Duopolists’ Retail Pricing Behavior in Multiple Markets

The law of one price asserts that, with costless trade, prices for identical goods in different countries should be equal after accounting for the exchange rate. The empirical literature suggests that exchange rate pass-through to prices is low and that the law of one price fails; instead, firms are more likely to price to market. This study adds to the literature by examining the pricing strategy of comic book firms within the context of the competition’s pricing behavior in a duopoly industry. Comic books, uniquely, display their retail prices in multiple countries on their cover giving us detailed information about the pricing behavior of each individual firm and their competition which allows us to test a pricing-to-market model. We find that an empirical model of an imperfectly applied law of one price outperforms a simple competitive, pricing-to-market model of pricing. Retail exchange rate pass-through rates between Canada and the United States average 76.8 %. This high exchange rate pass-through rate for comic books exists despite the existence of sticky prices and convenience pricing.     

ADRs as leading indicators of exchange rates

We study the pricing of Argentine ADRs during and after the transition of the Argentine economy from a pegged exchange rate to a freely floating exchange rate regime. We document a discount of 30% between the dollar denominated price of the ADR and the peso denominated price of its local counterpart (price ratio) during the transition period. The discount reflected the market's expectation of the ‘true’ exchange rate between the dollar and peso. Relative prices of the most heavily traded ADR and of its local counterpart continued to be informative about the exchange rate even after the peso was allowed to float freely against the dollar. The robustness of the Argentine evidence is confirmed by finding that prices of Thai ADRs have similar predictive power for exchange rates during a period when the Thai market underwent a similar change in exchange rate policy as Argentina. Finally, we rely on evidence from Malaysia, which switched from a managed float to a fixed exchange rate policy, to confirm that the Argentine and Thai ADRs derive their informational advantage from greater liquidity in the ADR market.     

论汇率变动对出口价格的传递效应——中国、日本、东盟、德国经验数据比较研究

文章比较分析了中国、日本、德国和东盟四个国家(地区)汇率变动对以美元计价的对美出口商品价格指数的传递效应,结果显示中国是唯一在当期存在汇率传递影响的国家,但影响显著为正。短期内德国汇率传递效应最高,中国的传递效应最低。由于中国汇率传递的滞后时间较长,中国累计汇率传递效应值高于日本。在实证结果的基础上,文章认为在短期内无法改变出口商品技术含量和竞争力的情况下,人民币保持稳步的升值步伐比汇率上下波动更有利于企业价格的提高。     

Credibility of CIS exchange rate policies — A technical trader's view

Stabilizing the exchange rate is a major monetary policy goal in a number of CIS countries. We present a technical traders–fundamentalists model of the foreign exchange market that allows us to classify de facto exchange rate management and derive a market based measure of the credibility of these exchange rate regimes. In our empirical analysis we compare the exchange rate policies of Belarus, Kazakhstan, Russia and Ukraine with the benchmark of three candidates for EU accession, namely Bulgaria, Romania and Turkey. Our results indicate that markets assign a relatively high degree of credibility to the exchange rate management of the CIS countries. The paths to credibility, however, were quite different.     

Inflation,currency exchange rates,and the international securities markets

A time-state-preference model of an efficient and complete international financial market is employed to investigate the conditions under which the international Fisher Effect will hold, and the forward currency exchange rate will be an unbiased estimate of the future spot rate. The presence of stochastic inflation within countries in the fiat-currency prices of real goods will destroy both relationships, even in the absence of any institutional imperfections or trading barriers. Similarly, expected inflation rate differentials across countries will not coincide with spot-versus-forward currency exchange rate differentials.     

Has exchange rate pass-through really declined? Evidence from Canada

Several empirical studies suggest that exchange rate pass-through has declined in recent years among industrialized countries. Results for Canada also indicate that import and consumer prices have become less responsive to exchange-rate movements in the 1990s. These findings are based on reduced-form regressions that are typically motivated by partial-equilibrium models of pricing. This paper uses instead a structural, general-equilibrium approach to test the premise that exchange rate pass-through has decreased in Canada. Our approach consists in estimating a dynamic stochastic general-equilibrium model for Canada over two sub-samples, which cover the periods before and after the adoption of inflation targeting by the Bank of Canada. We then use impulse-response analysis to assess the stability of exchange rate pass-through across the two sub-samples. Our results indicate that pass-through to Canadian import prices has been rather stable, while pass-through to Canadian consumer prices has declined in recent years. Counterfactual experiments reveal that the change in monetary policy regime is largely responsible for this decline.     

制裁政策对澳大利亚煤炭价格影响研究

2020年二季度,中国与澳大利亚的贸易关系出现恶化。将中国对澳大利亚进口煤炭的制裁政策作为一次准自然实验,将2018—2020年的进口煤炭、国内煤炭价格作为研究对象,利用双重差分与三重差分回归模型,着重研究了制裁政策对相关进口煤炭的价格效应。结果发现:进口制裁政策对澳大利亚5500大卡煤炭价格产生了负向价格效应,负向价格效应在制裁政策发布当期最显著,随后影响逐渐消退;制裁政策不会对澳大利亚出口其他国家的煤炭价格产生影响;在控制了煤炭消费、汇率等因素的影响后,新冠肺炎疫情对国内外煤炭价格产生的冲击并无显著差异。     

Real and Financial Sector Interaction Under Liberalization in an Open Developing Economy

A short‐run model incorporates instantaneous portfolio equilibrium with macroeconomic flows to clarify the structure of real–financial sector interactions. If equity and foreign exchange markets are introduced in structuralist theories of asset markets in developing countries, the key result that a fall in money supply raises the rate of inflation now holds only under special conditions on partial derivatives. But there is a tendency for interest rates to rise and for fluctuations in asset prices. Fuller integration of asset markets moderates these fluctuations. Outcomes are stable in spite of the generalized complementarity distinguishing equity markets from loan markets. Expectations play a major role. Implications for policy are to link domestic interest rates to foreign, remove artificial barriers to market integration, and stimulate demand as well as supply.     

Endogenous exchange rate pass-through when nominal prices are set in advance

This paper develops a model of endogenous exchange rate pass-through within an open economy macroeconomic framework, where both pass-through and the exchange rate are simultaneously determined, and interact with one another. Pass-through is endogenous because firms choose the currency in which they set their export prices. There is a unique equilibrium rate of pass-through under the condition that exchange rate volatility rises as the degree of pass-through falls. We show that the relationship between exchange rate volatility and economic structure may be substantially affected by the presence of endogenous pass-through. Our key results show that pass-through is related to the relative stability of monetary policy. Countries with relatively low volatility of money growth will have relatively low rates of exchange rate pass-through, while countries with relatively high volatility of money growth will have relatively high pass-through rates.     

Monetary policy spillovers and currency crisis in comparative perspective: East Asia before the 1997 crisis and Eastern Europe after tapering

This paper estimates the possibility of currency crisis in Eastern Europe that can be triggered by monetary policy change in the key currency countries, such as tapering measure. We examine the crisis possibility in the five Eastern European nations—the Czech Republic, Poland, Hungary, Bulgaria and Romania—by performing a comparative analysis with East Asian countries before the 1997 currency crisis. For the analysis, we estimate how much the exchange rate deviates from the estimated equilibrium exchange rate, as well as the synchronicity of currency value towards some of the key currencies by creating market pressure index. The results can be explained in two ways. First, the market pressure in the Eastern Europe after 2012 is smaller than they were in East Asia before 1997. The crisis possibility especially intensifies when more the exchange rate deviates from the equilibrium value. Second, the monetary policy change in the key currency countries does not greatly affect the crisis possibility in Eastern Europe when their local currencies have the strong synchronisation with euro. Therefore, Eastern European countries show strong synchronicity towards the euro, so the crisis possibility may be alleviated if the Eurozone continues its expansionary monetary policy.     

论美国金融危机对中国的影响及对策

美国次贷危机,给中国经济带来了巨大不良影响。这种影响主要通过外需、资本流动、资产负债表、金融市场、国际初级产品价格、汇率及货币政策等渠道传递到中国。中国应借鉴美国次贷危机产生诱因的教训,从改善宏观调控、加快贸易调整、稳定投资增长和支持消费等几方面着手应对危机影响。同时,应在扩大内需。保持经济平稳发展的基础上。加强国际合作,和全世界共同应对美国金融危机,弱化、遏止危机对中国经济的影响。     

Strategic Trade Policy through the Tax System

If conventional instruments of strategic trade policy are unavailable, the system of foreign profit taxation and transfer price guidelines may serve as surrogate policy instruments. In this paper, I consider a model where firms from two countries compete with each other on a market in a third country. Both firms have affiliates in the third country where (part of) the production takes place. I analyse optimal policy choices of the firms' residence countries aiming at strategically manipulating the competitiveness of their firms. I show that, first, countries prefer the tax exemption system over the tax credit system if there is no intra‐firm trade. Second, if the headquarters provide inputs for production in the affiliate, countries prefer the tax exemption system if the transfer price for these inputs is close to the headquarters' variable cost and if the residence country's tax rate is high. However, if transfer prices are high and the residence country's tax rate is low, I show that the tax credit system is an optimal tax policy choice for both countries. From a policy perspective, the view that the tax exemption system is generally the best policy response if domestic firms' competitiveness is a policy goal has to be qualified.     

The Economics of Exchange‐Rate Regimes: A Review Essay

The exchange‐rate regime issue has taken centre‐stage in discussions of international economic policy. Much of the profession appears to have been converted to ‘the hypothesis of the vanishing middle regime’; for countries well‐integrated into world capital markets, there is little, if any, middle ground between floating exchange rates and monetary unification. This paper considers the exchange‐rate‐regime issue in the context of recent books on the subject by W. Max Corden and Morris Goldstein. Both authors prescribe managed floating exchange rates, supplemented with inflation targeting, for emerging‐market economies. Under managed floating, and with a credible monetary policy, the public finances in order, and strengthened debt management and prudential regulation, the exchange rate is free to act as a market gauge for assessing policies and as a mode of conflict resolution. Both authors also argue, however, that no exchange‐rate regime is a Holy Grail. Ultimately, a credible exchange‐rate regime depends upon the trust evoked by governments. There is no exchange‐rate regime, whether of the managed‐floating or hard‐fix variety, that can eradicate a history of failed stabilisation attempts.     

Tapering talk: The impact of expectations of reduced Federal Reserve security purchases on emerging markets

In May 2013, Federal Reserve officials first began to talk of the possibility of tapering their security purchases. This “tapering talk” had a large negative impact on the exchange rate and financial markets in emerging markets. In this paper, we analyze who was hit and why. We find that countries with larger and more liquid markets and larger inflows of capital in prior years experienced more pressure on their exchange rate, foreign reserves, and equity prices. We interpret this as investors being able to rebalance their portfolios more easily when the target country has a large and liquid financial market.     

On the Link Between Exchange‐rate Regimes,Capital Controls and Monetary Policy Autonomy in Small European Countries, 1979–2000

We investigate international monetary‐policy transmission under different exchange‐rate and capital‐account regimes in eleven small, open economies during the 1980s and 1990s. We find no systematic link between ex‐post monetary‐policy autonomy and exchange‐rate regimes. Capital controls appear to have provided a degree of temporal insulation from foreign monetary policy shocks, though not strict autonomy. The results are consistent both with short‐term autonomy for small countries even under fixed exchange rates and an open capital account, and with long‐term dependence under flexible exchange rates and an independent stability target. Results also indicate that euro‐area market interest rates are significantly more responsive to the development of the corresponding US rate than were the previous national rates.     

汇率传导效应的双重传导机制分析

采用2005年8月～2010年12月相关指标的月度数据,以协整方法、误差修正模型及VAR模型等计量方法对汇率传导效应进行了量化,研究结论显示,产品市场传导渠道的汇率传导效果较为显著,而资本市场传导渠道的汇率传导效应较为微弱,但传导速度较为迅速.     

Exchange market pressure,commodity prices,and contagion in Latin America

Over the past two decades, Latin American currencies have faced not only pressure to devalue but also periods of uncomfortable appreciation. Domestic macroeconomic factors, as well as global events and contagion, might bear part of the responsibility. This study constructs a monthly index of exchange market pressure (EMP) for four Latin American countries before using vector autoregressive methods to test the influence of commodity prices, macroeconomic variables, and external factors on each country's index. While inflation is an important determinant of EMP, we conclude that Chile and Peru are more likely than Mexico and Brazil to face pressure when commodity prices fall. This supports the idea that these two countries have “commodity currencies” and that their exchange markets are most vulnerable to international contagion.     

Global excess liquidity and asset prices in emerging countries: A PVAR approach

The overly accommodating monetary policy is often accused of creating surplus liquidity and bubbles on the asset markets. In particular, it could have contributed to strong capital inflows in emerging countries, which may have had a significant impact on financial stability in these countries, affecting domestic financing conditions and creating a risk of upward pressures on asset prices. We focus in this paper on the impact of global excess liquidity on goods and asset prices for a set of emerging market countries by estimating a panel VAR model. We define first global liquidity and highlight situations of excess liquidity. We then find that excess liquidity at global level has spillover effects on output and price levels in emerging countries. The impact on real estate, commodity and share prices in emerging countries is less clear.     

Incomplete pass-through and the welfare effects of exchange rate variability

This paper considers the implications of incomplete exchange rate pass-through for optimal monetary and exchange rate policy. A two-country model is presented, which allows an explicit derivation of welfare functions in terms of a weighted sum of the second moments of producer prices and the nominal exchange rate. From a single country perspective, the optimal exchange rate variance depends on the degree of pass-through, the size and openness of the economy, the elasticity of labour supply and the volatility of foreign producer prices. Welfare may be decreasing or increasing in the volatility of the exchange rate.     

Terms of trade and exchange rate regimes in developing countries

Since Friedman [Essays in Positive Economics, University of Chicago Press, Chicago (1953) 157-203] an advantage often attributed to flexible exchange rate regimes over fixed regimes is their ability to insulate more effectively the economy against real shocks. I use a post-Bretton Woods sample (1973-96) of 75 developing countries to assess whether the responses of real GDP, real exchange rates, and prices to terms-of-trade shocks differ systematically across exchange rate regimes. I find that responses are significantly different across regimes in a way that supports Friedman’s hypothesis. The paper also examines the importance of terms-of-trade shocks in explaining the overall variance of output and prices in developing countries.