Structural change through exchange rate policy

Zusammenfassung Strukturwandel durch Wechselkurspolitik. -Dieser Aufsatz untersucht, ob und wie die Wechselkurspolitik Produktivit?t und Qualit?t industrieller Produkte beeinflu?t. Anhand ?sterreichischer Daten wird gezeigt, da? Aufwertungen des Schillings die strukturelle Anpassung im ?sterreichischen Exportsektor begünstigt haben. In den siebziger Jahren haben reale Aufwertungen die Produktivit?t erh?ht und die Produktqualit?t verbessert, weil die Firmen ihre Wettbewerbsf?higkeit aufrechterhalten wollten. Es wird gezeigt, da? dies im Einklang mit dem Produktzyklusmodell und dem Modell des importinduzierten Wachstums steht, welche eine positive Beziehung zwischen dem Wechselkurs und der nicht durch den Preis bestimmten Wettbewerbsf?higkeit nahelegen.

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Résumé Changement structurel par la politique de taux de change. -Cet article explore l'influence de la politique de taux de change sur la productivité industrielle et la qualité des produits. Il est démontré par des données autrichiennes que les révalorisations du schilling ont favorisé l'ajustement structurel dans le secteur exportatrice autrichien. Pendant les années soixante-dix les révalorisations réels ont mené à une productivité plus haute et amélioré la qualité des produits parce que les entreprises cherchaient à maintenir leur capacité concurrentielle. Suivant l'auteur cela se trouve en conformité avec le ?product-cycle? modèle et le ?import-led-growth? modèle suggérant une relation positive entre le taux de change et la capacité concurrentielle non-prix.

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Resumen Ajuste estructural através de la política cambiaria. -Este trabajo explora el efecto de la política de cambios sobre la productividad industrial y la calidad de los productos. Utilizando datos austríacos se muestra que las revaluaciones del tipo de cambio favorecen el ajuste estructural en el sector exportador austríaco. En los a?os setenta, las revaluaciones del tipo de cambio contribuyeron a aumentar la productividad y a mejorar la calidad de los productos, dado que las empresas estaban preocupadas por mantener su margen competitivo. Esto concuerda con la teoría del ciclo del producto y con el modelo de crecimiento inducido hacia las importaciones, que sugiere la existencia de una relación positiva entre el tipo de cambio y la competitividad no basada en el precio.

     

The dilemma of exchange rate arrangements in East Asia

This paper analyzes exchange rate flexibility in East Asia and explores what has changed since the Asian financial crisis. Our focus is not on the choice of an appropriate exchange rate regime in East Asia, but rather on exchange rate flexibility and management in the region. We find that exchange rate management in East Asia differs based on the country and the time period. We identify major concerns about current exchange rate arrangements in East Asia, including asymmetric responses to external shocks, competitive devaluation, and the dilemma of choosing between asset dollarization and liability dollarization. The paper concludes with some policy implications for an exchange rate arrangement in East Asia.     

Backward participation in global value chains and exchange rate driven adjustments of Swiss exports

This paper examines the effect of exchange rate movements on export volume, export revenues and propensity to export taking into account the extent of foreign value added content of exports (“backward integration”) in global value chains (GVCs). Using both product-level and firm-level panel data, our results suggest that Swiss exports (intensive margin) and the export probability (extensive margin) are negatively affected by a currency appreciation. However, this adverse effect is mitigated in sectors and firms that are more integrated in GVCs, which could be explained by the “natural hedging” of exchange rate movements. Our findings are robust to the use of different measures of natural hedging and GVC integration and also hold across various specifications and estimation methods that control for sample selection, firm heterogeneity, heteroskedastic errors and persistence in export behavior. The dynamic specifications also reveal that export hysteresis driven by a currency appreciation is a concern particularly for firms that are not established in export markets.     

货币政策与汇率关联的实证研究

本文从五个方面对国内外货币政策与汇率关联的实证研究方面的文献进行了回顾。借鉴国外的研究方法,利用较高频、更长、更新的时间序列数据,并考虑变量之间存在的联立关系,对我国情况做进一步的研究。     

中国汇率政策与财政政策的搭配研究

近年来,中国的失业问题引起了社会各界的广泛关注,政府也出台了多项改革措施,目的是为了维持宏观经济内部均衡。但是,随着我国进出口顺差的持续增大,用于调节外部失衡的人民币汇率政策却一直没有调整。因此,这两者搭配是否合理值得研究。本文对中国汇率政策与财政政策的搭配进行实证分析,并提出了改善这两大经济政策搭配的对策建议。     

论中国汇率政策与关税政策的搭配

中国加入世界贸易组织(WTO)以后,必须按照WTO的规则大幅度地降低关税,这势必给国内经济均衡带来巨大冲击。而汇率政策作为调节国内外经济的重要手段,如何在缓解这一冲击中发挥作用值得研究。本文对1994～2004年中国汇率政策与关税政策之间的搭配进行了实证研究,并提出了改善这两大经济政策搭配的对策建议。     

Credit policy,real exchange rate volatility and moral hazard

We extend the well-developed theoretical literature on unconventional credit policy from a closed economy to a small open economy. Consistent with the literature, we find that credit policy has positive effects on output and consumption by raising investment demand. In terms of expanding output, it is more effective to extend government credit to banks than to the goods-producing sector because for each unit of credit supplied to banks, banks - through leverage - can supply greater than one unit of intermediation to firms. We find the welfare implications are ambiguous and depend on the type of policy chosen. A policy of providing funds to goods-producing firms tends to be welfare-improving because it dampens the responses of all variables after a negative shock, including the real exchange rate. However, providing government assistance to the banking sector may be a costly policy because it encourages greater risk-taking on part of banks, leading to higher bank leverage. All else equal, this increases the volatility of the economy, raising the variances of consumption and of the real exchange rate, which is welfare-deteriorating. We interpret this as indicative of the problem of moral hazard associated with a policy of providing support to failing banks.     

Indexing,exchange rate policy and inflationary feedback effects in Latin America

This paper examines inflationary adjustment processes in Argentina, Brazil, Chile, Ecuador, Peru, and Uruguay with time-varying estimation techniques to determine the relationship between inflationary inertia or feedback effects from past to current inflation and the degree of indexation of wages and exchange rates to past inflation rates. The results show that reductions in the degree of exchange rate linkage to past inflation have not been particularly helpful in larger or relatively more diversified economies (such as Argentina, Brazil, or Chile), while reductions in wage linkages to past inflation rates have had strong but short-lived effects.     

The effect of exchange rate volatility on international trade in East Asia

In this paper, we empirically investigate the relationship between exchange rate volatility and international trade, focusing on East Asia. Our findings are summarized as follows: first, intra-East Asian trade is discouraged by exchange rate volatility more seriously than trade in other regions. Second, one important source of the discouragement is that intermediate goods trade in international production networks, which is quite sensitive to exchange rate volatility compared with other types of trade, occupies a significant fraction of East Asian trade. Third, the negative effect of the volatility is greater than that of tariffs and smaller than that of distance-related costs in East Asia.     

中亚气管线过境国汇率风险研究

本文在国内外汇率风险理论研究的基础上,主要分析了中亚天然气管线过境国的汇率风险变动情况,用风险管理的方法对土库曼斯坦、乌兹别克斯坦以及哈萨克斯坦三个国家的汇率风险进行了定量研究,给出了汇率风险管理的结论和建议。我们应该重点关注在土库曼斯坦的汇率变动管理,加强哈萨克斯坦的汇率变动风险预测。     

当前我国利率与汇率的相关性分析及政策建议

在经济充分开放的国家,利率、汇率与资本流动之间存在不可忽视的紧密联系。利率变化引发套利资本流动,直接导致汇率的升值或贬值,汇率这种变动进而又反过来影响资本流动,影响利率。利率和汇率之间的这种关系被称为利率平价关系。本文采用利率平价模型分析了当前我国利率与汇率的相关性,并对我国的利率与汇率制度改革提出建议。     

Monetary policy,exchange rate targeting and fear of floating in emerging market economies

This paper investigates whether central banks in emerging markets systematically respond to exchange rate movements. It estimates a structural general equilibrium model of a small open economy with an exchange rate-augmented Taylor-type rule for four countries. The results show that over the entire sample-period, South Africa and Mexico do not target the exchange rate, whereas Indonesia and Thailand do. In the 1980s and 1990s, all four countries targeted the exchange rate but in the aftermath of the Asian financial crisis, the Mexican peso crisis, and the end of apartheid, they all liberalized their exchange rate regimes, shifting toward inflation targeting.     

Real exchange rate, agglomerations, and irreversibilities: macroeconomic policy and FDI in EMU

Fiscal policy in EMU has to be evaluated in the light of thechanging nature of capital mobility in Europe and its effectson growth. Most arguments about the effects of fiscal policyin EMU assume that we live in a perfect competition world witha unique natural rate of output for each country. The removalof barriers to foreign direct investment (FDI) accompanied bythe prevalence of imperfect competition mean that the naturalrate of output is to be determined by locational competition.We show that FDI is influenced by relative costs and is attractedby agglomerations, and that the level of technology dependson the stock of FDI. Sustained expansionary fiscal policieswill raise costs and make locations less attractive. Agglomerationscould be destroyed by these higher costs, and the size of thenation will shrink. These effects will constrain policy-makersmuch more than the Stability Pact.     

人民币汇率制度改革以及汇率波动性研究

自我国1978年改革开放以来,我国汇率制度的改革大体上经过了3个阶段:复汇率制度、单一有管理浮动汇率制度、参考"一篮子货币"有管理浮动汇率制度。本文着重讲述了这三个阶段汇率制度的改革情况,分析了人民币兑美元的汇率走势,并对汇率波动性进行实证研究,然后指出我国汇率制度当前存在的问题,以及针对这些问题提出改革的下一步路径。     

Crises in Asia: Recovery and policy responses

The goal of this paper is to provide stylized facts on recovery from economic downturns and to evaluate the role of macroeconomic policies in promoting recovery. In particular, we examine gross domestic product (GDP) recessions and financial downturns (credit contractions and stock price declines) using data from 21 Organisation for Economic Co-operation and Development (OECD) economies and 21 developing Asian economies. We find, in general, recovery from a GDP recession in the Asian economies is somewhat slower than in the OECD economies. However, recovery from a financial downturn is not much different between Asia and the OECD. We also find the OECD economies have been more active and effective in using counter-cyclical policies than the Asian economies in the face of GDP recessions and financial downturns. Recent evidence, however, suggests the Asian economies may have better success in the current global crisis.     

A model of exchange rate determination in a dual exchange rate mechanism

Summary In this paper a theoretical model of exchange rate determination in the dual exchange rate mechanism is established. The role of interest arbitrageurs, speculators and hedgers in the official and the financial markets (both spot and forward) is analysed. For each of the categories of participants excess demand functions for foreign exchange are derived, which lead to the equilibrium condition for the various market segments. Also the main links between the different markets are discussed.This paper is based on chapter II of my Ph. D. dissertation submitted to the John Hopkins University. I am grateful to Professors Bela Balassa and Kirg Niehans for helpful comments. Also Zoran Hodjera (IMF) and Paul De Grauwe (KUL) provided stimulating criticism.     

Fundamental equilibrium exchange rates and exchange rate dynamics

This paper examines whether there is a tendency for actual exchange rates to return to their fundamental equilibrium exchange rates (FEERs) when the latter are estimated based on popular exchange rate models. Co-integration tests and unit root tests are applied. There is little evidence that the exchange rates of Japan and Germany have a reversion to the purchasing-power-parity (PPP) rates or Williamson's FEERs or the underlying external and internal balance (UEI) FEERs.