美元汇率对美国进出口商品价格传递率的实证分析

本文实证分析了美元汇率按美国总进出口价格、分段进出口价格、分类商品进出口价格的传递率。实证结果表明,无论美元升值还是贬值,美国的进出口价格指数都会下降,而且美国出口价格的传递率比同期进口价格的传递率要小得多,升值期的传递率也比贬值期的传递率要小;美元升值比贬值对美国经常账户赤字的纠正更有利。因此,建议美国实行美元适度升值的政策,而且要结合其他政策才能改善其巨额经常账户赤字。     

The impact of real exchange rate movements on firm performance: A case study of Taiwanese manufacturing firms

Taiwan experienced large depreciations of its currency, the New Taiwan (NT) dollar, in the late 1990s. The largest real depreciation, 13 per cent, occurred during the East Asian Financial Crisis. Since Taiwan was subjected neither to the economic turmoil of the crisis itself nor to the subsequent reforms, its experience provides a good opportunity for studying the effects of exchange rate changes on firm performance. This paper empirically examines the exchange rate effects on firm exports, domestic sales, total sales, value-added and productivity, by using data on firms listed on the Taiwan Stock Exchange merged with customs trade data covering the period of 1992–2000. Our findings indicate that the real depreciation of the NT dollar led to an increase in exports, domestic sales, total sales, value-added, and productivity. In addition, we find that the productivity improvement induced by real currency depreciation may be a result of firm scale expansion.     

Indonesian Foreign Debt: Headed for A Crisis or Financing Sustainable Growth?

This paper examines the build-up in Indonesia's foreign debt between 1981 and 1993, and explores the potential for a debt crisis during Repelita VI. It concludes that Indonesia is not headed toward a crisis in the immediate future- Borrowed funds have generally financed productive investments, contributing to rapid growth in GDP and exports since the late 1980s. If recent trends continue, debt should ease gradually; if not, the economy could withstand a substantial balance of payments shock, at least for a while. A debt servicing problem, although unlikely, is conceivable by the end of the decade. Short-term debt is growing rapidly, non-oil export growth has slowed, and debt service remains high. Appropriate government actions to reduce the potential for a crisis include further deregulation to support growth in non-oil exports, discouraging implicit government guarantees for private sector projects, and reducing government exposure to yen-denominated debt.     

Has pass-through to export prices risen? Evidence for Japan

This paper investigates the exchange rate response of Japanese export prices over the period 1980 through 2007 using sector-specific measures of the yen’s value relative to invoicing currencies. It finds a significant increase in the response of total export prices to the yen in the late 1990s. The rise in the total export price response is traced to increases in the exchange rate response of two key export sectors. These findings for Japanese exports are consistent with the documented decline in pass-through to OECD import prices and suggest the latter could originate with changes in export pricing behavior.     

Why China Should Invest Its Foreign Exchange Reserves in the Major US Banks

The subprime mortgage crisis and the resultant inflationary monetary policy in the USA have left the Chinese economy subject to four risks in particular. First, China＇s exports to the USA might continue to decline. Second in the medium term, the higher US inflation rate will lead to a weak dollar, which will negatively affect China＇s exports. Third in the long term, when the US Federal Reserve decreases money supply to control inflation, the US economy might enter another recession, hurting China ＂s exports further. Fourth, China＇s foreign exchange reserve assets might suffer heavy losses when the US inflation rate rises. Conventional foreign exchange investment strategies are insufficient for dealing with these four risks. Investment by China in the major US banks is suggested in the present paper. This strategy would mitigate if not eliminate all four risks. China could gain considerable financial returns on investments with only moderate risk.     

The dollar in the turmoil

We study the impact of the global financial crisis on the equilibrium exchange rate of the US dollar. We first simulate the impact of the crisis on the US net foreign asset position. Then, we calculate the equilibrium value of the dollar according both to a BEER and to a FEER approach. We find the case for a strong, although temporary, depreciation of the dollar even more acute than before the crisis. This suggests that the strength of the dollar in late 2008 and early 2009 may be short-lived.     

Effect of exchange rate return on volatility spill-over across trading regions

This paper examines the effect of realized exchange rate returns on the volatility spill-over between the euro–US dollar and US dollar–yen currency pairs across the five trading regions: Asia, Asia–Europe overlap, Europe, Europe–America overlap and America. Modelling the interaction between returns and volatility in an autoregressive five-equation system, we find evidence that depreciation of the US dollar against the yen has a greater impact on the US dollar–yen volatility spill-over than appreciation in the subprime crisis period. Appreciation and depreciation of the US dollar against the euro does not appear to have an asymmetric effect on the euro–US dollar volatility spill-over. Our results support the notion that the yen may have been preferred to the euro as a ‘safe-haven’ currency relative to the US dollar during the subprime crisis period.     

HONG KONG'S INFLATION AND DEFLATION UNDER THE US DOLLAR PEG: THE BALASSA-SAMUELSON EFFECT OR EXPORT PRICE SHOCKS?

Hong Kong's US dollar peg, adopted in 1983, has failed to deliver price stability. Hong Kong experienced high inflation before the Asian financial crisis and prolonged deflation after it. The annual rate of inflation (GDP-deflator based) was 7.4% in the first period (1985–97) and −2.0% in the second (1998–2007). There was no clear trend for the inflation rate to converge to the US level. The nominal anchor via a fixed exchange rate in Hong Kong had an upward and downward drift in the order of 4% from the US inflation rate, casting doubt on the anchor's efficacy. Despite Hong Kong's high output growth relative to that of the United States, the Balassa-Samuelson effect was not the main factor behind the pre-Asian crisis inflation. Price shocks in service exports played a major role in Hong Kong's general prices through the two periods.     

Does quality differentiation matter in exporters' pricing behaviour? Comparing China and India

The product quality dimension has been rarely mentioned as a factor explaining the heterogeneous pricing strategies of exporters. This could underestimate the degree of mark-up adjustment and the extent of incomplete exchange rate pass-through (ERPT) at a disaggregated level across products and destination markets. This paper investigates the role of quality differentiation in price discrimination using data for China and India's exports disaggregated at the 6-digit product level across destination markets. The paper adopts an empirical approach that incorporates gravity model explanatory factors and allows disentangling the effect of quality on trade prices and volumes from that of other sources of price variation. After excluding short duration export spells, China's export prices denominated in foreign currency terms increase with the yuan's depreciation, implying an increase in exporters' mark-ups, but they decrease as expected in the case of India. However, mark-up increases decline with product quality and destination market income, as the elasticity of demand perceived by exporters increases. These findings remain robust to different measures of quality, samples, specifications, and to the potential endogeneity of quality.     

SURVEY OF RECENT DEVELOPMENTS

Summary Apart from the peaceful December elections in Aceh, many major recent news stories from Indonesia have been about disasters of some kind: the sinking of an interisland ferry, the crash of a commercial plane, the continuing misery caused by a seemingly unstoppable mud flow in East Java, and severe flooding in and around Jakarta. The largely symbolic dissolution of the Consultative Group on Indonesia in January has helped neutralise economic nationalist criticism of the president.

The rate of output growth rose to 6.1% in the December quarter, driven by a sudden surge in investment spending. Inflation was modest, at 6.3% in the year to January 2007; the exchange rate has been steady; and the Jakarta Stock Exchange has been booming. The budget deficit is well under control, and public debt continues to decline relative to GDP. At the same time, it is a concern that exchange rate and monetary policies have increasingly come to resemble those in the months preceding the 1997–98 crisis.

Recent surveys confirm that Indonesia's investment climate remains poorer than those of its neighbours. The problem is exemplified by the uncertainty facing new investment in the oil and mining sectors: oil exploration has been sluggish, causing output to fall well below Indonesia's OPEC quota and, although mining operations have been highly profitable in recent years, spending on exploration and new mine development has declined steadily. Meanwhile, the government's hopes of improving infrastructure through public–private partnerships were met with a wait-and-see attitude by private sector participants attending a second infrastructure summit in November.

Non-oil manufacturing grew more slowly than GDP in 2006, reversing the outcome for 2005. Non-oil manufactured exports grew steadily over 2004–06, but there seems little prospect of a resumption of the double-digit growth of the late 1980s and early 1990s. Aside from the poor investment climate and infrastructure shortcomings, the constraints on manufactured export growth include strong competition from China and Vietnam and declining competitiveness resulting from big increases in regulation-driven labour costs.

In March 2006 the poverty rate stood at 17.8%, up from 16.0% in February 2005. A World Bank study has attributed this to the large increase in rice prices caused by the ban on rice imports. It argues that the Unconditional Cash Transfer program, which provided direct cash transfers to 19.2 million poor and near-poor households, more than offset the impact of the steep fuel price increases in 2005, although these findings have been the subject of vigorous debate.     

Vertical trade and China's export dynamics

This paper examines how China's exports are affected by exchange rate shocks from countries that supply intermediate inputs to China. We build a simple small open economy model with intermediate goods trade to show that due to the intra-regional trade in intermediate goods, a devaluation of other Asian currencies does not necessarily hurt China's exports, as imported intermediate goods could become cheaper. The effect of intermediate goods costs depends critically on the share of intermediate goods used in China's export goods production and the degree of exchange rate pass-through in imported intermediate goods prices. If prices for intermediate goods are not very sticky, the effect through this channel could be large, and China's exports could even benefit. We find that these findings do not depend on China's choice of currency invoicing between the RMB and the US dollar or the choice between fixed and flexible exchange rate regimes.     

Pricing to Market： Chinese Export Pricing to the USA after the Peg

In July 2005, the Chinese Government unpegged the RMB from the US dollar. As the RMB has followed a remarkably predictable appreciation over time, I examine the price of Chinese exports to the USA after unpegging the exchange rate. Results suggest that the Chinese industries with greater import market share were able to raise their prices after the removal of the pegged exchange rate regime; however, over time there is a significant deflationary trend. Chinese export prices tended to decrease under an unanticipated RMB appreciation; this effect was more pronounced for industries with more pricing flexibility. This suggests that Chinese exporters are consistently ＂pricing to market＂ and thus creating a significant foreign exchange policy implication. Specifically, a more flexible exchange rate regime will likely have little impact on the prices of Chinese exports to the USA but might increase the profit volatility of Chinese firms.     

SURVEY OF RECENT DEVELOPMENTS

Managing the Indonesian economy in 2015 has proved challenging for the administration of Joko Widodo (Jokowi). In a first quarter plagued by external adversity—especially a sharp drop in exports to China—coupled with internal political paralysis and the delayed disbursement of fiscal spending, the economy recorded its lowest rate of growth since 2009. Observing relatively stable inflation, Bank Indonesia (BI), the central bank, eased its policy rate in February by 25 basis points, to 7.5%. The bank also adjusted its macroprudential measures to counter declining bank lending. On the fiscal side, the expected stimulus from fuel-subsidy reallocation and aggressive public-capital spending did not arrive. Meanwhile, tax revenue made slow progress towards its ambitious target, which it seems unlikely to attain.

Increases in supply costs made it difficult for the government to align domestic fuel prices more closely to the market. Major commodity exports fell significantly, but some manufactured exports showed hints of an upturn. The depreciation of the rupiah, the global strategies of leading investors, and the introduction of taxexemption policies that have been tested in neighbouring countries may have contributed to this trend. To further broaden the base of export diversification, the priorities should be to reduce business costs and enhance competition rather than enforce mandatory regulations. Jokowi has stressed that his focus on maritime development, part of a broader development strategy, includes reducing logistics costs.

The second quarter of 2015 saw the start of several projects in Jokowi's flagship ‘sea toll’ program to improve maritime connectivity. There is a concern, however, that the predominance of state-owned enterprises (SOEs) in strategic port operations will continue to limit competition and reduce efficiency. Jokowi's development strategy also focuses on reducing inequality. His government has implemented several distribution and redistribution policies, including the national social-security system initiated by the previous administration. The system suffered financially in its first year from low participation among those in the informal sector.     

Exchange rate pass-through in Korea and Thailand: Trends and determinants

An important but age-old transmission channel of global factors into domestic prices is via exchange rate movements. This paper examines the extent and evolution of exchange rate pass-through (ERPT) into Korea's and Thailand's consumer and import prices at the aggregate level for the period over the last two decades. We find that ERPT appears to be consistently higher for Thailand compared to Korea; while for both nations ERPT of their respective bilateral rates with respect to the US dollar is higher than with respect to the Japanese yen. The paper also investigates if and how ERPT has changed over time, especially during and after the currency crisis period of 1997–1998, as well as its macroeconomic determinants.     

Labour Market Adjustment to Indonesia's Economic Crisis: Context,Trends and Implications

This paper focuses on labour market adjustment during the economic crisis of 1997–98. It shows how labour processes help explain better outcomes for the poor than were initially predicted. The Indonesian experience is viewed in a framework that contrasts two extreme models: a Keynesian world of rigid real wages, and a neoclassical situation of flexible adjustment to economic shocks. It was found that the Indonesian case is more consistent with the neoclassical than the Keynesian model, despite the tendency for greater government intervention in labour markets before the crisis. The paper also finds that the large change in relative prices from the exchange rate depreciation had a smaller effect than expected on employment structure. These conclusions are discussed in the context of major changes in labour markets prior to the economic crisis.     

技术性贸易壁垒对浙江省外贸出口的影响和对策

技术性贸易壁垒(TBT)是不同于传统关税和非关税壁垒的新型措施,它已成为发达国家实行贸易保护的重要手段,这对浙江省的外贸出口带来极为不利的影响。本文在介绍了近年来TBT对浙江省外贸出口影响概况的基础之上,以美国为例对1996～2006年影响浙江省外贸出口的因素进行了回归分析,结果表明:美国GDP的增长有利于浙江省的外贸出口,而人民币的升值(美元贬值)和美国TBT的增加将对浙江的外贸出口带来不利的影响。文章最后从政府、企业和行业等三个角度提出了浙江省外贸出口应对TBT的相关对策建议。     

Exchange Rate Changes and Export Prices in a Small Semi-Open Economy

This paper analyses the reaction of export prices to exchange rate changes in Nigeria. The major proposition examined in the study is that, exchange rate changes are not reflected fully in the prices of the country's exports. The analysis suggests that manufactured export firms in the country may have been price discriminating between domestic and export markets; only about 93% of exchange rate changes occurring in the period 1986 to 1995 is shown as reflected in the domestic price of manufactured export. However, this result is qualified by the fact that, over 75% of the data analysed were generated.     

我国出口汇率传递的非对称性:来自中日贸易的证据

文章扩展了Yang（2007）的厂商定价模型，对汇率传递非对称性、特点和成立条件进行理论分析，发现对称传递需要满足严格的条件，而现实中更常见的是非对称汇率传递。在一定条件下，商品需求弹性越大，越可能呈现出口国货币贬值传递率高而升值传递率低的特点。利用2000年1月至2011年12月我国出口日本的966种商品价格数据，发现汇率波动向价格传递具有非对称性：（1）人民币升值时，日元价格上涨较少；而贬值时，价格下降较多。我国出口商品的需求弹性较大，在日本市场上面对的是一个强竞争结构。（2）若月度升值超过一定幅度（测算约为2.43%），传递率又会有所上升，说明尽管日元价格易跌难涨，但在升值导致成本上涨较多、明显挤压利润时，厂商不得不适当提高日元售价。采用2000年至2018年9月日本从中国进口单位价值指数进行稳健性检验，得出类似结论。现阶段稳定的人民币名义汇率对我国出口企业是更为有利的。     

Export Promotion through Exchange Rate Changes: Exchange Rate Depreciation or Stabilization?

Exchange rate movements affect exports in two ways—rate depreciation and rate variability (risk). A depreciation raises exports, but the associated exchange rate risk could offset that positive effect. The present paper investigates the net effect for eight Asian countries using a dynamic conditional correlation bivariate GARCH-M model that simultaneously estimates time-varying correlation and exchange rate risk. Depreciation encourages exports, as expected, for most countries, but its contribution to export growth is weak. Exchange rate risk contributes to export growth in Malaysia and the Philippines, leading to positive net effects. Exchange rate risk generates a negative effect for six of the countries, resulting in a negative net effect in Indonesia, Japan, Singapore, and Taiwan and a zero net effect in Korea and Thailand.     

Exchange Rates and Trade Balance Adjustment: A Multi-Country Empirical Analysis

This study assesses the response of the trade balance to exchange rate fluctuations across a large number of countries. Fixed-effects regressions are estimated for three country groups (industrial, developing and emerging markets) on annual data for 87 countries from 1994 to 2010. The trade balance improves significantly after a real depreciation, and to a similar degree, in the long run for all countries, but the adjustment is significantly slower for industrial countries. Emerging markets and developing countries display relatively fast adjustment. Disaggregation into exports and imports shows that the delayed adjustment in industrial countries is almost entirely on the export side. The rate of adjustment in emerging markets is slowing over time, consistent with their eventual graduation to high-income status. The ratio of trade to GDP is also highly sensitive to the real effective exchange rate, with a real depreciation of 10 % raising the trade/GDP ratio across the sample by approximately 4 %. This result, which presumably reflects movements in the prices of tradables relative to non-tradables, raises questions about the widespread use of the trade/GDP ratio as a trade policy indicator, without adjustment for real exchange rate effects.