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).     

中国均衡实际有效汇率:一个总量一般均衡分析

亚洲金融危机时期中国实行事实上的盯住美元制度 ,同时亚洲各国的汇率水平进行了重新调整。本文探讨在亚洲金融危机以前及危机期间中国实际有效汇率的“均衡”水平。假定一系列不同的贸易差额 ,我们运用扩展了的Devarajan Lewis Robinson三商品一般均衡模型估计均衡实际有效汇率的不同时间路径。模型的关键要素是要有进口品和出口品价格指数的时间序列资料。鉴于这些价格指数从其他渠道无法获得 ,作者利用贸易数字构造了这些指数。研究发现在亚洲金融危机之前的 4年内中国的实际有效汇率低于均衡汇率 ,这部分地缘于外汇储备的快速累积。与事实相反 ,如果假设在此期间 ,每年不超过 1 0 %的出口收入转化为外汇储备 ,则中国的实际有效汇率将会比现在高 5%到 1 2 %     

Exchange rate volatility and export performance: a cointegrated VAR approach

During the last decades Norwegian exporters have–despite various forms of exchange rate targeting–faced a rather volatile exchange rate which may have influenced their behaviour. Recently, the shift to inflation targeting and a freely floating exchange rate has brought about an even more volatile exchange rate. We examine the causal link between export performance and exchange rate volatility across different monetary policy regimes within the cointegrated Vector Autoregression (VAR) framework using the implied conditional variance from a Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model as a measure of volatility. Although treating the volatility measure as either a stationary or a nonstationary variable in the VAR, we are not able to find any evidence suggesting that export performance has been significantly affected by exchange rate uncertainty. We find, however, that volatility changes proxied by blip dummies related to the monetary policy change from a fixed to a managed floating exchange rate and the Asian financial crises during the 1990s enter significantly in a dynamic model for export growth–in which the level of relative prices and world market demand together with the level of exports constitute a significant cointegration relationship. A forecasting exercise on the dynamic model rejects the hypothesis that increased exchange rate volatility in the wake of inflation targeting in the monetary policy has had a significant impact on export performance.     

人民币升值能解决美国对华贸易赤字吗?——基于1994～2005年间月度数据的贸易弹性分析

文章以1994年1月到2005年3月的月度数据为样本,用ARDL框架下的协整方法,对中美贸易的收入弹性和实际汇率弹性进行了经验分析。分析后发现:第一,我国对美进出口的收入弹性都是显著的,并且我国对美国出口的收入弹性约为我国从美进口的收入弹性的6倍,但是我国对美进口和出口的实际汇率弹性都是不显著的。因此,文章认为人民币汇率对中美贸易没有显著影响,人民币汇率升值将无法改善美国的对华贸易收支。     

Exchange rate volatility and exports from East Asian countries to Japan and the USA

The purpose of this article is to investigate the impact of exchange rate volatility on exports in four East Asian countries (Hong Kong, South Korea, Singapore, and Thailand). Specifically, this article aims at determining whether the bilateral real exchange rate volatility between an East Asian country and its trading partner negatively affects the exports of the East Asian country. Considering the dominant roles of the USA and Japan as trading partners of those East Asian countries, this article focuses on the quarterly export volumes of East Asian countries to the US and Japan for the period from 1981 to 2004. Except for the case of Hong Kong's exports to Japan, cointegration tests and estimations of error correction models indicate exchange rate volatility has negative impacts on exports either in the short-run or in the long-run, or both. On the other hand, the real GDP of importing countries and depreciation of real bilateral exchange rates turn out, in general, to have positive effects. Of special interest is the finding that the impact of the exchange rate volatility does not show any stylized differences depending on whether the importing country is Japan or the USA, even though dollar invoicing dominates in East Asia.     

实际汇率与中国双边贸易

本文将中国与中国贸易伙伴国之间的实际汇率引入一个诱导的出口方程中,并加入中国出口的竞争者与中国的贸易伙伴国之间的实际汇率。结果表明,亚洲的一些主要国家和地区是中国出口的竞争者,1997年发生的亚洲金融危机确实使中国1998年和1999年的出口减少。除了海外市场需求和国内供给能力外,中国与贸易伙伴国之间的实际汇率,以及中国出口的竞争者与中国的贸易伙伴国之间的实际汇率对中国的双边贸易也有显著影响。     

后危机时代福建省机电出口企业发展策略探析

面板数据分析显示,福建省机电产品出口存在出口竞争力弱、依存度高、市场集中、核心技术缺乏等主要问题。后危机时代福建省机电出口企业应积极开拓国内外市场,进一步转变外贸增长方式,多渠道降低汇率风险。     

Revisiting purchasing power parity for East Asian countries using the rank test for nonlinear cointegration

This study applies a simple and powerful nonlinear rank test, proposed by Breitung (2001) to test the validity of long-run Purchasing Power Parity (PPP) in a sample of East Asian countries over the period March 1985–September 2008. The empirical results indicate that PPP holds for all of East Asian countries studied and the nominal exchange rate, domestic Consumer Price Index (CPI) and the US CPI are all linearly interrelated with the exception of China. Our results have important policy implications for these East Asian countries under study.     

Exchange rate pass-through,price discrimination,and US meat export prices

Exports are becoming increasingly important for US livestock and poultry producers. Consequently, meat industry participants are concerned about the potential impacts of variations in relative currency values. These effects are considered by quantifying the impacts of relative exchange rates on US beef, pork and poultry export prices. In addition, the impacts of GATT and NAFTA agreements on exchange rate pass-through are considered. The results indicate incomplete exchange rate pass-through occurs for several countries. Trade liberalization under GATT has positively influenced US beef and poultry export prices.     

TOWARD A REGIONAL EXCHANGE RATE REGIME IN EAST ASIA

Abstract.  Deepening market-driven economic integration in East Asia makes intraregional exchange rate across the region increasingly desirable and necessary. The paper suggests that East Asia's emerging economies begin to choose a currency basket as a monetary policy anchor to enable all East Asian currencies to collectively appreciate vis-à-vis the US dollar, while maintaining intraregional rate stability, in the event of surges of capital inflows or a rapid unwinding of global payments imbalances. Following this initial step, East Asia may agree on more rigid intraregional exchange rate stabilization schemes through, for example, an Asian Snake or an Asian Exchange Rate Mechanism.     

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 uncertainty and US bilateral fresh fruit and fresh vegetable trade: an application of the gravity model

In order to analyse the effect of exchange rate uncertainty, we apply an empirical gravity equation to two sets of US bilateral trade data: fresh fruit over the period 1976–1999 for a panel of 26 countries; and fresh vegetables over the period 1976–2006 for a panel of nine countries. Based on panel estimation methods, and using both a moving SD measure and the Perée and Steinherr (1989) measure of exchange rate uncertainty, the results show that US bilateral fresh fruit trade has been negatively affected by exchange rate uncertainty. We also find some evidence that the exchange rate between the US dollar and the currencies of Latin American trading partners accounts for most of the negative impact of exchange rate uncertainty on bilateral trade flows in fresh fruit. In contrast, when using panel estimation methods and both measures of exchange rate uncertainty, we find no statistically significant evidence for any negative effect of exchange rate uncertainty on US bilateral fresh vegetable trade. However, we do find a statistically significant negative effect for exchange rate uncertainty when we estimate a US export gravity equation for fresh vegetables using the same panel of countries.     

The response of the US export prices to changes in the dollar's effective exchange rate: further evidence from industry level data

The relationship between the dollar's effective exchange rate and the export price indexes for 13 two-digit US manufacturing industries is analysed to determine (i) which industry adjusts its dollar export price to dampen or amplify the effect of the exchange rate fluctuations on the foreign-currency price of its exports and (ii) whether the response of the export price index to appreciation and depreciation of the exchange rate is asymmetric. For several industries, evidence consistent with dampening the foreign-currency price of exports in an asymmetric fashion is found. The implications of the results for the price competitiveness of the industries studied is discussed.     

The persistence in real exchange rate: Evidence from East Asian countries

In this article, we examine the degree of persistence in monthly real exchange rate of six East Asian countries in relation to their two major trading partners, the United States and Japan, to study the validity of PPP for the 1976:01–2009:03 period. To investigate the persistency in real exchange rate series, we use sum of the autoregressive (AR) coefficients and the confidence interval for it using grid-bootstrap procedure recently developed by Hansen (1999). We have two findings: first, we find evidence for high persistency in real exchange rate in terms of the Japanese yen for five countries and for four countries in terms of the US dollar the for the full and pre-crisis sample periods. Second, for the post-crisis period, the presence of low persistency in real exchange rate supports PPP for three countries in terms of the Japanese yen and five countries in terms of the US dollar. These findings indicate that real exchange rate series of five East Asian countries are mean-revert based on their exchange rate policies and East Asian countries can form a currency union.     

Analyzing exchange rate uncertainty and bilateral export growth in China: A multivariate GARCH-based approach

Dramatic changes to exchange rate policy for the world's largest exporter have arguably ushered in the optimal environment for studying the effects of exchange rate uncertainty on trade. This study builds on the recent literature by using an extremely general model that measures volatility using the flexible multivariate DCC-GARCH model to analyze the impact exchange rate uncertainty has on bilateral export growth for China's ten largest export markets. All model parameters are estimated simultaneously and lagged values of uncertainty are included for a full year, where significant effects are found. The more general methods potentially overcome issues associated with inefficient two-step methods and the assumption that volatility impacts are close to instantaneous. Using a comprehensive sample that spans 1994–2017, the paper presents evidence that exchange rate uncertainty has no impact on trade with the United States, which strongly contrasts a robust finding of trade deterring impacts for almost all remaining countries. The unifying methodology is also used to analyze nominal uncertainty itself. Here, it is found that Chinese inflation may be a positive contributor to risk in an environment where many exogenous events, such as the Asian currency crisis, are associated with periods of heightened yuan uncertainty.     

Exchange Rate Changes and Pricing Behavior of US Exporters

This paper studies export pricing behavior following exchange rate changes in US manufacturing industries. Through a monopolistic model, the paper predicts that export prices should change, but less than proportionally, in response to exchange rate changes if either or both demand elasticity and marginal cost are variable. Cross-industry variation of such price changes can be explained by the difference in demand elasticities between the domestic and the export markets, the elasticity of marginal cost with respect to output. and the export share. These predictions are supported by the empirical findings of the paper.     

Exchange Rate Regimes,Foreign Exchange Volatility,and Export Performance in Central and Eastern Europe: Just another Blur Project?

The authors attempt to analyze the direct impact of exchange rate volatility on the export performance of ten Central and Eastern European transition economies, as well as its indirect impact via changes in exchange rate regimes. Not only aggregate but also bilateral and sectoral export flows are studied. To this end, the authors first analyze shifts in exchange rate volatility linked to changes in the exchange rate regimes and, second, they use these changes to construct the dummy variables that they include in their export function. The results suggest that the size and the direction of the impact of forex volatility and of regime changes on exports vary considerably across sectors and countries and that they may be related to specific periods.     

Non‐linear effect of exchange rate volatility on exports: the role of financial sector development in emerging East Asian economies

This paper empirically examines the role of financial sector development in influencing the impact of exchange rate volatility on the exports of five emerging East Asian countries – China, Indonesia, Malaysia, the Philippines and Thailand – using a GMM‐IV estimation method. The results indicate that the effect of exchange rate volatility on exports is conditional on the level of financial sector development. The less financially developed an economy, the more its exports are adversely affected by exchange rate volatility. In addition, a stable exchange rate seems to be a necessary condition to achieve export promotion via a currency depreciation in these economies.     

How Elastic is East Asian Demand for Consumption Goods?

This paper investigates import demand in East Asia. Estimating exchange rate elasticities for countries in the region is difficult because many imports are used to produce goods for re‐export. An exchange rate appreciation that reduces East Asian exports will also reduce the demand for imported inputs that are used to produce exports. To correct for this bias this paper examines consumption imports, since these goods are intended primarily for the domestic market. Results from several specifications indicate that currency appreciations and increases in income in East Asian countries would significantly increase imports into the region.     

Stationarity of Asian real exchange rates: An empirical application of multiple testing to nonstationary panels with a structural break

This paper investigates the stationarity of the real exchange rates of the currencies for ten Asian countries against the US dollar during the pre-Lehman period. This paper explicitly investigates the presence of a structural break that occurred at unknown dates across countries and which may have been caused by the Asian financial crisis in 1997–1998. To identify which of the ten countries hold real exchange rate stationarity, that is, long-run Purchasing Power Parity, the resampling-based multiple testing proposed by Romano and Wolf (2005) is employed while dealing with possible cross-sectional correlation among the countries and avoiding the over-rejection of the null hypothesis or the multiplicity problem. Moreover, the paper examines the small-sample property of the multiple testing when there is a structural break in cross-sectionally dependent panels. Finally, the empirical results show that the stationarity hypothesis of the real exchange rate is significantly supported in some Asian countries.