The Exchange Rate, Asymmetric Shocks and Asymmetric Distributions

35 Pages Posted: 24 Jun 2015

See all articles by Vlad Demian

Vlad Demian

European Central Bank (ECB)

Filippo di Mauro

European Central Bank (ECB)

Date Written: June 22, 2015

Abstract

The elasticity of exports to exchange rate fluctuations has been the subject of a large literature without a clear consensus emerging. Using a novel sector level dataset based on firm level information, we show that exchange rate elasticities double in size when the country and sector specific firm productivity distribution is taken into account in empirical estimates. In addition, exports appear to be sensitive to appreciation episodes, but rather unaffected by depreciations. Finally, only rather large changes in the exchange rate appear to matter.

Keywords: bilateral trade; exchange rate elasticity; productivity dispersion; TFP

JEL Classification: F14, F41, F31

Suggested Citation

Demian, Vlad and di Mauro, Filippo, The Exchange Rate, Asymmetric Shocks and Asymmetric Distributions (June 22, 2015). ECB Working Paper No. 1801, Available at SSRN: https://ssrn.com/abstract=2621562 or http://dx.doi.org/10.2139/ssrn.2621562

Vlad Demian (Contact Author)

European Central Bank (ECB) ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany

Filippo Di Mauro

European Central Bank (ECB) ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany

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