Non-linear pattern of international capital flows

Review of World Economics - In a two-country OLG model with interest rate wedges capturing financial frictions, international capital flows can follow a non-linear pattern, depicted as a U-shaped...     

Nonlinear Aspects of Goods-Market Arbitrage and Adjustment: Heckscher''s Commodity Points Revisited

We propose that analysis of purchasing power parity (PPP) and the law of one price should explicitly take into account the possibility of “commodity points”—thresholds delineating a region of no central tendency among relative prices, possibly due to lack of perfect arbitrage in the presence of transaction costs and uncertainty. More than 80 years ago, Heckscher stressed the importance of such incomplete arbitrage in the empirical application of PPP. We devise an econometric method to identify commodity points. Price adjustment is treated as a nonlinear process, and a threshold autoregression offers a parsimonious specification within which both thresholds and adjustment speeds are estimated by maximum likelihood methods. Our model performs well using post-1980 data, and yields parameter estimates that appear quite reasonable: adjustment outside the thresholds might imply half-lives of price deviations measured in months rather than years, and the thresholds correspond to popular rough estimates as to the order of magnitude of actual transport costs. The estimated commodity points appear to be positively related to objective measures of market segmentation, notably nominal exchange rate volatility.J. Japan Int. Econ.December 1997,11(4), pp. 441–479. Department of Economics, University of California, Berkeley, California 94720-3880; and Department of Economics, Northwestern University, Evanston, Illinois 60208-2600.     

The global macroeconomics of NAFTA

Previous empirical studies of NAFTA have commonly used trade models that do not allow international capital flows to adjust to changes in regional trade arrangements such as NAFTA. This paper explores the dynamic implications of NAFTA with particular focus on the short-run and longer-run adjustment of financial capital. This adjustment affects the global allocation of physical capital and therefore changes the growth prospects for a country such as Mexico. Our results suggest that Mexico and the world economy gain more from NAFTA than merely a static reallocation of production possibilities. In the short run, the adjustment of financial capital affects nominal and real exchange rates. This adjustment is far more important for the short-term allocation of trade flows than partial equilibrium adjustment of trade based only on changes in long-term price differentials.     

国际投机资本流入中国的贸易根源

国际投机资本流动的根本目的在于取得利率、汇率或资产价格上涨的收益,在资本项目受到严格管制及贸易顺差情况下,我国的国际贸易一方面为国际投机资本提供了进入的渠道,另一方面,贸易顺差是吸引投机资本流入的原动力。中国的经济增长对于贸易的依赖以及中国的贸易模式对汇率的敏感性使得国内金融市场的价格扭曲、人民币预期升值率持续上升从而吸引资本流入。     

EFFECTS OF THE REAL EXCHANGE RATE ON OUTPUT AND INFLATION: EVIDENCE FROM TURKEY

This paper assesses the effects of real depreciation on the economic performance of Turkey by considering quarterly data from 1987:I to 2001:III. The empirical evidence suggests that, contrary to classical wisdom, the real depreciations are contractionary, even when external factors like world interest rates, international trade, and capital flows are controlled. Moreover, the results obtained from the analyses indicate that real exchange rate depreciations are inflationary.     

我国短期国际资本流入研究

国际短期资本流动对我国经济的影响越来越明显。本文由国内外学者对国际短期资本流动的实证研究综述展开,分析并探讨了国际短期资本流动的动因。本文通过实证检验,试图找出影响我国短期资本流动的关键影响因素。研究表明,短期资本流动与中美利差、房地产指数以及证券市场的收益率呈正相关关系,而汇率的变动对短期资本流动影响不大,汇率的预期变动才是影响短期资本流动的因素之一。     

International Capital Flows in the Model with Limited Commitment and Incomplete Markets

Recent literature has proposed two alternative types of financial frictions, i.e., limited commitment and incomplete markets, to explain the empirical patterns of international capital flows between developed and developing countries in the past two decades. This paper integrates these two frictions into a two-country overlapping-generations framework to facilitate a direct comparison of their respective effects. In our model, limited commitment distorts the investment made by agents with different productivity, which creates a wedge between the interest rates on equity capital vs. credit capital; while incomplete markets distort the investment among projects with different riskiness, which creates a wedge between the risk-free rate and the mean rate of return to risky capital. We show that the two approaches are observationally equivalent with respect to their implications for international capital flows, production efficiency, and aggregate output.     

International Trade and Bank Groups: Welfare Enhancing or Welfare Reducing?

In international competition, are bank groups efficiency enhancing or efficiency reducing? This paper attempts to clarify this issue by asking instead: efficiency for whom? In a simple, illustrative model, this paper shows that bank groups can be efficiency enhancing for the bank and the member firms, but hurting its competitor. More important global welfare rises with bank groups. These results are robust when we allow the bank and the member firm to bargain over its loan rate, when bank groups can be formed endogenously and when there are multiple exporters. Results in this paper suggest alternative interpretations of existing econometric results concerning the role of Japanese groups in U.S.–Japan trade. J. Japan. Int. Econ., June 2002, 16(2) pp. 212–226. Department of Economics, University of California, Santa Cruz, Santa Cruz, California.     

International trade in used cars and problems of economic development

This paper provides a price-theoretic explanation of the well-known phenomenon that automobiles in developing countries depreciate less rapidly and are scrapped at a greater age than they are in industrial countries. This paper then argues that the renewal of barriers to free trade in used cars would lead to substantial welfare gains for developing countries through both capital gains implicit in the arbitrage and positive externalities from car repair industries. Negative externalities from increased car supplies are evaluated and the final part of this paper considers what policies might be needed to develop international trade in used cars on a large scale.     

Theo van de Klundert: A frontier economist

Summary Twenty-five years ago, Dr. Theo van de Klundert was appointed as Professor of Economics at Tillburg University. On the occassion of this jubilee the authors review Van de Klundert's contribution to the study of economic science in the The Netherlands. The article focuses on four topics: (1) growth and income distribution, (2) capital theory, resource economics and trade, (3) controversies between Keynesians and (4) open economy macroeconomics. A short remark is made about his teaching. Van de Klundert is praised for the quality and the comprehension of his scientific work.The authors are grateful to S.K. Kuipers and M. Peeters for their useful comments on an earlier draft of this paper.     

Black-Scholes公式中无风险利率常数假设的一种改进

Black-Scholes公式中无风险利率的常数假设与现实不符。本文假设无风险利率在一个区间中变动,讨论求期权价格区间问题。首先将此问题归结为一个随机最优控制问题,然后利用动态规划原理得到期权价格区间上下限满足的模型以及模型解法,并利用最优静态对冲缩小此价格区间,最后以BaiDu股票期权为例给出了模型在期权市场上的应用,提供了一种期权市场上的套利识别方法并与Black-Scholes公式的结果做了比较。     

Temporary Migration and Foreign Direct Investment

The question of complementarity or substitutability of FDI and international labour mobility has not yet been answered. The substitutability assumption does not take into consideration the technological spillover of FDI in the host countries. Moreover, migration flows reveal cultural characteristics and labour force properties of their native country which may stimulate bilateral business networks, strengthening the complementarity assumption between capital and labour flows. In this paper we build a continuous time dynamic model where these offsetting forces are at work. We analyze whether, and to what extent, the increase in labour mobility might affect FDI outflows. A numerical simulation is performed showing that a higher income growth rate corresponds to a higher labour mobility. Some policy implications and further research direction are suggested.     

Do private capital markets insure regional risk? Evidence from the United States and Europe

A striking feature of international economic relations is the limited extent of intertemporal trade and risk-sharing among nations. This paper uses data on consumption, income, and production from regions of the United States to address the question of whether the limited participation of national economies in international capital markets is a fundamental aspect of economic relations among large geographic regions, or whether it is specifically an artifact of international economic relations. We conclude that capital flows among the regions of the United States are significantly larger than those across countries. However, such private markets still provide a relatively limited degree of insurance against regional fluctuations.     

Diplomatic barriers to trade

Summary The diplomatic climate, represented by events-data-indicators, is a significant explanatory variable in an investigation into the determinants of the bilateral trade flows of 40 countries in the year 1985. The empirical results of a gravity model support the hypothesis that political cooperation and hostility among countries shape the pattern of international trade. An improvement (deterioration) of the diplomatic climate,ceteris paribus, increases (decreases) the bilateral trade flows. It appears that western market economies adjust exports in reaction to diplomatic events, whereas the centrally planned economies adjust imports.This article communicates my own point of view and does not necessarily reflect the opinion of the government of The Netherlands.This article is based on my dissertationHandel en diplomatie (Trade and Diplomacy) at the Faculty of Economics of the University of Groningen, March 29, 1990. Preliminary versions were presented at the Eastern Economic Association's 15th Annual Meeting in Baltimore, March 3, 1989 and at the annual meeting of the Foundation for the Promotion of Research in Economic Sciences (ECOZOEK), Wageningen, April 28, 1989. Comments by Jan Bade, Steven Brakman, Henk de Haan, Ger Lanjouw, Hans Linnemann, Charles van Marrewijk, two anonymous referees and participants of both meetings were very useful.     

Introduction to the School of Economics and Management of Dalian Maritime University

Dalian Maritime University is Chinese comprehensive university featuring navigation, which enjoys a high reputation both at home and abroad regarding maritime affairs. Among the 17 teaching units in Dalian Maritime University, the School of Economics and Management has 1 doctorate program on the management science and engineering; 3 master programs on corporation management, international economy and trade,[第一段]     

Terms of trade shifts and international macroeconomic fundamentals

This paper focuses on the relationship between developing-country terms of trade and underlying economic fundamentals in the industrial economies. The focus is limited to the terms of trade of the five developing-country regions (Africa, Asia, Europe, the Middle East, and the Western Hemisphere). The analysis is based on a version of the arbitrage pricing model, which is used extensively in the literature on capital market analysis. This model links developing-country terms of trade to indicators of international macroeconomic fundamentals. In this model the terms of trade are characterized as the price of a hedge portfolio consisting of a long position in exports and a short position in imports. The primary finding is that there does not appear to be an important link between developing-country terms of trade and underlying funda-mentals in the industrial countries.     

Demand and supply as factors determining economic growth

Summary In models of economic growth the long-run rate of growth is usually determined by exogenous factors like the increase in working population and technical progress. In this article the rate of technical progress is treated as an endogenous variable depending on the increase in real wages and the degree of capacity utilization. A clay-clay production model is presented. Moreover, consumption, investment, changes in wages and in prices are explained by additional equations. Numerical steady state solutions for different values of the parameters are discussed. In each case the specific role played by demand and supply is stressed.The authors are Professor of Economics and Assistant Professor of Economics, University of Tilburg, The Netherlands. They are indebted to Professor S. K. Kuipers for valuable comments on an earlier version of the article.     

Demographic Change,International Trade and Capital Flows

Trade in goods that are not perfect substitutes can considerably change the predictions of standard neoclassical models about the effects of demographic developments. This paper considers a relative decrease in the population size of one country, when countries specialize in the production of different intermediate goods. The degree of substitutability is crucial for the direction of capital flows between the countries and for the development of wages. The less those goods are substitutes, the stronger the long-run international spillover effects of a demographic shock will be. For the interest rate effects, also international differences in saving rates due to e.g., different pension schemes have to be taken into account.     

Effectiveness and Effects of China’s Capital Controls

I. IntroductionNations at every stage of development and in every region of the world are more closelylinked through trade in goods and services, through flows of funds and investments ineach others’ economies than ever before. But in sharp contrast to more and more nationsloosening restrictions on international trade, controls over capital flows are still substantialnearly everywhere except in the most developed economies. This is certainly the case inChina, where restrictions on movements …     

汇率变动的农业贸易效应模型述评

已有文献从微观和宏观视角构建了汇率变动的农业贸易效应模型,指出汇率水平变动、汇率波动性风险负面影响农业贸易流。尽管这些模型得出了一致的结论,但却根基于不同的假定之上,由此可将其归结为出口供给模型、进口需求模型、出口供给进口需求均衡模型、出口需求方程、引力模型五类。对于前三类模型,要得出汇率波动性风险负面影响农业贸易流的结论,必须依赖于厂商风险厌恶假设。未来研究需要基于发展中国家特点提出假设条件拓展已有模型,同时在模型中引入合适的变量,以突出农业贸易特征。