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The impact of external factors on the exchange rate behavior of developing countries: An empirical analysis of pre-crisis Southeast Asia.

机译：外部因素对发展中国家汇率行为的影响：危机前东南亚的实证分析。

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摘要

Economies of the world are linked more today than perhaps any other time in history. Advancements in technology, increases in capital mobility and the shift of many nations to market oriented economies have been the primary causes. Recent crises in developing regions have reminded us all that many countries are not prepared to handle increased exposure abroad. Therefore, while the long-term benefits of globalization are irrefutable, the short-term costs are often more than a country can bear. More often than not, these costs manifest themselves as speculative pressure on the exchange rate or even an attack of the domestic currency.;This dissertation consists of three chapters illustrating the link between the exchange rate of developing countries and economic fluctuations in foreign countries. Chapter one provides a look at some of the more important economic fundamentals in developing economies. The chapter motivates the empirical analysis which follows. Using the intuition of small open-economy models, I am able to determine exactly how foreign shocks may influence the domestic exchange rate.;In chapter two, I examine, empirically, the impact of competitive price pressure on the domestic equilibrium exchange rate. In general, I find that a devaluation or depreciation in the exchange rate by competitors, leads to exchange rate overvaluation for the domestic economy. This overvaluation must be alleviated by a devaluation of the exchange rate at home, or the country runs the risk of losing exports and deteriorating its current account. Furthermore, large currency overvaluations have been shown in the literature as a predecessor of crisis. When taking neighboring exchange rates into account, my results suggest that East Asian currencies were 2% to 4% more overvalued prior to the crisis than others have previously calculated.;Chapter three focusing on the role capital inflows play on the real exchange rate. It is a well-cited fact that large inflows precipitate real appreciation. It is another well-known fact that inflows to developing countries are typically instigated by external shocks, such as decreasing interest rates in major economies. Using a structural Vector autoregressive (VAR) model, along with data from three countries: Korea, Malaysia, and Mexico, I find significant evidence supporting the above conjectures. The inflows to these countries in the 90's were caused by external shocks. However, the real appreciation was small thanks, in part, to nominal exchange rate pegs during this time. But, the countries are not unscathed. The model still predicts large increases in the money supply instead of real appreciation.
机译：当今世界的经济联系比历史上任何其他时候都多。主要原因是技术的进步，资本流动性的增加以及许多国家向市场经济的转变。发展中地区最近发生的危机提醒我们所有人，许多国家不准备应对越来越多的国外风险。因此，尽管全球化的长期利益是无可辩驳的，但短期成本往往超出一个国家的承受能力。这些成本常常表现为对汇率的投机压力，甚至是对本国货币的攻击。本论文由三章组成，阐述了发展中国家的汇率与外国经济波动之间的联系。第一章介绍了发展中经济体中一些更重要的经济基础。本章激发了以下实证分析。使用小型开放经济模型的直觉，我能够确切确定外国冲击如何影响国内汇率。在第二章中，我从经验上考察竞争价格压力对国内均衡汇率的影响。总的来说，我发现竞争者的汇率贬值或贬值会导致国内经济的汇率高估。必须通过国内汇率贬值来缓解这种高估，否则该国将面临失去出口和使经常账户恶化的风险。此外，大量的货币高估在文献中被证明是危机的前身。当考虑到邻近的汇率时，我的结果表明，在危机发生前，东亚货币被高估了2％至4％。第三章着眼于资本流入在实际汇率中的作用。充分事实表明，大量资金流入可以促进实际升值。另一个众所周知的事实是，流入发展中国家的资金通常是由外部冲击引起的，例如主要经济体利率下降。使用结构向量自回归（VAR）模型以及来自三个国家（韩国，马来西亚和墨西哥）的数据，我发现了支持上述猜想的重要证据。 90年代流入这些国家的资金是由外部冲击引起的。但是，真正的升值幅度很小，这在一定程度上是由于这段时间内的名义汇率钉住汇率。但是，这些国家并非毫发无损。该模型仍然预测货币供应量将大幅增加，而不是实际升值。

著录项

  • 作者

    Filer, Larry Hugh, II.;

  • 作者单位

    University of Kentucky.;

  • 授予单位 University of Kentucky.;
  • 学科 Economics General.
  • 学位 Ph.D.
  • 年度 1999
  • 页码 90 p.
  • 总页数 90
  • 原文格式 PDF
  • 正文语种 eng
  • 中图分类
  • 关键词

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