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Periodic business and exchange rate cycles: evidence from 7 emerging markets

Research output: Working paper

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Periodic business and exchange rate cycles: evidence from 7 emerging markets. / Kohler, Karsten; Stockhammer, Engelbert.

2020. (FMM Working Paper; No. 58).

Research output: Working paper

Harvard

APA

Kohler, K., & Stockhammer, E. (2020). Periodic business and exchange rate cycles: evidence from 7 emerging markets. (FMM Working Paper; No. 58). https://www.boeckler.de/download-proxy-for-faust/download-pdf?url=http%3A%2F%2F217.89.182.78%3A451%2Fabfrage_digi.fau%2Fp_fmm_imk_wp_58_2020.pdf%3Fprj%3Dhbs-abfrage%26ab_dm%3D1%26ab_zeig%3D9079%26ab_diginr%3D8485

Vancouver

Kohler K, Stockhammer E. Periodic business and exchange rate cycles: evidence from 7 emerging markets. 2020 Sep. (FMM Working Paper; 58).

Author

Kohler, Karsten ; Stockhammer, Engelbert. / Periodic business and exchange rate cycles: evidence from 7 emerging markets. 2020. (FMM Working Paper; 58).

Bibtex Download

@techreport{046ea53b6cea47ebbd364b05ce86acb8,
title = "Periodic business and exchange rate cycles: evidence from 7 emerging markets",
abstract = "The paper investigates exchange rate cycles and their relationship to the business cycle in 7 major emerging market economies. We document the presence of periodic cycles in nominal US-dollar exchange rates and show that these are closely aligned with cycle frequencies in real output. Joint fluctuations in exchange rates and output exhibit frequencies between 4 and 8 years. We consider external and internal driving forces of those periodic cycles. There is moderate evidence of co-movements in exchange rates across countries that are strongly linked to global commodity prices, but only weakly so to US monetary policy or global uncertainty shocks. However, estimated periodicities in external factors do not match the periodicities found in exchange rates, thus leaving an important cycle property unexplained. We therefore test for the presence of a cyclical interaction mechanism between exchange rates and output that may transform external shocks into periodic oscillations. We find evidence for such an interaction mechanism, consistent with the recent literature on the financial channel of exchange rates, for Chile and South Africa, and partly for the Philippines.",
keywords = "Business cycles, exchange rate cycles, emerging market economies, global financial cycle, commodity prices, monetary policy spillovers, financial channel of exchange rates",
author = "Karsten Kohler and Engelbert Stockhammer",
year = "2020",
month = sep,
language = "English",
series = "FMM Working Paper",
publisher = "IMK Macroeconomic Policy Institute",
number = "58",
type = "WorkingPaper",
institution = "IMK Macroeconomic Policy Institute",

}

RIS (suitable for import to EndNote) Download

TY - UNPB

T1 - Periodic business and exchange rate cycles: evidence from 7 emerging markets

AU - Kohler, Karsten

AU - Stockhammer, Engelbert

PY - 2020/9

Y1 - 2020/9

N2 - The paper investigates exchange rate cycles and their relationship to the business cycle in 7 major emerging market economies. We document the presence of periodic cycles in nominal US-dollar exchange rates and show that these are closely aligned with cycle frequencies in real output. Joint fluctuations in exchange rates and output exhibit frequencies between 4 and 8 years. We consider external and internal driving forces of those periodic cycles. There is moderate evidence of co-movements in exchange rates across countries that are strongly linked to global commodity prices, but only weakly so to US monetary policy or global uncertainty shocks. However, estimated periodicities in external factors do not match the periodicities found in exchange rates, thus leaving an important cycle property unexplained. We therefore test for the presence of a cyclical interaction mechanism between exchange rates and output that may transform external shocks into periodic oscillations. We find evidence for such an interaction mechanism, consistent with the recent literature on the financial channel of exchange rates, for Chile and South Africa, and partly for the Philippines.

AB - The paper investigates exchange rate cycles and their relationship to the business cycle in 7 major emerging market economies. We document the presence of periodic cycles in nominal US-dollar exchange rates and show that these are closely aligned with cycle frequencies in real output. Joint fluctuations in exchange rates and output exhibit frequencies between 4 and 8 years. We consider external and internal driving forces of those periodic cycles. There is moderate evidence of co-movements in exchange rates across countries that are strongly linked to global commodity prices, but only weakly so to US monetary policy or global uncertainty shocks. However, estimated periodicities in external factors do not match the periodicities found in exchange rates, thus leaving an important cycle property unexplained. We therefore test for the presence of a cyclical interaction mechanism between exchange rates and output that may transform external shocks into periodic oscillations. We find evidence for such an interaction mechanism, consistent with the recent literature on the financial channel of exchange rates, for Chile and South Africa, and partly for the Philippines.

KW - Business cycles

KW - exchange rate cycles

KW - emerging market economies

KW - global financial cycle

KW - commodity prices

KW - monetary policy spillovers

KW - financial channel of exchange rates

M3 - Working paper

T3 - FMM Working Paper

BT - Periodic business and exchange rate cycles: evidence from 7 emerging markets

ER -

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