Determinants of Real Chinese GDP 1978–2014

In 2014, the IMF reported that China became the largest economy in the world according to Purchasing Power Parity rates. This study aims to explain the Chinese economic miracle. It focuses on frequently suggested factors influencing China’s real gross domestic product (GDP), such as export promotion, exchange rate policy, and foreign direct investment (FDI). The paper employs the Bounds test of the autoregressive distributed lag (ARDL) model to test for cointegration. Once cointegration is established, Granger Causality is investigated using the vector autoregressive model and the Toda and Yamamoto (1995) method. Two different combinations of the real macroeconomic variables exports, exchange rate, imports, and FDI were employed to examine Granger causal relationships. All explanatory variables, except for the exchange rate, were found to have plausible relationships with GDP. The exchange rate and GDP relationship was unexpected; a Renminbi appreciation was associated with an increase in GDP. To investigate this paradox, a third ARDL model was estimated with exports as the dependent variable and the exchange rate, world GDP, and FDI as the independent variables. In this model, we found evidence of cointegration and a plausible relationship between real exports and the real exchange rate. Exchange rate devaluation increased exports and thus indirectly increased GDP. Such findings help to resolve the unexpected results. Nonetheless, according to the Granger causality tests the established statistical evidence is rather weak. We found that both the exchange rate and FDI are no longer strong drivers of economic growth in China.     

Reserve Accumulation and Money Supply in China: A Time-Varying Analysis

This study investigates the causal relationship between reserve accumulation and money supply in China over the period of 1999 M1–2015 M6. First, we use a Granger causality test and find that there is a unidirectional relationship from money supply growth to reserve accumulation growth; however, taking structural changes into account, we assess stability of parameters of the estimated vector autoregressive models. We find both the short-run and long-run relationships between money supply growth and reserve accumulation growth estimated using full-sample data are unstable over the sample period. This suggests that full-sample causality tests cannot be relied upon. We turn to propose a time-varying (bootstrap) rolling-window approach to revisit the dynamic causal relationship between the two variables. We find that two variables have causal relationships in some sub-periods. We argue that reserve accumulation growth has put pressure on money supply growth. However, in general, sterilization is effective, but not in few months 2006–2007. And money supply has a positive reserve accumulation from the second half of 2001–2003 because RMB was undervalued under the fixed exchange rate regime. We argue that the improvements of monetary policy and the exchange rate regime are crucial to break the relationship between reserve accumulation growth and the money supply growth.     

THE IMPLICATIONS OF OECD GROWTH FOR SOUTH AFRICAN EXPORTS

This paper examines the role of OECD growth on South African exports using a vector error correction model. In the long run both OECD growth and the real effective exchange rate were found to influence South Africa's export performance, while in the short run, the real effective exchange rate was found to be an important driver of export growth. The policy implications that emerge from the study underscore the importance of fully exploiting current trading relationships, diversifying South African export destinations and enhancing competitiveness.     

Determinants of Malaysian Trade Balance: An ARDL Bound Testing Approach

Abstract

This paper examines the short- and long-run relationships between trade balance, real exchange rates, income and money supply in the case of Malaysia. The inclusion of income and money variables in the study is purposely to examine the monetary and absorption approaches to the balance of payments beside the conventional approach of elasticity, using exchange rates. Using the bound testing approach to cointegration and error correction models, developed within an autoregressive distributed lag (ARDL) framework, we investigate whether a long-run equilibrium relationship exists between trade balance and the determinants. Additionally, we adopt an innovation accounting by simulating variance decompositions (VDC) and impulse response functions (IRF) for further inferences. Using this approach, we find evidence of a long-run relationship between trade balance and income and money supply variables but not between trade balance and real exchange rate. The findings also suggest that Marshall–Lerner condition does not hold in the long-run for Malaysia and for policy wise the Malaysian trade balance/balance of payments should be viewed from absorption and monetary approaches.     

The implications of monetary expansion in China for the US dollar

We examine the influence of rapid growth in China's money supply on the US dollar within a framework of monetary models of exchange rates. We develop out-of-sample forecasts of the US dollar exchange rate using US and global data on price level, output, and interest rates, and money supply data for the US, China, and the rest of the world for the period 1996–2013. Monetary model forecasts significantly outperform a random walk forecast in terms of mean squared forecast error in the long run. A monetary error correction model with sticky prices performs best. Rolling sample analysis indicates changes over time in the influence of Chinese money supply in forecasting the US dollar. The expectation is that rapid money growth in China would increase the demand for dollars thus raising the value of the dollar, yet our forecasts are to the contrary for the mid 2000s. This is consistent with anticipation of renminbi appreciation under China’s managed exchange rate, which made holding renminbi more attractive. With the break from a dollar peg in 2005 and subsequent currency appreciation, the distortion was alleviated and the forecast direction for the dollar became as expected.     

Trade and GDP Growth: Causal Relations in the United States and Canada

Causal relations between the growth rates of exports, imports, and the GDP of Canada and the United States are studied using the vector error correction (VEC) model. Utilizing time-series annual data (1948-1996), Granger causality tests are performed within the framework of the VEC model. Bidirectional causality is supported for Canada from the foreign sector to GDP and vice versa. A weaker relationship between the foreign sector and GDP is statistically supported for the United States. These results are also supported by comparing the total trade (exports plus imports) shares to GDP of the two neighboring economies. The Granger causality tests suggest that Canada is a more open economy than the United States and more trade dependent.     

Testing price-exchange rate noncausality: Results from a vector error correction model

Previous tests of the martingale property of the exchange rate have examined the random walk property of the exchange rate or have tested for Granger causality of the exchange rate by macroeconomic variables. Interestingly, if purchasing power parity (PPP) holds in the long run, causality tests should be conducted by estimating a vector error correction model which includes price levels. This paper conducts exchange rate causality tests employing vector error correction models and finds evidence that the Swiss exchange rate is Granger caused by lagged deviations in PPP and, hence, is Granger caused by prices.     

Causality tests of export-led growth: The case of Mexico

Although econometric studies have confirmed the relationship between exports and economic growth, some studies are inherently weak in that they are based on an a priori assumption that export growth causes economic growth. This is erroneous because causality should be tested and proven rather than simply assumed. This paper uses the Granger causality test which takes into consideration the time series properties of the data to examine the incidence of export-led development in Mexico. The authors conclude that Granger causality test confirms the relationship between export growth and GDP growth in the Mexican case as posited by development theory.     

An Investigation of the Effects of Prices and Exchange Rates on Trade Flows in East Asia

This paper investigates the dynamic response of imports and exports to changes in domestic prices, foreign prices and real effective exchange rates for Korea, the Philippines, Singapore and Thailand. A vector autoregressive model and cointegration analysis are used to study the long-run relationships and the short-run dynamics of these variables. The vector error-correction model indicates that in almost all cases, domestic and foreign prices have a larger impact on the trade flows than the real effective exchange rates. We cannot find any significant difference in the response time of import demand to shocks in prices and exchange rates; however, the response time for export supply varies among countries.     

Export performance and economic growth causality: An empirical analysis

The cointegration and causal relationship between export growth and economic growth is investigated for the Nordic economies. On the basis of Johansen's technique and the augmented Granger causality tests, the evidence shows that these macroeconomic aggregates are causally related in the long run for each economy. Granger causality is unidirectional, running from economic growth to export growth in Denmark, and bidirectional in Finland, Norway, and Sweden. The established bidirectional causality suggests that the expansion of exports is an integral part of the economic growth process.     

升值背景下人民币汇率、FDI与经济增长动态时变效应研究

本文运用Pesaran边限协整检验方法系统地研究了升值背景下人民币汇率、FDI与经济增长之间的动态时变效应。研究发现,人民币汇率、FDI与经济增长在样本期内存在显著的长期均衡关系,人民币升值和经济增长均对FDI的流入具有明显的促进作用。而经济增长与FDI的流入对人民币汇率的反馈机制并不存在,FDI流入对于经济增长的促进作用也不明显,表现出强烈的以"投机套利"为主要目的的"本土特征"模式。且同期的向量误差修正分析同样表明,人民币汇率和经济增长能够有效促进FDI流入,而经济增长和FDI流入对于人民币汇率变动的反馈机制依然不存在。这意味着政府当局在保持经济适度规模增长的同时,尤其需要保持审慎的态度制定适当的政策保持汇率稳定,以避免人民币升值过快而导致外资迅速流入进行投机套利活动。     

Determinants of software exports from India

Notable accomplishments in export have made India’s software sector conspicuous. This paper attempts to discuss the determinants of software exports from India. The study notes that—besides dynamic elements of economic development across the world—the policy measures and actions of the Indian government have played proactive and facilitating roles in the growth of the software sector. The study uses the autoregressive distributed lag (ARDL) approach to estimate the impact of various explanatory variables on software exports from India. Since causality is found running in both directions for many variables, the study attempts to examine the determinants of software exports from India through the regression equation in first difference. The results suggest that changes in openness index, human capital, and the GDP of high-income OECD countries have exercised positive impact on change in software exports from India. The study finds a stable long run relationship among variables.     

China's money demand in a cointegrating vector error correction model

This paper estimates open-economy macroeconomic models of the Chinese economy allowing for the structural change caused by the 1992 reforms. Unrestricted vector autoregressions, VARs, and cointegrating vector error correction models, VECMs, are estimated on quarterly data for the early reform period 1980–1992, and the late reform period, 1993–2018. Two long-run cointegrating vectors are identified, which can be interpreted as a long-run, money demand function and a long-run IS type income equation driven by export demand. The 1992 reforms involved a move to a more market oriented system and a transformation of financial institutions and this seems to be responsible for a change in the direction of effect of interest rates in both the IS and LM relationships.     

The Finance–Growth Link in Latin America

This paper analyzes the relationship between financial development and economic growth in Latin America with a Granger causality test and impulse response functions in a panel vector autoregression (VAR) model. With annual observations from a sample of 18 countries from 1962 to 2005, it is shown that while economic growth causes financial development, financial development does not cause economic growth. This finding is robust to different model specifications and different financial indicators. Interestingly, when the sample is divided according to different income levels and institutional quality, there is two‐way causality between financial development and economic growth only for the middle income group and for countries with stronger rule of law and creditor rights. The impulse response functions show that a shock to financial development has a positive impact on economic growth only for these subsamples, but the net effect of financial development on growth is relatively small.     

实际有效汇率波动对上海出口商品结构的影响

文章先构建了分析实际有效汇率波动对出口商品结构影响的计量模型,然后以上海的月度数据为例,采用边限检验方法判别变量间的长期协整关系。并采用ARDL和ECM模型分析了2002--2008年期间人民币实际有效汇率波动对上海出口商品结构的长期和短期影响。结果显示无论从长期还是从短期来看,实际有效汇率的波动都会减少劳动密集型、资源密集型、资本密集型和技术密集型商品出口,但四类商品受影响程度不同,并且技术密集型商品出口方程的误差修正项系数较大,表明其出口受到冲击以后,向均衡回复的速度较快。     

外商直接投资对我国服务贸易的影响研究——基于1982～2010年时间序列数据的实证分析

本文基于向量自回归(VAR)模型,利用我国1982～2010年度的经济数据,对我国外商直接投资对我国服务贸易的影响进行实证分析,结果表明:外商直接投资与我国服务贸易进口、出口之间存在协整关系;服务贸易进口与FDI存在双向的因果关系。无论从长期或短期来看,外商直接投资对我国服务贸易进出口的效应均为正。基于此,我国应制定相关吸引外资的政策,重视服务贸易人才培养,并促进我国货物贸易出口与服务贸易出口协调发展,进而发挥货物贸易出口对服务贸易出口的带动作用。     

Hot Money and Business Cycle Volatility： Evidence from China

This paper investigates the link between hot money and business cycle volatility in China from January 1997 to December 2009. Using the structural vector error correction model we find a considerable degree of long-run cointegration and bidirectional causality effects between hot money and business cycle volatility. The speculative shocks are found to temporarily promote China＇s economic growth, but also to exacerbate business cycle volatility. The liquidity shock stemming from hot money is shown to be the primary factor responsible for the significantly enhanced fluctuation in business cycles during the most recent global financial crisis period This could be detrimental to the smooth operation of financial markets. Therefore, informing future policies, it is critical for policy-makers to take precautions against the speculative factors.     

Exports,Inflation and Growth

This article seeks to identify some of the main determinants of exports and economic growth in cross-sectional data from the World Bank covering 160 countries for 1985–94. First, the linkages between the propensity to export and population, per capita income, agriculture, primary exports and inflation are studied by statistical methods. Then, the relationship between economic growth and some of the above-mentioned determinants of exports as well as investment are scrutinized the same way. The main conclusion is that, in the period under review, high inflation and an abundance of natural resources tended to be associated with low exports and slow growth.     

安徽出口商品结构与经济增长关系的实证分析

论文利用安徽省1988-2008年的工业制成品出口、初级产品出口和GDP的年度统计数据,从出口商品结构的角度出发,并利用协整理论、向量误差修正模型和格兰杰因果关系检验方法对安徽省的出口商品结构与经济增长之间的关系进行了实证分析。结果表明,安徽出口商品与经济增长之间存在着长期稳定关系,工业制成品的出口对该地区的经济增长具有单向的推动作用。据此,对进一步加大安徽出口工作力度,提出了优化出口商品结构以促进安徽省经济持续稳定增长的政策建议。     

Guangdong: A catalyst for economic growth and exports in hunan province

This paper uses the concept of Granger-causality to analyze the link between export expansion in the rapidly growing Guangdong province and GDP growth and exports in Hunan, its adjacent northwest neighbor province. Data cover the 1978 to 2001 period. A long-run equilibrium relationship is found between the variables and a long-run positive causality is detected from export expansion in Guangdong to both GDP growth and exports in Hunan. Hence, the results seem to support the unbalanced regional development policy implemented by the central government in the late 1970s and early 1980s.