Advanced

Ger räntepolitiken upphov till skevheter i den svenska utrikeshandeln?

Johansson, Oskar LU and Jägerstedt, Hannes LU (2015) NEKH01 20151
Department of Economics
Abstract
The purpose of this paper is to investigate whether the Swedish Riksbank's repo rate has any
asymmetric effects on Swedish exports and imports. This question becomes especially
interesting when considered within the context of today’s unprecedented monetary policy
measures. The relationship between real interest rates, real exchange rates and the current
account has been exposed to extensive research. However, the common aggregation of
export- and import flows into a current account variable has left no room for investigating
whether the current account effects stem from changes to export or import flows, or both. In
this paper, a vector autoregression (VAR) model framework is used to conduct a multivariate
time series regression... (More)
The purpose of this paper is to investigate whether the Swedish Riksbank's repo rate has any
asymmetric effects on Swedish exports and imports. This question becomes especially
interesting when considered within the context of today’s unprecedented monetary policy
measures. The relationship between real interest rates, real exchange rates and the current
account has been exposed to extensive research. However, the common aggregation of
export- and import flows into a current account variable has left no room for investigating
whether the current account effects stem from changes to export or import flows, or both. In
this paper, a vector autoregression (VAR) model framework is used to conduct a multivariate
time series regression including data of Sweden’s relative GDP, relative interest rate, real
effective exchange rate of the Swedish Krona, oil price and Swedish export and import during
the time period of 1993-2014. By decomposing the current account into its two components,
we find that the effect of the real interest rate is indeed asymmetric. There is evidence on a
real exchange rate effect, biased towards the import side. However, the overall result suggests
that there are other more important forces in play affecting the relationship between the repo
rate and trade flows. Ultimately, this leaves the Riksbank with little power to affect Sweden's
imports and exports. (Less)
Please use this url to cite or link to this publication:
author
Johansson, Oskar LU and Jägerstedt, Hannes LU
supervisor
organization
course
NEKH01 20151
year
type
M2 - Bachelor Degree
subject
keywords
export, import, realränta, real växelkurs, VAR-modell, Riksbank
language
Swedish
id
5474146
date added to LUP
2015-06-30 15:28:24
date last changed
2015-06-30 15:28:24
@misc{5474146,
  abstract     = {The purpose of this paper is to investigate whether the Swedish Riksbank's repo rate has any
asymmetric effects on Swedish exports and imports. This question becomes especially
interesting when considered within the context of today’s unprecedented monetary policy
measures. The relationship between real interest rates, real exchange rates and the current
account has been exposed to extensive research. However, the common aggregation of
export- and import flows into a current account variable has left no room for investigating
whether the current account effects stem from changes to export or import flows, or both. In
this paper, a vector autoregression (VAR) model framework is used to conduct a multivariate
time series regression including data of Sweden’s relative GDP, relative interest rate, real
effective exchange rate of the Swedish Krona, oil price and Swedish export and import during
the time period of 1993-2014. By decomposing the current account into its two components,
we find that the effect of the real interest rate is indeed asymmetric. There is evidence on a
real exchange rate effect, biased towards the import side. However, the overall result suggests
that there are other more important forces in play affecting the relationship between the repo
rate and trade flows. Ultimately, this leaves the Riksbank with little power to affect Sweden's
imports and exports.},
  author       = {Johansson, Oskar and Jägerstedt, Hannes},
  keyword      = {export,import,realränta,real växelkurs,VAR-modell,Riksbank},
  language     = {swe},
  note         = {Student Paper},
  title        = {Ger räntepolitiken upphov till skevheter i den svenska utrikeshandeln?},
  year         = {2015},
}