外貿(mào)外文翻譯---匯率和東亞貿(mào)易平衡存在j曲線效應(yīng)嗎

1、<p>　　文獻出處：Onafowora O. Exchange rate and trade balance in East Asia: is there a J-curve[J]. Economics bulletin, 2003, 5(18): 1-13.</p><p>　　畢 業(yè) 設(shè) 計（論 文）外 文 參 考 資 料 及 譯 文</p><p>　　譯文題目：匯率和東

2、亞貿(mào)易平衡：存在J曲線效應(yīng)嗎？</p><p>　　Exchange rate and trade balance in east Asia: is there a J?curve? </p><p>　　學(xué)生姓名： 張秋晨 學(xué)　　號： </p><p>　　?！　I(yè)：

3、 金融學(xué) </p><p>　　所在學(xué)院： </p><p>　　指導(dǎo)教師： 吳敏 </p><p>　　職　　稱： 講師 </p&

4、gt;<p>　　年 月 日</p><p>　　Exchange rate and trade balance in east asia: </p><p>　　is there a J?curve?</p><p>　　OLUGBENGA ONAFOWORA</p><p>　　SUSQUEHANNA UNIVE

5、RSITY</p><p><b>　　Abstract</b></p><p>　　This paper examines the short run and long run effects of real exchange rate changes on the real trade balance of three ASEAN countries in the

6、ir bilateral trade to the US and Japan within a cointegrating vector error correction model (VECM). Generalized impulse response funtions are estimated to investigate the response to shocks. VECM estimates suggest one lo

7、ng?run steady?state cointegrating relationship among real trade balance, real exchange rate, real domestic and foreign income in each coun</p><p>　　1. Introduction</p><p>　　Many empirical analys

8、es, both multi-country panel regressions and econometric models applied to individual countries, have been conducted into how exchange rate changes affect the trade balance of developing and developed countries. Despite

9、the plethora of theoretical and empirical research into how exchange rate changes affect trade balance, there is still considerable disagreement concerning the relationships between these economic variables and the effec

10、tiveness of currency devaluation as a t</p><p>　　as a tool for increasing a country's trade balance calls for a fresh look at the issue using recent advancements in the field of time series econometrics.

11、</p><p>　　The large exchange rate depreciations registered in a number of East Asian countries since mid-1990s offers an excellent opportunity for the question whether devaluations in by themselves have a si

12、gnificant impact on trade flows, and whether the Marshall-Lerner (ML) conditions hold. The aim of this paper is to examine the relationships between the real trade balance and real exchange rate for three ASEAN countries

13、 - Thailand, Malaysia, and Indonesiain their bilateral trade to the US and Japan ov</p><p>　　Evidence from the Johansen (1988) maximum likelihood tests for cointegration among bilateral real trade balance, b

14、ilateral real exchange rate, and real domestic and real foreign income in the sampled countries suggest that the variables are causally related in the long run with one cointegrating vector in the model for each country.

15、 Parameter stability tests based on the CUSUM of squares test developed by Brown, Durbin and Evans (1975) confirm that the long-run coefficients of the real trade bal</p><p>　　The rest of the paper is organi

16、zed as follows. In Section 2 we present the basic model, explain the estimation technique of the study, and discuss the data and its transformation. The empirical results are analyzed in Section 3. Section 4 summarizes t

17、he main conclusions reached in the paper.</p><p>　　2. Model and Estimation</p><p>　　Trade balance is usually measured as the difference between the value of total exports and total imports. In t

18、his study, we measure trade balance as the ratio of the bilateral exports value (X) to the bilateral imports value (M). The X/M ratio or its inverse has been used in many empirical investigations of the trade balance-exc

19、hange rate relationship (see for example, Lal and Lowinger 2001, Bahmani-Oskooee and Brooks 1999, and Gupta-Kapoor and Ramakrishnan, 1999). One reason for its use is that</p><p>　　We specify the bilateral re

20、al trade balance as a function of real domestic income, real foreign income, bilateral real exchange rate, and a (0,1) dummy variable to capture shifts in the bilateral trade relation resulting from the 1997 Asian financ

21、ial crisis. The reduced form of the equation is given as follows:</p><p><b>　　(1)</b></p><p>　　Where: ln is natural logarithm, Yt is real domestic income, Yt* is real foreign income,

22、 RERt is bilateral real exchange rate, D97 is a shift dummy variable that takes the value of zero for the period before 1997 and one otherwise, and åt is an error term. RERt is defined as RERt = (EP*/P), where E is

23、the nominal effective exchange rate, and P* and P are the foreign and domestic price levels respectively.</p><p>　　Theory suggests that the volume of exports (imports) to a foreign country (domestic country)

24、 ought to increase as the real income and purchasing power of the trading partner (domestic economy) rises, and vice versa. So we expect á1< 0 and á2 >0. However, if the rise in real income is due to an i

25、ncrease in the production of import-substitute goods, imports may decline as income increases in which case á1 > 0 and á2< 0. The impact of exchange rate changes on trade balance is ambiguous, that is, &#

26、225;3</p><p>　　Krugman and Obstfeld (2001) argued that in the short run import value effects prevail, whereas the volume effects dominate in the longer run. á3> 0 satisfies the Marshall-Lerner condit

27、ion.The sign on á4 is ambiguous; it has to be determined empirically since it can be positive or negative.</p><p>　　“(1)” describes the long-run equilibrium relationship among the variables in the bila

28、teral real trade balance model for each country. The next question is the pattern of dynamic adjustments that occur in the short-run to establish these long-run relations in response to various shocks to the system. In o

29、rder to examine these adjustments, the following vector error correction model (VECM) is estimated for each country:</p><p>　　where, Zt is the vector of endogenous variables, viz., [X/M, Y, Y*, RER, D97], &#

30、195;i is the matrix of coefficients for the growth rates of the variables, i is the lag order, k is the maximum number of the lag length, á is the vector of adjustment parameters, â’ is the vector of cointegrat

31、ing relationships (the long run parameters), ì is the vector of deterministic components, and åt is the vector of independently distributed error terms with constant variance.</p><p>　　As implement

32、ed in this paper, estimation of the VECM follows four stages. Since the choice of the lag orders of the variables in the VECM specification can have a significant effect on the inference drawn from the model, as the firs

33、t stage of the analysis we sequentially determine the appropriate lag length for each variable by using Akaike Information Criterion (AIC), Schwarz Bayesian Criterion (SBC), and Adjusted Likelihood Ratio (ALR) tests. Onc

34、e the optimal lag order has been determined, the</p><p>　　A test for cointegration means looking for stable long-run equilibrium relationships among non-stationary economic variables. If the results indicate

35、 the absence of cointegrating vectors between the variables, it means that there is no long-run stable relationship between them. If cointegration exists, then it can be presumed that a one-way or two-way Granger causali

36、ty exists in at least the stationary series, and further more a dynamic specification of the error correction mechanism is appropri</p><p>　　For the econometric analysis, we use quarterly data covering the p

37、eriod 1980:1 to 2001:4 drawn from the IMF, International Financial Statistics, 2002CD-ROM, and IMF, Direction of Trade Statistics Quarterly. The bilateral real exchange rate against the US dollar is computed by multiplyi

38、ng the nominal exchange rate by the ratio of the US wholesale price index to the domestic price level. A similar procedure is followed to generate the real rate against the Japanese yen after computing the domestic</p

39、><p>　　3. Empirical Results</p><p>　　Prior to testing for cointegration, the optimal lag length on each variable in the VECM model was sequentially determined by applying the SBC, AIC, and ALR test

40、s. The SBC suggested seven lags for Malaysia and Thailand, and eight lags for Indonesia. The AIC tended to indicate higher lag orders. The ALR indicated eight lags for each of the countries. On the basis of the ALR, the

41、optimal lag length in the VECM was set to eight in all the models. The results for the ADF-unit root tests (available on</p><p>　　Since there is one cointegrating vector linking the variables, an economic in

42、terpretation of the results can be obtained by normalizing the cointegrating vector on ln (X/M). In Table 2, we report the estimated coefficients of the cointegrating vector, using the Johansen method. In all cases, the

43、results indicate a positive long-run relationship between the real exchange rate and the real trade balance, as would be expected if a real depreciation leads to more quantities being exported and less b</p><p

44、>　　匯率和東亞貿(mào)易平衡：存在J曲線效應(yīng)嗎？</p><p>　　OLUGBENGA ONAFOWORA </p><p>　　SUSQUEHANNA UNIVERSITY</p><p><b>　　摘 要</b></p><p>　　本文考察了短期和實際匯率對三個東盟國家與美國和日本的雙邊貿(mào)易中貿(mào)易平

45、衡的變化在長期向量誤差修正模型（VECM）的變化。通過廣義脈沖響應(yīng)函數(shù)、向量誤差修正模型的估計，處于長期穩(wěn)定狀態(tài)的國家之間真正的貿(mào)易平衡，雖然在實際匯率、本國和其他國家的GDP方面存在巨大的差異，但整體而言，廣義脈沖響應(yīng)函數(shù)表明，馬歇爾一勒納條件在長期表現(xiàn)出不同于短期的J曲線效應(yīng)。</p><p><b>　　1.引 言</b></p><p>　　許多經(jīng)驗性分析表

46、明，適用于多個國家的計量模型同樣適用于個別國家，可以被用來分析匯率變化在發(fā)達國家和發(fā)展中國家間的傳導(dǎo)。盡管很多的理論和實證研究討論了匯率變化如何影響貿(mào)易的平衡問題，仍然有很多經(jīng)濟變量會影響將貨幣貶值作為增加貿(mào)易收入的手段。因此，匯率的變化對貿(mào)易平衡的影響必須通過經(jīng)驗分析和實證研究兩種手段來證實。前提是沒有明確的分析——既包括經(jīng)驗分析也包括實證分析——將貨幣貶值作為改善貿(mào)易收支的經(jīng)濟學(xué)工具。</p><p>　　9

47、0年代中期以來許多東亞國家的大規(guī)模匯率貶值提供了一個極佳的機會來證實貨幣貶值是否會對貿(mào)易平衡產(chǎn)生重大影響以及馬歇爾-勒納條件是否存在。本論文的目的在于通過對1980年第一季度至2001年第四季度期間三個東盟國家——泰國、馬來西亞和印度尼西亞與美國和日本間的雙邊貿(mào)易運用總體分析和向量誤差修正模型（VECM）來研究貿(mào)易平衡和實際匯率之間的關(guān)系。進而，通過研究Pesaran和Shin（1998）提出的動態(tài)貿(mào)易平衡的廣義脈沖響應(yīng)函數(shù)來分析J曲線

48、對沖擊的反應(yīng)。</p><p>　　從Johansen（1988）的最大雙邊間真正的貿(mào)易平衡，雙邊實際匯率，并在抽樣國家的實際國內(nèi)和實際外匯收入的協(xié)整檢驗的證據(jù)表明，可能的變量是在長期有一個向量協(xié)整模型?；贑USUM穩(wěn)定性測試參數(shù)的基礎(chǔ)上開發(fā)的測試由Brown, Durbin和Evans (1975)用以確定長期貿(mào)易穩(wěn)定性,表明該模型可以用于模擬政策。雖然結(jié)果存在巨大差異,整體來說廣義脈沖響應(yīng)分析認為，馬歇爾-

49、勒納條件的成立從長期來看一定程度上產(chǎn)生短期的J曲線效應(yīng)。</p><p>　　以下是文章的結(jié)構(gòu)。在第二節(jié)將會建立基本模型，說明評估方式；第三節(jié)將會進行實證分析；在文章的第四節(jié)則會總結(jié)結(jié)論。</p><p><b>　　2.模型和評估</b></p><p>　　貿(mào)易平衡通常衡量的是總出口和總進口之間的差額。在本研究中，我們使用出口總額（X）和進

50、口總額（M）的比例來衡量貿(mào)易平衡。X/M比或其倒數(shù)常被用來研究貿(mào)易平衡與匯率之間的關(guān)系（例如Lal和Lowinger，2001, Bahmani-Oskooee和Brooks，1999, Gupta-Kapoor和Ramakrishnan, 1999）。原因之一是其對計量單位的不敏感性并可以被認為是名義的或?qū)嶋H上的貿(mào)易平衡（Bahmani-Oskooee,1991)。此外，使用Boyd et al. (2001)的對數(shù)模型能精確符合馬歇

51、爾-勒納條件而不僅僅是近似相符。</p><p>　　我們認定真正的貿(mào)易平衡包括實際的國內(nèi)收入、實際外匯收入、實際匯率以及（0,1）虛擬變量來確定雙邊貿(mào)易關(guān)系的變化所產(chǎn)生的1997年亞洲金融危機。簡化的方程如下：</p><p><b>　　(1)</b></p><p>　　其中：ln是自然對數(shù)，Yt是實際國內(nèi)收入，Yt*是實際外匯收入，RE

52、Rt是雙邊實際匯率，D97是1997年之前值為零的虛擬變量，另外åt是一個誤差項。RERt被定義為RERt = (EP*/P)，其中E是名義有效匯率，P*和P分別是國外和國內(nèi)價格水平。</p><p>　　理論認為，出口（進口）到另一國家（本國）應(yīng)該使貿(mào)易伙伴（本國經(jīng)濟）的實際收入和實際購買力增加，反之亦然。所以我們期望á1< 0且á2 >0。然而，如果實際收入是由雙邊貿(mào)

53、易增長所帶來的，進口可能會隨收入的增長而減少，這種情況下，á1 > 0且á2< 0。因此匯率對貿(mào)易平衡的影響是不確定的，á3可能是正值也可能是負值。如果有一個真正的貶值或本國貨幣貶值，即RER上升，那么在該國國內(nèi)價格競爭力提高的結(jié)果應(yīng)該是更多的出口和更少的進口（即“容積效應(yīng)”）。然而，較高的RER也增加了單位進口的價值（即“進口價格效應(yīng)”），這往往會破壞貿(mào)易平衡。</p><

54、p>　　公式（1）描述了長期均衡關(guān)系雙方貿(mào)易平衡模型的實際變量。接下來的問題是通過短期動態(tài)調(diào)整模式建立長期關(guān)系的對沖擊響應(yīng)的系統(tǒng)，為研究這些調(diào)整，為每個國家建立向量誤差修正模型（VECM）：</p><p>　　其中，Zt是內(nèi)生變量向量，即，[X/M, Y, Y*, RER, D97], Ãi是變量增長率的系數(shù)矩陣，i是滯后訂單，k為滯后程度的最大值，á是協(xié)整關(guān)系（長期運行參數(shù)）的載體，

55、ì是確定成分的矢量，åt是對獨立的矢量誤差項分布常方差的估計。</p><p>　　正如本文所提到的，VECM包括以下四個階段。由于標準的向量誤差修正模型中變量的選擇可以有訂單的滯后信息則可以通過對從模型中得出的推論作為分析，在第一階段我們可以使用每一信息的滯后長度的赤池信息準則（AIC）、許瓦茲貝葉斯標準（SBC）和調(diào)整似然比（ALR）來測試。一旦最優(yōu)訂單確定滯后，下一階段則是為每一變量進行

56、Augmented Dickey-Fuller (ADF)單位根測試(Dickey and Fuller, 1981)?；趯挝桓鶛z測的結(jié)果，下一步是利用Johansen (1988)和Johansen /Juselius (1990)提出的最大似然程序進行協(xié)整測試。</p><p>　　協(xié)整檢測意味著在長期均衡中尋找不穩(wěn)定變量。如果結(jié)果表明了變量之間的協(xié)整關(guān)系，則說明他們之間沒有長期穩(wěn)定關(guān)系。如果結(jié)果表明變量

57、之間沒有協(xié)整向量關(guān)系，這意味著，他們之間不存在長期穩(wěn)定關(guān)系。如果存在整合關(guān)系，則可以推定出單項或雙向的格蘭杰因果關(guān)系，至少在平穩(wěn)序列存在的情況下，進一步進行糾錯機制，動態(tài)規(guī)范是適當?shù)模‥ngle和Granger，2000）。如果發(fā)現(xiàn)這些向量存在協(xié)整關(guān)系，那么我們運用Johansen (1988)和Johansen/Juselius (1990)提供的估計協(xié)整向量方法?；谠谖覀兊膶嵶C分析的最后一步，我們估計向量誤差修正模型來生成廣義脈沖

58、響應(yīng)函數(shù)和跟蹤調(diào)查潛在的J曲線對每個國家的影響。</p><p>　　對于計量分析，我們使用國際貨幣基金組織在1980年第一季度到2001年第四季度的統(tǒng)計數(shù)據(jù)（International Financial Statistics, 2002CD-ROM, and IMF, Direction of Trade Statistics Quarterly）雙邊對美元實際匯率的計算方法是乘以美國批發(fā)價格指數(shù)比國內(nèi)價格水

59、平的名義匯率。其次是一個類似的程序后生成的計算從本國貨幣對美元的匯率比日元匯率，日元的本國貨幣價值對日元的實際利率。真正的國內(nèi)收入由美國或日本的季度GDP決定。除了馬來西亞，在這里我們使用的季度實際GDP作為表示國內(nèi)的其他收入國家的工業(yè)生產(chǎn)指數(shù)。在工業(yè)生產(chǎn)中用于代表馬來西亞由于缺少涵蓋整個樣本期間的季度GDP數(shù)據(jù)缺乏的實際收入。</p><p><b>　　3.實證結(jié)果</b></p&

60、gt;<p>　　在此之前的協(xié)整測試中， VECM模型中的每個變量的最優(yōu)滯后時間為依次采用SBC，AIC和ALR試驗確定。 SBC建議馬來西亞和泰國七個滯后，印度尼西亞八個滯后。AIC往往傾向于較高滯后訂單。ALR為每個國家制定了八個滯后。在ALR的基礎(chǔ)上，向量誤差修正模型中的最優(yōu)滯后長度設(shè)定為所有模型都為八個。 ADF的單位根檢驗（根據(jù)要求提供）結(jié)果表明，所有的變量都是固定在第一個。由Johansen (1998)提供的

61、檢驗協(xié)整方程單位根變量的結(jié)果。在協(xié)整檢驗報告表1的結(jié)果，提供了一個在ln (X/M), ln (Y), ln (Y*), ln (RER), 和D97之間的長期協(xié)整關(guān)系。</p><p>　　既然有一個協(xié)整向量連接變量，對結(jié)果的經(jīng)濟解釋可以通過規(guī)范的協(xié)整向量在ln (X/M)的結(jié)果來闡釋。在表2中，我們提出利用約翰森模型的協(xié)整向量的估計系數(shù)。在所有情況下，結(jié)果表明實際匯率之間的實際貿(mào)易平衡和積極的長期貿(mào)易關(guān)系有關(guān)

62、，因為如果實際貶值預(yù)期將導(dǎo)致更多數(shù)量的出口，而進口將會減少。有關(guān)印尼-日本，印度尼西亞-美國，馬來西亞-美國之間貿(mào)易往來的研究結(jié)果表明，真正的貿(mào)易平衡有負面的長期與實際國內(nèi)收入和積極的長期與實際外匯收入的關(guān)系。如果需求是決定產(chǎn)品出口和進口的動力，這些跡象將是我們所期望的。在泰國-日本，泰國-美國，馬來西亞-日本為模型的實際貿(mào)易平衡與實際國內(nèi)收入和相反的實際外匯收入長期關(guān)系的長期關(guān)系。這些跡象也是我們所期望的，如果在實際收入的增加是由于生