Analiza utjecaja tečajne izloženosti na osobnu potrošnju u odabranim zemljama

master's thesis

• Title (english): Analysis of the impact of exchange rate exposure on personal consumption in selected countries
• Author: Anamarija Papoči
• Mentor: Josip Tica (mentor)
• Committee member: Vladimir Arčabić (predsjednik povjerenstva)
• Committee member: Lucija Rogić Dumančić (član povjerenstva)
• Granter: University of Zagreb; Faculty of Economics and Business; (Department of Macroeconomics and Economic Development); Zagreb
• Defense date and country: 2024-09-17, Croatia
• Scientific / art field, discipline and subdiscipline: SOCIAL SCIENCES; Economics; Macroeconomics

Abstract

Ovaj rad za cilj ima procijeniti utjecaj tečajne izloženosti na potrošnju i utvrditi postojanje razlika u jačini učinka tečajne izloženosti na potrošnju u odabranim zemljama s obzirom na njihov stupanj razvijenosti i izbor tečajnog režima. Specifičnost ovog rada jest uporaba panel modela na zemljama različitih karakteristika. Također, potrošnja je procijenjena panel modelima što nije toliko zastupljeno u dosadašnjim istraživanjima. Dodatan iskorak jest uporaba binarnih varijabli u panel modelu kao način uključivanja kvalitativnih varijabli. Provedeno empirijsko istraživanje na temelju panel podataka za 24 zemlje u razdoblju od 1990. do 2017.godine potvrđuje prisutnost negativnog utjecaja tečajne izloženosti na potrošnju. Pri tome je fiksni model ocijenjen kao najprikladniji model za korištene panel podatke. Utvrđeno je da zemlje koje bilježe veću tečajnu izloženost, imaju i snažniji učinak izloženosti na potrošnje što je pokazano na razvijenim ekonomijama koje koriste fiksni tečajni režim. Isto tako, pokazalo se da je učinak izloženosti na potrošnju veći za zemlje s fiksnim režimom naspram zemalja s fleksibilnim tečajnim režimom. Provedeno istraživanje ograničeno je nedostupnošću recentnijih podataka, ali i nedovoljnom upoznatošću s panel VAR modelima. Svakako se preporučuje uvođenje autoregresivnosti zavisne varijable u model, ali i veća kontrola heterogenosti odabranih zemalja

Abstract (english)

This paper aims to assess the impact of exchange rate exposure on consumption and to determine the existence of differences in the strength of the exchange rate exposure effect on consumption in selected countries regarding their size and choice of exchange rate regime. The specificity of this paper is the use of panel models in countries of distinctive characteristics. Also, consumption was estimated by panel models which is not so common in previous research. An additional step forward is the use of binary variables in the panel model to include qualitative variables. Conducted empirical research based on panel data for twenty-four countries in the period from 1990 to 2017 confirms the presence of a negative impact of exchange rate exposure on consumption. In doing so, the fixed model was rated as the most suitable model for the panel data used. Countries that record higher exchange rate exposure were also found to have a stronger impact of exposure on consumption as demonstrated in developed economies using a fixed exchange rate regime. Similarly, the impact of exposure on consumption has been shown to be greater for countries with a fixed regime versus countries with a flexible exchange rate regime. The conducted research is limited by the unavailability of more recent data, but also by insufficient knowledge of panel VAR models. It is certainly recommended to use any kind of the autoregressive model, but also to have greater control of the heterogeneity of the selected countries.

• Keywords: tečajna izloženost; potrošnja; zaduživanje u stranoj valuti; panel analiza
• Keywords (english): exchange rate exposure; consumption; foreign currency debt; panel analysis
• Language: croatian
• URN:NBN: urn:nbn:hr:148:341916
• Study programme: Title: Economics; Study programme type: university; Study level: integrated undergraduate and graduate; Academic / professional title: sveučilišni magistar ekonomije/sveučilišna magistra ekonomije (sveučilišni magistar ekonomije/sveučilišna magistra ekonomije)
• Type of resource: Text
• File origin: Born digital
• Access conditions: Open access
• Created on: 2024-09-17 14:45:01