<p>The present thesis tries to argue the importance of non monetary factors in explaining real exchange rate volatility. The main interest is on the effect of trade openness on real effec-tive exchange rate (REER) volatility. Based on theoretical studies I test the existence of a negative relationship between total trade share of an economy and the volatility of REER. Empirical evidence on a panel of 11 CEE and Baltic Countries for the 1995-2006 period confirms the relationship. The conclusion is that for these specific countries a large part of variation of the real exchange rate can be explained by openness of the respective economy to trade.</p>

The present thesis tries to argue the importance of non monetary factors in explaining real exchange rate volatility. The main interest is on the effect of trade openness on real effec-tive exchange rate (REER) volatility. Based on theoretical studies I test the existence of a negative relationship between total trade share of an economy and the volatility of REER. Empirical evidence on a panel of 11 CEE and Baltic Countries for the 1995-2006 period confirms the relationship. The conclusion is that for these specific countries a large part of variation of the real exchange rate can be explained by openness of the respective economy to trade.

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In this paper, we examined the effects of real effective exchange rate (REER) changes on the Zambia´s trade balance, and whether the Marshal-Lerner condition (M-Lerner condition) and the Jcurve effect are satisfied in Zambia following the depreciation of the Zambian Kwacha (ZMK) against the U.S. dollar. Using annual time series data from 1990 through to 2019, the Johansen cointegration test results show that there is a long run relationship between the trade balance, the real effective exchange rate, the Zambia's GDP growth, the world´s GDP growth, and the Zambia´s terms of trade. A standard trade balance model was employed to estimate the long run and short run relationships between the trade balance and the variables in the trade balance model. The results from the trade balance show that the depreciation of the ZMK against the U.S. dollar improves the trade balance in the long run though the results could not validate the M-L condition since the coefficient value of REER was found to be far much less than unity (1). The results further uncover that the world´s GDP growth and the terms of trade both have a significant positive effect on the trade balance in the long run. The Zambia´s GDP growth was found to be statistically insignificant. In the short run, the results from the trade balance model show that the effects of the depreciation of the ZMK against the U.S. dollar on the trade balance were statistically insignificant, thus not consistent with the J-curve effect. The results from the Error Correction Model (ECM) on the other hand show that about 6.3% of the disequilibrium in the Zambia´s trade balance model is corrected every after one year.

Yes / This paper examines real effective exchange rate (REER) responses to shocks in exchange rate determinants for the West African Monetary Zone (WAMZ) over the period 1980–2015. The analysis is based on a country-by-country VECM, and oil price, supply and demand shocks are identified using long run restrictions in a structural VAR model. We report significant differences in the response of REER to real oil price, productivity (supply) and demand preference shocks across these economies. In addition the relative contribution of these shocks to REER movements in the short and long run appears to be different across economies. Our findings suggest that the WAMZ countries are structurally different, and asymmetric shocks with inadequate adjustment mechanisms imply that a monetary union would be costly.

Cette thèse est organisée en trois chapitres. Chaque chapitre correspond à un article dans les domaines de la finance internationale et du commerce international. Chapitre 1: Une analyse empirique du cycle électoral des taux de change réel: Asie de l'Est vs. Amérique Latine. Dans cet article, nous analysons les fluctuations des taux de change réels pendant les élections en Asie de l'Est, et nous effectuons une comparaison avec les expériences des pays d'Amérique latine. Tout d'abord, nous avons trouvé un nouveau type de cycle électoral de taux de change réel pour l'Asie de l'Est, qui s'oppose à celui des pays d'Amérique Latine. Ensuite, nous étudions les politiques utilisées par les politiciens pour influencer le taux de change pendant des élections. Chapitre 2: Populisme du taux de change. Les résultats empiriques ont montré que les économies d'Amérique Latine et de l'Asie de l'Est présentent des cycles électoraux du taux de change opposés. Les taux de change ont tendance à se déprécier pendant la période qui précède les élections et à s'apprécier ensuite pour les économies d'Asie de l'Est alors que le phénomène opposé se déroule dans les économies d'Amérique Latine. Cet article propose un modèle théorique qui explique le cycle électoral du taux de change dans ces deux régions. Le mécanisme derrière le cycle est engendrée par les politiciens qui essaient de signaler qu'ils sont du type de l'électeur médian, biaisant leur politique en faveur de la majorité de la population avant les élections. Les forces motrices du populisme d'inversion du taux de change dans ses deux régions sont les effets distributifs du taux de change réel et les différences de taille relative des secteur des biens échangeables et le secteur des biens non échangeables dans ses deux régions. Chapitre 3 : La décomposition du déclin du commerce international pendant les crises financières. La crise financière mondiale de 2008-2009 a été accompagnée d'une forte baisse du commerce international, ce qui pose la question sur le rôle de la finance sur le commerce international. Nous contribuons à cette littérature en étudiant l'impact de la crise sur les échanges bilatéraux, en utilisant les données de 103 exportateurs, 188 importateurs et 27 secteurs pour 1995-2009. Tout d'abord, nous analysons les réponses des échanges bilatéraux à la crise financière quand le choc frappe soit le pays exportateur soit le pays importateur. Ensuite, cet article contribue au débat sur l'effondrement du commerce international pendant les crises. Est-ce que la chute du commerce international est provoquée par des chocs de demande ou des chocs d'offre? Enfin, nous étudions l'impact de la crise financière sur la marge extensive du commerce, qui peut être une indication de l'impact permanent sur le commerce. / This thesis is comprised of three chapters. Each chapter corresponds to an article in the field of international finance and international trade. Chapter One: An Empirical Analysis of Real Exchange Rate Election Cycle: East Asia vs. Latin America. Empirical literature depicts an exchange rate cycle around elections in Latin America: exchange rates tend to be more appreciated before than after elections. In this paper we analyze the behavior of real exchange rates (RERs, hereafter) around elections in East Asia, and perform a broad comparison with the experiences of Latin America countries. Our contributions to the empirical literature on exchange rate election cycle are threefold. First, we find a new type of RER election cycle in East Asia region, which is opposite to one of Latin America. Second, we investigate the possible policies used by the policy-maker to influence the RER around elections. We find that RER variation around elections can be partially captured by changes in international reserves. Our results are consistent with international reserves being used by policy-makers to influence exchange rates and produce its election cycle, and we find that international reserves increase in the month preceding elections in East Asia, but decrease in Latin America. Third, we show that in both regions the RER election cycle is clearly identified before central bank reform, but the cycle disappears in the post-reform data, indicating that monetary policy is one of the channels through which the RER election cycle is generated. Chapter Two: Exchange Rate Populism. Empirical findings have shown that East Asian and Latin American economies present opposite exchange rate electoral cycles: exchange rates tend to be more depreciated before and appreciated after elections among East Asian economies, and the opposite is true in Latin America. This paper proposes a theoretical model that explains the opposite exchange rate electoral cycle in these two regions. In a setup where policy-makers differ in their preference bias towards non-tradable and tradable sector citizens, the RER is used a noisy signal of the incumbent's type in an uncertain economic environment. The mechanism behind the cycle is engendered by the incumbent trying to signal he is median voter's type, biasing his policy in favor of the majority of the population before elections. The driving forces of the opposite exchange rate populism in these two regions is the RER distributive effects and the difference of the relative size of tradable and non-tradable sectors in these two regions. Chapter Three: The Decomposition of Trade Collapse during Financial Crises. The global financial crisis of 2008-2009 was accompanied by a sharp decline in international trade, which raises the question on the role of finance on international trade. We contribute to this literature by investigating the impact of financial crises on bilateral trade, using data of 103 exporters and 188 importers at 27 sectors-disaggregation from 1995 to 2009. Firstly, we analyze the responses of bilateral trade to financial crisis and the shock hits the exporting country or the importing country. Secondly, this paper investigates whether the trade collapse following crisis is caused by demand or supply shocks. Thirdly, we investigate the impact of financial crisis on the extensive margin of trade, which may be an indication of its permanent impact on trade.

本文採用1990年至2004年10月之月資料，建立人民幣出口、進口及雙邊貿易之三項實質有效匯率指數。考量中國大陸特殊政、經情勢，以及加入WTO後，進出口貿易更加自由化的前提下，運用中國大陸進出口值、物價水準，建立人民幣實質有效匯率指數，所依循理論較無疑慮，而援引之數據亦無太大爭議。 為貼近中共當局宣稱建立「符合市場經濟的靈活的匯率制度」，本文選擇與中國前十二大貿易夥伴組成一籃子貨幣，用以編纂人民幣實質有效匯率指數，將現行釘住美元之匯率改為釘住「一籃子」貨幣，能有效反映人民幣價值，亦可衡量中國外貿競爭力。 實證結果發現，相對於基期(2000年)，1990∼1993年指數多低於100，幣值高估；1994年匯率併軌，匯價發生結構性改變，幣值過度低估，後指數逐步下跌，1997年趨近均衡匯率。1997年亞洲金融風暴至2002年，甚至出現與均衡匯率並無太大偏離現象，即便有所失調亦能在短期內適切調整。2002年下半年至2004年年底，匯價低估趨勢確立，但偏離均衡匯率僅5％上下，幅度不太。 中國宣稱要「和平崛起」，自應承擔更多國際義務，人民幣升值是無可違逆的趨勢。為避免干擾經濟發展，勢必採行積極之管理浮動匯率制度，釘住一籃子貨幣並設定幅度狹窄之浮動區間「微調」。匯價調整時機，除衡酌自身經濟面的條件，尚須納入國際政治面的考量，由中共官方談話研判，人民幣升值，將是無預警的，出其不意的。 / In this paper monthly data from 1990 through October 2004 are used to establish real effective exchange rate indices of RMB for export, import and bilateral trading respectively. These real effective exchange rate indices are established taking the particular political and economic conditions in China into consideration, based on the increasingly liberation of importation and exportation after joining WTO, and using China’s import and export volume as well as its CPI. The theory used is doubtlessly correct and there is no much dispute on the data referred herein. To adhere with what the China government proclaimed: “a flexible exchange rate meeting the market economics”, currencies of its top 12 trade partners are selected for a basket of currencies instead of pegging to US dollar, in forming the real effective exchange rate indices. These indices can effectively reflect RMB’s true value, and measure China’s foreign trade competition. According to the result of verification, in comparing with the base period (2000), the indices for 1990 – 1993 were mostly less than 100, representing that RMB was overvalued. In 1994 the exchange rates were unified, resulting in a structural change on foreign exchange rate, RMB was undervalued. Then, these indices fell gradually, and the exchange rate tended to become balanced in 1997. From 1997, while the Asian financial crisis happened, till 2002, there was no much deviation from the balanced exchange rate, i.e., even there was any out of balance, it was adjusted properly within a relatively short time. From the second half of 2002 till the end of 2004, the tendency of undervaluation was ascertained, by the deviation was only about 5%, the range was not so much. Proclaiming that it is going to “peacefully rise”, China should assume more international liabilities, and the appreciation of RMB is a non-reversible trend. To avoid interference to its economic development, China has no choice but to adopt an aggressively control on its floating exchange rate regime, pegging to a basket of currencies and setting up a relatively narrow range of tunnel for “snaking”. In addition of its own political economy, international political situation must be taken into consideration for timing of its exchange rate adjustment. From some China government officials’ statements, it can be seen that appreciation of RMB would be done without any warning in advance and unexpectedly.

The question of an equilibrium exchange rate has always been a debatable issue. Along with rapid growth of the Chinese economy over the past two decades, a number of studies have been undertaken to investigate whether or not the RMB exchange rate is at its long run ‘equilibrium’ level. Because the equilibrium exchange rate affects the competitiveness of a country’s economy, these studies have focused on whether or not the real exchange rate is misaligned with respect to its long-run equilibrium level. One of the main reasons for this concern is that effective management of the exchange rate system could help a country’s economy achieve internal and external balance. Otherwise, it could negatively influence the stability of a country’s financial economy, possibly resulting in regional financial crises. This study estimates time varying values of the equilibrium real effective exchange rate (EREER) and associated exchange rate misalignments for China in recent years (from the first quarter of 1999 to fourth quarter of 2007). The study focuses on the reduced-form equilibrium real exchange rate (ERER) model for developing countries presented by Elbadawi (1994) and follows Edwards’ (1989, 1994) work on models of exchange rate determination. We identify the terms of trade, openness, government expenditure, productivity, and money supply as important explanatory variables of the RMB long-run equilibrium value. We use the Johansen-Juselius (1990) co-integration procedure to analyse our data. Using the ERER model, our results show there is a cointegrating relationship between the real effective exchange rate and its economic fundamentals. Subsequently, compare to other previous studies discussed in Chapter 2, our restricted error-correction model suggests that the extent of the misalignment is not very large, moving in a narrow band of plus and minus 12 percent of the long-run equilibrium level during the sample period. Focusing on the RMB real exchange rate misalignment in recent years, our result shows that the RMB was undervalued by an average of 6.7 percent during the period of 2005Q:3-2007Q:4. Furthermore, our short-run empirical error correction model indicates that, on average, the real exchange rate takes over one quarter to reach its long-run equilibrium level.

Submitted by Hudson Fiorot Ilha (hudsonfiorot@yahoo.com.br) on 2011-09-13T05:27:07Z No. of bitstreams: 1 Hudson Fiorot Ilha.pdf: 558881 bytes, checksum: 8ad4b1a5811f239f6cd9ad05d63e0905 (MD5) / Approved for entry into archive by Suzinei Teles Garcia Garcia (suzinei.garcia@fgv.br) on 2011-09-13T13:11:05Z (GMT) No. of bitstreams: 1 Hudson Fiorot Ilha.pdf: 558881 bytes, checksum: 8ad4b1a5811f239f6cd9ad05d63e0905 (MD5) / Approved for entry into archive by Suzinei Teles Garcia Garcia (suzinei.garcia@fgv.br) on 2011-09-13T13:15:31Z (GMT) No. of bitstreams: 1 Hudson Fiorot Ilha.pdf: 558881 bytes, checksum: 8ad4b1a5811f239f6cd9ad05d63e0905 (MD5) / Made available in DSpace on 2011-09-13T13:16:44Z (GMT). No. of bitstreams: 1 Hudson Fiorot Ilha.pdf: 558881 bytes, checksum: 8ad4b1a5811f239f6cd9ad05d63e0905 (MD5) Previous issue date: 2011-08-19 / O objetivo dessa pesquisa foi testar a relação entre a volatilidade da variação real de índices de ações e eventos raros (positivos e negativos) no PIB real e, adicionalmente, a relação entre a volatilidade das taxas de juros reais e da variação das taxas de câmbio real efetiva e a ocorrência de tais eventos. Para testar essas relações foi utilizado o modelo GARCH, com o objetivo de modelar a volatilidade das variáveis consideradas (índices de ações, taxas de câmbio real efetiva e taxas de juros), inclusive regredindo a volatilidade contra variáveis dummy que indicassem a ocorrência de eventos raros. O teste foi realizado para os seguintes países: Estados Unidos, Canadá, Reino Unido, Coréia do Sul, Japão e Brasil. Foram encontradas evidências de que a ocorrência de eventos raros negativos (desastres raros) impacta positivamente a volatilidade tanto da variação real de índices de ações quanto da variação da taxa de câmbio real efetiva. Entretanto, os resultados não indicaram que existe um impacto de eventos raros positivos na volatilidade dessas variáveis. Para a volatilidade da taxa de juros real, os testes não indicaram a existência de relação com eventos raros, porém esses resultados podem ter sido influenciados pelo fato da amostra ser pequena. / This research test the relationship between the volatility of real returns in stock indexes and rare events (positive and negative) in real GDP and, additionally, the relationship between the occurrence of such events and the volatility of real interest rates and of growth in real effective exchange rates. To test these relationships I use the GARCH model, with the goal of modeling volatility of the considered variables (stock indexes, real effective exchange rates and interest rates) and regressing volatility against dummy variables that measures the occurrence of rare events. The test was performed for the following countries: United States, Canada, United Kingdom, South Korea, Japan and Brazil. I found evidence to suggest that the occurrence of negative rare events (rare disasters) impacts positively the volatility of real returns in stock indexes and of growth in real effective exchange rate. However, the results don’t indicate that there is a relationship between positive rare events and the volatility of these variables. In respect to the volatility of real interest rates, the tests did not indicate the existence of a relationship with rare events, but these results may have been influenced by the fact that the sample is small.

De change, les flux commerciaux ou commerces et la croissance économique de Madagascar. En d’autres termes nous avons étudié les effets de la volatilité et le mésalignement du taux de change sur les exportations, les importations, et la croissance économique. Pour pouvoir réaliser cette étude, nous avons utilisé des données annuelles entre la période 1971-2012 pour les exportations et importations globales, et la période 1990-2011 pour les exportations et importations par secteur. Nous avons mesuré la volatilité à l’aide de deux méthodes, et nous avons obtenu la volatilité par l’écart-type mobile et la volatilité calculée par le GARCH. La méthode de cointégration a été utilisée pour l’étude des variables. Avec le modèle NATREX, le mésalignement a été calculé comme la différence du TCER à l’instant t et TCER d’équilibre. Sur la dernière partie du travail et afin de répondre à notre problématique, nous faisons appel à la méthode SUR (Seemingly Unrelated Regression). Cette méthode nous a permis d’estimer notre modèle à deux equations pour les exportations en volume et les importations en volume. En bref, pour le cas Madagascar, d’une part en considérant l’exportation, le mésalignenemt a un impact positif significatif sur l’exportation globale quelle que soit la définition de la volatilité, en effet la sur-évaluation de l’Ariary augmente l’exportation. Par ailleurs, la volatilité a un impact positif significatif sur l’exportation globale uniquement avec la prise en compte du VOLGARCHTCEN. D’autre part en considérant l’importation, le mésalignenemt a un impact positif significatif sur l’importation globale avec la prise en compte du VOLMASDTCER, et du VOLMASDTCEN, la sur-évaluation de l’Ariary augmente l’importation. La volatilité a un impact positif significatif sur l’importation pour les trois cas suivants : VOLMASDTCEN, VOLGARCHTCER, VOLGARCHTCEN. Avec l’exportation globale ou l’importation globale, le mésalignement n’a pas d’impact significatif sur le taux de croissance, par contre la volatilité a un impact négatif significatif sur le taux de croissance en considérant le VOLMASDTCER, et le VOLMASDTCEN. / In this thesis, we tried to know the relationship between the variability of exchange rates, trade flows and economic growth in Madagascar. In other words, we have studied the effects of volatility and misalignment of the exchange rate on exports, imports, and economic growth. To conduct this study, we used annual data from the 1971-2012 period for global exports and imports, and the 1990-2011 period for exports and imports by sector. We measured the volatility using two methods, and we got the volatility by moving standard deviation and volatility calculated by the GARCH. The method of cointegration was used to study the variables. With NATREX model, the misalignment was calculated as the difference between REER at time t and REER equilibrium. On the last part of this work and to resolve our problem, we use the method SUR (Seemingly Unrelated Regression). This method allowed us to estimate our model with two equations for export volumes and import volumes.Finally, the results show that for the case of Madagascar, considering exports, misalignment has a significant positive impact on overall export whatever the definition of volatility, indeed over-evaluation increases export. Then, volatility has a significant positive impact on overall export only with the inclusion of VOLGARCHTCEN. Moreover considering imports, misalignment has a significant positive impact on the overall import with the inclusion of VOLMASDTCER, and VOLMASDTCEN, over-evaluation increases import. The volatility has a significant positive impact on the import in the case of : VOLMASDTCEN, VOLGARCHTCER, VOLGARCHTCEN. With the global export or import, misalignment has no significant impact on the growth rate, however volatility has a significant negative impact on growth rates considering VOLMASDTCER, and VOLMASDTCEN.