in a two-good overlapping generations model of a semi-small open economy. The equilibrium RER depreciates (appreciates) when the world interest rate increases in a debtor (creditor) country. We then study empirically the reaction of the RER in a set of South East Asian (SEA) countries to shocks in US real interest rates. The results support the conclusions of the theory model at least for Singapore, Thailand and South Korea during the period 1980�-�2001. This points towards world interest rate shocks as possible trigger factors for exchange rate crises during the adjustment process towards the new equilibrium.
Some Asian countries experience small real exchange rate appreciations or even a real depreciation despite a fast growth in tradable productivity. A key-characteristic of these countries is that they are constrained on capital inflows. Is the Balassa-Samuelson theory still valid in those countries? Are there other factors likely to explain real exchange rate (RER) changes? To address these questions, we develop a two-sector model in which a small open economy faces a constraint on capital inflows. In this setting, the RER does not only depend on productivity, but also on other factors like the rate of time preference, the age dependency ratio or the level of the external constraint. A calibration of the constrained economy model seems to match at least qualitatively empirical evidence for China, Hong Kong, Indonesia, Malaysia, Thailand, and Singapore, between 1970 and 1992. Copyright � 2006 The Author; Journal compilation � 2006 Blackwell Publishing Ltd.
[fre] Nous mettons en évidence une relation entre le taux de natalité et le taux de change réel, dans un modèle à générations imbriquées. Les propriétés de cette relation sont les suivantes. D'une part, la réduction du taux de natalité provoque l'appréciation du taux de change réel. D'autre part, une variation temporaire du taux de natalité a des effets durables sur le taux de change réel de moyen terme. Ces résultats permettent d'analyser les conséquences de la transition démographique - qui affecte les économies au cours du développement - ou du baby-boom sur le taux de change réel. [eng] Demography and real exchange rate in a small open economy. . We focus on the relation between the real exchange rate and the birth rate in an overlapping generations setting. This relation has the following properties. First, a reduction of the birth rate entails an appreciation of the real exchange rate. Second, a temporary birth rate shock has durable effects on the medium-run real exchange rate. These results enable to investigate the consequences of the demographic transition - which affects an economy during the development process - or of the baby-boom on the real exchange rate.
