Price Commitment versus Flexibility: the Role of Exchange Rate Uncertainty and its Implications for Exchange Rate Passthrough

The paper investigates the incentives to commit price or retain price flexibility in a model in which exporting firms face different degrees of exchange rate uncertainty. The result shows that introducing exchange rate uncertainty can lead to the endogenous emergence of a unique leader–follower equilibrium; which firm emerges as price leader depends on the substitutability of products, the magnitude of exchange rate uncertainty, and the cost structure. This study may provide one explanation as to why some exporters set price before the realization of the nominal exchange rates (“sticky price”). The results imply exchange rate variability affects exchange rate passthrough.     

Election Surprises and Exchange Rate Uncertainty

This papers shows that unexpected election results explain some of the unexpected variation in foreign exchange rates. The result is based on an event study which examines the behavior of the size of forecast errors implied by futures contracts for exchange rates around elections. Though elections can produce large unexpected effects on exchange rates, the effects on forecast errors are short-lived. [ JEL codes: D72, F31.]     

通货价值的非确定性变动与汇率的经济学分析

全文共分四个部分--回顾日元对美元的汇率变动过程;介绍经济学家关于汇率决定的理论;人们对汇价的期待与外汇市场的不确定性.     

汇率与股价波动研究——基于中国与日本高频数据的ARCH检验

次贷危机发生前，汇率与股指存在ARCH效应，且均有不对称信息的冲击，波动存在持续性的影响；次贷危机发生后，汇率与股价都不存在ARCH效应，系统性风险和非系统性风险暴露出来使得汇率对股市的波动影响降低，从而促进投资者风险得到有效对坤。     

汇率价格传导机制下人民币汇率悖论的理论与实证解析

笔者通过建立VAR模型,结合我国实际情况,探讨了人民币"外升内贬"传导机理,实证分析人民币汇率悖论的传导路径。研究结果表明中国汇率升值引起外汇占款增加,外汇占款的增加导致货币供应量的增加,最终引起物价水平上涨。     

The Impact of Exchange Rate Uncertainty on the Level of Investment

Conventional wisdom has it that increasing price or exchange rate uncertainty will depress investment. Using the Dixit–Pindyck model, we find that there are situations where this will happen; and situations where it does not. There are threshold effects which allows us to identify when rising volatility would increase or decrease investment; and also to identify which types of industries would gain, and which would suffer, from a move to fixed exchange rates. This is important for monetary union in Europe since it is likely that, even if trade is insensitive to exchange rate volatility, investment with its longer horizon will be affected.     

Stock Price Index and Exchange Rate Nexus in African Markets

This paper examines the relationship between stock price index and exchange rate in six African markets using monthly data for the period January 2007 to October 2015. A quantile regression approach is used. This methodology is shown to perform better than the ordinary least squares estimators, particularly when the conditional distribution is heterogeneous. Our empirical evidence reveals an interesting pattern in the association of these two financial markets in Africa, which shows that the negative relationship between stock and foreign exchange markets is more apparent when exchange rates are extremely low or high. The negative relationship between the two variables is in line with the portfolio balance effect.     

A Simple Model of Hysteresis in Employment under Exchange Rate Uncertainty

A model leading to employment hysteresis due to sunk hiring- and firing-costs is proposed. A potential mechanism based on a band of inaction that could account for a 'weaker' relationship between employment and its determinants is augmented by exchange rate uncertainty. As a result of option value effects the band of inaction is widened. Thus, the hysteresis effects are strongly amplified by exchange rate uncertainty (as numerical examples demonstrate). Non-linearities in the employment-relation are implied, i.e. 'spurts' in new employment or firing may occur after an initially weak response to a reversal of the exchange rate.     

汇率与股价关系研究最新进展述评

有关汇率与股价关系的最新研究,归纳起来主要有四个发展方向:一是传统宏观经济一般均衡分析方法的拓展,在以往的开放宏观经济均衡模型中将汇率与股价作为宏观经济中重要的解释变量,强化对客观经济运行的考察;二是具有微观基础的均衡分析,包括资产组合平衡与新开放宏观经济两个分析框架下的汇率与股价关系研究;三是从市场的微观结构理论对汇率与股价这两种资产价格进行模型化;四是影响汇率与股价关系的相关因素的分析。本文按照这四个方面进行文献梳理,并进行简要评述。     

Measuring Exchange Rate Uncertainty: The Case of the Australian Dollar 1969 to 1987

In this article indices of exchange rate uncertainty are measured from the perspective of potential impacts on trade flows. Empirical evidence based on movements in the Australian dollar spot rates and forward rates indicates that there has been an increase in currency risk between 1969 and 1987, which is not surprising given the progressive relaxation of the exchange rate regime during this period. More surprising is the finding that exchange rate uncertainty indices have risen relative to domestic financial price uncertainty indices. This would not have been expected to occur if increased currency risk had been solely due to growing instability of the underlying economic environment. However, since there is evidence that currency risk has been offset by domestic risk, the risk burden of diversified international traders may not have been adversely affected.     

The Behaviour of the Real Exchange Rate: Evidence from an Alternative Price Index

Although the long–run purchasing power parity (PPP) hypothesis is expected to hold across tradable goods, all price indices available to researchers for testing the validity of PPP contain some proportion of non–tradable goods prices, which may generate substantial persistence in the real exchange rate. We construct time series for quarterly price indices that minimize the presence of non–tradable goods for six major economies. Applying recently developed nonlinear econometric techniques to the resulting five US dollar real exchange rate series for the recent floating exchange rate regime, we provide evidence that the nonlinear mean reverting properties of these real exchange rate series are stronger than the mean reverting properties of real exchange rate time series constructed using the consumer price index (CPI). In turn, these results have a natural economic interpretation.
(J.E.L.: F31).     

Nonlinear Adjustment in Law of One Price Deviations and Physical Characteristics of Goods

At a level of individual goods, heterogeneity of marginal transaction costs, proxied by price-to-weight ratios and stowage factors, explains a large part of the variation in thresholds of no-adjustment and conditional half-lives of law of one price deviations. Prices of heavier (more voluminous) goods deviate further before becoming mean-reverting. Moreover, after becoming mean-reverting, prices of heavier goods converge more slowly. Together with measures of pricing power, market size, distance, and exchange rate volatility, these factors explain up to 43% of variation in no-adjustment threshold estimates across 52 goods in US–Canada post-Bretton Woods monthly CPI data and are robust in a broader five-country dataset. They open two avenues for the importance of marginal transaction costs in accounting for real exchange rate persistence: through (a) generating persistence in individual real exchange rate components, and (b) accentuating it by the aggregation of heterogeneous components ("aggregation bias" of Imbs et al., 2005a ).     

Diversification Bias and the Law of One Price: An Experiment on Index Mutual Funds

Individual investors select high-fee index mutual funds despite the fact that the future payouts are nearly identical. The authors offer an explanation for this violation of the law of one price based on investor desire to diversify. While diversification in some settings may be beneficial, in the case of assets with identical payouts, fee minimization is the only rational strategy. The evidence confirms that investors diversify by selecting multiple higher fee funds rather than minimizing fees when investing in index mutual funds.     

The Law of One Price: further empirical evidence concerning Italy and the United Kingdom

The main purpose of this paper is to perform a disaggregated test on the empirical validity of the Law-of-one-price Hypothesis in the sector of manufacturing for two industrial countries, Italy and the United Kingdom, during the period 1973–80. The findings show that Italian export prices are much less related to British export prices than is usually suggested by contemporary balance-of-payments and exchange rate theoretical literature assuming the Law of One Price.     

人民币汇率变动对价格传递效应的差异研究

本文主要研究汇率波动对中国三十多个省市物价水平的影响,并分析了可能影响物价水平的诸多因素。从中国样本省市价格水平方面,运用计量经济学模型对人民币汇率波动对中国价格水平的影响差异进行了实证分析,验证了人民币汇率传递的程度与经济开放度有关,并得出了应关注汇率传递差异、积极应对物价变化的结论。     

基于滑动价格保值条款的供应链汇率风险管理

基于一个使用批发价契约的跨国供应链,构建了一个滑动价格保值条款来实现上下游节点企业绩效的改进。研究结果表明:当汇率对零售商不利时,降低批发价格会促使零售商订购更多商品;当汇率对零售商有利时,提高批发价格会提升供应商的绩效;滑动价格保值条款对批发价格的修正幅度与上下游企业的期望利润正相关。最后通过算例分析揭示了滑动价格保值条款的管理意义。     

Exchange Rate Volatility,Earnings Uncertainty and Bidirectional Trade Flows: Empirical Evidence on Ghana

Although the empirical findings on the impact of exchange rate volatility on trade is diverse, the growing consensus in the literature appears to suggest that for developing economies, the theoretically expected negative relationship almost always exists. The paper takes a different approach to empirically assess this relationship by analysing the impact of exchange rate volatility independently on total trade, imports and exports. The intuition behind this approach is to assess exactly how exporters and importers are incentivised (differently or similarly) by exchange rate volatility costs. Whereas adequately risk-aversed Ghanaian exporters in the presence of higher exchange rate volatility and the absence of hedging facilities effectively compensated against exchange rate risk by increasing volume of exports, import decisions were to some extent (although not effectively) negatively affected by exchange rate volatility. The different responses by Ghanaian exporters and importers to higher exchange rate volatility costs are reflected in the relationship between volatility and total trade. The useful policy lessons and the challenges that the empirical evidence present are discussed.     

汇率与进出口关系之实证分析

在国际经济学理论的基础上 ,本文利用 1 90 5～ 1 93 6年的宏观经济数据 ,分析论证了近代中国的银价、汇率和进出口之间的数量关系。数量分析结果表明 :近代中国的国币汇率是由世界市场的银价决定的 ,汇率对近代中国的进出口也是有影响的 ,数量分析的结果说明 ,近代中国的进出口不只是受汇率一个变量的影响 ,近代中国和世界的GDP、进出口价格指数与汇率同时影响进出口。本文认为 ,经济史家应在统计分析的基础上做出有关的结论 ,而不应该用简单的举例法来随意点评经济运行中客观存在的统计规律。     

Exchange Rate Uncertainty, Sociopolitical Instability and Private Investment: Empirical Evidence from Latin America

Using exchange rate uncertainty (ERU) and sociopolitical instability (SPI) as measures of macroeconomic imbalances and political disorder, respectively, we investigate the link between these two factors and private investment in Latin America. The analysis shows that while ERU and SPI negatively impact private investment jointly, the individual impact of ERU is much greater than that of SPI. Our results should prove useful both to policymakers and others interested in understanding the impact of uncertainty on private investment. Most importantly, macroeconomic policies that limit excess volatility in relative prices should lessen an economy’s general level of investment risk leading to enhanced private investment. Further, though lesser in degree, institutional reforms that reduce social tensions and strengthen property rights should also stimulate private investment. Finally, structural reforms that combine these two are likely to foster a robust market for private investment thus contributing to an economy’s growth potential.     

大宗商品价格变化与汇率波动的动态关系——兼论中国外汇储备结构调整

2008年全球金融危机以来,大宗商品价格变化与一些大宗商品输出国货币汇率的波动态势较为一致。这是偶然巧合还是必然联系?本文利用VEC向量误差修正模型等对相关数据进行了实证分析后表明,2008年以来,大宗商品价格上升对澳大利亚、加拿大等大宗商品输出国货币汇率有正面推动作用。基于此,本文建议:为降低外汇储备风险,中国需要适时增加大宗商品输出国货币和资产在外汇储备中的比重,同时相应减持美元和美元资产。