Exchange-Rate Volatility,Exchange-Rate Regime,and Trade in OIC Countries

The authors examine the impact of exchange rate volatility on trade in the Organization of the Islamic Conference (OIC) countries from 1995 to 2008 using panel estimations to distinguish differences between disaggregate trade, and examine its threshold effects. Results reveal that exchange rate volatility generally has significant negative effect on export and import with lag. However, exports of OIC with flexible exchange rate regime have significant positive exposure to exchange rate volatility. The authors also document a threshold effect for countries with trade value constitutes more than 30% of the real gross domestic product, and the exchange rate volatility becomes significant positive for export but significant negative for import with lag.     

Global value chain and its impact on the linkage between exchange rate and export: Cases of China,Japan and Korea

The link between exchange rate and trade has been studied for a long time, but there is no consensus about their relation. This paper tests the old argument, whether depreciation of real effective exchange rates (REERs) raises exports. We differentiate the test with earlier studies by employing a new measurement of REER and incorporating the effect of GVCs. We measured REER at industry level with value‐added trade weights. We analysed the topic with LSDV and system GMM for China, Japan and Korea since these counties are known to participate actively in GVCs. Our main finding is that exchange rate has significant impact on trade for three countries. However, the movement of elasticity of export to REER varies by country. While the elasticity in China decreased over time, Korea and Japan experienced increasing patterns between mid‐1990s and mid‐2000s and decreasing trends afterwards. This study also tests whether the level of incorporation in GVCs causes a change in elasticity. The results show that growing participation in GVCs lowers the elasticity of export to REER in absolute value. However, this result is only statistically significant in Korea.     

The Effect of Real Exchange Rate Volatility on the Trade of Educational Services

This article finds that high levels of real exchange rate volatility between two trading partners significantly decrease the amount of educational services traded. Many academic institutions are actively looking to expand exports of educational services as a means of increasing revenues. Internal policies that reduce real exchange rate uncertainty may help encourage trade of educational services between countries where volatility is high. The discovery that real exchange rate volatility serves as a significant barrier to attracting educational export opportunities to certain countries underscores an obstacle that should and/or could be addressed as academic institutions strive to expand their international enrollments.     

Exchange Rate Volatility and Intra‐Asia Trade: Evidence by Type of Goods

This paper examines the impact of intra‐Asia exchange rate volatility on intra‐Asia trade in primary goods, intermediate goods, equipment goods and consumption goods from 1980 to 2009. For Asia, the evidence shows that as intraregional exchange rate volatility increases, intraregional exports in these goods fall. This adverse impact is even more pronounced in the subregion of Association of Southeast Asian Nations (ASEAN)+5 comprising ASEAN member countries plus the People's Republic of China; Hong Kong, China; Japan; the Republic of Korea; and Taipei, China; and especially among intermediate and equipment exports. Again, the impact magnifies in an even smaller subgroup excluding the smaller ASEAN economies. These results underline the significant impact of exchange rate volatility on the region's production networks. For South Asia, however, exchange rate volatility appears to have a positive impact on exports. Still, caution is warranted given that South Asian economies trade relatively little with each other.     

贸易环境对我国出口影响的实证分析

以我国1995年1月至2009年10月出口贸易的月度数据为基础,实证分析了贸易环境的变化对我国出口的影响,结果显示:实际有效汇率的上升(人民币贬值)对我国一般贸易出口、加工贸易出口和制成品出口具有正面作用;汇率波动率越大,我国的出口贸易额就越少;我国出口贸易的收入弹性较高,一般贸易出口和制成品出口对收入的敏感性也较强;加入WTO、采取出口退税和人民币汇率改革3项贸易政策从长期来看,促进了我国出口贸易的增长。     

汇率风险如何影响中国对日本的出口

本文研究汇率风险对中国与日本的双边出口是否存在长期和短期的影响。使用多元JO-HANSEN协整检验法来检验汇率波动率与出口之间是否存在长期均衡关系。使用GRANGER非因果检验和脉冲响应函数检验短期影响是否存在。研究结果表明从长期看,汇率风险对出口没有影响,但是短期看,汇率风险确实会影响出口。     

汇改对我国中小企业出口的影响测度与预测——基于汇改后月度数据的实证分析

当前我国中小企业出口经营困境凸显,进一步汇改是否会加剧其困境成为关注的焦点。本文基于汇改后的月度数据,采用GARCH模型分析各次汇改对汇率弹性的影响特征,构建向量误差修正模型测度和预测汇改对中小企业出口的影响。结果表明:汇改促使人民币每升值1%,其出口减少3.874%;汇率弹性增强1%,其出口减少0.034%。预测的中小企业出口总额较为平稳。进一步汇改以增强汇率弹性为核心不会对中小企业出口总量造成大的冲击。     

Exchange rate volatility and Turkish industry-level export: Panel cointegration analysis

The purpose of this article is to investigate the impact of the exchange rate volatility on Turkey's export. To this end, the panel cointegration analysis is applied to the data from Turkey's top 20 export industries to major 20 trading partners for the period 1980–2009. Special attention is paid to test for whether employment of country-level trade data instead of industry-level data is subject to the aggregation bias problem in the estimation of long-run cointegration parameters. The results indicate that employing country-level trade data suffers from the aggregation bias in estimating the cointegration parameters for the level of exchange rate and for the exchange rate volatility. The findings imply that (i) the impact of the exchange rate volatility on Turkish exports differs across industries, (ii) Turkey benefits from the depreciation of Turkish lira, and(iii) the foreign income plays a key role in determining the Turkish industry-level exports. The findings increase our insights to explain therecent dynamics of Turkish exports and provide some policy implications.     

Exchange rate jumps and exports: Evidence from China

We apply the autoregressive conditional jump intensity (ARJI ) model to monthly exchange rate returns of China against 81 countries and investigate the impact of exchange rate volatility on exports over the period of 1995–2004. We decompose bilateral exchange rate volatility into continuous and discrete components and find that only the discrete part of exchange rate volatility, that is, the exchange rate jumps, has a significantly negative effect on exports, which to some extent reconciles the old yet unsettled debate in previous literature on the role of exchange rate volatility in international trade. There is also some evidence suggesting that the development of domestic financial market will boost international trade, but it does not help attenuate the negative effect of bilateral exchange rate jump risk on exports.     

贸易模式、汇率传递与人民币汇率安排

结合中国现行贸易模式的特点,文章从社会福利最大化目标入手,采用了新政治经济学中关于汇率制度战略选择的研究方法,对进一步扩大人民币汇率弹性和汇率升值的影响进行了分析.研究发现,加工贸易和一般贸易对汇率变动的反应弹性差异很大,不同国际贸易模式下的汇率传递系数是不同的.因此如果我国现行对外贸易依然以加工贸易为主,扩大汇率波动幅度在理论上并不会对我国社会福利产生严重影响.研究结果进一步支持加大汇率弹性更有利于丰富货币政策当局的工具选择范围,有助于国内货币政策独立性的保持,也有助于推进出口产业的结构调整和升级.是当前人民币汇率制度改革方向的合理选择.     

Real effective exchange rate and the constant elasticity of substitution assumption

The real effective exchange rate (REER) is an aggregation of several bilateral real exchange rates assuming constant elasticity of substitution (CES) between goods from different countries. We investigate the validity of the CES assumption by estimating manufacturing export equations for 56 countries over 26 years. Under the CES assumption, splitting the REER into two components should not increase the fit in an export equation and the coefficients on the two REERs should be equal. We reject both these implications and find that the export equations with two REERs—vs. OECD and vs. nonOECD countries—perform better than the traditional ones.     

汇率变动对我国纺织品出口国际竞争力的影响

在我国目前汇率制度改革的背景下,本文试图从产业组织角度探讨人民币实际汇率变动对我国纺织品出口价格影响的汇率传递问题。采用Johansen协整技术,以美国市场为主要研究范围,以印度和韩国作为我国主要竞争对手,以人民币实际有效汇率变动对我国棉纱、棉机织物纺织品的国际竞争力影响程度及特征进行实证分析,并最终认为人民币汇率变动对纺织品出口价格没有明显的影响。     

China's exports,export tax rebates and exchange rate policy

This paper examines the relationship between China's exports, export tax rebates and exchange rate policy. It offers an explanation for why China's exports continued to rise under RMB real appreciations during the Asian financial crisis. Based on a traditional export demand model, we test our hypothesis that the counteracting effects of China's export tax rebate policy have diminished the effectiveness of real exchange rates in facilitating the resolution of trade imbalances under the current pegged exchange rate regime. We find evidence that RMB real appreciations during the crisis negatively affected China's exports, but the negative effects were mitigated by the positive effects of export tax rebates. We also find evidence of a long‐run relationship between China's exports and the other explanatory variables. The empirical evidence suggests that under the pegged exchange rate regime with limited adjustments, real exchange rate movements alone cannot resolve China's external imbalances. The policy implication of this study is that China needs to redirect its decades‐long export‐oriented development strategy to one that emphasises domestic demand‐oriented development and to replace the current pegged exchange rate regime with a market‐oriented more flexible exchange rate regime.     

Real Exchange Rates and ASEAN Trade

This paper systematically analyses the longer-term effects on the Association of South-East Asian Nations (ASEAN) trade of changes in competitiveness brought about by changing real exchange rates. We introduce a model to explain exports from four ASEAN countries which highlights the role of real exchange rates. Specifically, we provide evidence on the price responsiveness of export demand. The results indicate that (i) there have been large changes in real exchange rates; and (ii) the pattern of ASEAN trade responds to relative prices (real exchange rates). Suprisingly, however, the impact of observed changes in real exchange rates on ASEAN trade is only relatively minor.     

Export Performance of Brazilian States to Mercosul and Non-Mercosul Partners

ABSTRACT

We investigate the role of the trade-weighted real exchange rate and foreign income on the export performance of Brazilian states, differentiating between Mercosur and non-Mercosur partners. The results indicate that state exports are price and income inelastic. There are differences in the influence of the different trade factors between the two groups of partners. One crucial difference is the relevance of the real exchange rate effect for non-Mercosur partners. This might be associated with the existence of specific rules for Mercosur that can overcome the usual effect of relative competitiveness associated with movements in the real exchange rate.     

The impact of parallel market exchange rate volatility and oil exports on real GDP in Syria: Evidence from the ARDL approach

This paper investigates the impact of parallel market exchange rate volatility and trade on real GDP and real GDP growth in the Syrian economy over the period of 1990Q1–2010Q4. To this end, we first construct a parallel market exchange rate volatility indicator. Second, we estimate an autoregressive distributed lag (ARDL) model where we include our indicator of volatility among the main determinants of real GDP. Our findings imply that real GDP can be explained by three main variables: parallel market exchange rate, money supply, and oil exports. The long-run equilibrium reveals that parallel market exchange rate volatility has a negative impact on real GDP compared to the positive impact of money supply and oil exports. In contrast, the short-run impact of parallel market exchange rate volatility on real GDP growth is positive and very small counter to the long-run impact. Furthermore, the coefficient of the error correction term of the estimated ARDL model indicates that real GDP deviation from the equilibrium level will be corrected by about 10% after each quarter.     

A reexamination of the demand for UK exports: Evidence from an error correction model

This article examines the demand for UK exports and is focused on five issues. It starts by examining the stochastic properties of the relevant time series. Special attention is paid to the model specification, its dynamic structure, and its temporal stability. In addition, the potential effect of exchange rate uncertainty on export demand is considered. The empirical results show that the determinants of the demand for UK exports are foreign economic activity, export price, foreign prices, and exchange rate uncertainty. The results further indicate that exchange rate uncertainty has a negative effect on exports and that the overall export demand equation requires the inclusion of such a variable in order to exhibit structural stability. Trade policy in the UK, therefore must take into account the response of export demand to changes in real exchange rate volatility.     

Exchange rate fluctuations,firm size,and export behavior: an empirical investigation

In this paper, we examine how changes in the exchange rate and its volatility affect the export behavior of manufacturing firms. We also investigate whether both exchange rate changes and exchange rate volatility affect firms of different sizes differently. Applying the two-step system generalized method of moment estimator on our data for a sample of 221 Pakistani manufacturing firms, we find that the real exchange rate depreciation has positive impacts, whereas the exchange rate volatility has negative impacts on firms’ exports. We also find that compared to large-sized firms, small- and medium-sized exporting firms are more likely to benefit from currency depreciations. Yet, regarding the effect of exchange rate volatility, we find that the adverse impact of exchange rate volatility is weaker for large-sized firms as compared to small- and medium-sized firms. Our findings confirm the presence of nonlinearity in export-deterring (favoring) effects of exchange rate volatility (depreciation) on exporting behavior depending on firm size. Pakistan should design and implement export-favoring preferential policies by emphasizing on real exchange rate stabilization and providing incentives to large firms to come into being. Small- and medium-sized enterprises should develop such export strategies that help reduce their size disadvantages, particularly in managing exchange rate risks.     

The effects of exchange rate fluctuations on exports: A sectoral analysis for Turkey

This paper examines the effects of exchange rate fluctuations on disaggregated data comprising 21 exporting sectors (BEC classification) in Turkey. Building on a theoretical model that decomposes movements in the exchange rate into anticipated and unanticipated components, the empirical investigation traces the effects through demand and supply channels. Anticipated exchange rate appreciation, in line with movements in underlying fundamentals, has significant adverse effects, contracting export growth across many sectors. Random fluctuations in the exchange rate, deviations around steady-state equilibrium, have asymmetric effects on sectoral export growth. The evidence indicates increased contraction of export demand to currency appreciation over time. In contrast, the effect of depreciation in stimulating export growth has lost momentum over time. While exchange rate fluctuations had a positive net effect on export growth before 2003, the net effect is negative for the post-2002 period. The implications are anticipated movement in the exchange rate guides export plans, signaling the importance of managing fundamentals to anchor rational forecasts. Moreover, less variability of the exchange rate is likely to improve sectoral export growth in Turkey over time.     

Asymmetric effects of exchange rate movements on traditional and modern services exports: Evidence from a large emerging economy

The service sector in India has emerged as the ‘new engine of growth’ with an increasing share in output and exports. In this paper we analyse the effect of real exchange rate movements on service exports of India, incorporating goods exports, financial development, FDI inflows, world demand and the role of globalization as drivers. We find that while traditional service exports are negatively and significantly affected by the real exchange rate movements, the modern service exports are negatively but not significantly affected. By applying the asymmetric cointegration approach, the results also confirm the non-existence of any asymmetric relationship between the real exchange rate and service exports in India. Further, the results also show that the supply augmenting and demand-side factors are more dominant than the exchange rate to affect service exports from India.