Econometric Modeling: International Economics eJournal最新文献

{"title":"Application of a Log Likelihood Object In GARCH with T-distributed errors and EGARCH With Generalised Error Distribution Model of the Spot AUD/USD Exchange Rate Volatility.","authors":"Michel Guirguis","doi":"10.2139/ssrn.3253231","DOIUrl":"https://doi.org/10.2139/ssrn.3253231","url":null,"abstract":"In this article, we have tested the volatility of the returns of the spot exchange rate of AUD/USD for changing conditional variances by using a log likelihood model. Generalized autoregressive conditional heteroskedastic models, (GARCH) with t-distributed errors, and exponential generalized autoregressive conditional heteroskedastic model, (EGARCH) with generalised error distribution take into account the non-linearity that arises in the financial time series. The aim is to compare and select the maximum value of the log likelihood estimation of the AUD/USD spot exchange rate. The log likelihood model take into account autoregressive, (AR), moving average, (MA), and monthly seasonal moving average, (SMA) factors that could better explain volatility clusters. We have selected the model with the best forecasting ability in terms of the lowest value of the Akaike information criterion, the Schwarz criterion, the Hannan – Quinn criterion. The best model will help the arbitrageurs to better craft their investment strategy in terms of holding, buying or selling portfolios of foreign currencies. The software that we have used is EViews 6. We have concluded that the best fit model is the GRACH model with a t-distribution, as it has the maximum log likelihood estimation of -500.354. The average log likelihood is -1.81. The Akaike information criterion, the Schwarz criterion and the Hannan – Quinn criterion have the lowest error estimates. Their values are 3.60, 3.56 and 3.59 respectively. In terms of gradients at the estimated parameters, we have found that there are outlier values and significant fluctuations at the various observations of the coefficients vectors, C(1), C(2), and C(3) of the gradients. Finally, the analytic derivatives were calculated based on the specified values. The real and minimum step sizes are identical for all coefficients vectors and very close to zero. We have used one-sided numeric derivative. The data that we have used are monthly returns starting from 01/01/1990 to 01/01/2013, which total to 276 observations. The total dataset includes 277 observations. The data was obtained from the Federal Reserve Statistical Release Department and the symbol of the series is H.10.","PeriodicalId":391101,"journal":{"name":"Econometric Modeling: International Economics eJournal","volume":"62 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-09-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133870429","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Chinese Exports and Non-Tariff Measures: Testing for Heterogeneous Effects at the Product Level","authors":"Jacopo Timini, M. Conesa","doi":"10.2139/ssrn.3247687","DOIUrl":"https://doi.org/10.2139/ssrn.3247687","url":null,"abstract":"Concerns about a possible turn of the global trade policy agenda are on the rise. Indeed, even if tariffs are at a historically low levels, non-tariff measures (NTMs) play an important – and growing – role in global trade policy. In this paper, using a recently released database on NTMs (UNCTAD), and relying on a gravity model, we focus on Chinese exports with two aims in mind: the first is to test for possible heterogeneous effects of different type of NTMs. The second is to verify empirically whether NTMs have larger negative effects for specific set of goods, i.e. final goods. We find that 1) technical NTMs tend to have positive effects on trade flows, whereas non-technical NTMs do not have clear effects at the aggregate level and 2) NTMs have heterogeneous effects at the product level: in the case of final goods, non-technical NTMs have negative and significant effects.","PeriodicalId":391101,"journal":{"name":"Econometric Modeling: International Economics eJournal","volume":"9 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-09-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123501164","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Real Exchange Rate Dynamics: Relative Importance of Taylor‐Rule Fundamentals, Monetary Policy Shocks, and Risk‐Premium Shocks","authors":"Chang‐Jin Kim, Cheolbeom Park","doi":"10.1111/roie.12372","DOIUrl":"https://doi.org/10.1111/roie.12372","url":null,"abstract":"We first show that the solution to the real exchange rate under the Taylor rule with interest rate smoothing can have two alternative representations—one based on a first‐order difference equation and the other based on a second‐order difference equation. Then, by comparing error terms from these two alternative representations and analyzing their second moments, we evaluate the relative importance of Taylor‐rule fundamentals, monetary policy shocks, and risk‐premium shocks in the dynamics of the real exchange rate. Empirical results suggest that the risk‐premium shock is the largest contributor to real exchange rate movements for all the countries examined, with the Taylor‐rule fundamentals and monetary policy shocks playing a limited role. These results are robust to various alternative sets of parameter values considered for the Taylor rule with interest rate smoothing.","PeriodicalId":391101,"journal":{"name":"Econometric Modeling: International Economics eJournal","volume":"49 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-09-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115551550","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Estimating the Impact of Country‐Level Policy Restrictions on Services Trade","authors":"A. Gervais","doi":"10.1111/roie.12340","DOIUrl":"https://doi.org/10.1111/roie.12340","url":null,"abstract":"Standard techniques used to estimate gravity equations, rely on bilateral variation to identify the effect of trade barriers on bilateral trade flows. In this paper, I develop a method that estimates the effects of country‐level variables on trade between countries in the presence of firm heterogeneity and country selection into trade, a natural extension of existing empirical models of international trade. I implement the method in services data, where available measures of trade policy provide information on the average level of regulations restricting entry into a country. The results suggest that policy barriers are important determinants of services trade flows.","PeriodicalId":391101,"journal":{"name":"Econometric Modeling: International Economics eJournal","volume":"8 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121359187","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Exchange Rate Jumps and Exports: Evidence from China","authors":"Guangzhong Li, Jiefen Li, Jiaqing Zhu","doi":"10.1111/twec.12594","DOIUrl":"https://doi.org/10.1111/twec.12594","url":null,"abstract":"We apply the autoregressive conditional jump intensity (ARJI) model to monthly exchange rate returns of China against 81 countries and investigate the impact of exchange rate volatility on exports over the period of 1995–2004. We decompose bilateral exchange rate volatility into continuous and discrete components and find that only the discrete part of exchange rate volatility, that is, the exchange rate jumps, has a significantly negative effect on exports, which to some extent reconciles the old yet unsettled debate in previous literature on the role of exchange rate volatility in international trade. There is also some evidence suggesting that the development of domestic financial market will boost international trade, but it does not help attenuate the negative effect of bilateral exchange rate jump risk on exports.","PeriodicalId":391101,"journal":{"name":"Econometric Modeling: International Economics eJournal","volume":"7 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126414048","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"An Investigation into the Dependence Structure of Major Cryptocurrencies","authors":"Kunal Saha","doi":"10.2139/ssrn.3241216","DOIUrl":"https://doi.org/10.2139/ssrn.3241216","url":null,"abstract":"This paper attempts to examine the dependence structure of four major cryptocurrencies chosen by current market capitalisation. It is a well known fact that there is huge volatility in the prices of these cryptocurrencies. The Vine Copula model is used to get some insights about the dependence structure in these asset prices. This is done using daily closing price from August 2015 to May 2018. This information can be used to calculate risk based metrics such as expected shortfall of a portfolio of these currencies. This analysis becomes more important as complex financial instruments (e.g. indices) based on these currencies are being introduced.","PeriodicalId":391101,"journal":{"name":"Econometric Modeling: International Economics eJournal","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-08-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115640004","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"The PRC’s Long-Run Growth through the Lens of the Export-Led Growth Model","authors":"J. Felipe, Matteo Lanzafame","doi":"10.2139/ssrn.3339116","DOIUrl":"https://doi.org/10.2139/ssrn.3339116","url":null,"abstract":"The People’s Republic of China’s (PRC) remarkable growth performance over the last 3 decades has been associated to very robust export growth, so much so that many refer to it as a clear example of export-led growth (ELG). Using the concept of the balance-of-payments equilibrium (BOPE) growth rate, which provides a framework to test the ELG hypothesis, we show that the PRC’s actual long-run growth is well approximated by its BOPE growth rate. This growth rate is given by the ratio of the growth rate of exports to the income elasticity of imports. We estimate the latter using the Kalman filter, which allows us to obtain a time-varying estimate of the PRC’s BOPE growth rate. We find that the average value of the PRC’s BOPE growth rate during 1981–2016 was 11%, but it varied significantly over time and declined notably after 2007. Today, it is estimated at a much lower 5.9%. We then discuss the determinants of the PRC’s BOPE growth rate and of the income elasticity of imports, with the help of the Bayesian model averaging technique. The analysis highlights the role of the composition of aggregate demand as the main driving force, both for its direct effects on the income elasticity of imports, and for the indirect effects on export growth via capital accumulation, in particular fixed asset investment. Our analysis has important implications to understand the PRC’s transition to a “New Normal” of a lower growth rate.","PeriodicalId":391101,"journal":{"name":"Econometric Modeling: International Economics eJournal","volume":"38 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-08-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125546455","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Currency Risk Factors in a Recursive Multi-Country Economy","authors":"R. Colacito, M. Croce, Federico Gavazzoni, Robert Ready","doi":"10.2139/ssrn.2542182","DOIUrl":"https://doi.org/10.2139/ssrn.2542182","url":null,"abstract":"Focusing on the ten countries with the most-traded currencies, we provide novel empirical evidence about the existence of significant heterogenous exposure to global growth news shocks. We incorporate this empirical fact in a frictionless risk-sharing model with recursive preferences, multiple countries, and multiple consumption goods whose supply is subject to both global and local short- and long-run shocks. Since news shocks are priced, heterogenous exposure to global long-run growth shocks results in both a relevant reallocation of international resources and currency adjustments. Our unified framework replicates the properties of the HML-FX and HML-NFA carry trade strategies studied by Lustig et al. (2011) and Della Corte et al. (2013).","PeriodicalId":391101,"journal":{"name":"Econometric Modeling: International Economics eJournal","volume":"170 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-08-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116333382","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Trade Wars: Are Good and Easy to Win?","authors":"Karen Jackson, Oleksandr Shepotylo","doi":"10.2139/ssrn.3230668","DOIUrl":"https://doi.org/10.2139/ssrn.3230668","url":null,"abstract":"This paper explores the welfare implications of the current US protectionist non-cooperative trade policy and potential responses by the EU and China. Using a structural gravity approach, we evaluate three retaliatory scenarios. Our estimates suggest that the impact of this trade war on the US is negative in all policy scenarios, ranging from 0.25 to 1.4 percent of GDP, with the lower range of welfare losses when the EU or/and China do not retaliate. Therefore, it is a dominant strategy for both China and the EU to keep tariffs against US goods at current levels.","PeriodicalId":391101,"journal":{"name":"Econometric Modeling: International Economics eJournal","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-08-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131120703","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Impact of Trade Imbalances on Domestic Trade Policy: Does Multilateral Trade Policy Matter?","authors":"S. Gnangnon","doi":"10.1111/rode.12527","DOIUrl":"https://doi.org/10.1111/rode.12527","url":null,"abstract":"It has been well demonstrated in the empirical literature that trade policy liberalization influences trade performance. However, little is known about how trade policy reacts to trade imbalances. This article aims to address this question by investigating the impact of trade imbalances on domestic trade policy liberalization, including in the context of multilateral trade policy liberalization. This analysis is particularly relevant because countries are currently having appetite for trade protectionist measures, which could ultimately undermine multilateral trade liberalization, and hurt domestic economies and the world economy. The analysis has been conducted on a panel dataset of 166 countries over the period 1998 to 2015. The take home message of the analysis is twofold: first, an improvement in trade balance induces greater domestic trade policy liberalization. However, this impact depends on countries’ development level, as the magnitude of this positive impact is higher, the higher the countries’ level of development. Second, an improvement in trade balance leads to greater domestic trade policy liberalization only if multilateral trade policy liberalization reaches a certain level.","PeriodicalId":391101,"journal":{"name":"Econometric Modeling: International Economics eJournal","volume":"196 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-08-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116515049","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}