Working Papers
2002
September 1, 2002
An Empirical Investigation of Exchange Rate Pass-Through in South Africa
Description: This paper analyzes the degree to which fluctuations in the nominal exchange rate passthrough to consumer prices in South Africa. While the average pass-through is found to be low, evidence from a structural vector autoregression suggests it is much higher for nominal (versus real) shocks. Historical decompositions suggest that the nominal exchange rate depreciation up to November 2001 is attributable primarily to negative real shocks, which explains why CPIX (consumer price index excluding interest on mortgate bonds) inflation did not increase significantly until December 2001, when positive nominal shocks began to contribute to the depreciation.
September 1, 2002
How Competitive Is Irish Manufacturing?
Description: Ireland has had significant competitiveness gains in the 1990s on the basis of the standard manufacturing unit labor cost-based measure of the real effective exchange rate. A handful of sectors mostly dominated by multinational companies have accounted for the bulk of value added in production. Their productivity gains have greatly contributed to Ireland's exceptional growth performance in the 1990s, which has earned it the nickname of "Celtic Tiger." However, these sectors represent a disproportionately smaller share of manufacturing employment, and competitiveness in employment-intensive sectors has been much weaker. This paper thus explores Irish competitiveness from the viewpoint of risks to employment.
September 1, 2002
The Africa Growth and Opportunity Act and its Rules of Origin: Generosity Undermined?
Description: This paper describes the United States recently enacted Africa Growth and Opportunity Act (AGOA) and assesses its quantitative impact on African exports. The AGOA expands the scope of preferential access of Africa's exports to the United States in key areas such as clothing. However, its medium term benefits estimated at about US$100-$140 million, an 8 11 percent addition to current non-oil exports would have been nearly five times greater (US$540 million) if no restrictive conditions had been imposed on the terms of market access. The most important of these conditions are the rules of origin with which African exporters of clothing must comply to benefit from duty-free access.
September 1, 2002
Asian Flu or Wall Street Virus? Price and Volatility Spillovers of the Tech and Non-Tech Sectors in the United States and Asia
Description: This paper, using T-GARCH models, finds that the United States has been the major source of price and volatility spillovers to stock markets in the Asian region during three different periods in the last decade: the pre-Long Term Capital Management crisis period, the "tech bubble" period, and the "stock market correction" period. Hong Kong SAR , Japan, and Singapore also were important spillover sources within the Asian region and affected United States to a lesser degree during the "stock market correction" period. There is also evidence of structural breaks in the stock price and volatility dynamics induced during the "tech bubble" period.
September 1, 2002
Are Mexican Business Cycles Asymmetrical?
Description: We use the regime-switching econometric models in Hamilton (1989) and Filardo (1994) to study business cycles in Mexico. In particular, we characterize the ups and downs of economic activity in Mexico. As a proxy for economic activity, we use the Mexican quarterly industrial production index from the second quarter of 1972 to the third quarter of 1999. We allow the transition probabilities driving changes in economic activity to be a function of fiscal, financial, and external sector indicators. Our results show that recessions in Mexico are deeper and shorter than expansions.
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