实际汇率与居民消费风险分担的动态关系——基于预期的视角

通过考虑居民预期行为的作用，实际汇率与居民消费风险分担的动态关系是一个附带预期的渐进调整过程。在利用东亚9个主要经济体的数据对该关系进行研究后发现：（1）东亚各国居民之间的消费风险分担程度较低，但是从2000年之后，居民消费风险分担程度在逐渐提高；（2）实际汇率变动基本上没有平滑东亚各国（地区）居民的消费变动；（3）持有静态预期行为的居民朝向长期消费风险分担均衡的调整程度较小，并且该调整速度较慢，同时持有理性预期行为的居民、持有适应性预期行为的居民背离长期消费风险分担均衡的调整程度较大，并且该调整速度较快，这是造成非完全消费风险分担均衡的重要原因。     

东亚金融一体化的动态及其收益

近年来，东亚一系列区域金融合作引起了学术界对地区金融一体化现状和收益的极大兴趣。文章基于价格和数量的测度考察了东亚地区金融一体化的程度：抛补利差和股权溢价的β收敛结果表明，危机之前东亚金融市场的全球和区域一体化并行，但在近几年，区域一体化趋势更强劲，超过了全球一体化；金融引力模型的结果表明，东亚主要的跨境金融投资者的区域内金融资产持有量比金融引力模型预测的水平更大。此外，面板回归确定了较高的金融一体化作为更广泛的金融发展的关键组成部分，会显著降低东亚国家对发达国家的经常账户失衡，因此，区域层面的金融一体化可以作为加强东亚国家的增长来源和提高经济弹性的重要政策路径。     

Financing investment in East Asia: Regional or global savings?

This paper investigates the extent to which domestic investment in East Asian countries is financed by domestic, (East Asian) regional and global savings in order to infer the relative importance of regional vs. global capital markets in East Asia. Panel regression results show that regional saving in East Asia plays a much more important role than global saving in financing investment in the region. The results suggest that global capital flows, despite its huge volume in East Asia, does not contribute to proper investment financing. The results also show that Japanese saving has significant effects on regional investment but Chinese saving does not.     

East Asian Export Competitiveness: New Measures and Policy Implications

This paper demonstrates the remarkable competitiveness of East Asian countries in world export markets for manufactures and develops some policy implications, both for developed and other developing economies. Using constant market share analysis, applied to data for exports from three East Asian countries–Korea, China and Indonesia–to markets in the industrially advanced economies (IAEs), it shows that East Asian countries have increased their share, not merely in IAE imports, but in total IAE market sales at the expense of exporters from other countries and of domestic IAE producers.     

Channels of international risk-sharing: capital gains versus income flows

Global financial integration unlocks a huge potential for international risk sharing. We examine the degree to which international equity holdings act as a risk sharing device in industrial and emerging economies. We split equity returns into investment income (dividend distribution) and capital gains to investigate which of the two channels delivers the largest potential for risk sharing. Our evidence suggests that net capital gains are a more potent channel of risk sharing. They behave in a countercyclical way, that is they tend to be positive (negative) when the domestic economy is growing more slowly (rapidly) than the rest of the world. Countries with more countercyclical net capital gains experience improved consumption risk sharing. The empirical analysis furthermore suggests that these risk sharing properties of net capital gains have increased through time, in particular in the 1990s and early-2000s, on the back of a declining equity home bias and financial market deepening.     

Business cycle synchronisation in East Asia

Against the background of the rapid inter- and intra-regional integration of East Asia, we examine the extent and nature of synchronisation of business cycles in the region. We estimate a dynamic common factor model for output growth of 10 East Asian countries. A significant common factor is shared by all Asian countries considered, except China and Japan. The degree of synchronisation has fluctuated over time, with an upward trend particularly evident for the newly industrialised economies. Synchronisation appears to mainly reflect strong export synchronisation, rather than common consumption or investment dynamics. A number of external factors, such as the oil price and the JPY–USD exchange rate, appear to play a role in synchronising activity.     

Regional Trade Agreements in East Asia: Will They Be Sustainable?*

By assessing the sustainability of regional trade agreements (RTAs) for East Asia, we quantitatively evaluate the likely impact of proposed East Asian RTA strategies on the East Asian economies and the world economy with respect to consumption, production, volume of trade and terms of trade effects by applying a multi‐country and multi‐sector computable general equilibrium model. These strategies include: (i) the ASEAN Free Trade Area (AFTA: a being‐left‐alone strategy); (ii) an ASEAN Hub RTA (a hub‐and‐spoke type of overlapping RTA strategy); (iii) the AFTA versus a China–Japan–Korea RTA (a duplicating or competing RTA strategy); and (iv) an ASEAN+3 RTA (an expansionary RTA strategy). We find that an expansionary ASEAN+3 RTA could be a sustainable policy option because the members’ gains would be significantly positive, with more equitably distributed gains between members than when using other strategies. The effect on world welfare would also be positive and the negative effect on nonmembers would not be very strong. More interestingly, if the East Asian countries cooperate with Pacific Basin countries to form an APEC‐level RTA, such as a free trade area of the Asia‐Pacific, the extension of the regional trade bloc might be considered a more desirable policy option than the proposed East Asian RTAs for East Asian economies, even though countries excluded from the free trade area of the Asia Pacific are worse off.     

An impact of economic integration through trade: on business cycles for 10 East Asian countries

Many recent studies about East Asian countries discussed “natural” economic integration through trade, but there are few rigorous empirical studies on how their economies were affected by the evolution of economic integration within the region. This paper investigates the effect of bilateral trade dependence on the co-movement of business cycles for 10 East Asian countries. We find that economic fluctuations tend to be more synchronized within the region as trade interdependence among them deepens. This finding suggests the necessity of cooperative efforts to prevent or adjust unfavorable future economic crisis in East Asia.     

Intranational Consumption Risk Sharing in South Korea: 2000–2016

This paper examines consumption risk sharing among 16 regions in South Korea over the 2000–2016 period. The empirical results show that 91.8 percent of shocks to gross regional domestic product are smoothed in South Korea. Capital markets, the tax‐transfer system and credit markets absorb 29.9, 28.9 and 33.0 percent of shocks to gross regional domestic product, respectively. Most notably, South Korea relies more on credit markets for risk sharing than capital markets, an opposite pattern to advanced countries like the USA, Canada and Australia. Furthermore, the patterns of consumption risk sharing are different before and after the 2007–2008 global financial crisis, and differences in regional industrial structure and local development can influence these patterns. This paper attempts to infer the connection between these findings and both the rapid economic growth of South Korea and the Asian and global financial crises.     

Exchange rate volatility,international trade and labour demand

The purpose of this study is to assess under what conditions exchange rate volatility generates a positive effect on an exporting firm’s labour demand. As the exchange rate volatility increases, so does the value of the export option, provided that firms are flexible with respect to international trade. Higher volatility increases the potential gains from trade and can increase the demand for labour. The firm’s trade flexibility can be interpreted as a real hedging strategy when financial markets are incomplete. In many newly industrializing countries and emerging economies financial markets are imperfect or risk sharing markets are just starting to develop at a rather slow pace.     

Influence of ADB Bond Issues and US Bonds on Asian Government Bonds*

This article examines whether there is a correlation between the government bond markets of Asian countries and those of the USA, and whether the efforts of international organizations to improve bond markets have had any effect in East Asia. Because the sizes of the government bond markets are larger than those of the corporate bond markets in East Asia, the present paper uses the daily data of government bonds to examine two questions: whether government bond yields in Hong Kong, Singapore and Thailand correlate with US government bond yields, and whether bonds in these Asian countries are influenced by ADB bond issues. The present study analyzes these issues by demonstrating the fluctuations in bond yields and carrying out an estimation using the exponential generalized autoregressive conditional heteroskedasticity model. The results substantiate that there is indeed a correlation between Asian and US bond markets, and that ADB bond issuance in local markets can contribute to the development of Asian bond markets.     

International financial integration and risk sharing among countries: A production-based approach

This paper develops a production-based model for analyzing a role of asset trade in pooling risks among countries and provides new evidence for the international consumption-output puzzle and risk sharing among countries. Efficient risk sharing rules among countries are the same as the conditions for full financial integration. Input prices and interest rates as well as technology shocks are found to be the driving variables for cross-country output co-movements. The international correlation puzzle reflects an inability to account for production risk sharing among countries in previous studies. The degree of international risk sharing is substantial relative to earlier estimates, which is largely realized from pooling production risks rather than consumption risks among countries.     

The Spatial Impact of Cultural Distances on Home Bias across Asian Emerging Markets

Using a set of individual country-pair data on cross-border equity transactions between seven Asian countries (China, Japan, Korea, Malaysia, Singapore, Thailand, and Australia) in the years 2002–2012, we document that investors are more likely to show similar extent of home bias across Asian emerging markets than the developed markets. The spatial panel regression analysis indicates that the spillover effects of cultural and economic distances are more significant than the effect of geometric distance. Investors’ familiarity about Asian countries seems to influence the similar extent of home bias across Asian financial markets, while not so in the developed countries. In particular, the spatial spillover influences of risk associated with cultural and economic distances are more prominent among the Asian financial markets than the developed countries. Our home bias model can be spatially applied to not only different regions but also to different types of investors in international portfolio flows.     

Electricity consumption and economic development in Asia: new data and new methods

This study uses a new statistical technique, Panel Analysis of Nonstationarity in Idiosyncratic and Common Components (PANIC) analysis, to examine causal linkages between electricity consumption and economic development in 12 Asian countries over the period 1971–2011. The findings indicate that there was no long‐run equilibrium relationship between electricity consumption and economic development in the region as a whole. More importantly, the causality tests detected unidirectional causality from economic development to electricity consumption for East Asian countries and a reverse causal relationship for South Asian countries. These findings have important policy implications for sustainable energy consumption.     

Implications of financial crisis for east Asian trend growth

The article sets the Asian financial crisis in the context ofthe developmental state model of Asian development and seesit as, in part, the downside risk of a financial liberalizationthat was badly handled but nevertheless appropriate as a stimulusto better productivity performance. The East Asian economiesare shown still to have a large labour productivity gap withthe leading OECD countries and substantial scope for furtherrapid catch-up growth. Historical experience suggests that thepolicy response to the crisis is fundamental not only to immediaterecovery prospects but also to realizing this remaining fastgrowth potential.     

The co-movement of stock markets in East Asia: Did the 1997–1998 Asian financial crisis really strengthen stock market integration?

This paper examines the integration and causality of interdependencies among seven major East Asian stock exchanges before, during, and after the 1997–1998 Asian financial crisis. For this purpose, we use daily stock market data from July 1, 1992 to June 30, 2003 in local currency as well as US dollar terms. The data reveal that the relationships among East Asian stock markets are time varying. While stock market interactions are limited before the Asian financial crisis, we find that Hong Kong and Singapore respond significantly to shocks in most other East Asian markets, including Shanghai and Shenzhen, during this crisis. After the crisis, shocks in Hong Kong and Singapore largely affect other East Asian stock markets, except for those in Mainland China. Finally, considering the role of the USA shows that it strongly influences stock returns in East Asia – except for Mainland China – in all periods, while the reverse does not hold true.     

High‐Frequency Contagion of Currency Crises in Asia*

Using daily data from the Asian currency crisis, the present paper examines high‐frequency contagion effects among six Asian countries. The ‘origin’ (of exchange rate depreciation, or decline in stock prices) and the ‘affected’ (currencies, or stock prices) in the daily spillover relationship were defined and identified. Indonesia is found to be the main origin country, affecting exchange rates of other countries. Contrary to conventional wisdom, evidence of high‐frequency crisis spillover from the Thai exchange rate to other currencies was weak at best. There exists a high‐frequency contagion in stock markets among East Asian countries. Contagion coefficients are positively correlated with trade indices, indicating that investors lower their financial assessment of a country that has trade linkage to a crisis origin country within days, if not hours, of a shock.     

IS EAST ASIA FIT FOR AN OPTIMUM CURRENCY AREA? AN ASSESSMENT OF THE ECONOMIC FEASIBILITY OF A HIGHER DEGREE OF MONETARY COOPERATION IN EAST ASIA

This paper attempts to make a contribution to the recent search for a suitable assessment of the economic feasibility of a higher degree of monetary cooperation in East Asia. By using a structural vector autoregression approach as well as a generalized purchasing power parity approach, we find that a larger group of appropriately selected East Asian economies does satisfy the macroeconomic conditions for forming an Optimum Currency Area (OCA). The East Asian group consists of four ASEAN countries (Indonesia, Malaysia, Singapore, and Thailand) and four Northeast Asian economies (Hong Kong SAR, Japan, Republic of Korea, and Taiwan). This finding presents a striking contrast to the existing research results whose policy recommendation has generally been that countries in East Asia should start with a smaller subgroup currency area. It is time that many East Asian economies as a region made a serious effort to pursue a higher degree of monetary cooperation among themselves for forming an OCA.     

International monetary transmission in East Asia: Floaters,non-floaters,and capital controls

This paper analyzes the impacts of the United States (US) monetary shocks on East Asian countries using structural vector-autoregression (VAR) model. We find that the impacts of the US monetary shocks on East Asian domestic interest rates and exchange rates contradict conventional wisdom. The conventional exchange rate channel is unlikely to play much role in the transmission of the US monetary policy shocks to floaters in East Asian countries, excluding Japan. In these countries, the domestic interest rates respond strongly to the US interest rate changes, by giving up monetary autonomy, probably because of fear of floating. However, the domestic interest rate does not respond much in countries with fixed exchange rate regimes and capital account restrictions, such as China and Malaysia. This may suggest that the countries with fixed exchange rate regimes enjoy a higher degree of monetary autonomy, most likely with the help of capital account restrictions.     

Is the United States bowing out of Asia?

The formation of NAFTA and the recent intensification of intra-East Asian trade and investment have led many to conclude that the economic linkages between the United States and East Asia are weakening. This paper shows otherwise. An analysis of the trends of the last twenty five years indicates that (i) the U.S. held its high share in East Asian imports, while the shares of Japan and other countries outside the region declined; (ii) the U.S. generally increased its share of investments in East Asia, except for a recent, and most likely temporary, surge of Japanese investments; (iii) East Asian exponers increased their shares in U.S. markets; and (iv) East Asian investors sharply increased their share ofU. S. inward investment stocks. Cross-Pacific economic relations remain strong, although they could be threatened by exclusive trading arrangements on either side.