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What makes a currency procyclical An empirical investigation (الإنجليزية)

This paper looks at the correlation between the cyclical components of gross domestic product and the exchange rate and classifies countries’ currencies as pro-cyclical if they appreciate in good times, countercyclical if they appreciate in bad times and a cyclical otherwise. With this classification, the paper shows that: (i) the countries that are commodity exporters and experience procyclical capital flows tend to have procyclical currencies; (ii) countries with procyclical currencies tend to restrict their capital accounts, perhaps as an attempt to reduce the degree of procyclicality; (iii) countries with procyclical currencies pursue procyclical monetary policy; (iv) however, in the last decade, there is a disconnect between the cyclicality of currency and monetary policy; and (v) the disconnect may reflect a decline in the fear of floating, which can be partially attributed to an improvement in countries’ net foreign asset positions.


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نسخة رسمية من الوثيقة (قد تضم توقيعات، الخ)