Economywide impacts of climate change on agriculture in Sub-Saharan Africa

Two possible adaptation scenarios to climate change for Sub-Saharan Africa are analyzed under the SRES B2 scenario. The first scenario doubles the irrigated area in Sub-Saharan Africa by 2050, compared to the baseline, but keeps total crop area constant. The second scenario increases both rainfed and irrigated crop yields by 25% for all Sub-Saharan African countries. The two adaptation scenarios are analyzed with IMPACT, a partial equilibrium agricultural sector model combined with a water simulation module, and with GTAP-W, a general equilibrium model including water resources. The methodology combines the advantages of a partial equilibrium approach, which considers detailed water-agriculture linkages, with a general equilibrium approach, which takes into account linkages between agriculture and nonagricultural sectors and includes a full treatment of factor markets. The efficacy of the two scenarios as adaptation measures to cope with climate change is discussed. Due to the limited initial irrigated area in the region, an increase in agricultural productivity achieves better outcomes than an expansion of irrigated area. Even though Sub-Saharan Africa is not a key contributor to global food production (rainfed, irrigated or total), both scenarios help lower world food prices, stimulating national and international food markets.     

Is the Cyprus Pound Real Effective Exchange Rate Misaligned? A BEER Approach

Abstract

This paper investigates whether the real effective exchange rate of the Cyprus pound is misaligned by generating measures of the equilibrium rate using the Behavioral Equilibrium Exchange Rate (BEER) approach. Several measures of the equilibrium exchange rate were derived and used to check for the existence of exchange rate misalignment. The results suggest that, during the 1990s, the actual real effective exchange rate and the various equilibrium measures generated move closely together and there is no evidence of any significant and persistent misalignment. However, the empirical evidence suggests persistent overvaluation during the 1980s.     

关税、货币政策与中国实际均衡汇率

加入WTO后 ,降低进口品关税等措施将影响人民币均衡汇率水平 ,同时开放经济下国内货币政策、财政政策等宏观经济政策调整也会改变均衡汇率水平。本文运用动态一般均衡的方法 ,探讨中国在加入世界贸易组织之后 ,关税税率调整、货币供应量增长率改变、财政政策调整等措施对实际均衡汇率的长期效应。把货币引入生产函数和消费者的效用函数 ,我们扩展了由Turnovsky提出的两商品资本积累模型 ,利用参数赋值(calibration)的方法进行了均衡状态下的比较静态分析。研究发现降低进口品关税使人民币面临贬值压力 ,而政府增加税收 ,减少对贸易品的消费则有利于人民币的保值和升值。实证研究结果表明 :国外实际利率水平下降 ,实际货币供应量增长率降低都将引起人民币均衡汇率贬值。     

Exchange rate and long run equilibrium in transition economies

The purpose of this paper is to calculate pruchasing power parity rates and the real exchange rate using several methods of calculation to estimate long-run equilibrium real exchange rates in transition economies, mainly in Eastern European countries considered in transition, such as Poland. The authors calculate different measures of exchange rate misalignment (absolute and relative deviations from long-run equilibrium). Each measure is calculated using different price indices, which include consumer price indices, GDP deflactor, and unit labor cost. The expected values of these variables are used. To calculate the long-run equilibrium, different methods such as an error correction equation and a forward-looking model are utilized, and again, the expected values of the variables are introduced along with new variables. The estimation of the long-run cointegration equation of the equilibrium real exchange rate and the corresponding dynamic error correction specification strongly corroborates the model and produced fairly consistent results across the countries under study. Using appropriated proxies, the estimated long run equations were used to derive indices of the equilibrium real exchange rate.     

International trade and firms' attitude towards risk

This paper examines the optimal production and trade decisions of the domestic firms facing uncertainties owing to the exchange rate volatility under mean-variance preferences. The impact of uncertain exchange rate fluctuations on trade is evaluated in a partial equilibrium framework, using the concept of risk-aversion elasticities. These elasticities measure how sensitive the firms are towards substituting between return and risk at the margin, with respect to changes in the distribution of the spot exchange rate. This simplest possible analytical framework is useful for explicit empirical estimation of risk-aversion elasticities in the literature of international economics.     

农业保险制度对土地利用效应的经济学分析

本文通过建立农业生产局部均衡模型研究发现,农业保险制度的建立明显导致了粗放边际扩张,完全分开均衡精算公平农业保险制度不会对土地使用或其他任何生产决定造成影响.但是,在较现实的混同均衡精算公平农业保险制度下,农户将会把无农业保险时闲置的、边际质量更低劣的土地投入生产,而且农业保险补贴会进一步刺激农业生产在劣质土地上的粗放边际扩张并可能导致环境退化的问题.这对研究我国农业保险制度选择及其补贴政策对环境的影响具有一定的参考价值.     

The Real Equilibrium South African Rand/US Dollar Exchange Rate: A Comparison of Alternative Measures

This article indicates how different measures of the real exchange rate, i.e., the exchange rate adapted for cost inflation, price inflation and labour costs, influence the equilibrium view and misalignment of the South African rand/US dollar exchange rate. The approach followed is based on the behavioural equilibrium exchange rate approach by Clark and MacDonald (1998), where the exchange rate is influenced by a number of fundamental and transitory factors. The real equilibrium exchange is estimated by using a single equation regression and a number of key explanatory variables. To determine the long-run relationship a Vector Error Correction Mechanism is used.     

Macroeconomic Impacts on Bulgarian Agriculture during Transition

An unstable and erratic macroeconomy in an economy in transition might be expected to affect agricultural performance. This is tested for Bulgaria between 1992 and 1997 using impulse response functions from a vector autoregressive (VAR) model. Despite data limitations, it is found that shocks to the foreign exchange rate and interest rate feed into farm prices and agricultural exports but equilibrium will be re–established within 5 years. Agricultural policies may not be sufficient to counteract the wider macroeconomic forces.     

Currency appreciation and stock market performance: Evidence from China

This paper analyzes the relationship between the change of the exchange rate and the performance of the Chinese stock market after exchange rate regime and split share structure of stock market reformed in 2005, which is important for us to understand the linkages and mechanisms between the two markets deeply. We find that the exchange rate is highly related with the stock market, and there exists long-term cointegration. The results demonstrate that in the long term, the relationship between the two variables mainly belongs to flow-oriented model; Shanghai A Share index is influenced by the exchange rate, yet Shanghai B Share index has shown less indication of long term interrelation with the exchange rate. In the short term, the relationship between the two variables mainly belongs to stock-oriented models, there are inter influence between the stock market and the exchange market. The paper further analyzes the possible influence of different sector indices to exchange rates. Finally, the paper puts forward some advices and policy suggestions.     

竞争力平价与人民币均衡汇率研究

传统的汇率决定理论认为，一国货币汇率的衡水平是由购买力平价、利率平价和货币相对供求等决定的。大多数实证研究表明，这些均衡汇率理论只是强调单一因素，同现实相距甚远。本文构建了多因素国际竞争力平价模型，认为均衡实际汇率随着国际竞争力的相对变化而变化，国际竞争力相对提高，该国货币升值，反之则反之。本文利用主成分分析法，从影响人民币汇率的多因素中构造国际竞争力这个指标，实证研究表明人民币实际有效汇率与国际竞争力之间存在协整关系，然后再基于这个协整关系式计算人民币的均衡实际有效汇率，并据以判断人民币汇率偏离均衡水平的程度。     

福建省农业全要素生产率变动原因的实证分析

本文利用Malmquist指数方法,测算了1990—2007年福建省的农业技术进步率、技术效率增长率以及全要素生产率增长率;然后,利用协整检验和脉冲响应函数动态模拟福建省对外开放(对外开放度)对福建省农业技术进步变化率、技术效率变化率的影响,以及对外开放和两者的协整关系,进而说明福建省对外开放对其农业全要素生产率变动的作用。结果表明:20世纪90年代以来,福建省对外开放与其农业技术进步、技术效率变化和全要素生产率增长具有长期稳定均衡关系;福建省对外经济开放对福建省农业技术效率具有促进作用,但对农业技术进步具有"挤出效应"。     

Currency diversification and export competitiveness: A model of the ‘Dutch disease’ in Egypt

The paper presents a dynamic portfolio model under currency inconvertibility which rationalizes the recent Egyptian experience of real exchange rate appreciation and currency diversification following the increase in oil exports and the partial financial liberalization that took place after 1976. The two shocks are linked because the relative price of manufacturing exports in terms of oil is also the premium of the ‘gray’ market rate over the official exchange rate. The effects of various official exchange rate policies on the temporary equilibrium values of the premium and the real wage and on the steady-state values of asset stocks are examined. A review of the Egyptian experience in light of the model results suggests that the unification of 1979 was ineffective against this variant of the ‘Dutch disease’ but that the restoration in 1981 of a parallel rate closer to the ‘gray’ market rate applicable to competitive exports may be more effective.     

Modeling Price Volatility Linkages between Corn and Wheat: A Multivariate GARCH Estimation

The present paper attempts an empirical investigation on price volatility linkages between two important agricultural commodities: corn and wheat, by using a multivariate GARCH-BEKK model. Evidence of bidirectional linkages were found between corn and wheat in terms of returns and volatility. Multivariate conditional Student’s-t distribution results show a unidirectional volatility transmission from corn to wheat. Diagnostic tests reveal that the Student’s-t distribution will better model the volatility of returns when compared to the Gaussian distribution. Overall, the results show that the conditional variances and covariances between agricultural commodity market returns exhibit significant changes over time.     

Foreign exchange market interventions and the $–¥ exchange rate in the long run

This article examines whether foreign exchange market interventions conducted by the Bank of Japan are important for the dollar–yen exchange rate in the long run. We rely on a re-examination of the empirical performance of a monetary exchange rate model. This is basically not a new topic; however, we focus on two new questions. First, does the consideration of periods of massive interventions in the foreign exchange market uncover a potential long-run relationship between the exchange rate and its fundamentals? Second, do Forex interventions support the adjustment towards a long-run equilibrium value? Our results suggest that taking periods of interventions into account within a monetary model does improve the goodness of fit of an identified long-run relationship to a significant degree. Furthermore, Forex interventions increase the speed of adjustment towards long-run equilibrium in some periods, particularly in periods of coordinated forex interventions. Our results indicate that only coordinated interventions seem to stabilize the dollar–yen exchange rate in a long-run perspective.     

汇率与股价变动关系:基于汇改后数据的实证研究

研究我国2005年7月汇率制度改革后汇率与股市的关系及其传导机制,有助于深刻认识金融市场联动特征,对于防范金融市场风险和完善我国资本市场、外汇市场等的改革具有重要的理论和实践意义。本文实证发现了汇率和股价存在着长期均衡的协整关系;从长期来看,两者关系符合流量导向模型,上证指数受到汇率长期影响,从短期来看,股市和汇市存在着交互影响,汇率变化影响股指变动有时滞。运用滚动窗口的Granger检验和加入其他重要宏观变量的多变量协整检验,本文证明了这种长期关系具有较强的稳健性。进一步从板块指数与汇率的关系来看,房地产、金融、民航、石化、钢铁指数均与汇率存在着长期的协整关系,汇率变化是这些板块指数的Granger原因。最后,本文对实证结果做出分析并指出了相应的政策含义。     

Causal relations between nominal exchange rates and monetary fundamentals in Central and Eastern European countries

The purpose of this paper is to investigate the causal relations between nominal exchange rates and monetary fundamentals. The analysis is conducted using panel quarterly data from the period 2001–12 for Central and Eastern European countries (including Turkey) with relatively flexible exchange rate regimes. The paper reconnects the empirical literature on exchange rates in Central and Eastern European countries with the most recent findings on exchange rate determination in advanced economies. Kóyna's approach, which accounts for linkages between countries, is used in the study. The main findings indicate the existence of causal relations running from both nominal exchange rates to monetary fundamentals and in the opposite direction as well as the existence of a relatively strong link between exchange rates and differentials in the relative price of non‐tradables.     

中国资本账户开放、利率市场化和汇率制度弹性化

开放经济下,资本流动、利率和汇率三者相互联动、相互协调、自动平衡。利率市场化是资本账户开放和汇率制度弹性化的前提条件;资本控制程度影响利率市场化和汇率制度弹性化;利率和汇率相互作用、相互传导。一国宏观经济调控政策的效果不仅仅取决于资本控制程度和利率或汇率水平的变动,更取决于资本控制、利率和汇率三者的联动效应。中国金融自由化改革进程中,必须正确处理好资本账户开放、利率市场化和汇率制度弹性化之间的关系,发挥三者联动协同效应,实现内外均衡。     

人民币均衡汇率最优决定研究

随着经济全球化和国际贸易、国际结算的迅猛发展,汇率成为经济中一个主要变量,影响着一国的经济,被企业社会所广泛关注。均衡汇率模型的核心是分析基本经济因素变化对均衡汇率的影响,并利用它们之间存在着的系统联系来估计均衡汇率。     

Trade prices and supply in the UK economy

Current account imbalances are a major source of instability in the world monetary and trading system. Measures to correct these imbalances have largely involved adjustments to exchange rates. In the international trade literature, when the current account is in deficit, the Marshall-Lerner condition is sufficient for a successful devaluation. However, this partial equilibrium condition — apart from being based on the assumption that supply elasticities are infinite — abstracts from how the domestic economy responds to the change in relative prices. In this paper we develop a model of price and output determination in an open economy with imperpectly competitive markets, and draw a distinction between goods which are exported and those which are supplied to the domestic market. This means that we have to determine jointly both export prices and the domestic price of house sales. We show that as long as there is no money illusion in the labour market a fall in the nominal exchange rate raises domestic and export prices proportionally and leaves trade volumes unaffected. However, shifts in domestic absorption relative to overseas demand — by changing relative prices — cause shifts in the relative supply of exports and domestically sold goods and affect the trade balance. Thus fiscal and monetary measures directed towards reducing domestic absorption are more likely to be successful in correcting current account imbalances than exchange rate depreciation.     

The internal and external equilibrium exchange rate of RMB: 1982–2010

This paper estimates fundamental equilibrium exchange rate of RMB based on internal and external balance of China’s economy. The findings indicate that RMB real exchange rate is overvalued in the period of 1982–1991, but the extent of the undervaluation has an enlarging trend since 2004. Then, we put forward a new theory called “Prior Equilibrium Exchange Rate” and apply it to RMB, finding that real effective exchange rate of RMB need to be appreciated about 20% between 2008 and 2010, and the appreciation range of bilateral nominal exchange rate between RMB and the world’s key currencies depends on the objective functions of the government. Policy implication indicates that decision makers need to refer to equilibrium exchange rate which is derived from different theories and to make great efforts to adjust it towards equilibrium level and establish RMB “Prior Equilibrium Exchange Rate.” Meanwhile, policymakers should implement a potential objective interval system of exchange rate appreciation. The appreciation range of bilateral exchange rate of RMB against USD from 2008 to 2010 may be set between 6% to 10%.