Spillovers of currency carry trade returns,market risk sentiment,and U.S. market returns

This paper examines the link between spillovers of currency carry trade returns and U.S. market returns. Following Tse and Zhao (2012), this paper hypothesizes that the magnitude of spillovers of currency carry trade returns is positively correlated with market risk sentiment and, therefore, has an impact on market returns. Using the G10 currencies and S&P 500 index futures, the empirical results present a high magnitude of spillover effects of currency carry trade markets. The empirical findings also show a significantly positive relationship between spillovers of currency carry trade returns and subsequent market returns. Furthermore, the results indicate that this relationship is stronger in bear markets than in bull markets. Finally, our findings show that spillovers of currency carry trade returns significantly affect the subsequent transition probabilities of market returns.     

THE ECONOMICS OF THE UNCOVERED INTEREST PARITY CONDITION FOR EMERGING MARKETS

Abstract Financial account liberalizations since the second half of the 1980s paved the way for the burgeoning literature that investigates foreign exchange market efficiency in emerging markets (EMs) via testing for the uncovered interest parity (UIP) condition. This paper is the first to provide a broad and critical survey on this recent literature. Specifically, we attempt to answer the following questions. First, are the EMs different from the developed economies in the context of the UIP condition? Second, to what extent can these differences contribute to the debate on the UIP literature? Third, what are the empirical challenges specific to the EMs in testing for the UIP condition?     

A THEORETICAL APPROACH TO STERILIZED FOREIGN EXCHANGE INTERVENTION

In this paper, we survey prominent theories that have shaped the literature on sterilized foreign exchange interventions. We identify three main strands of literature: (1) that which deems interventions futile; (2) that which requires some market friction (i.e. limited arbitrage) in order for interventions to be effective; and (3) that which advocates the use of interventions as long as they convey signals on the stance of future monetary policy. We contribute to the literature in three important ways. First, by reviewing new theoretical models that have surfaced within the last decade. Second, by further penetrating into the theory of interventions in order to analyze the key features that make each model distinct. And third, by only focusing on sterilized operations, which allows us to sidestep the effects induced by changes in the stock of money supply. In addition, the models that we present comprise both a macro and microstructure approach so as to provide a comprehensive view of the theory behind exchange rate intervention.     

On the predictability of the distribution of excess returns in currency markets

This paper investigates the predictability of foreign exchange (FX) volatility and liquidity risk factors on returns to the carry trade, an investment strategy that borrows in currencies with low interest rates and invests in currencies with high interest rates. Previous studies have suggested that this predictability could have been spuriously accounted for due to the persistence of the predictors. The analysis uses a predictive quantile regression model developed by Lee (2016) that allows for persistent predictors. We find that predictability changes remarkably across the entire distribution of currency excess returns. Predictability weakens substantially in the left tail once persistence is accounted for, implying a moderate negative predictive relation between FX volatility risk and carry trade returns. By contrast, it becomes stronger in the right tail. Furthermore, we provide evidence that FX volatility risk still dominates liquidity risk after controlling for persistence. These findings suggest that the persistence of the predictors needs to be taken into account when one measures predictability in currency markets. Finally, out-of-sample forecast performance is also presented.     

A model of currency crises with heterogeneous market beliefs

This paper shows that the approach followed by Tamborini (2015) in analyzing and interpreting the euro area public debt crisis, based on the role played by agents characterized by heterogeneous market beliefs, can be applied also to the case of currency crises. By doing so, rather than considering the private sector as an atomistic player endowed with perfect information, and by considering a central bank that optimizes the amount of unsterilized inflow of foreign reserves in a Mundell-Fleming type speculative attack model, allows to explain the interest rates convex non-linearity that characterized, for example, a country like Italy during the 1992–93 EMS crisis.     

A world trade model with bilateral trade based on comparative advantage

This paper describes an extension of Duchin's world trade model to include the explicit representation of transportation costs, permitting the endogenous determination of bilateral trade flows and region-specific prices. The original model is a linear program that, based on comparative advantage and the minimization of factor use, determines regional production and trade flows as well as world prices and scarcity rents for m regions, n good, and k factors. The new world trade model with bilateral trade achieves its objectives by introducing transportation services and geographically dependent transportation requirements for each traded good and each pair of potential trade partners. The formulation of this model and its major properties are presented, and results from a preliminary analysis with 11 regions, eight goods, four transportation sectors, and six factors of production are reported and compared with corresponding results from the world trade model. On the basis of this comparison, we conclude that transportation costs have little impact on a region's total imports or exports of a given commodity.     

物流对零售业态发展的重要性探究

本文从理论、实证的角度说明了物流对零售业态发展具有重要的支持作用,分析了我国零售业态物流管理相对滞后的表现,从而指出我国零售业今后加速发展物流的必要性。     

Bilateral trade between India and Bangladesh: A general equilibrium approach

India and Bangladesh have pursued policies of trade liberalization since the early 1990s. However, owing to the differential speeds of opening up, Bangladesh's bilateral trade deficit with India widened substantially over the years. This aggravated the economic and the political tensions between the economies. It has been held that promotion of free trade between the two economies may enhance the trade and hence economic cooperation between them. Against this backdrop the present paper proposes a theoretical framework that provides a general equilibrium determination of the commodity pattern of trade and hence locates the comparative advantages of the economies. The empirical implementation of the model considers trade in 25 sectors comparable in the input–output tables of the economies. The study isolates the gains from free trade accruing to either economy. The paper also explores the pattern of bilateral trade when each economy produces goods by utilizing their own as well as the other country's technology. The gains from this trading arrangement are also isolated.     

商业银行国际贸易融资业务发展研究

2010年以来,随着世界经济逐步走出金融危机的影响以及我国外贸形势的好转,我国商业银行将国际融资作为信贷结构调整的战略重点,表内外国际融资业务保持了快速健康发展的良好态势。但在给银行带来经营收入的同时,其风险也不容忽视。本文归纳总结了当前商业银行贸易融资的主要特征及发展现状,揭示了商业银行表内外国际贸易融资业务存在的障碍及风险,提出了加强商业银行表内外国际融资业务管理的建议。     

A stochastic dynamic model of trade and growth: Convergence and diversification

There is a growing literature that studies the properties of models that combine international trade and neoclassical growth theory, but mostly in a deterministic setting. In this paper we introduce uncertainty in a dynamic Heckscher-Ohlin model and characterize the equilibrium of a small open economy in such an environment. We show that, when trade is balanced period-by-period, the per capita output and consumption of a small open economy converge to an invariant distribution that is independent of the initial wealth. Further, at the invariant distribution, there are periods in which the small economy diversifies. Numerical simulations show that the speed of convergence increases with the size of the shocks. In the limit, when there is no uncertainty, there is no convergence and countries may specialize permanently. The paper highlights the role of market incompleteness, as a result of the period-by-period trade balance, in this setup. Through an analytical example we also illustrate the importance of country specific risk in delivering our results.     

A world trade model based on comparative advantage with m regions,n goods,and k factors

This paper describes the World Trade Model, a linear program that determines world prices, scarcity rents, and international trade flows based on comparative advantage in a world economy with m regions, n goods, and k factors. The new model generalizes the World Model of Leontief et al. (1977) in ways that make it particularly useful for analyzing scenarios about sustainable development. Major properties of the model are demonstrated, and sources of the gains from trade are identified for the world as a whole and for individual regions. Illustrative results are reported for a 10-region, 8-good, 3-factor model of the world economy.     

The effect of exchange rate volatility on U.S. bilateral trade with Africa: A symmetric and asymmetric analysis

The impact of exchange rate volatility on U.S. trade with the world or on U.S. trade with major partners has been assessed by many researchers, but none have considered the case of U.S. trade with African nations. We fill this gap by assessing the symmetric and asymmetric impact of the real bilateral exchange rate volatility between the U.S. dollar and each African partner’s currency on the U.S. trade flows with each of the 20 partners from Africa. We found asymmetric short-run effects of exchange rate volatility on almost all U.S. exports to and imports from each of the 20 countries. In addition, significant long-run asymmetric effects were discovered in the case of U.S. exports to 15 countries and U.S. imports from 12 countries. Our findings are partner-specific.