Exchange rate volatility and productivity growth: The role of financial development

• 成果类型: Article
• 署名作者: Aghion, Philippe; Bacchetta, Philippe; Ranciere, Romain; Rogoff, Kenneth
• 署名单位: Swiss Finance Institute (SFI); University of Lausanne; Harvard University; National Bureau of Economic Research
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2009.03.015
• 发表日期: 2009
• 页码: 494-513
• 关键词: Exchange rate regime; Financial development and growth

摘要

The vast empirical exchange rate literature finds the effect of exchange rate volatility on real activity to be small or insignificant. In contrast, this paper offers empirical evidence that real exchange rate volatility can have a significant impact on productivity growth. However, the effect depends critically on a country's level of financial development. The results appear robust to time window, alternative measures of financial development and exchange rate volatility, and outliers. We also offer a simple monetary growth model in which real exchange rate uncertainty exacerbates the negative investment effects of domestic credit market constraints. (C) 2009 Elsevier B.V. All rights reserved.