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on International Finance |
| By: | Kemal Turkcan (Department of Economics, Akdeniz University); Aysegul Ates (Department of Economics, Akdeniz University) |
| Abstract: | A distinctive feature of present globalization is the development of international production sharing activities, i.e. production fragmentation. The recent developments in transportation and communication technologies led to a surge in intermediate goods trade. However, intermediate goods trade is often neglected in the empirical studies of the exchange rate pass-through (ERPT). Using import unit values of 79 motor vehicle products and 245 auto-part, which are classified by the 10-digit level of Harmonized Tariff Schedule (HTS), this study examines the pass-through of exchange rate changes from 5 major trading partners for the period of 1998.01 to 2006.12 by using panel data cointegration techniques. Secondly, this study aims to compare the ERPT for the motor vehicle products (final goods) to the ERPT for the auto-parts (intermediate goods) in the U.S. The results suggest that import prices do not respond proportionately to the exchange rates and the degree of estimated pass through into import prices differs for motor vehicle products and auto parts.This paper was presented at the 18th International Conference of the International Trade and Finance Association, May 22, 2008, meeting at Universidade Nova de Lisboa, Lisbon, Portugal. |
| Date: | 2008–08–15 |
| URL: | http://d.repec.org/n?u=RePEc:bep:itfapp:1132&r=ifn |
| By: | Liu, L.; Ni, Y.J |
| Abstract: | The reform of exchange rate system in 2005 has settled down the floating exchange rate system with management in China. Until August this year, RMB/USD has appreciated about 16.65%. This paper measures the exchange market pressure (EMP) on RMB/USD, and use VAR model to analyze the relationship between EMP and domestic monetary policy . And from the results we find that the increase of China’s domestic interest rate of is the main cause of RMB pressure of appreciation, but the foreign interest rate has little effects on the pressure and it can affect the growth rate of China’s domestic credit. So,we deem that the theory of "ternary paradox" may not applicable to China, at least in the period of our investigation. |
| Keywords: | EMP Monetary Policy Foreign Exchange Intervention VAR Model |
| JEL: | C32 E50 C22 F31 |
| Date: | 2009–01–10 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:14491&r=ifn |
| By: | Malgorzata Sulimierska (Economics Department, University of Sussex) |
| Abstract: | The paper investigates theoretical background if countries with unregulated capital flows are more vulnerable to currency crises. In order to solve this question properly the paper considers sequence, precondition of the Capital Account Liberalization process and different generation of currency crisis models. Furthermore, theoretical studies pointed that the speed and sequence of the CAL process needs to be adequate for the country financial development and financial liberalization. This paper was presented May 22, 2008, at the 18th International Conference of the International Trade and Finance Association meeting at Universidade Nova de Lisboa in Lisbon, Portugal. |
| Date: | 2008–08–06 |
| URL: | http://d.repec.org/n?u=RePEc:bep:itfapp:1111&r=ifn |
| By: | Malgorzata Sulimierska (Economics Department, University of Sussex) |
| Abstract: | The dissertation investigates if Central and Eastern European countries with unregulated capital flows are more vulnerable to currency crises. In order to answer this question properly the paper considers two lines of analysis: single-country and multi-country. Single -country studies look into three cases: Russia, Poland and Latvia. The multi-country analysis is the simple adaptation of Glick, Guo and Hutchison's probit panel model (2004). The results suggest that countries with liberalized capital accounts experience a lower likelihood of currency crises. Moreover, the information from case studies pointed that the speed and sequence of the CAL process needs to be adequate for the country development.This paper, co-winner of the best student paper award, was presented at the 18th International Conference of the International Trade and Finance Association, meeting at Universidade Nova de Lisboa, May 22, 2008. |
| Date: | 2008–10–07 |
| URL: | http://d.repec.org/n?u=RePEc:bep:itfapp:1140&r=ifn |
| By: | Massimiliano La Marca (United Nations Conference on Trade and Development) |
| Abstract: | The paper provides some evidence on the current pattern of current account imbalances, real exchange rate and growth in emerging market economies and offers an interpretation to the fact that fast-growing economies tend to run small current account deficits or surpluses while preserving a non overvalued real exchange rate. The evidence that some speculative capital flows induced by domestic monetary policies may bring the exchange rate on a path inconsistent with an improvement of the external position provides a basis for a reconsideration of monetary and exchange rate policies at the national and international level.This paper was presented May 22, 2008, at the 18th International Conference of the International Trade and Finance Association meeting at Universidade Nova de Lisboa, Lisbon, Portugal.Keywords: foreign exchange rate, capital flows, growth, carry trade.JEL Classification: F31, F32, G15 |
| Date: | 2008–08–15 |
| URL: | http://d.repec.org/n?u=RePEc:bep:itfapp:1129&r=ifn |
| By: | Duasa, Jarita |
| Abstract: | The present study attempts to analyze the long-run equilibrium relationship between real exchange rate and trade balance, imports and exports demand by cointegration tests assuming asymmetric adjustment. Following Enders and Siklos (2001), the Engle-Granger two-step cointegration test is expanding to incorporate an asymmetric error correction term. It is found that there exists asymmetric cointegration between balance of trade and real exchange rate when momentum-threshold autoregressive (M-TAR) model is conducted and the study also found asymmetric cointegration between import volume and real exchange rate under threshold autoregressive (TAR) model. From estimation of M-TAR error-correction trade balance model, the adjustment back to equilibrium is more rapid following relative increase in trade balance (above long-run value) compared to relative decrease in trade balance (below long-run value). From TAR error-correction import demand model, the model suggests quick adjustment of import demand once it is below long-run value. The results reflect the evidence of persistence of trade balance deficit in the case of Malaysia which probably due to policies to defend an overvalued exchange rate by protectionist trade policies or capital controls. In addition, the shock of exchange rate on import demand is likely to be temporary in nature. |
| Keywords: | Asymmetric cointegration; Trade balance; Threshold autoregressive; Momentum-threshold autoregressive. |
| JEL: | C32 F10 F41 |
| Date: | 2009–03 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:14535&r=ifn |
| By: | K. Azim Ozdemir; Serkan Yigit |
| Date: | 2009 |
| URL: | http://d.repec.org/n?u=RePEc:tcb:wpaper:0901&r=ifn |
| By: | Bigio, Saki (Department of Economics, New York University) |
| Abstract: | Cross-country evidence suggests that during recent years a large fraction of developing countries seem to began to overcome fear of oating, i.e., a lower relative volatility of exchange rates to monetary policy instruments. To explain this trend, we build a model that describes the behavior of Central Banks in developing countries under uncertainty and fear of misspecication about the eects of exchange rate depreciations. The Central Bank is uncertain about two sub-models which dier in that exchange rate depreciations can cause output either to expand (textbook eect) or contract (balance sheet eect). Optimal policy within the second sub-model is consistent with fear of floating. A feature of fear of oating is that, by preventing sizeable exchange rate swings, Central Banks could loose valuable information useful to distinguish among models. We describe how the Central Bank's the evolution of the prior depends on the optimal policy and viceversa. We conclude that the trend towards less fear of floating may not be explained by Bayesian or robust policies because it would have been too quick to explain the data. However, if there was a parameter change affecting many countries during the early 2000's, the model generates the observed pattern. |
| Keywords: | Balance Sheet Effect, Fear of Floating, Model Uncertainty, Learning, Monetary Policy, Policy Experimentation, Robustness |
| JEL: | C11 E44 E58 F31 F33 |
| Date: | 2009–04 |
| URL: | http://d.repec.org/n?u=RePEc:rbp:wpaper:2009-004&r=ifn |