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.     

Debt composition and balance sheet effects of exchange rate volatility in Mexico: a firm level analysis

We use Mexican firm-level data to study the role of currency mismatches in the corporate sector in exacerbating the negative effects of a devaluation. We also investigate what drives Mexican firms to borrow in foreign currency. We find that holding dollar denominated debt in a devaluation adversely affects firms’ earnings and investment. However, exporters invested more than non-exporters in the same period. We also find that the negative effect of dollar debt was stronger than the positive effect of exports in the 1994 crisis for firms with positive dollar debt and/or exports, relative to firms that did not borrow abroad and/or export. This was a result of imperfect currency matching by firms. However, in the 1998 crisis firms managed the denominations of their inflows and outflows much better and these two effects were roughly equal in magnitude. We also find some evidence of currency matching by exporters, especially after the introduction of the floating exchange rate.     

Export prices,selection into exporting and market size: Evidence from China and India

This paper empirically analyses the export pricing behaviour of Chinese and Indian exporters when there is selection into exporting. Previous exchange rate pass-through estimates that did not take selection into account could be biased if selection into exporting is correlated with pricing strategy. We use 6-digit product-level data across high- and low-income export destinations over the period 1994–2007 and assess a number of determinants of the degree of pass-through of exchange rates to export prices, such as the level of external demand, exporter’s wage cost, degree of competition in export markets, currency volatility and the direction of currency movements. We find systematic differences in the pricing strategies of Chinese and Indian exporters while uncovering a selection bias in exports to high-income markets, although the pricing of exports to low-income markets is independent of the decision to export. Export prices do not increase systematically with the destination market per capita income, and tend to be less sensitive in shipments to advanced nations. Export prices of India are sensitive to the volatility of the trade-weighted nominal effective exchange rate (NEER), indicating heterogeneity in prices to maintain competitiveness, but not in China as volatility is insignificant given a fixed currency system. It is also revealed that a country with a relatively flexible currency regime and arms-length trade such as India is more likely to exhibit incomplete pass-through, whereas a country with an inflexible currency system and involved in outward processing trade is more likely to have full pass-through as shown in the case of China.     

Export Performance,Invoice Currency and Heterogeneous Exchange Rate Pass‐through

Using comprehensive, shipment‐level merchandise trade data for a small, open economy, we examine heterogeneity in exporters' exchange rate pass‐through (ERPT) behaviour. We draw together two recent studies of ERPT, linking invoice currency decisions and firm performance to heterogeneity in ERPT. Like these studies, we find that the short‐run reaction of export unit values to exchange rate fluctuations is significantly related to both invoice currency choice and exporter characteristics when these are analysed separately. However, we then show that when the two factors are jointly accounted for, the role of exporter characteristics largely disappears. That is, some firm types are more inclined to invoice in the producer currency, while others use either the local or a vehicle currency. In the short run, this translates into differences in exchange rate pass‐through because of price rigidity in the invoice currency. Firm characteristics do not have an independent impact on pass‐through beyond their effect on currency composition. Differences across invoice currencies diminish over time, but do not disappear, as prices adjust to reflect bilateral exchange rate movements.     

Exports and hedging exchange rate risks: the multi‐country case

This article examines the optimal production, export allocation, and hedging decisions of a risk‐averse international firm that exports to several foreign markets with different currencies. The firm faces multiple exchange rate risks. Optimal decisions are analyzed under two scenarios. In the first, there is a forward market for one currency only. Then, the export allocation to different markets is separable from the firm's preferences and the joint distribution of the exchange rates. In contrast, total production is not separable except for a special case. In the second scenario, there is a forward market for each currency. Then, both production and export allocation are separable. Hedging with forward contracts depends on risk premia and on the joint distribution of the exchange rates. If tradable exchange rate risk is a linear function of untradable exchange rate risk plus noise, there is a conflict between cross hedging and taking a basis risk. If, alternatively, the untradable exchange rate risk is a linear function of the tradable exchange rate risk and noise, there is no such conflict. A speculative position in a biased forward market for one currency can be cross hedged using an unbiased forward market for another currency. © 2000 John Wiley & Sons, Inc. Jrl Fut Mark 20:843–864, 2000.     

基于商品出口的快速报价法

对外报价是货物出口贸易中必须遇到的一个环节，本文通过收支平衡的基本原理，推导出本币与外币的“换汇折算率”，并融合了外贸公司的利润目标，分析并说明了外贸从业人员如何通过综合考虑人民币汇率、出口退税率、预期利润率等变量，将商品的本币价格快速而准确地换算成外币价格，对外报价。     

The Relationship between Exchange Rates and Interest Rate Differentials: A Wavelet Approach

This paper uses wavelet analysis to investigate the relationship between the spot exchange rate and interest rate differential for seven pairs of countries, with a small country, Sweden, included in each case. The key empirical results show that there tends to be a negative relationship between the spot exchange rate (domestic‐currency price of foreign currency) and nominal interest rate differential (approximately the domestic interest rate minus the foreign interest rate) at the shortest timescales, while a positive relationship is more frequently found at the longest timescales. This indicates that among models of exchange rate determination using the asset approach, the sticky‐price models are supported in the short run and flexible‐price models in the long run.     

Corporate financial policies and the exchange rate regime: Evidence from Brazil

This paper analyzes the relationship between companies' financial policies and the exchange rate regime for a sample of non-financial Brazilian companies from 1996 to 2006. The adoption of a floating exchange rate regime is shown to improve the match between the currency composition of companies' assets and liabilities. The paper also shows that this reduction in companies' currency mismatches is more pronounced for companies in the highest quantile of foreign exposure; therefore the results confirm that the exchange rate regime plays an important role in the determination of companies' foreign vulnerability.     

Twin dollarization and exchange rate policy

This paper develops a small open economy general equilibrium model with nominal rigidities to study twin dollarization in East Asian economies, a phenomenon where firms borrow in US dollars and also set export prices in US dollars. In this model, we endogenize both the currency of liability denomination and the currency of export pricing. We show that a key factor that affects firms' dollarization decisions is exchange rate policy. Twin dollarization is an optimal strategy for all firms when exchange rate flexibility is limited, which implies that a fixed exchange rate regime may lead to an equilibrium with twin dollarization. Furthermore, we find that twin dollarization can reduce the welfare loss caused by the fixed exchange rate regime, as it helps to cushion the economy against domestic nominal risk.     

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.     

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。     

Stock prices and exchange rate dynamics in Nigeria: An asymmetric perspective

This paper investigates the asymmetric effect of exchange rate changes on stock prices in Nigeria. Using the nonlinear ARDL framework and monthly data from 2000:1 to 2016:12, the nominal exchange rate is separated into currency depreciation and appreciation through a partial sum decomposition process. Asymmetry is examined both in the long-run relationship and short-run error correction mechanism. The results show that the effects of exchange rate changes on stock prices is asymmetric both in the short- and long-run. That is, stock prices react in different magnitude to depreciation and appreciation. However, currency depreciation has a strong pass-through effect on stock prices than appreciation in the long-run. In the absence of asymmetry, exchange rate has only short-run effect on stock prices. This implies that the symmetry assumption underestimates the impact of exchange rate changes on stock prices in Nigeria.     

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.     

Exchange rate volatility and economic performance in Peru: a firm level analysis

This paper analyzes the impact of the exchange rate volatility on the performance of the Peruvian economy using financial information from 163 non-financial listed firms. We find evidence that, for firms holding dollar-denominated debt, investment decisions are negatively affected by real exchange rate depreciation. The reasons behind this result are: (i) the high degree of liability dollarization and currency mismatch that create the conditions for a balance sheet effect and a financial stress in the aftermath of a currency depreciation; (ii) the strong bank-lending channel that follows and reinforces the balance sheet effect; (iii) the domestic demand shrinkage that affects severely firms’ sales; and (iv) the relatively small and poorly diversified export sector.     

新台币升值对台湾出口的影响及实证分析

通过对1973～1992年新台币汇率变化与台湾出口之间的关系两个变量的单位根检验和协整分析,得出以下结论:台湾的汇率与其出口之间不存在长期稳定的协整关系,新台币的升值没有立即抑制台湾的出口,并且也未对其产生滞后影响,从而打破了传统理论认为货币升值会抑制出口并增加进口的说法.新台币汇率的变动及结果给人民币汇率的调整提供了借鉴意义.     

进出口视角下汇率对失业影响的效应研究

选取1992年～2009年G20国家中15个国家的进出口、汇率和失业率等数据,运用面板协整方法研究汇率对失业的直接影响,以及进口和出口两个渠道对失业产生的间接影响,结果表明,汇率对失业率的直接影响效应不显著,通过出口和进口渠道对失业率产生的间接影响也较小,但出口和失业率存在反向关系,扩大出口能降低失业率;进口和失业率也存在反向关系,进口贸易额的扩大能使失业率降低.     

The effect of exchange rate uncertainty on the prices and volume of international trade

By specifying a model of differential risk-bearing by import demand and export supply sides of the market for traded goods, the theoretical impact of exchange risk on both equilibrium prices and quantities is analyzed. For several empirical cases of 1965–1975 U.S. and German trade it is found that exchange rate uncertainty has had a significant impact on prices but no significant effect on the volume of trade. These price effects support previous survey results on the currency denomination of export contracts, namely that with the exception of some U.S. imports, most trade is largely denominated in the exporter's currency.     

人民币汇率与中美贸易失衡的关联性实证分析

近年来,中关贸易规模发展迅速,但双边贸易不平衡问题日益突出,成为中美贸易摩擦的焦点所在,人民币汇率问题被认为是导致中关贸易不平衡的主要原因。然而通过大量数据分析和探讨中关贸易不平衡与人民币汇率的关系,发现人民币汇率并非导致中美贸易不平衡的主要原因,而美国国内经济失衡,对华出口管制,两国统计口径的差异,美国对华的直接投资才是中关贸易失衡的主要原因。     

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.     

人民币汇率制度“棱锥”模型的探索

“汇率棱锥”模型以美元、欧元、日元为基础货币,以它们占全球市场外汇交易总量的百分比为权重,计算得到的加权平均值作为比价基准,即汇率中心价值,简称“汇元”。将所有货币的价值用“汇元”表示,建立以基础货币三角形为底的本币“汇率棱锥”,表示货币的价值与汇率的关系,形成钉住“汇元”的“汇率棱锥”模型。以权重削弱基础货币升贬的影响,以三种货币汇率间的抵消作用实现稳定汇率且降低钉住成本的效果。