THE J CURVE: CHINA VERSUS HER TRADING PARTNERS

The short‐run effects of currency depreciation are said to be different from its long‐run effects. In the short run, the trade balance deteriorates and improvement comes after some time; hence, the J‐curve phenomenon. Previous studies that tested the response of the trade balance to exchange rate changes in China employed aggregate trade data and provided mixed results. Indeed, most of them concluded that real depreciation has no long‐run impact on the Chinese trade balance. In this paper, we disaggregate the data by country and using recent advances in time series modelling estimate a trade balance model between China and her 13 major trading partners. We show that real depreciation of the Chinese currency has a favourable impact on her trade balance with a few partners, especially the USA. Not much support is found for the J‐curve hypothesis.     

The Threshold Effect of Exchange Rate Volatility on Trade Volume: Evidence from G-7 Countries

Abstract

This paper uses a threshold model to examine a possible threshold effect in the impact of exchange rate volatility on trade volume for the bilateral trade volumes between the US and other G-7 countries. A grid-searching method is used to obtain the threshold points, and time-series econometric techniques are applied to estimate the long run stable relationships as well as short-run dynamics. The results support the existence of nonlinearity in the effect of exchange rate volatility, and indicate that trade volume tends to increase when exchange rate volatility surpasses a certain threshold point.     

IMPACT OF EXCHANGE RATE UNCERTAINTY ON COMMODITY TRADE BETWEEN THE US AND AUSTRALIA*

Exchange rate volatility is said to have negative or positive effect on trade flows. Previous studies that considered the impact of exchange rate uncertainty on the trade flows of Australia employed trade data either between Australia and rest of the world or between Australia and her few major trading partners. They were unable to discover any significant impact. In this paper when we disaggregate trade data by commodity between Australia and one of her major trading partners, the US, we find exchange rate volatility to have short‐run effects on trade flows of most industries. However, the short‐run effects last into long run, only in limited cases, though more in export commodities than import ones.     

Does exchange-rate uncertainty matter in the Malaysia–E.U. bilateral trade? An industry level investigation

Due to ambiguity in the past literature, researchers have examined exchange rate volatility effect on trade using disaggregated data in recent years. Previous research has focused more on aggregated data having aggregation bias which has led to unnecessarily over-generalized findings. This study investigates the impact of exchange rate volatility on the Malaysian bilateral trade flows with European Union using industry level data. Our empirical findings, based on auto-regressive distributed lag framework, suggest that many import and export industries experience exchange rate volatility influence in the short run, while a very small number of industries show this effect in the long run. Moreover, the adverse impact of financial crisis (2007–2008) is more prevalent on import industries compared to export industries.     

Malaysia-Japan Commodity Trade and Asymmetric Effects of Exchange Rate Changes

Asymmetry analysis is a new norm in applied research and the link between the trade balance and the exchange rate is no exception. In this paper we investigate the asymmetric response of the trade balance of each of the 60 industries that trade between Malaysia and Japan. We find short-run asymmetric effects of exchange rate changes on the trade balance of 50 industries (including the two largest industries), short-run adjustment asymmetry in 47 industries, and short-run impact asymmetry in 30 industries. However, short-run asymmetric effects lasted into the long run only in limited number of industries. Results are industry-specific at best.     

US–Indonesia trade at commodity level and the role of the exchange rate

Previous studies that assessed the impact of currency depreciation on inpayments and outpayments of Indonesia with her major trading partners did not find much significant results, especially in the trade with the United States. We wonder whether insignificant link between the real rupiah-dollar rate and Indonesia’s inpayments and outpayments with the United States is due to aggregation bias. To answer this question, we disaggregate the trade flows between the two countries by commodity and consider the sensitivity of inpayments of 108 US exporting industries and outpayments of 32 US importing industries from Indonesia. We find that most industries respond to exchange rate changes in the short run. In the long run, however, 32 inpayments schedule and 17 outpayments schedule are significantly affected. A 1% real depreciation of the dollar was found to improve US trade balance by 1.8%.     

How responsive are trade flows between Malaysia and China to the exchange rate? Evidence from industry data

This paper investigates the impact of currency depreciation on bilateral trade between Malaysia and China, especially how a real depreciation of ringgit against the yuan on each industry’s inpayments and outpayments affect the trade balance. We employ disaggregated quarterly data on import and export for 52 industries over the period 1993Q1 to 2012Q4. The results from the bounds testing approach to the cointegration and error-correction model reveal that the real bilateral exchange rate has short and long-run effects on the inpayments and outpayments of the industries. However, the short-run effects shift into the long run in 14 out of 35 industries in the inpayment models and 17 out of 44 industries in the outpayments models. Most of these are small industries producing intermediate goods. According to the ML condition, the depreciation of ringgit against yuan improves Malaysia’s trade balance with China in these industries.     

The J-curve: evidence from commodity trade between UK and China

China is often accused of manipulating its currency to gain international competitiveness. Previous studies have tried to address this issue by investigating the impact of yuan depreciation on China’s trade balance. Not only have they failed to establish the link between the Chinese exchange rate and its trade balance with the rest of the world but also between China and her major trading partners. In this article, we consider the China–UK trade balance and disaggregate their trade flows by commodity. Out of the 47 industries considered, we show that the real depreciation has favourable short-run effects in most industries. However, the short-run effects last into the long run only in seven cases.     

人民币实际汇率波动对我国贸易收支的影响——基于非对称协整的实证分析

基于1994年1月至2009年4月的数据,采用较新的非对称协整技术,实证考察人民币实际汇率与我国贸易收支之间的变动关系。研究发现,长期中,马歇尔-勒纳条件在我国成立;短期内,J曲线效应在我国存在;人民币汇率与贸易收支间存在非对称协整关系。其中,相对于出现过大的贸易顺差,如果出现贸易赤字,贸易收支恢复长期均衡状态的调整过程较为缓慢。据此认为,相对于出现贸易顺差,当前更应关注外贸不利冲击对我国经济所造成的负面影响。     

A nonlinear approach to the U.S.–Australia commodity trade and the J‐curve: Evidence from 123 industries

The application of nonlinear models and asymmetric analysis have recently proven to yield results that are superior to those of the linear and symmetric analysis. However, the new approaches in testing the J‐curve between Australia and the rest of the world or between Australia and her trading partners such as the United States did not yield any significant outcomes. Suspecting that those results suffer from aggregation bias, we apply new methods to the trade flows of 123 industries that trade between the United States and Australia and give evidence of an asymmetric J‐curve in 28 industries. Furthermore, we find short‐run asymmetric effects of exchange rate changes on the trade balance of almost all studies, short‐run impact asymmetric effects in 27 industries and significant long‐run asymmetric effects in 56 industries. Our findings are industry‐specific.     

中国对外贸易失衡的影响因素*——基于贸易增加值（TiVA）测算数据的实证分析

中国持续对外贸易顺差引起了学者们的广泛关注。然而现有文献大都基于传统贸易统计方法，没有考虑全球价值链背景下中间品多次跨越国界的重复计算问题，无法反映中国真实的贸易顺差水平。本文基于WIOD数据库1995-2011年的数据，采用投入产出领域的贸易增加值（TiVA）方法，测算出中国与38个贸易伙伴之间的增加值贸易顺差，并对其影响因素进行了实证分析。研究发现，中国加入WTO之前人民币汇率升值对贸易顺差的影响较小而且不显著，而加入WTO之后，人民币汇率升值可以有效降低中国的贸易顺差。在华FDI总额对贸易顺差的影响呈现出相似的特点，即加入WTO之前，总体FDI不显著，加入之后影响显著。FDI来源地区分析显示，美国和亚洲四小龙在中国内地FDI增加可以显著提升中国内地的贸易顺差，而日本和德国在华FDI则会降低中国内地的贸易顺差。     

The impact of trade openness on labour force participation rate

In this article, we investigate the impact of trade openness on labour force participation rate. We use tariff rate as the main indicator of trade openness and we employ the number of regional trade agreements and the average tariff rate in the neighbours’ countries as instrumental variables to diminish the endogeneity problem of the tariff rate. We find that trade openness increases the participation rate which is economically and statistically significant. The results show that this correlation is robust under controlling for different variables and using various specifications. We find that 10 percentage point increase in tariff rate lowers the participation rate by 4–6 percentage point and this relationship is more severe in the long run. Finally, we show that changes in labour force population accounts for about 27% of changes in the unemployment rate following a trade liberalization.     

The J‐Curve: Evidence from Fiji*

This article provides new evidence on both long run and short‐run determinants of trade balance for Fiji and investigates evidence of J‐curve adjustment behaviour in the aftermath of a devaluation. We adopt a partial reduced form model that models the real trade balance directly as a function of the real exchange rate and real domestic and foreign incomes. Cointegration analysis is based on a recently developed autoregressive distributed lag approach—shown to provide robust results in finite samples. The long run elasticities are also estimated using a dynamic ordinary least squares approach and the Fully Modified Ordinary Least Squares (FM‐OLS) approach. Amongst our key results we find that there is a long‐run relationship between trade balance and its determinants. There is evidence of the J‐curve pattern; growth in domestic income affects Fiji’s trade balance adversely while foreign income improves it.     

人民币汇率对我国对外贸易结构的影响分析

作者利用贸易特定化系数衡量了我国2005年7月21日人民币汇率形成机制改革之后的对外贸易结构，结果显示随着人民币汇率的爬行式缓慢升值，我国大部分资源密集型商品的净出口减少，劳动密集型商品和资本、技术密集型商品的净出口增加，竞争力增强，进出口商品的贸易结构得到优化。因此，进一步完善人民币汇率形成机制，推动人民币汇率稳步升值对我国进出口商品贸易结构是长期利好的。     

Impact of exchange-rate variability on commodity trade between U.S. and Germany

Previous studies that looked at the impact of exchange rate volatility on trade flows used aggregate trade data between one country and rest of the world or between two countries. More recent studies, however, have expanded the literature by using a highly disaggregated commodity level data between two countries. In this paper we consider the sensitivity of 131 industries that trade between U.S. and Germany. We find that exports and imports of a majority of the industries react to the real dollar–euro volatility in the short run. The short-run effects, however, last into the long run only in almost 50 % of the industries. Among these industries, while almost all U.S. exporting industries are affected favorably by exchange rate volatility, a majority of the U.S. importing industries are affected adversely.     

An investigation of the effects of exchange rate volatility on exports in East Asia

This study investigates the effects of the exchange rate volatility on the export flows of Indonesia, Malaysia, Republic of Korea, Singapore, Thailand, and the Philippines during 1974–2011. Towards this goal a trade weighted real effective (rather than the bilateral) exchange rate and three different measures of volatility, i.e. obtained from an ARCH model, a GARCH model and a moving-average standard deviation measure are used in this study. Specifically, the export flows between six Asian countries and the rest of the world are investigated rather than focusing on trade with only one country. Our findings reveal that the exchange rate volatility has a significant impact on export flows in the short run as well as in the long run for all the countries in the sample. The impact in the long run is predominantly negative with the exception of Singapore, but in the short run the impact varies across countries. Moreover, our results are robust to the alternative measures of volatility used and most of the findings in the long run and short run are also robust to the crisis period.     

Exchange Rate Volatility,Earnings Uncertainty and Bidirectional Trade Flows: Empirical Evidence on Ghana

Although the empirical findings on the impact of exchange rate volatility on trade is diverse, the growing consensus in the literature appears to suggest that for developing economies, the theoretically expected negative relationship almost always exists. The paper takes a different approach to empirically assess this relationship by analysing the impact of exchange rate volatility independently on total trade, imports and exports. The intuition behind this approach is to assess exactly how exporters and importers are incentivised (differently or similarly) by exchange rate volatility costs. Whereas adequately risk-aversed Ghanaian exporters in the presence of higher exchange rate volatility and the absence of hedging facilities effectively compensated against exchange rate risk by increasing volume of exports, import decisions were to some extent (although not effectively) negatively affected by exchange rate volatility. The different responses by Ghanaian exporters and importers to higher exchange rate volatility costs are reflected in the relationship between volatility and total trade. The useful policy lessons and the challenges that the empirical evidence present are discussed.     

人民币汇率变动对我国高新技术产品进出口贸易的影响

本文利用2005年8月至2009年12月间的月度数据,对我国高新技术产品进出口贸易与人民币汇率间的关系进行分析。实证结果表明,人民币汇率变动对我国高新技术产品进出口贸易的影响不是很明显,且马歇尔-勒纳条件在我国高新技术产品进出口贸易领域并不适用。最后,提出相关的政策建议。     

Asymmetric Effects of Exchange Rate Changes and the J‐curve: New Evidence from 61 Malaysia–Thailand Industries

Research on the impact of currency depreciation on the trade balance is now moving in a new direction by incorporating nonlinear dynamic adjustment of the exchange rate and by using a nonlinear approach to error‐correction modeling and cointegration. Using these advances, researchers find not only more evidence of the J‐curve effect, but also new evidence of asymmetric effects of exchange rate changes on the trade balance. We contribute to this line of research by using monthly trade flow data from 61 two‐digit industries that trade between Malaysia and Thailand, and show that not only does currency depreciation have favorable effects on the trade balance of more industries, but the long‐run effects are asymmetric in 26 out of 61 cases. In line with current literature, our nonlinear model performs much better than the linear model when industry level data are used.     

基于VAR模型的中欧贸易“J曲线效应”实证分析

欧元作为一种新兴世界货币既在全球经济中发挥日益重要的作用,也是人民币汇率形成机制中的重要权重货币,由于欧盟是中国最大的贸易伙伴,故欧元兑人民币实际汇率变动对中欧贸易平衡产生重要影响。本文采用1999—2008年间欧元兑人民币汇率数据和中国与欧元区贸易季度数据构建VAR模型,并运用单位根检验、协整检验和脉冲响应函数的分析方法对欧元汇率变动对中欧贸易相对差额的影响进行实证分析。结果表明,人民币兑欧元的贬值初期会引起中国对欧元区贸易收支的短期恶化,但经过一段时间后由于我国对欧元区出口数量增加,贸易盈余趋于稳定,中国对欧元区贸易存在汇率贬值的"J曲线效应"。