A 'pricing-to-market' model with unobserved variables: explaining New Zealand's import prices

A model of ‘pricing-to-market’ (PTM) behaviour in import prices is developed for a small open economy to allow for two measurement problems: (i) that neither the marginal production cost of imported goods nor their corresponding (foreign-currency) export price are observable by the econometrician; (ii) that PTM behaviour, if it exists, alters the relationship between foreign countries' export price indices for total exports and the true, unobservable price index. The analysis shows that variations in the measured markup on import prices depends on the degree to which domestic demand is synchronized with world demand, whether bilateral exchange rate movements are due to domestic or foreign factors, and on the degree to which PTM behaviour differs from such behaviour in other countries. Equations estimated for the price of New Zealand (NZ) imports from the US strongly supports the model, and finds that the degree of PTM by US exporters in response to price and exchange rate movements is substantially greater in NZ than the average for other countries. However, the degree of PTM in NZ in response to excess demand is similar to that of other countries.     

Preis- und Wechselkursindizes für den Export österreichischer Halb- und Fertigwaren

Summary The purpose of this article is to describe the computation of various export price and effective exchange rate indices for the Austrian exports of manufactured goods, considering especially the competition of other exporting countries on the relevant markets (including domestic production alternatively) and to present the development of these indices during the decade 1963 to 1973.In analogy to well-known concept of double-weighted competing export price indices of a country a double weighted exchange rate index was constructed. Weighting schemes were derived from trade-share matrices of the eleven most important producers and suppliers (respective buyers) of manufactured goods. Relative export price indices on local currency basis and relative effective exchange rate indices were computed separately and then put together in order to get relative export price indices adjusted for effective exchange rate changes.These indices indicate that the competitive position of the Austrian exports of manufactured goods improved in the period 1963 to 1973 by more than 10%.     

Exchange rates and commodity prices: the case of Australian metal exports

Exporters of homogeneous commodities are usually regarded as ‘price takers’ who operate in perfectly competitive international markets, so that the pass-through of exchange rate changes to foreign-currency prices must be zero. However, many Australian commodities are subject to influences that may produce more complex pricing strategies, for example, markets in which Australia is a dominant exporter, or where there are few buyers and sellers due to the presence of large multi-national corporations. This study uses multivariate cointegration techniques to examine the pricing of Australian metal exports, with particular emphasis on the degree and timing of the pass-through of exchange rate and other changes.     

Same currency,different strategies? The (asymmetric) role of the exchange rate in shaping European agri-food exports

This article uses a nonlinear autoregressive distributed lag (NADRL) model introduced by Shin, Yu, and Greenwood-Nimmo (2014) to assess the role that the exchange rate plays in shaping European agri-food exports after the introduction of the Euro. Although the 10 countries of this study share the same currency (and thus a single nominal exchange rate with the US), cross-country discrepancies of exports’ reactions to exchange rate changes are evident. Moreover, I find that exchange rate changes influence exports asymmetrically in the long run. Euro appreciations are harmful to a lesser extent than Euro depreciations are beneficial for European agri-food exports. The magnitude of this effect is country-specific and varies considerably between individual exporting countries. Exported quantities are less affected by exchange rate fluctuations than export values, which is in line with local currency price stabilization strategies of the exporters. This finding is interpreted as a sign of an incomplete exchange rate pass-through due to strategic (asymmetric) markup adjustments by firms with heterogeneous productivity. Besides that, the outcomes suggest that nonprice competition might be in play in some cases.     

影响中国出口贸易的主导因素分析

本文采用自回归分布滞后模型和边限检验方法,利用1997年1季度至2008年4季度的数据估计了中国进出口贸易需求的收入弹性、价格弹性和汇率弹性,结果发现国外收入变化是影响中国出口的主要因素,产品价格对出口的影响较小,而人民币汇率波动对出口的影响不确定。因此,如果采取低价格促进出口的措施,不仅是低效的,而且是得不偿失的。转向以内需驱动为主的经济增长方式,是中国经济发展的必然战略选择。     

AUSTRALIAN COMMODITY EXPORT PASS-THROUGH AND FEEDBACK CAUSALITY FROM COMMODITY PRICES TO THE EXCHANGE RATE

Commodity export pass-through is examined for Australia in an attempt to determine whether Australia is a price-taker in its commodity export trade. This is undertaken for seven categories of Australia's main commodity good exports. We also determine if there is feedback causality from particular world commodity prices back to the exchange rate as is often hypothesised for commodity good intensive exporting countries. It is found that Australian commodity good export pass-through is complete for the goods which are relatively less important in its export trade but is incomplete (although high) for the goods which are most important in its export trade. There is significant feedback causality to the exchange rate from the world price of coal and wheat, two of Australia's most important commodity good exports over the 1980s and early 1990s.     

浅谈绍兴市调整产业结构和提高出口竞争力对策

绍兴市的纺织原料及纺织制品出口是其出口的传统行业,占绍兴市总出口比重从2003年以来一直处于60%～70%之间,是绍兴市出口的重中之重,保持了比较快的发展速度,但增长方式的落后,严重影响了其发展速度的进一步提高,增长方式亟待转变。高附加值、高科技含量行业的出口发展,促进了绍兴市的出口发展,也为今后更好地进行绍兴市出口能力提升提供了资源和保证。但是,由于绍兴市的经济结构和出口产品存在着诸多制约因素和问题,它还不能适应地区与国家经济发展的需要,所以,在对近些年来绍兴市经济结构和产品出口现状和问题的分析基础上,对绍兴市如何进行产业调整和提高出口产品竞争力提出了相应措施。     

Exchange rate bands of inaction and play-hysteresis in Greek exports to the Euro Area,the US and Turkey: sectoral evidence

In this paper a non-linear model is applied, where suddenly strong spurts of exports occur when changes of the exchange rate go beyond a zone of inaction, which we call “play” area—analogous to mechanical play. We implement an algorithm describing path-dependent play-hysteresis into a regression framework. The hysteretic impact of real exchange rates on Greek exports is estimated based on the period from 1995Q1 to 2014Q4. Looking at some of the main export partners of Greece, the euro area, Turkey and the US, and some of its most important tradeable sectors we identify significant hysteretic effects for a part of the Greek exports. We find that Greek export activity is characterized by “bands of inaction” with respect to changes in the real exchange rate and calculate the further real depreciation needed to trigger a spurt in Greek exports. To check for robustness we (a) estimate Greek export equations for a limited sample excluding the recent financial crisis, (b) use export weight instead of deflated nominal exports as the dependent variable, (c) employ a political uncertainty variable as a determinant of the width of the area of weak reaction. Overall, we find that those specifications which take uncertainty into account display the best goodness of fit. In other words: the option value of waiting dominates the real exchange rate effect on Greek exports.     

A Partial Equilibrium Analysis of Trade with Decreasing Transport Costs

Decreasing transport costs are incorporated in the standard partial equilibrium analysis of trade by allowing the divergence—introduced by transport costs—between export and import price to decrease with the volume of trade. When the excess demand (supply) curve is steeper than the long run average cost curve for imports (exports), we observe that an import (export) tariff raises (lowers) the domestic price by an amount exceeding the tariff. Further, when the excess demand (Supply) curve is less steep than the long run average cost curve for imports (exports), the possibility exists that an import (export) tariff may lower (raise) the domestic price. These results lead to the important conclusion that tariffs cannot be used as measures of nominal protection across industries. [F10]     

Export and import composition as determinants of bilateral trade in goods: evidence from Russia

Conventional theory and several empirical studies state that incomes and exchange rates are the key determinants of the trade balance. Here, we argue that export and import composition are also key explanatory variables because some goods are inelastic and/or with a high added value, directly and indirectly affecting income and price elasticities and trade balance. Thus, if exports and/or imports significantly consist of price inelastic products, then, a positive and a negative effect, respectively, should be expected on the trade balance. Using bilateral trade data and dynamic panel models, we found that the ratio of exports of crude petroleum and natural gas (price inelastic goods) to total exports is significantly and positively associated with the Russian trade balance in goods. For its part, Russian imports of high-tech goods (income elastic and price inelastic with a high added value) show a negative association. The goods balance of Russia also responded to changes in relative income, but there is only weak evidence of reactions to changes in the exchange rate. These findings partially explain the persistent surplus in the Russian trade balance and current account.     

Exchange rate and foreign GDP elasticities of Swiss exports across sectors and destination countries

This article uses a detailed breakdown of Swiss trade flows to identify how the impact of the two main determinants of Switzerland’s exports – foreign demand and the real exchange rate – varies across sectors and export destinations. Our main findings are that (i) both foreign demand and exchange rate elasticities vary substantially across both export sectors and export destinations. (ii) Foreign demand trends are more important for structural considerations than the exchange rate. This is due to the fact that exports of the two largest export sectors are relatively sensitive to long-run foreign demand developments while they are relatively insensitive to changes in the exchange rate. (iii) The sectoral structure of Switzerland’s exports has shifted towards goods that have a lower short-run demand elasticity and a higher long-run demand elasticity. Goods exports are thus less influenced by business cycle fluctuations while they benefit more from long-term growth trends. (iv) The export share of sectors with a relatively low exchange rate elasticity has increased. However, this result is mainly driven by the strong rise in exports of chemicals and pharmaceuticals as well as precision instruments and watches, which are also the two important sectors responsible for the Swiss trade surplus.     

On the asymmetric effects of exchange rate volatility on trade flows: New evidence from US-Malaysia trade at the industry level

All previous studies that assessed the impact of exchange rate volatility on trade flows assumed that the effects are symmetric. In this paper, we open a new path in the literature by arguing that indeed the effects of exchange rate volatility on trade flows could be asymmetric. The asymmetric effects are mostly due to the change in expectations of traders when a currency depreciates as compared to a case when that currency appreciates. We demonstrate the asymmetric effects by using monthly data from 54 Malaysian industries that export to the U.S. and from 63 Malaysian industries that import from the U.S. The application of the nonlinear Autoregressive Distributed Lag (ARDL) approach of Shin et al. (2014) supports short-run as well as long-run asymmetric effects in almost 1/3rd of the industries. The approach identifies industries that are affected when volatility increases versus those that are affected when volatility declines.     

Exchange Rate Passthrough to Export Prices: Assessing Cross‐Country Evidence*

A growing empirical literature reports evidence of a decline in exchange rate passthrough to import prices in a number of industrial countries. Our paper complements this literature by examining passthrough from the other side of the transaction; that is, we assess the exchange rate sensitivity of export prices (denominated in the exporter's currency). We find that the prices charged on exports to the United States are more responsive to the exchange rate than are export prices to other destinations, which is consistent with results in the literature that import price passthrough in the US market is relatively low. In addition, the exchange rate sensitivity of export prices over time has been significantly affected by country‐ and region‐specific factors, including the Asian financial crisis (for emerging Asia), deepening integration with the United States (for Canada), and the effects of the 1992 ERM crisis (for the United Kingdom).     

Exchange rate depreciation and exports: the case of Singapore revisited

This article revisits the weak relationship between exchange rate depreciation and exports for Singapore, using a bivariate generalized autoregressive conditional heteroscedasticity in mean model that simultaneously estimates time-varying risk. The evidence shows that depreciation does not significantly improve exports, but that exchange rate risk significantly impedes exports. In sum, Singaporean policy makers can better promote export growth by stabilizing the exchange rate rather than generating its depreciation.     

我国出口汇率传递率行业和国家差异的实证研究

本文基于月度单位出口价值和汇率数据,采用固定效应面板数据模型分析了2005年6月-2008年12月间人民币汇率变动对中国出口价格的短期汇率传递率的行业和国别差异。研究表明,中国出口的314个HS4行业的平均汇率传递率和整体汇率传递率都很高,接近于完全传递,但不同行业的汇率传递率差异非常大,其中有14个HS4行业的按市场定价系数大于0.5,且涵盖食品、化工、纺织、钢铁、机械等多个HS1行业。在对15个HS2行业10大贸易伙伴按市场定价系数进行的国别差异估计中,发现我国出口对美国存在明显的按市场定价行为,对其他贸易伙伴汇率传递率近似完全传递。这意味着试图通过人民币升值来改善美国对华贸易逆差的政策效应会被削弱,同时也表明我国应加强与东亚贸易伙伴的区域经济合作,并提高出口商抵御汇率风险的能力。     

Real exchange rate and export performance in Argentina, 2002–2008

Between 2002 and 2008, Argentina experienced a phase of very high and sustained economic growth. During this period, macroeconomic policy aimed to preserve a stable and competitive real exchange rate (SCRER). There is controversy on whether the SCRER policy was a key factor fostering growth and, even more, on whether it helped promote the expansion of tradable activities and exports. We use a methodology to detect episodes of export surges among Argentina’s export industries and find that labor-intensive industries—especially low- and medium-technology manufactures—experienced the highest proportion of export surges within this period. We also find that between 1980 and 2015, the highest proportion of surges in total exports occurred during the 2003–8 period. The performance of export of services was also particularly dynamic during this period. This evidence suggests that the SCRER policy was instrumental for export surges in Argentina during 2002–8.     

Exchange‐Rate Risk and Japanese–Thai Industry Trade

Over the past decade, many papers have studied the effects of exchange‐rate volatility on international trade, particularly at the bilateral level for large numbers of individual industries. This is necessary because the underlying theory is ambiguous and because earlier papers failed to uncover significant results at a higher degree of aggregation. This paper examines the case of Japan and Thailand over the period from 1970 to 2010. We find that slightly more than half of 117 export industries and 54 import industries are affected by volatility in the short run. In the long run, 6 export and 2 import industries are affected positively, and 22 export and 9 import industries are affected negatively. Small Japanese export industries are more likely to be negatively affected, while imports show no differences regarding industry size. In a sectoral analysis, we find some evidence that Japanese exports of manufactures and certain machinery and transport equipment might be relatively more affected by the exchange‐rate risk. Raw material imports are least affected. These findings therefore suggest which industries might benefit most by a policy promoting a stable yen.     

Exchange rate effects on Korea–U.S. bilateral trade: A new look

This study examines the effect of exchange rate fluctuations on Korea׳s trade with the U.S. by taking the roles of exchange rate volatility and third country effects into account. An autoregressive distributed lag (ARDL) approach to cointegration is applied to estimate bilateral exports and imports of disaggregating 10 industries between Korea and the U.S. We find that Korea׳s major export industries are highly responsive to the bilateral exchange rate, volatility and third country effects in both the long- and short-run, whereas Korea׳s imports are mostly insensitive to changes in those three factors. It is also found that income in both countries plays an important role in influencing the bilateral trade flows in both the long- and short-run.     

人民币升值影响中国粮食出口贸易的实证分析

J曲线效应理论是探讨汇率变动影响出口贸易的重要理论之一,主要通过构建计量经济学模型对人民币汇率影响中国粮食出口贸易进行实证研究,结果表明,该理论在人民币汇率影响中国粮食出口贸易方面得到了证实。研究还进一步显示,中国粮食出口与当年人民币的实际有效汇率显著地呈反向相关关系,且与前二年的人民币名义汇率变动的反向相关程度大于当年的实际有效汇率。此外,出口退税率和技术性贸易壁垒对粮食的出口贸易也产生了较大的影响。     

Exchange rate volatility and export growth in Nigeria

This article examines the impact of exchange rate volatility on Nigeria's exports to its most important trading-partner–the United States over the quarterly period January 1980 to April 2001. Using cointegration and vector error correction (VECM) framework, empirical tests indicate the presence of a unique cointegrating vector linking real exports, real foreign income, relative export prices and real exchange rate volatility in the long run. Furthermore, the results show that increases in the volatility of the real exchange rate raise uncertainty about profits to be made which exert significant negative effects on exports both in the short- and long-run. Our results also show that improvements in the terms of trade (represented by declines in the real exchange rate) and real foreign income exert positive effects on export activity. Most importantly, we found that the trade liberalization and economic reform policies implemented in the post-1986 structural adjustment period contributed to Nigeria's export performance. Overall, our findings suggest that Nigeria's exporting activities can be further boosted by policies aimed at achieving and maintaining a stable competitive real exchange rate.