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Thesis

English

ID: <

10670/1.sf8v5m

>

Where these data come from
Taux de change d’équilibre et déséquilibres macroéconomiques

Abstract

This thesis aims to study the dynamics and determinants of the exchange rate, paying particular attention to the link between internal and external imbalances. The first chapter examines the effect of the euro adoption on the vulnerability of the current account to demand and exchange rate misalignments shocks. Our results show that, with the adoption of the single currency, the vulnerability of the current account to demand shocks and exchange rate misalignments increases considerably. The second chapter of the thesis provides an in-depth analysis of the robustness of the Balassa Samuelson (BS) effect for a panel of 38 developing and emerging economies over the period 1980-2016. We examine the internal and external versions of the BS hypothesis based on five different measures. We show that the internal version of the BS effect is validated only if the labour productivity differential between tradable and non-tradable sectors is used. We also find a robust effect of the relative price of non-traded to traded goods on the real effective exchange rate (REER). The third chapter studies the non-linear effects of infrastructure on the REER by estimating a Panel Smooth Transition Regression (PSTR) model, aiming to highlight a differentiated impact of infrastructure on the REER depending on the value taken by a transition variable. We consider three different transition variables: the telecommunications stock per 1000 workers, the Electricity Generating Capacity (EGC) per 1000 workers and the quality of the electricity network. When the network is not completed or the infrastructure stock is low, an increase in EGC and telecommunications stock depreciates the REER, while the additional depreciation is lower or non-existent once the network is established. The results obtained are discussed in the light of several transmission channels.

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