Investigating the effect of exchange rate changes on china’s processed exports

Many argue that the renminbi needs to appreciate to rebalance China’s trade. However, empirical evidence on the effects of an RMB appreciation on China’s exports has been mixed for the largest category of exports, processed exports. Since much of the value-added of these goods comes from parts and components produced in Japan, South Korea, and other East Asian supply chain countries, it is important to control for exchange rate changes in these countries. Employing DOLS techniques and quarterly data, this paper finds that exchange rate appreciations across supply chain countries would cause a much larger drop in processed exports than a unilateral appreciation of the RMB.     

The effect of exchange rates on firm exports and the role of FDI

This paper studies how exchange rate movements affect the export market entry and intensity decision of firms and the export behaviour of multinationals in the UK. Using data on British manufacturing firms we find that exchange rate movements have little effect on firm export participation but have a significant impact on export shares. Multinationals have at their disposal a greater array of instruments to deal with exchange rates changes, although their use may vary according to the motives behind FDI. We also find important differences according to the country of origin of multinational firms. Multinationals firms originating from outside of the EU are less affected by changes in the exchange rate compared to those inside, who appear similarly affected as domestic firms.     

The effect of oil price on China's exports

The increase in oil prices in recent years has occurred concurrently with a rapid expansion of Chinese exports in the world markets, despite China being an oil importing country. In this paper we develop a theoretical model that explains the positive correlation between Chinese exports and the oil price. The model shows that Chinese growth can lead to an increase in oil prices that has a stronger impact on its export competitors. This is due to the large labor force surplus of China. We then examine this hypothesis by estimating a reduced form equation for Chinese exports using Rodrik [Rodrik, Dani, 2006. What's so special about China's exports? China and World Economy 14, 1–19.]'s measure of export competitiveness, together with the oil price, productivity, real exchange rate, and foreign industrial production over the monthly 1992–2005 period. The results suggest a stable relationship and yields slightly positive values for the price of oil and elastic coefficients for export competitiveness, along with the expected negative elasticity for the real exchange rate.     

Backward participation in global value chains and exchange rate driven adjustments of Swiss exports

This paper examines the effect of exchange rate movements on export volume, export revenues and propensity to export taking into account the extent of foreign value added content of exports (“backward integration”) in global value chains (GVCs). Using both product-level and firm-level panel data, our results suggest that Swiss exports (intensive margin) and the export probability (extensive margin) are negatively affected by a currency appreciation. However, this adverse effect is mitigated in sectors and firms that are more integrated in GVCs, which could be explained by the “natural hedging” of exchange rate movements. Our findings are robust to the use of different measures of natural hedging and GVC integration and also hold across various specifications and estimation methods that control for sample selection, firm heterogeneity, heteroskedastic errors and persistence in export behavior. The dynamic specifications also reveal that export hysteresis driven by a currency appreciation is a concern particularly for firms that are not established in export markets.     

The effect of exchange rate volatility on international trade in East Asia

In this paper, we empirically investigate the relationship between exchange rate volatility and international trade, focusing on East Asia. Our findings are summarized as follows: first, intra-East Asian trade is discouraged by exchange rate volatility more seriously than trade in other regions. Second, one important source of the discouragement is that intermediate goods trade in international production networks, which is quite sensitive to exchange rate volatility compared with other types of trade, occupies a significant fraction of East Asian trade. Third, the negative effect of the volatility is greater than that of tariffs and smaller than that of distance-related costs in East Asia.     

The impact of oil price shocks and exchange rate changes on import demand elasticities

Zusammenfassung Die Auswirkung von ?lpreis-Schocks und Wechselkurs?nderungen auf die Elastizit?t der Importnachfrage.—Man kann zeigen, da? ?lpreisSchocks und Wechselkurs?nderungen die Elastizit?t der Nachfrage nach Nicht-?l-Importen über ihre Auswirkung auf das Realeinkommen und die Zusammensetzung der Gesamtimporte beeinflussen. Insbesondere ist es wahrscheinlich, da? ein steigender ?lpreis und ein sinkender Wechselkurs Preis- und Einkommenselastizit?ten erh?hen und umgekehrt. Diese theoretischen Schlu?folgerungen werden empirisch durch Daten aus den USA gestützt. Sowohl die Einkommensals auch die Preiselastizit?t der Importnachfrage nach Produkten au?er Erd?l stiegen nach dem ersten ?lpreis-Schock stark an und fielen dann wieder mit der hohen Dollaraufwertung im Jahre 1980.

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Résumé L’effet des chocs du prix pétrolier et les variations des taux de change sur les élasticités de la demande de l’importation.—Dans cette étude, il est montré que les chocs du prix pétrolier et les variations des taux de change se répercutent sur les élasticités de la demande de l’importation non-pétrolière via leur effet sur le revenu réel et via la composition des importations totales. En particulier, l’augmentation du prix pétrolier et la baisse du taux de change peuvent élever les élasticités de prix et de revenu et vice versa. On a affirmé ces conclusions théoriques par une analyse empirique avec des données pour les Etats Unis. Tous les deux, l’élasticité de revenu et de prix de la demande d’importation non-pétrolière, augmentent drastiquement après le premier choc du prix pétrolier et tombent après la forte réévaluation du dollar en 1980.

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Resumen El impacto de shocks del precio de petróleo y de movimientos de la tasa de cambio sobre las elasticidades de demanda de importaciones.—Los shocks del precio de petróleo y los movimientos en la tasa de cambio pueden afectar a las elasticidades de demanda de importaciones exceptuando el petróleo, através de su impacto sobre el ingreso real y la composición de las importaciones totales. En particular, un precio de petróleo en aumento y una tasa de cambio en descenso probablemente aumentarian las elasticidades-precio e -ingreso y viceversa. Estas conclusiones teóricas son confirmadas empíricamente con datos de los EE UU. Ambas elasticidades, ingreso y precio, de la demanda de importaciones exceptuando el petróleo aumentan drásticamente después del primer shock del precio de petróleo y después disminuyen otra vez con la fuerte revaluation del dólar en 1980.

     

The common trend and common cycle of exports and the real exchange rate: Empirical results from Swiss data

Conclusion This paper contains an empirical analysis of the relationship of Swiss goods exports, the real exchange rate and world trade, using the common-trend-common-cycle methodology. This exercise shows that the trend and cyclical dependence of these variables are strongly different: exports and the real exchange rate exhibit a positive long-run or trend dependence of world trade whereas the short-run or cyclical relationship of exports to the real exchange rate is strongly negative with approximately a unit elasticity. These results, which differ strongly from standard dynamic regression or error correction estimates, can be interpreted as follows. In the short run we observe the strong negative cyclical relationship between exports and the real exchange rate, which we expect from short-run macroeconomic models with sticky prices. If we make the reasonable assumption that short-run real exchange rate movements are exogenous to exports and, for instance, caused by monetary policy then we come to the conclusion that cyclical real exchange rate variations lead to strong export cycles. However, in the long run, there is a completely different positive comovement of these two variables, which are both driven by the world trade trend. This common trend of exports and the real exchange rate can be understood as an equilibrium reaction of both variables, price and quantity of the exported goods, to exogenous changes in world trade given a production technology available for the country.     

Tariff and exchange rate pass-through for Chinese exports: A firm-level analysis across customs regimes

We examine whether a firm's import content share differentially affects the degree of tariff and exchange rate pass-through into its export prices. Our pricing-to-market model suggests that a firm's import content share negatively affects the degree of exchange rate pass-through but does not affect the degree of tariff pass-through. Using firm-level data for Chinese exporting firms during the period 2000–2006, we find evidence of an almost complete exchange rate pass-through. As expected, when we distinguish firms by their trade regime, processing-trade firms, especially pure-assembly firms which tend to have higher import-content share, have a lower exchange rate pass-through than ordinary trade firms. We find no evidence that the tariff pass-through differs across the various trade regimes.     

Real exchange rate changes as a cause of protectionism

Summary In this article, the various ways in which a real appreciation of the exchange rate can induce an increase in the overall or sector-specific level of protection are surveyed. In a normative framework, a real appreciation can justify temporary government interference, including trade policy, aimed at protecting (part of) the traded-goods sector. In addition, a positive approach of political decision-making on protection has been applied in order to explain actual government behaviour. After a real appreciation the balance of influence between the interest groups involved will change in such a way that an increase in the level of protection results.This paper is part of the research project Exchange-rate policy and monetary policy in international dependence. I am indebted to the participants in that project, and especially to Henk Jager and Eelke de Jong, for their comments on an earlier version of this paper.     

Japanese vocal intervention and the yen/dollar exchange rate

This paper examined the patterns of Japanese vocal intervention and its influence on the yen/dollar exchange rate using the daily data between January 2000 and August 2003. The major findings of this paper are as follows. First, vocal intervention that is leaning against the wind was found to be successful as opposed to lean-with-the-wind intervention which had mixed results in its effectiveness. Second, vocal intervention turned out to be more effective when it was intended for yen depreciation than for yen appreciation. Third, in the cases of leaning against the wind and yen depreciation intended interventions, the Japanese authorities normally relied on vocal intervention and engaged in actual intervention only when repeated vocal intervention proved ineffective.     

Domestic inflation and exchange rate changes: The less-developed countries’ case

Zusammenfassung Heimische Inflation und Wechselkurs?nderungen: Der Fall der Entwicklungsl?nder. — In diesem Aufsatz werden die Ergebnisse von Versuchen vorgelegt, das Ausmaβ, in dem Wechselkurs?nderungen zur heimischen Inflation beigetragen haben, zu bestimmen. Beim Sch?tzen der Preisgleichung werden grunds?tzlich zwei Hypothesen für den inflation?ren Prozeβ gegenübergestellt: (a) ein quantit?tstheoretisches Inflationsmodell für eine geschlossene Wirtschaft, das Ver?nderungen der Geldmenge, des Realeinkommens und der Inflationserwar-tung als unabh?ngige Variable verwendet; (b) ein Modell für Preis?nderungen in einer offenen Volkswirtschaft mit variablen Wechselkursen, das zus?tzlich zu den Variablen in (a) auch Ver?nderungen der Weltmarktpreise international gehandelter Güter und Ver?nderungen der Wechselkurse enth?lt. Die Regressionsanalyse beschr?nkt sich auf vier L?nder: Brasilien, Kolumbien, Südkorea und die Philippinen. Obwohl unsere Ergebnisse als vorl?ufig anzusehen sind und sich ?ndern k?nnten, wenn die Untersuchung auf andere L?nder ausgedehnt wird, zeigt sich doch, daβ für relativ offene Volkswirtschaften ein variabler Wechselkurs zus?tzliche Kosten in Form einer h?heren Inflationsrate herbeizuführen scheint. Wir argumentieren, daβ seltene und starke Abwertungen erheblich zur Bildung einer Inflationserwartung beitragen. Wenn — wie im Fall von Brasilien und Kolumbien — die Wechselkursanpassungen st?ndig und schrittweise vorgenommen werden, ist das Risiko, daβ sich daraus eine Lohn-Preis-Spirale ergeben wird, viel geringer. Also haben die übertriebenen Preis-wirkungen, die sich aus groβen Abwertungen ergeben, einen selbstverst?rkenden Aspekt.

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Résumé L’inflation locale et les changes de taux de change: Le cas des pays en voie de développement. — Dans ce papier nous reportons les résultats de quelques tests préliminaires essayant de déterminer l’étendue de la contribution des change-ments des taux des changes à l’inflation locale. En estimant l’équation de prix en principe nous contrastons deux hypothèses du procès inflationniste: (a) un modèle d’inflation de théorie de quantité d’argent en économie fermée qui prend les changes en stock d’argent, en revenu réel et en expectative inflationniste comme variables indépendantes; (b) un modèle des changes de prix en économie ouverte avec des taux de change variables, qui incorpore en addition des variables mentionnées sous (a) aussi des changes en prix mondial des produits commer?ables et des changes de taux de change. Nous avons limité l’analyse de régression à quatre pays: le Brésil, la Colombie, la Corée du Sud et les Philippines. Pendant que nos conclusions sont tentatives et pourraient être modifiées suivant l’extension de l’étude aux pays additionnels, on peut démontrer que pour des pays développants qui sont relative-ment ouverts un taux de change variable semble imposer des co?ts additionnels en terme d’un taux d’inflation plus haut à accepter par le pays. Nous arguions que des dévaluations infréquentes et grandes signifiantement contribuent à la formation de l’expectative inflationniste. Si, comme dans le cas du Brésil et de la Colombie, l’ajus-tement en taux de change a devenu une affaire continuante et graduelle, puis le risque d’une spirale résultante de salaire-prix est plus petit. En conséquence, les effets de prix exagérés produits par des dévaluations grandes ont un aspect d’autoren-forcement vis-à-vis elles.

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Resumen Inflación doméstica y variaciones en la tasa de cambio. E1 caso de los países en desarrollo. — En este articulo se dan a conocer los resultados de algunos tests preliminares realizados con la intención de determinar en qué medida las variaciones en las tasas de cambio han contribuido a la inflación doméstica. Al estimar la ecuación de precios se contrastan básicamente dos hipótesis del proceso inflacionario: (a) un modelo de inflación monetaria basado en la teoría cuantitativa para una economía cerrada, en que los cambios en el stock monetario, ingreso real y expectativas inflacionarias se consideran como variables independientes; (b) un modelo de variación de precios para una economía abierta con tasas de cambio variables, que incorpora además de las variables en (a) también cambios en el precio mundial de productos transables y variaciones en las tasas de cambio. E1 análisis de regresión se redujo a cuatro países: Brasil, Colombia, Corea del Sur y las Filipinas. Mientras las conclusiones son tentativas y podrian ser modincadas en la medida que el estudio se extienda a países adicionales, se puede detectar que para las economías en desarrollo relativamente abiertas una tasa de cambio variable parece imponer un costo adicional en términos de una tasa de inflación superior que el país tendrá que aceptar. Nosotros razonamos que devaluaciones grandes y poco frecuentes contribuyen significativamente a la formación de expectativas inflacionarias. Cuando, como en el caso de Brasil y Colombia, el ajuste de la tasa de cambio se ha trans-formado en un asunto continuo y gradual, entonces el riesgo del surgimiento de una espiral salarios-precios es mucho menor. De tal manera, los efectos exagerados sobre los precios producidos por grandes devaluaciones tienen un aspecto autore-forzante sobre los mismos.

     

A structural break in the effects of Japanese foreign exchange intervention on yen/dollar exchange rate volatility

We study the impact of Japanese foreign exchange intervention on the volatility of the yen/dollar exchange rate since the early 1990’s in a GARCH framework with interventions as exogenous variables. Using daily intervention data provided by the Japanese Ministry of Finance, we show that the effect of interventions varies over time. From 1991 up to the late 1990’s, Japanese foreign exchange intervention is associated with an increase in volatility of the yen/dollar exchange rate. After the year 1997, Japanese foreign exchange intervention correlates with reductions in exchange rate volatility. This can be explained by the fact that Japanese foreign exchange intervention remained quasi unsterilized in the liquidity trap.

人民币名义有效汇率变动对CPI传递效应实证检验——基于通货膨胀环境变化视角

通过将Taylor(2000)交错价格模型融入新开放宏观经济学模型(NOEM)导出实证模型,有效地将通货膨胀环境与汇率对国内价格传递相融合.选取1998年1月-2012年4月的数据对人民币名义有效汇率的消费者价格指数(CPI)传递效应在不同通胀环境下进行测算,在此基础上对传递途径进行了脉冲检验.实证结果表明,人民币名义有效汇率变动的CPI传递的长短期效应均较低且受通胀环境影响较大,1998年初至2002年末的持续低通胀环境阻碍了汇率传递所有渠道是导致传递效率低的原因所在,2003年初至2012年4月的较高通胀环境下汇率传递的货币渠道较进口商品价格渠道冲击显著但作用符号相反.     

Why do exports react less to real exchange rate depreciations than to appreciations? Evidence from Pakistan

We examine if and why export responses to real exchange depreciations are lower than those to appreciations. We document this asymmetric response using macro-level data for Pakistan and show that export adjustments after depreciations are less than one-third as fast as those to appreciations. We use product-destination level data to examine three complementary drivers of this asymmetry: (i) information frictions that increase the search costs of finding new clients; (ii) supply constraints related limited access to credit that reduce exporters’ capacity to scale up after relative prices become more favorable; and (iii) reduced prices in US dollars offered by international buyers after local currency depreciations, akin to a pricing-to-market mechanism. We find evidence of the three drivers explaining the dampened export response to depreciations. Policymakers in developing countries should consider addressing these issues to maximize export responses to real depreciations.     

论汇率对国际直接投资的传导效应

本文从分析汇率变化对国际直接投资可能带来的影响入手，应用理论和实证分析的方法，阐明了汇率对国际直接投资的传导效应。汇率波动对国际直接投资的影响具有滞后性，直接性，但当我们深入研究和分析跨国公司在海外经营活动的动机和方向时，汇率的变动无疑是值得重视的因素之一。     

The reverse home-market effect in exports: a cross-country study of the extensive margin of exports

Do small countries have higher proportions of firms that export in manufacturing industries than large ones? As small countries are well known to be more open than large ones, it may appear uncontroversial to claim that the answer is yes. Nevertheless, this contradicts predictions from many standard trade models positing a home-market effect in the number of manufacturing firms and exporters. In this article, I present a theoretical model where a home-market effect in the number of firms coexists with a reverse home-market effect in the number of exporters: as in standard models, the number of firms in a small country relative to that in a large one is lower than relative income, but, in contrast to standard models, the relative number of exporters is larger. As a consequence, small countries will have higher proportions firms that export in manufacturing industries—a claim I support empirically.     

On the real exchange rate effect of German unification

Zusammenfassung: Zu den Auswirkungen der deutschen Vereinigung auf den realen Wechselkurs. — Die deutsche Vereinigung l?st einen dynamischen Proze\ aus, und zwar vor allem durch die Akkumulation von Kapital im ?stlichen Teil Deutschlands. In diesem Aufsatz werden einige Folgerungen aus den intertemporalen Wahlm?glichkeiten gezogen, die den ostdeutschen Konsumenten und Unternehmen offenstehen. Dafür wird ein einfaches Modell mit vollkommener Voraussicht benutzt. Es wird gezeigt, da\ die Wirkung einer Kombination von stabiler Konsumentwicklung und Kapitalansammlung auf die neue DM-Zone — n?mlich das vereinigte Deutschland — langfristig zu einer realen Abwertung der D-Mark mit nicht so eindeutigen kurzfristigen Wirkungen führt, w?hrend die Verschlechterung der deutschen Au\enhandelsposition eine langfristige Verringerung des Pro-Kopf-Verm?gens im Verh?ltnis zu dem Niveau vor der Vereinigung impliziert.

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Resumen Acerca del efecto de la Unificatión Alemana sobre la tasa de cambio real. — La Unificatión Alemana genera un proceso dinámico, particularmente através de la acumulación de capital en el Este del país. En este trabajo se estudian algunas implicaciones de las alternativas intertemporales a elección de los consumidores y de las empresas de Alemania del Este, utilizando un modelo simple con predicción perfecta del future Se demuestra que el efecto de una combinación de la estabilización del consumo con la acumulación de capital en la nueva zona del Marco Alemán, Alemania unida, lleva en el largo plazo a una depreciatión en términos reales, con efectos ambiguos en el corto plazo, mientras que el empeoramiento de la posición externa de Alemania implica una reductión del patrimonio per cápita en el largo plazo, en comparación con el nivel alcanzado antes de la Unificatión.

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Résumé L’effet de la réunification allemande sur le taux de change réel. — La réunification allemande provoque un processus dynamique principalement par l’accumulation de capital dans les régions d’est de l’Allemagne. En utilisant un modèle simple à prévision parfaite, cette étude montre quelques conséquences des choix intertemporels qui sont ouverts aux consommateurs et aux entreprises de l’Allemagne de l’Est. Il est montré que la combinaison d’une consommation lissée et d’une accumulation de capital dans une zone nouvelle Deutsche Mark conduit à une dévaluation réelle à long terme, avec des effets ambigus à court terme. De plus, la détérioration de la position extérieure de l’Allemagne indique un déclin à long terme de la prospérité par habitant, comparé au niveau avant la réunification.

     

Effects of Japanese macroeconomic statistic announcements on the dollar/yen exchange rate: High-resolution picture

Using high-frequency transaction data of the actual trading platform, we examine market impact of Japanese macroeconomic statistics news within minutes of their announcements on the dollar/yen exchange rate. Macroeconomic statistics surprises that consistently have significant effect on dollar/yen returns include Tankan (business condition survey conducted by Bank of Japan), GDP, industrial production, price indices and balance of payment. The announcement itself, in addition to the magnitude of the surprise, is found to increase the number of deals and price volatility immediately after the announcement. Most effects, when significant, take place within 30 min of statistics announcements.