供给因素、结构变化、汇率与我国的双边贸易

基于考虑供给因素、结构变化的出口决定模型,采用两方程方法和单方程方法研究了外国GDP、中国GDP、结构变化、汇率与我国17个双边贸易之间的关系。研究表明:供给因素、结构变化对我国双边贸易有重要影响,供给因素对我国与美、澳、马、巴、新、泰、加进口及出口的影响存在严重的不对称性,结构变化对我国与德、印、加进口及出口的影响存在严重的不对称性,汇率对中国对15个贸易伙伴国出口与进口的影响存在严重的不对称性。采用出口除进口表示贸易收支做法的单方程方法的研究存在严重错误。经济增长模式对双边贸易有重要影响,人民币升值对我国双边贸易不平衡有一定的矫正作用,对改善我国双边贸易不平衡的国别分布有较大的积极作用。     

Export diversification and real exchange rate in emerging Latin America and Asia: A South–North vs. South-South decomposition

The present paper examines the directional causality between export diversification and real exchange rate in the middle-income countries of Asia and Latin America over the period from 1995 to 2013. Additionally, we investigate asymmetries in the causality issue by examining the direction across trading partners.

Our empirical results show that there is a two-way causality between the two variables when we look at the sample as a whole. A causal link running from the real exchange rate to export diversification is consistent with the standard literature but it is not systematic at all. The reverse causation is very appealing and challenges the standard argument on exchange rate determination. When the causality issue is investigated by treating export markets differently, our findings at the aggregate level are confirmed in exports destined for the advanced countries. The analysis for ‘South-South’ trade only shows a unidirectional link from the real exchange rate to changes in export diversification. The same tests performed at the individual countries level reveal a heterogeneous causality across trading partners.     

The effects of exchange rate fluctuations on exports: A sectoral analysis for Turkey

This paper examines the effects of exchange rate fluctuations on disaggregated data comprising 21 exporting sectors (BEC classification) in Turkey. Building on a theoretical model that decomposes movements in the exchange rate into anticipated and unanticipated components, the empirical investigation traces the effects through demand and supply channels. Anticipated exchange rate appreciation, in line with movements in underlying fundamentals, has significant adverse effects, contracting export growth across many sectors. Random fluctuations in the exchange rate, deviations around steady-state equilibrium, have asymmetric effects on sectoral export growth. The evidence indicates increased contraction of export demand to currency appreciation over time. In contrast, the effect of depreciation in stimulating export growth has lost momentum over time. While exchange rate fluctuations had a positive net effect on export growth before 2003, the net effect is negative for the post-2002 period. The implications are anticipated movement in the exchange rate guides export plans, signaling the importance of managing fundamentals to anchor rational forecasts. Moreover, less variability of the exchange rate is likely to improve sectoral export growth in Turkey over time.     

EXCHANGE RATE BANDS OF INACTION AND PLAY‐HYSTERESIS IN GERMAN EXPORTS—SECTORAL EVIDENCE FOR SOME OECD DESTINATIONS

A non‐linear model is applied, where suddenly strong spurts of exports occur when changes of the exchange rate go beyond a zone of inaction, which we call ‘play’ area—analogous to mechanical play. We implement an algorithm describing path‐dependent play‐hysteresis into a regression framework. The hysteretic impact of real exchange rates on German exports is estimated based on the period from 1995Q1 to 2010Q3. Looking at some of the main export partners of Germany outside the euro area and some of the most important tradeable sectors we find significant hysteretic effects for a part of the German exports.     

Exchange rate fluctuations,firm size,and export behavior: an empirical investigation

In this paper, we examine how changes in the exchange rate and its volatility affect the export behavior of manufacturing firms. We also investigate whether both exchange rate changes and exchange rate volatility affect firms of different sizes differently. Applying the two-step system generalized method of moment estimator on our data for a sample of 221 Pakistani manufacturing firms, we find that the real exchange rate depreciation has positive impacts, whereas the exchange rate volatility has negative impacts on firms’ exports. We also find that compared to large-sized firms, small- and medium-sized exporting firms are more likely to benefit from currency depreciations. Yet, regarding the effect of exchange rate volatility, we find that the adverse impact of exchange rate volatility is weaker for large-sized firms as compared to small- and medium-sized firms. Our findings confirm the presence of nonlinearity in export-deterring (favoring) effects of exchange rate volatility (depreciation) on exporting behavior depending on firm size. Pakistan should design and implement export-favoring preferential policies by emphasizing on real exchange rate stabilization and providing incentives to large firms to come into being. Small- and medium-sized enterprises should develop such export strategies that help reduce their size disadvantages, particularly in managing exchange rate risks.     

Who Gains From Nominal Devaluation? An Empirical Assessment of Euro‐area Exports and Imports

In early 2013, rumours about the euro‐appreciation gained momentum, which may lead to decreases in exports and increases in imports of the member states. Therefore, we investigate the impact of changes in the nominal euro exchange rate vis‐à‐vis major currencies on export and import performance of nine different euro‐area countries. To disentangle the ‘true’ equilibrium elasticities Stein's unbiased risk estimate (SURE) system error correction models (SSECM) are estimated for nominal exchange rate changes versus the rest of the world or other major currencies. To differentiate between price level changes and changes of the nominal exchange rate, a country's export and import equation is estimated using separately the nominal rate and the relative price/unit labour cost as regressors. Results of Wald tests indicate that assuming both variables to have the same influence on exports and imports is misleading. Whether the relative price/unit labour costs elasticities are high or low depends crucially on which indicator is chosen, while the effect of nominal exchange rate changes can be estimated robustly for all countries in the sample. In particular, France and Spain are hit by a euro‐appreciation since their exports are highly exchange rate elastic. However, for France, this effect is at least partly offset by an also negative exchange rate elasticity of imports.     

我国出口国(区)别分布及出口增长的影响因素

本文基于1997-2008年我国对25个主要贸易伙伴出口额等面板数据建立了6个贸易引力模型,筛选出了两国首都(城市)之间贸易平均里程等10个影响贸易流量及出口增长的因素,通过对比研究,发现不同因素对我国出口流量的国别分布以及出口增长有着不同程度的影响。同时,本文给出了某一年份我国对不同贸易伙伴的名义和实际出口增长潜力的测算方法。     

Export Performance of Brazilian States to Mercosul and Non-Mercosul Partners

ABSTRACT

We investigate the role of the trade-weighted real exchange rate and foreign income on the export performance of Brazilian states, differentiating between Mercosur and non-Mercosur partners. The results indicate that state exports are price and income inelastic. There are differences in the influence of the different trade factors between the two groups of partners. One crucial difference is the relevance of the real exchange rate effect for non-Mercosur partners. This might be associated with the existence of specific rules for Mercosur that can overcome the usual effect of relative competitiveness associated with movements in the real exchange rate.     

Misalignment of the Baht and its Trade Balance Consequences for Thailand in the 1980s and 1990s

This paper examines Thailand's pre‐crisis exchange rate policy, focusing on the degree of the country's real exchange rate misalignment pre‐crisis and its consequent effects on Thailand's trade balance with its two large trading partners, the US and Japan, in the 1980s and 1990s. Defining misalignment as the difference between actual and ‘equilibrium’ exchange rates, we estimate three key ‘equilibrium’ exchange rates of the Thai baht: (a) the real effective equilibrium exchange rate of the Thai baht against its twenty‐two major trading partners; (b) the bilateral real equilibrium exchange rates of the baht against the US dollar; and (c) the bilateral real equilibrium exchange rate of the baht against the Japanese yen.     

基于马歇尔—勒纳条件的中国茶叶贸易收支研究

马歇尔—勒纳条件是分析汇率变动对贸易收支影响的重要理论。本文采用我国1986～2008年茶叶进出口的序列数据,通过分析我国对不同经济体的茶叶进出口需求弹性,并构建实际有效汇率等因素与茶叶贸易收支的计量模型,研究了我国茶叶进出口与马歇尔—勒纳条件间的满足关系。研究表明,我国与不同国家的茶叶贸易收支受汇率变动的影响不同;就我国茶叶对外贸易总体而言,茶叶进口价格下降会增加进口额,出口价格上升会增加出口额;而人民币升值会改善我国茶叶贸易收支,人民币贬值会恶化我国茶叶贸易收支,且进出口需求弹性之和小于1。因此,我国茶叶贸易收支反向符合马歇尔—勒纳条件,这为汇率波动背景下科学处理茶叶贸易问题提供了重要的理论指导。     

The role of processing trade in exporters' responses to exchange rate: Evidence from China

Processing trade is an important exporting mode for many countries developed by the export-oriented industrialisation such as 1960s Japan, 1990s Korea and 2000s China. Exporters who rely on processing trade for foreign profits do not enjoy much market power, and hence care more about exchange rate changes. We develop a model to illustrate how processing trade affects exporters' responses to exchange rate fluctuations. The model suggests that the elasticity of export price with respect to exchange rate for processing-trade exporters is greater than that of the ordinary-trade exporters, while the elasticity of export quantity of processing-trade exporters is smaller compared to their ordinary-trade counterparts. Most developing countries' governments offer processing-trade exporters better tax/tariff reduction policy to encourage exporting, which grants processing-trade exporters additional advantage to adjust more on export price and less on quantity when facing changes in exchange rate and therefore causes their different responses to exchange rate fluctuations. We find strong empirical supports by studying the data from China, which is the largest developing country and biggest processing-trade exporter.     

出口退税的贸易效应研究 ——来自中国服装出口的经验评估

在我国历年出口退税政策调整中,服装产品退税率的调整频率和幅度在各行业中最为突出。以引力模型为基础,研究我国出口退税政策对服装出口的影响。实证结果表明,在控制贸易双方GDP、地理距离、货币相对购买力和国别特定因素条件下,出口退税政策调整对服装出口具有显著影响,提高出口退税率可以稳定或扩大出口,有效应对外需疲软。为消除出口骗税产生的虚假贸易数据的影响,以扣除贸易成本的进口国报告的进口额衡量我国出口贸易规模,实证结果再次印证,出口退税对服装出口有显著促进作用。     

我国出口汇率弹性与收入弹性估算:1995-2009

利用1995-2009年我国向前18大贸易伙伴出口的月度数据,采用协整技术计算我国出口的长期汇率弹性和收入弹性,并进一步利用脉冲响应计算出口的中短期汇率弹性,结果显示人民币名义汇率对双边贸易出口影响较为显著,但对总出口影响可能不显著。从影响力比较来看,进口方GDP对我国出口的影响明显超过汇率。     

Exchange rate volatility and Turkish industry-level export: Panel cointegration analysis

The purpose of this article is to investigate the impact of the exchange rate volatility on Turkey's export. To this end, the panel cointegration analysis is applied to the data from Turkey's top 20 export industries to major 20 trading partners for the period 1980–2009. Special attention is paid to test for whether employment of country-level trade data instead of industry-level data is subject to the aggregation bias problem in the estimation of long-run cointegration parameters. The results indicate that employing country-level trade data suffers from the aggregation bias in estimating the cointegration parameters for the level of exchange rate and for the exchange rate volatility. The findings imply that (i) the impact of the exchange rate volatility on Turkish exports differs across industries, (ii) Turkey benefits from the depreciation of Turkish lira, and(iii) the foreign income plays a key role in determining the Turkish industry-level exports. The findings increase our insights to explain therecent dynamics of Turkish exports and provide some policy implications.     

国际油价与人民币汇率的非对称溢出效应研究--基于VEC-BEKK-GARCH模型

石油作为重要的战略能源,其价格波动对全球经济的运行和发展会产生极大的影响。为测算国际油价与人民币汇率的均衡关系及非对称溢出效应,选取2008年1月~2019年7月的每日数据,在平稳性检验的基础上,综合运用协整检验和脉冲响应函数等方式,对二者的均值溢出效应进行测量;在VECBEKK-GARCH模型的支撑下,对其非对称波动溢出效应水平进行测算。研究结果表明:国际油价与人民币汇率的协整关系和均值溢出效应处于长期均衡状态;二者的非对称波动溢出效应是双向的,国际油价会随人民币汇率的变化呈现出时变性和持续性特征,而国际油价变动具备持续性特征时,人民币汇率随之产生变化。这种非对称波动溢出效应表明,无论国际油价如何变化,对人民币汇率的冲击都是非对称的。     

Synchronised Business Cycles in East Asia and Fluctuations in the Yen/Dollar Exchange Rate

Because many authors have proposed stimulating the ailing Japanese economy by monetary expansion and yen depreciation, we explore the repercussions of depreciating the yen against the dollar on the other East Asian economies – which largely peg to the dollar. Since 1980, economic integration among Japan's neighbours – China, Hong Kong, Indonesia, Korea, Malaysia, Philippines, Singapore and Thailand – has intensified and (except for China and Singapore) their business cycles have been highly synchronised. These cycles have been closely linked to fluctuations in the yen/dollar exchange rate – through changes in the export competitiveness, inflows of foreign direct investment and intra‐Asian income effects. We show that a major yen devaluation would have a negative impact on incomes in other East Asian economies and that it is not a sensible policy option for Japan.     

A new perspective on the third-country effect: The case of Malaysia–US industry-level trade

Cushman suggested that impact of exchange rate volatility declines after the inclusion of the third-country effect. Like Cushman, when we use a linear analysis, we confirm his results. However, when we engage in asymmetric effects of exchange rate volatility which requires including nonlinear adjustment of volatility measures, the findings show more support to both exchange rate volatility influence and the third-country effect. Therefore, we propose that in examining exchange rate volatility effect on trade, consideration must be given to not just asymmetric effects of exchange rate volatility but also asymmetric effects of the third-country effect. We demonstrate these findings using monthly data from 54 Malaysian industries that export to the US and 63 Malaysian industries that import from the US.     

Is China's Exchange Rate Policy a Form of Trade Protection?

This paper examines how China's heavily managed exchange rate contributes to its huge trade surplus with its major trading partners, most notably the United States. Based on the distinction between economies’ aggregate output and expenditure and on the premise that exchange rates are shared variables, it develops a straightforward framework that shows how exchange rate management by China's central bank affects China's fast growing output, expenditure, employment, and trade balance, while simultaneously influencing these aggregates in its slower growing industrialized trading partners. This framework reveals that under conditions of limited private capital mobility an inflexible yuan yields higher short-run output gains for China at trading partners’ expense through a form of “exchange rate protection.” At the same time exchange rate misalignment limits China's consumption and hence living standards. A misaligned currency is also shown to bias international saving and investment flows and is central to any explanation of global imbalances.     

Trade Causes of the Asian Crisis: The Malaysian Experience

Prior to the onset of the Asian financial crisis there was a deterioration in the external trade position of most countries that were affected by the Asian currency crisis. However, little is known about why this occurred. This paper aims to identify the causes of a slowdown in export growth in Malaysia. While misaligned exchange rates have been widely cited as a cause of the slowdown in East Asia; in the Malaysian context at least a vulnerability to the downturn in the electronic cycle could also be a major factor leading to poor export performance. Using the US/yen dollar rate as a proxy for exchange rate misalignment and US total new orders for electronics as a proxy for global electronics demand, cointegration analysis was used to establish the likely causes of a slowdown in Malaysia's export performance. The empirical evidence suggests that the coincidence of exchange rate misalignment with a downturn in the global electronics demand cycle was responsible for the sharp deterioration in export performance.     

汇率与中国对外出口关系的实证研究

运用Granger因果检验以及协整、误差修正模型、多元回归模型等计量经济学分析方法,对中国内资企业出口与汇率的关系进行实证分析,得出的主要结论是:实际有效汇率与中国企业内资出口间没有因果关系,并且无论在长期和短期实际有效汇率的变动都不能有效地解释内资出口的变动,说明人民币汇率的变化对内资出口影响非常小。国际上因为贸易逆差而指责中国的汇率政策,其理由是不充分的。