DOES DOLLARIZATION ALLEVIATE OR AGGRAVATE EXCHANGE RATE VOLATILITY?
0
조회
0
다운로드
0
인용
0
참고문헌
키워드
초록
Relying on hard currency or dollarizing an economy has been a common practice of many developing countries taking the form of dollarizing bank deposits and loans, settling transactions in dollars and the indexation of wages and prices in dollars. The relationship between dollarization and exchange rate volatility is both theoretically and empirically unresolved. While the effect of such practices has been the focus of numerous investigations, such studies have concentrated on the Latin American and Asian economies. This paper contributes to the limited research on the African economies by specifically investigating the consequences of dollarization on Eritrean exchange rate volatility. Using quarterly official and black market exchange rate data for the study period 1996-2008, E-GARCH analysis suggests that dollarization has a positive impact on real exchange rate volatility.
Abstract
Relying on hard currency or dollarizing an economy has been a common practice of many developing countries taking the form of dollarizing bank deposits and loans, settling transactions in dollars and the indexation of wages and prices in dollars. The relationship between dollarization and exchange rate volatility is both theoretically and empirically unresolved. While the effect of such practices has been the focus of numerous investigations, such studies have concentrated on the Latin American and Asian economies. This paper contributes to the limited research on the African economies by specifically investigating the consequences of dollarization on Eritrean exchange rate volatility. Using quarterly official and black market exchange rate data for the study period 1996-2008, E-GARCH analysis suggests that dollarization has a positive impact on real exchange rate volatility.
참고문헌 (53)
- Agenor, P. -R., "Foreign Currency Deposits and the Demand for Money in Developing Countries", Journal of Development Economics, 50(1), pp.101~118 (1996)
- Akçay, O. C., "Currency Substitution and Exchange Rate Instability : The Turkish case", European Economic Review, 41(3-5), pp.827~835 (1997)
- Akofio-Sowah, N. A., "Is There a Link between Exchange Rate Pass-Through and the Monetary Regime: Evidence from Sub-Saharan Africa and Latin America", International Advances in Economic Research, 15(3), pp.296~309 (2009)
- Bahmani-Oskooee, M., "Exchange Rate Uncertainty and Trade Flows of LDCs : Evidence from Johansen’s Cointegration Analysis", Journal of Economic Development, 21(1), pp.23~35 (1996)
- Bahmani-Oskooee, M., "On the Link between Dollarization and Inflation : Evidence from Turkey", Comparative Economic Studies, 45(3), pp.306~328 (2003)
- Mohsen Bahmani-Oskooee, "EXCHANGE-RATE VOLATILITY AND INDUSTRY TRADE BETWEEN THE U.S. AND KOREA", Journal of Economic Development, 37(1), pp.1~27 (2012), 경제연구소
- Bahmani-Oskooee, M., "Does Exchange Rate Volatility Deter Trade Volume of LDCs?", Journal of Economic Development, 18(2), pp.189~205 (1993)
- Barrell, R., "The Impact of EMU on Real Exchange Rate Volatility of EU Countries", National Institute Economic Review, 208, pp.101~108 (2009)
- Bartram, S. M., "The Impact of the Introduction of the Euro on Foreign Exchange Rate Risk Exposures", Journal of Empirical Finance, 13(2006), pp.519~549 (2006)
- Benita, G., "Policy Factors and Exchange Rate Volatility: Panel Data versus a Specific Country Analysis", International Research Journal of Finance and Economics, 7 (2007)
- Berg, A., "The Choice of Exchange Rate Regime and Monetary Target in Highly Dollarized Economies", Journal of Applied Economics, 3(2) (2000)
- Berkmen, S. P., "Exchange Rate Policy and Liability Dollarization: What Do The Data Reveal About Causality?", Review of International Economics, 18(5), pp.781~795 (2010)
- Brodsky, D. A., "Fixed versus Flexible Exchange Rates and the Measurement of Exchange Rate Instability", Journal of International Economics, 16(3*4), pp.295~306 (1984)
- Bogetic, Z., "Official Dollarization : Current Experiences and Issues", Cato Journal, 20(2), pp.179~213 (2000)
- Brock, W. A., "A Test for Independence Based on the Correlation Dimension", Econometrics Reviews, 15, pp.197~235 (1996)
- Calvo, G., "Currency Substitution in Developing Countries : An Introduction", Revisita De Analisis Economico, 7(1), pp.3~27 (1992)
- Calvo, G., "From Currency Substitution to Dollarization: Analytical and Policy Issues, In Money, Exchange rates and Output", pp.153~175 (1996), MIT Press
- Calvo, G., "Fear of Floating", Quarterly Journal of Economics, 117(2), pp.379~408 (2002)
- Structural Factors Affecting Exchange Rate Volatility: A Cross-Section Study, "Canales-Kriljenko, J.", International Monetary Fund, ~, pp.International Monetary Fund Working Paper, WP (2004), 04[DOI]
- Chan, W. S., "Disaggregation of Annual Time Series Data to Quarterly Figures : A Comparative Study", Journal of Forecasting, 12(8), pp.677~688 (1993)
- Exchange Rate Volatility and Trade Flows: Some New Evidence, "Clark, P.", International Monetary Fund Research, ~ (2004)
- Clements, B., "Currency Substitution : The Recent Experience of Bolivia", World Development, 21(11), pp.1883~1893 (1993)
- Corrado, G., "An Open Economy Model with Currency Substitution and Real Dollarization", Journal of Economic Studies, 35(1), pp.69~93 (2008)
- Dell, A. G., "Exchange Rate Fluctuations and Trade Flows : Evidence from the European Union", IMF Staff Papers, 46(3), pp.315~334 (1999)
- Devereux, M., "Understanding Bilateral Exchange Rate Volatility", Paper presented at the Empirical Exchange Rate Models Conference (2003)
- Ekanayake, A. W., "Real Exchange Rate Volatility and Sri Lanka’s Exports to the Developed Countries", Journal of Economic Development, 24(1), pp.147~165 (1999)
- Engle, R. F., "Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of United Kingdom Inflation", Econometrica, 50(2), pp.391~497 (1982)
- Economic Integration in West Africa: Does the CFA Make a Difference?, "Fielding, D.", University of Leicester, ~, pp.Discussion Papers, 03 (2003), 8
- Girton, L., "Theory and Implications of Currency Substitution", Journal of Money, Credit & Banking, 13(1), pp.12~30 (1981)
- Gunther, S., "Exchange Rate Volatility and Growth in Emerging Europe and East Asia", Open Economic Review, 20(4), pp.565~587 (2009)
- Hausmann, R., "Why Do Countries Float the Way They Float?", Journal of Development Economics, 66(2), pp.387~414 (2001)
- Hausmann, R., "On the Determinants of Original Sin : An Empirical Investigation", Journal of International Money and Finance, 22(7), pp.957~990 (2003)
- Honig, A., "Dollarization, Exchange Rate Regimes and Government Quality", Journal of International Money and Finance, 28(2), pp.198~214 (2009)
- Can Higher Reserves Help Reduce Exchange Rate Volatility, "Hviding, K.", International Monetary Fund, ~, pp.International Monetary Fund Working Paper, WP (2004), 04[DOI]
- Kazunobu, H., "The Effect of Exchange Rate Volatility on International Trade in East Asia", Journal of the Japanese and International Economies, 23(4), pp.395~406 (2009)
- Kenen, P. B., "Measuring and Analysing the Effects of Short-Term Volatility in Real Exchange Rates", Review of Economics and Statistics, 68(2), pp.311~315 (1986)
- Currency Substitution in the Transition Economy: A Case of the Czech Republic 1993-2001, "Komarek, L.", The University of Warwick, Department of Economics, ~, pp.Working Paper, 613 (2001)
- Kyung-Chun, M., "Effects of Exchange Rate Fluctuations on Equity Market Volatility and Correlations : Evidence from the Asian Financial Crisis Images", Quarterly Journal of Finance and Accounting, 47(3), pp.77~102 (2008)
- Lange, C., "Dollarization in Latin America : Seigniorage Costs and Policy Implications", The Quarterly Review of Economics and Finance, 45(2005), pp.662~679 (2005)
- McLeod, A. I., "Diagnostic Checking ARMA Time Series Models Using Squared-Residual Autocorrelations", Journal of Time Series Analysis, 4, pp.269~273 (1983)
- Mengesha, L. G., "The Dollarization of Less Developed Countries : A Note on the Competition of Hard Currency Index", International Journal of Economics and Research, 2(2), pp.61~66 (2011)
- Nelson, D., "Conditional Heteroskedasticity in Asset Returns : A New approach", Econometrica, 59, pp.347~370 (1991)
- Nicolo, G. D., "Dollarization of Bank Deposits : Causes and Consequences", Journal of Banking & Finance, 29(7), pp.1697~1727 (2005)
- Rana, P. B., "Exchange Rate Risk under Generalized Floating : Eight Asian Countries", Journal of International Economics, 11(4), pp.459~466 (1981)
- Addicted to Dollars, "Reinhart, C.M.", National Bureau of Economic Research, ~, pp.NBER Working Papers, 10015 (2003)
- Financial Dollarization in Latin America, "Rennhack, R.", International Monetary Fund, ~, pp.IMF Working Paper, WP (2006), 06[DOI]
- Savvides, A., "CFA Franc Zone Membership and Exchange Rate Variability", Journal of African Economies, 5(1), pp.52~68 (1996)
- Exchange Rate Volatility and Growth in Small Open Economies at the EMU Periphery, "Schnabl, G.", European Central Bank, ~, pp.Working Paper, 773 (2007)
- Taylor, M. P., "Nonlinear Mean-Reversion in Real Exchange Rates: Toward a Solution to the Purchasing Power Parity Puzzles", International Economic Review, 42, pp.1015~1042 (2001)
- Tsay, R. S., "Nonlinearity Tests for Time Series", Biometrica, 73, pp.461~466 (1986)
- Currency Substitution and Financial Sector Developments in Cambodi, "Viseth, K.R.", International and Development Economics, ~, pp.Working Paper, 01 (2001), 4
- Yeyati, E. L., "Financial Dollarization : Evaluating the Consequences", Economic Policy, 21(45), pp.61~118 (2006)
- Yinusa, D. O., "Between Dollarization and Exchange Rate Volatility : Nigeria’s Portfolio Diversification Option", Journal of Policy Modelling, 30(5), pp.811~826 (2008)
