Which is the safe haven for emerging stock markets,gold or the US dollar?

This paper examines whether gold or the US dollar is a safe haven for emerging stocks. By calculating the low-high tail dependence between markets via copulas and the downside risk gains of portfolios, we find that both gold and the US dollar can serve as a safe haven for emerging stocks; that the US dollar is better than gold in most cases, while its superiority in hedging infinitely extreme risks is weakened in the subsample of global financial crisis and the out-of-sample; and that the downside risk gains offered by the US dollar for China and Thailand are very attractive.     

Exchange rate effects of US government shutdowns: Evidence from both developed and emerging markets

We examine the exchange rate effects of US government shutdowns using historical exchange rate data covering 19 episodes of government shutdowns. We find that major currency exchange rates generally tend to appreciate vis-à-vis the US dollar, and foreign exchange volatility tends to increase in response to shutdowns. We show that the effect of shutdowns is felt most one day after a shutdown and the effect dies out for most currencies within five days of a shutdown. These results pass a range of robustness tests which control for day-of-the-week effects, model specifications, and the Global Financial Crisis.     

Protection and unemployment

Job loss concerns strongly influence the politics of trade, yet the formal political economy of trade literature has largely ignored unemployment. This paper seeks to extend the literature by merging an unemployment model with a trade policy model. The theory implies that labor turnover rates and unionization rates may significantly affect protection for individual industries. I use US data to test the model and find that protection for an industry declines with its turnover rate and increases with its unionization rate. The results also imply that protection does not increase with output and increases with the number of unemployed workers.     

Global monetary policy under a dollar standard

This paper derives an optimal monetary policy in a world with a dollar standard, defined as an environment in which all traded goods prices are set in US dollars, so that exchange rate pass-through into the US price level is zero. We show that the US is essentially indifferent to exchange rate volatility, while the rest of the world places a high weight on exchange rate volatility. In a Nash equilibrium of the monetary policy game, US preferences dominate; the equilibrium is identical to one where the US alone chooses world monetary policy. Despite this, we find surprisingly that the US loses from the dollar's role as an international currency, since the absence of exchange rate pass-through leads to inefficient expenditure allocations within the US. Finally, we derive the conditions for a dollar standard to exist.     

The US stock market and the international value of the US dollar

We investigate the spillover effect of the US equity market on the value of the dollar and therefore on the return and volatility of US equity investments for the international investor. The data are daily observations of the S & P 500 and the US dollar in terms of seven foreign currencies covering the period 1971–2002. Using Geweke measures of feedback, we find a high percentage of contemporaneous association between daily movements in the S & P 500 index and changes in the value of the dollar. A consistently positive relationship between the S & P 500 and the dollar is found for the period 1992–2002, creating a compounding effect for the foreign investor in US equities. However, investment by foreigners in US equities did not result in consistently higher returns but in higher volatility compared to their US counterparts for the period 1971–2002.     

国际贸易对中外双向投资影响的实证分析

改革开放以来尤其是我国加入世贸以来,我国国际贸易额大幅上升,与此同时,流入我国的外商直接投资和我国的对外直接投资同时迅猛地增长。那么国际贸易和双向投资之间是否存在着某种必然的相关性呢?运用计量经济学的方法对我国国际贸易额与我国双向FDI的总量关系进行实证分析,得出结论,国际贸易对我国双向FDI起着促进作用,其中,对外商直接投资促进作用较大(在99%显著水平下,每产生一亿美元的进口就会流入0.303亿美元的FDI,每产生一亿美元的出口就会流入0.208亿美元的FDI),对对外直接投资影响较小(在99%显著水平下,每产生一亿美元的贸易仅对对外投资0.003 203亿美元)。并由此提出了一些建设性的意见。     

Made in America? us steelmaking in the 1990s: An American resurgence?

This article examines the improved competitiveness of the U.S. carbon steel industry, a sector that has suffered extreme economic difficulty over the last three decades. The article argues that despite the lack of a coherent national steel policy, the US steel industry has significantly increased its competitiveness relative to foreign steel competitors. Four reasons stand out. First and foremost, domestic minimills have provided intense competition for the domestic integrated sector. Secondly, the falling value of the dollar has improved the international position of all US steel firms. Thirdly, US labor costs have been reduced sharply, both through wage concessions by the United Steelworkers and massive layoffs. Finally, joint ventures with Japanese firms have provided traditional firms with cash and new technical innovations.     

美元周期性波动对我国跨境资本流动的非对称效应研究

有效应对和防范跨境资本流动冲击，维护外汇市场稳定是贯彻落实习总书记“打好防范化解重大风险攻坚战”的重要举措。目前，美元已进入强周期，我国正面临着由强势美元引发的货币贬值、资本外流等风险，当前背景下研究美元周期性波动特征、区制划分及其对跨境资本流动的影响具有重要的理论和现实意义。本文基于2006年10月至2018年6月的月度数据，运用理论模型和MSVAR模型分析美元周期性波动对我国跨境资本流动的非对称效应。研究表明，中美利差对跨境资本流动的影响存在非对称效应，当投资者不存在恐慌避险情绪时，利差的变化将不会引起大规模的跨国资本流动。美元指数对跨境资本流动的冲击效应具有一定的时滞性，美元升值将引发跨境资本流出，且冲击效应持续时间明显长于利差冲击。VIX指数和人民币汇率对跨境资本流动影响较弱，但呈现非对称性特征。加息和缩表后美元升值对资本外流的推动作用明显强于加息和缩表前，表明第三轮强周期下美元升值对我国跨境资本流动的影响更大。     

The global financial crisis: An analysis of the spillover effects on African stock markets

This paper examines the relative importance of the global and regional markets for financial markets in developing countries, particularly during the US financial crisis and the European sovereign debt crisis. Specifically, we examine the way in which the degree of regional (seven African markets combined), global (China, France, Germany, Japan, the UK and the US), commodity (gold and petroleum), and nominal effective exchange rate (Euro and US dollar) spillovers to individual African countries evolved during the two crises through the econometric method introduced by Diebold and Yilmaz (2012). We find that African markets are most severely affected by spillovers from global markets and only modestly from commodity and currency markets. Conversely, regional spillovers within Africa are smaller than global ones, and hence, African markets are insulated from global crises. We also find that the aggregated spillover effects of European countries to the African markets exceeded the corresponding effects of the US, even in the wake of the US financial crisis.     

Trade and exposure of Eastern European multinationals

We find that about 19% of our sample of 149 Eastern European multinationals’ stock returns experienced economically significant exposure effects to the U.S. dollar for the period January 2000 to December 2004. The average exposure of the highly net exporting (importing) industry portfolios is positive (negative). Foreign exposure is found to increase with the evolution of net positions in U.S. foreign trade and with the industries’ degree of openness towards U.S. foreign markets. We also find that foreign exposure decreases with firm size.     

Has the Byrd Amendment Affected US Imports?

The Continued Dumping and Subsidy Offset Act (CDSOA), also known as the Byrd Amendment, allows the US government to distribute revenues from antidumping duties to domestic firms alleging harm. Prior to the amendment these revenues were not distributed to firms. In this article, we formally test the hypothesis that the Byrd Amendment effectively provides double protection to US firms to the extent that it further restricts US imports, as argued by the EU and 11 other US trading partners. Using a rich panel of 362 US manufacturing industries for the period 1998 to 2003, we find that whether or not the Byrd Amendment restricted US imports depends crucially on the level of competitiveness in the import‐competing industry. Specifically, we find that the Byrd Amendment served to restrict imports only in industries where competition is relatively weak, while the amendment is associated with an increase in imports in more competitive industries.     

Institutions and offshoring behavior

ABSTRACT

This article tests whether institutions matter differentially across different sectors in offshoring behavior once the choice to invest abroad has already been made; i.e., how they affect trade between parent and foreign affiliates. Using data on US direct investment abroad, we find that institutional characteristics of the country and industry positively affect the volume of offshoring between US companies and their affiliates. This also depends on the type of relationship between the parent company and its foreign affiliate. The suggested argument is stronger for intermediate products, while evidence is weak for products ready for sale.     

Debt composition and balance sheet effects of exchange rate volatility in Mexico: a firm level analysis

We use Mexican firm-level data to study the role of currency mismatches in the corporate sector in exacerbating the negative effects of a devaluation. We also investigate what drives Mexican firms to borrow in foreign currency. We find that holding dollar denominated debt in a devaluation adversely affects firms’ earnings and investment. However, exporters invested more than non-exporters in the same period. We also find that the negative effect of dollar debt was stronger than the positive effect of exports in the 1994 crisis for firms with positive dollar debt and/or exports, relative to firms that did not borrow abroad and/or export. This was a result of imperfect currency matching by firms. However, in the 1998 crisis firms managed the denominations of their inflows and outflows much better and these two effects were roughly equal in magnitude. We also find some evidence of currency matching by exporters, especially after the introduction of the floating exchange rate.     

Chinese trade price and Yuan's valuation

This paper studies how the major economic events would have affected Chinese yuan's nominal exchange rate against US dollar from 1989 to 2013. The traditional average treatment effect estimation methods cannot be used to consistently estimate yuan's pegged exchange rate. We develop a new estimation strategy by combining a novel panel data method (proposed by Hisao, Ching and Wan) and the purchasing power parity theory. Based on this new estimation strategy, we find that during the period of pegging to US dollar, Chinese yuan were undervalued. Before the 1997 Asian Financial Crisis, the pegged exchange rate regime starting from January 1994 made the yuan undervalued by 2.62%. China's accession to WTO caused yuan undervalued by 36.60%. After the reform of Chinese exchange rate policy in July 2005, the undervaluation of the yuan was reduced to only 0.76%. Yuan was undervalued again by 20.43% because of 2008 China's economy stimulus package. The policy reform in June 2010 made yuan overvalued by 14.40%. We conclude that Chinese fixed exchange rate policy indeed undervalued the yuan, especially after its accession to WTO. The recent reforms of Chinese exchange rate policy made progresses in re‐evaluating the yuan.     

Is the US Dollar a Suitable Anchor for the Newly Proposed GCC Currency?

Responses of inflation and non‐oil output growth from the Gulf Cooperation Council (GCC) countries to monetary policy shocks from the United States (US) were estimated to determine whether there is evidence to support the US dollar as the anchor for the proposed unified currency. A structural vector autoregression identified with short‐run restrictions was employed for each country with Fed funds rate as the US monetary policy instrument, non‐oil output growth and inflation. The main results suggest that for inflation, the GCC countries show synchronised responses to monetary policy shocks from the US which are similar to inflation in the US, and for non‐oil output growth, there is no clear indication that US monetary policy can be as effective for the GCC countries as it is domestically. Consequently, importing US monetary policy via a dollar peg may guarantee only stable inflation for the GCC countries – not necessarily stable non‐oil output growth. If the non‐oil output response is made conscientiously – and there are concerns over the dollar’s ability to perform its role as a store of value – a basket peg with both the US dollar and the euro may be a sound alternative as confirmed by the variance decomposition analysis of our augmented SVAR with a proxy for the European short‐term interest rate.     

The Choice of Exchange Rate Regime and the Volatility of Exchange Rates after the Asian Crisis: A Counterfactual Analysis

The objective of this paper is to carry out a counterfactual analysis of the impact of alternative exchange rate regimes on the volatility of the nominal effective exchange rate (NEER) and the bilateral rate against the US dollar for nine East Asian countries after the Asian financial crisis. Our hypothetical regimes include a unilateral basket peg (UBP), a common basket peg (CBP) and a hard peg against the dollar. We find that a UBP would minimise effective exchange rate volatility for all countries and provides the highest regime gains compared to actual. Although the gains for a CBP are always less than those for a UBP, the absolute differences between the two regimes appear to be small. In terms of the bilateral relationship against the dollar, the gains from a UBP or CBP could be quite significant for the non‐dollar peggers since a fall in effective instability would be accompanied by a fall in bilateral instability.     

The rise of dollar credit in emerging market economies and US monetary policy

This paper examines the hypothesis that the boom in dollar credit in emerging market economies (EMEs) is associated with an excessively low interest rate in the US. For this purpose, we use a multivariate correlated unobserved component model that allows for correlation between shocks to dollar credit, cross‐border interest rate gaps—measured as the difference between emerging market interest rate and the US interest rate, and dollar index both in the short run and in the long run. In addition, it also provides us a quantitative estimate of the permanent and transitory movements in dollar credit in EMEs, interest rate gaps and dollar index. The results from this model do suggest that a temporary increase in interest rate gaps and decline in the dollar index are associated with a temporary increase in the dollar credit in EMEs with a very high degree of correlation. The estimate of the cyclical component of the dollar credit in EMEs from our model captures the recent boom and bust in this market and compares favourably to alternative trend–cycle decomposition methods.     

The great appreciation, the great depreciation, and the purchasing power parity hypothesis

Although there has been much recent work on purchasing power parity (PPP), neither univariate nor panel methods have produced strong rejections of unit roots in US dollar real exchange rates for industrialized countries during the post-1973 period. We investigate the hypothesis that these non-rejections can be explained by one episode, the large appreciation and depreciation of the dollar in the 1980s, by developing unit root tests which account for this event and maintain long-run PPP. Using panel methods, we can strongly reject the unit root null for those countries that adhere to the typical pattern of the dollar’s rise and fall.     

试论美国海关对版权的保护及其特点

美国版权产业所取得的巨大成就与其不断完善的版权保护制度密不可分。在众多的版权保护制度中,法律的作用显然最为重要。美国现行版权法赋予了美国海关保护版权的重要职责,但是它只能对进口环节的版权提供海关保护。一般情况下,版权的备案是获得海关保护的必要条件,而在版权侵权认定问题上,美国海关不仅在版权所有人与进口商之间保持着客观中立的地位,还承担着事实认定与法律认定的双重责任。     

金融危机时期的美元走势

美元是美国实力和地位的标志。美元霸权的根本在于支撑美国的全球霸权。美元指数在2007年中延续了2001年以来的下跌走势．在受美国经济衰退及次贷危机影响下，再度深幅下跌。随着美国华尔街金融危机的不断深化．美元跌势依旧，以美元为本位的国际货币金融体系正在遭受布雷顿森林体系崩溃以后最严峻的一场考验。尽管如此，美元霸权地位在短期内还不会终结。