Choix du régime de change et croissance économique : Une analyse empirique sur des données de panel africaines

Abouelkhaira, Anass and Gahaz, Taha and Y. Tamsamani, Yasser (2018): Choix du régime de change et croissance économique : Une analyse empirique sur des données de panel africaines.

Abstract

The story of the choice of exchange rate regimes has not yet come to a consensus. Between early works on the subject (Mundell, 1961; McKinnon, 1963) and the most recent (Frenkel, 2017; Guzman et al., 2017), no superiority of a foreign exchange regime on the others is established ad vitam aeternam. It’s case by case. The purpose of this paper is then twofold. It first tests on panel data concerning 30 African countries the thesis of currency neutrality and attempts to rank, in case of rejection of this thesis, exchange rate regimes according to their economic performances by referring to economic growth rate. Next, it aims to list the internal structural characteristics of the panel countries which, by crossing them with exchange rate regimes, are the most favorable to economic growth. The paper concludes the absence of currency neutrality in case of African countries and an outperformance of intermediate regimes. The latter are more conductive to economic growth in the case of countries experiencing positive terms of trade shocks and benefiting from FDI inflows. On the other hand, the opening of capital account is incompatible with intermediate regimes, and external indebtedness doesn’t favor economic growth regardless of the exchange rate regime adopted. These results remain robust by testing several alternative econometric specifications (long-term estimate on five years’ window data, estimates by controlling regional effects and by adopting finer aggregations of exchange rate regimes).

• Item Type: MPRA Paper
• English Title: Exchange Rate Regime Choice and Economic Growth: An Empirical Analysis on African Panel Data
• Language: French
• Keywords: Exchange Rate Regime, Economic Growth, FDI, External Debt, Opening of Capital Account, Terms of Trade, Panel Data, Africa
• Subjects: C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C23 - Panel Data Models ; Spatio-temporal Models; C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C26 - Instrumental Variables (IV) Estimation; F - International Economics > F3 - International Finance > F31 - Foreign Exchange; F - International Economics > F4 - Macroeconomic Aspects of International Trade and Finance > F43 - Economic Growth of Open Economies; F - International Economics > F6 - Economic Impacts of Globalization > F63 - Economic Development; O - Economic Development, Innovation, Technological Change, and Growth > O5 - Economywide Country Studies > O55 - Africa

References

Aghion P., P. Bacchetta, R. Rancie et K Rogoff. (2009). Exchange Rate Volatility and Productivity growth: The Role of Financial development. Journal of Monetary Economics, 56, 494–513.

Angrist D. J. et A. B. Krueger,. (2001). Instrumental Variables and the Search for Identification: From Supply and Demand to Natural Experiments. Journal of Economic Perspectives, 15(4).

Angrist, J. (2001). Estimation of Limited-Dependent Variable Models with Dummy Endogenous Regressors: Simple Strategies for Empirical Practice. Journal of Business and Economic Statistics, 19(1).

Bailliu J., R. Lafrance et J.F. Perrault. (2003). Does Exchange Rate Policy Matter For growth. International Finance, 6(3).

Barro, R. et J. W., Lee. (2013). A New Data Set of Educational Attainment in the World, 1950-2010. Journal of Development Economics, 104.

Barro, R. J. et X. Sala-i-Martin. (2004). Economic growth. Cambridge, Massachusetts: The MIT Press.

Baxter, M. (1991). Business cycles, stylized facts, and the exchange rate regime: evidence from the United States. Journal of International Money and Finance(10).

Baxter, M., et A. Stockman. (1989). Business Cycles and The Exchange Rate Regime : Some International Evidence. Journal of Monetary Economics(23).

Bénassy-Quéré A. et B., Coeuré. (2002). The survival of intermediate exchange rate regimes. cepii Working Paper(2002-07).

Calvo G. (2000). The Case for Hard Pegs in the Brave New World of Global Finance. Mimeo, University of Maryland.

Calvo G. et F.S. Mishkin. (2003). The Mirage of Exchange Rate Regimes for Emerging Market Countries. NBER Working Paper(9808).

Calvo, G.A. et C. M., Reinhart. (2002). Fear of floating. Quarterly Journal of Economics, 2(117).

Chinn, M. D. et H., Ito. (2008). A New Measure of Financial Openness. Journal of Comparative Policy Analysis, 10(3).

De Grauwe, P. et G. Schnabl. (2005). Exchange rate stability, inflation and growth in (South) Eastern and Central Europe. Review of Development Economics, 3(12).

De Vita, G. et K.S. Kyaw,. (2011). does the Choice of Exchange Rate Regime Affect the Economic Growth of Developping Countries? The Journal Of Developping Areas, 45.

Dubas, J. , B..J., Lee et N., Mark. (2005). Effective Exchange Rate Classifications and Growth. NBER Working Paper(11272).

Edwards, S. (2015). Monetary Policy Independence under Flexible Exchange Rates: An Illusion? NBER Working Paper Series(20893).

Edwards, S. et E., Levy-Yeyati. (2003). Flexible Exchange Rates as Shock Absorbers. NBER Working Paper(9867).

Eichengreen B. et R. Hausmann. (1999). Exchange Rates and Financial Fragility. NBER Working Paper(7418).

Eichengreen, B. (1998). The only game in town. In The World Today, 12(54).

Ferrari-Filho, F., et L. F. De Paula. ( 2008). Exchange rate regime proposal for emerging countries: a Keynesian perspective. Journal of Post Keynesian Economics, 31(2 227).

Fisher S. (2001). Exchange Rate Regimes: Is the Bipolar View Correct? Journal of Economic Perspective, 2(15). FMI. (1997). Does Exchange Rate Matter for Inflation and Growth. Imf Economic Issues, 2.

Frankel, J. A. (1999). No Single Currency Regime is Right for All Countries or At All Times. NBER Working Paper(7338).

Freidman, M. (1953). The Case of Flexible Exchange Rate. In Essays in Positive Economics. University of Chicago Press.

Frenkel, J. A. (2017, August). Systematic Managed Floating. NBER Working Paper Series(23663).

Ghosh, A. R., A. M. Gulde, J. D. Ostry et H. C. Wolf. (1997). Does the Nominal Exchange Rate Regime Matter? NBER Working Paper( 5874).

Ghosh, A., Gulde, A-M. et Wolf, H. (2003). Exchange Rate Regimes: Choices and Consequences. MIT Press.

Guzman, M., J. A. Ocampo, et J. E. Stiglitz. (2017). Real Exchange Rate Policies for Economic Development. NBER Working Paper(23868).

Han, X. et S. J., Wei. (s.d.). International Transmissions of Monetary Shocks: Between a Trilemma and a Dilemma. NBER Working Paper Series(22812).

Husain, A. M., A. Mody et K. S., Rogoff. (2005). Exchange rate regime durability and performance in developing versus advanced economies. Journal of Monetary Economics, 1(52).

Kenen, P. (1969). The Theory of Optimum Currency Areas: An Eclectic View. in Mundell and Swoboda (eds.) Monetary Problems in the International Economy, University of Chicago Press, Chicago.

Kuncic, A. (2012). Institutional quality database. Kiel advanced studies working papers(457).

Levy Yeyati, E. et F. Sturzenegger. (2001). Exchange rate regimes and economic performance. IMF Staff Paper (Special Issue)( 47).

Levy-Yeyati, E. et F. Sturzenegger. (2003). To Float or to Fix: Evidence on the Impact of Exchange Rate Regimes on Growth. The American Economic Review.

Levy-Yeyati, E. et F., Sturzenegger. (2005). Classifying exchange rate regimes: Deeds versus words. European Economic Review, 49(6).

Levy-Yeyati, E. et F., Sturzenegger. (2016). Classifying Exchange Rate Regimes. HKS Working Paper(16-028).

McKinnon, R. I. (1963). Optimum Currency Areas. American Economic Review(53).

Miles, W. (2006). To Float or Not to Float? Currency Regimes and Growth. Journal of Economic Development, 31(2).

Mills T.C. et G.E., Wood. (1993). Does the exchange rate regime affect the economy? Federal Reserve Bank of St. Louis Review, 4(75).

Mundell, R. A. (1961). A Theory of Optimum Currency Areas. American Economic Review(51).

Obstfeld, M., et Rogoff, K.,. (1995). The mirage of fixed exchange rates,. Journal of Economic Perspectives , 4(9).

Petreski, M. (2009). Analysis of Exchange-Rate Regime Effect on Growth: Theoretical Channels and Empirical Evidence with Panel Data. Economics Discussion Paper No. 2009-49.

Reinhart, C.M. et Rogoff, K.S. (2004). The Modern history of exchange rate arrangements: A reinterpretation. Quarterly Journal of Economics , 1(119).

Rey, H. (2015). Dilemma not trilemma: the gobal financial cycle and monetary independence. NBER Working Paper Serie(21162).

Rogoff, K.S., A.M. Husain, A. Mody, R. Brooks et N. Oomes. (2003). Evolution and performance of exchange rate regimes. Working Paper, International Monetary Fund(03/243).

Rose, A.K. (1994). Are exchange rates macroeconomic phenomena? Federal Reserve Bank of San Francisco Economic Review(1).

Russell, J. (2012). Herding and the shifting determinants of exchange rate regime choice. Applied Economics(44).

Szirmai, A. (2009). Industrialisation as an Engine of Growth in Developing Countries 1950-2005. UNU-MERIT working paper(10).

Williamson, J. (1999). Are Intermediate Regimes Vanishing? Peterson Institute for International Economics, https://piie.com/commentary/speeches-papers/are-intermediate-regimes-vanishing .

Willimason, J. (2000). Designing a Middle Way between Fixed and Flexible Exchange Rates. Peterson Institute for International Economics, https://piie.com/commentary/speeches-papers/designing-middle-way-between-fixed-and-flexible-exchange-rates.

Yougbaré L. (2009). Effets Macroéconomiques des Régimes de Change : Essais sur la Volatilité, la Croissance économique et les Déséquilibres du Taux de Change Réel. Thèse de Doctorat au Centre d'Etudes et de Recherches sur le Développement International (CERDI).