Belke, Ansgar; Goecke, Matthias; Guenther, Martin:

Exchange Rate Bands of Inaction and Play-Hysteresis in German Exports: Sectoral Evidence for Some OECD Destinations

In: DIW Diskussionspapiere = Discussion Papers / Deutsches Institut für Wirtschaftsforschung, (2012) ; Nr. 1203, S. 1-22
ISSN: 1433-0210
Zeitschriftenaufsatz / Fach: Wirtschaftswissenschaften
Fakultät für Wirtschaftswissenschaften » Fachgebiet Volkswirtschaftslehre » Makroökonomik
A non-linear model is applied where suddenly strong spurts of exports occur when changes
of the exchange rate go beyond a zone of inaction. We call the latter a “play” area –
analogous to mechanical play and implement an algorithm describing path-dependent playhysteresis
into a regression framework. The hysteretic impact of real exchange rates on
German exports is then estimated based on quarterly data from 1995Q1 to 2010Q3. For
some of the main export partners of Germany outside the euro area and some of the most
important tradable sectors we find significant hysteretic effects for a part of the German