| Damiani (2008)/26 countries, 13 emerging and 13 developed/(1971-2006) |
This paper aims to discuss the exchange rate relationship with economic growth for emerging countries compared to developed countries. The empirical results found in this paper support the importance of the exchange rate as a relevant element to be considered for growth trajectory, for rich and emerging countries, underlining the effects of the exchange rate volatility of exchange rate regimes in inflationary contexts on the growth of the latter. The article presents the results generated by a dynamic panel that tested the relationship of economic growth with the exchange rate volatility and the choice of the exchange regime of 26 countries. The results of the emerging countries suggest a greater vulnerability to exchange rate volatility, as well as a greater relevance to the exchange rate regime adopted. For the developed ones, only the choice of regimes is relevant; However, in a considerably more attenuated way. |
| Araújo (2009)/90 emerging countries/(1980-2007) |
The author investigated the relationship between economic growth and exchange rate volatility in emerging and developing countries. It was estimated a model that relates the economic growth to the exchange rate volatility in a data panel. The estimates indicated a negative and highly significant impact of exchange rate volatility on economic growth, confirming the theoretical prediction that exchange rate instability has negative effects on the real economy. Estimates have shown that exchange rate volatility has a negative and significant effect on economic growth in the countries studied, suggesting that these countries would benefit from policies that would contribute to greater stability of their exchange rates. |
| Schnabl (2007)/41 countries on the periphery of the European Monetary Union/(1994-2005) |
The author studied the real exchange rate and economic performance, and as results the estimates revealed an inverse and statistically significant relationship between exchange rate volatility and economic growth in developing countries with financial openness. For the group of European non-monetary European industrialized countries the benefits of stable exchange rates appeared to be weaker. This may be due to the fact that the more developed capital markets have made them less vulnerable to exchange rate variation. |
Aghion et al. (2009) Aghion, P., Bacchetta, P., Ranciere, R., & Rogoff, K. (2009). Exchange rate volatility and productivity growth: the role of financial development. Journal of Monetary Economics, 56(4), 494-513. http://dx.doi.org/10.1016/j.jmoneco.2009.03.015.
http://dx.doi.org/10.1016/j.jmoneco.200...
/83 countries/(1960-2001) |
The empirical results indicated that real exchange rate volatility has a negative impact on long-term productivity growth, and the effect depends critically on the level of financial development. The results showed robust for time window, alternative measures of financial development and exchange rate volatility and discrepant values. |
| Kittiakarasakun & Tse (2011)/Return on equity indexes in Asia/(1989-2009) |
The authors analyzed whether stock returns in Asian markets are characterized by infinite variance or by large variation, which has an important implication for the applicability of many financial models to Asian market data. The Value-at-Risk method was applied using Asian and North American data and no significant difference in performance was found. The Extreme Values Theory (TVE) was also applied to characterize the return distributions of the stock indices. The authors noted that Asian stock markets are more volatile than developed markets, but the occurrence of extreme price changes is as likely in Asian markets as in developed markets. |
Bekaert & Harvey (2000) Bekaert, G., & Harvey, C. R. (2000). Capital flows and the behavior of emerging market equity returns (Fuqua School of Business Working Paper, No. 9807, pp. 159-194) . Chicago: University of Chicago Press. http://dx.doi.org/10.2139/ssrn.103120.
http://dx.doi.org/10.2139/ssrn.103120 ...
/17 countries/(1977-1996) |
The objective of this study was to identify breaks in the capital flows of seventeen countries. Of these, sixteen are interrupted by an increase in net capital flows. In some countries, it appears that the flows of securities precede capital flows. It was analyzed that the expected returns decrease after significant decreases in capital flows. In addition, the risk decreases, at least as measured by the country's rating, and the correlations of capital returns with the world market is larger. It was analyzed that the increase in capital flows is associated with a lower cost of capital, higher correlation with world market returns, lower concentration of assets, lower inflation, larger market size in relation to GDP, more trade, and slightly Higher per capita economic growth. |
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