Asian Development Bank Institute. ADBI Working Paper Series

Size: px
Start display at page:

Download "Asian Development Bank Institute. ADBI Working Paper Series"

Transcription

1 ADBI Working Paer Series How Would an Areciaion of he Yuan Affec he Peole s R eublic of China s S urlus in Processing Trade? Willem No. 219 June 2010 Asian Develomen Bank Insiue

2 Willem is a senior research fellow a ADBI. He hanks Ginalyn Komoo for excellen research assisance. The views exressed in his aer are he views of he auhors and do no necessarily reflec he views or olicies of ADBI, he Asian Develomen Bank (ADB), is Board of Direcors, or he governmens hey reresen. ADBI does no guaranee he accuracy of he daa included in his aer and acces no resonsibiliy for any consequences of heir use. Terminology used may no necessarily be consisen wih ADB official erms. The Working Paer series is a coninuaion of he formerly named Discussion Paer series; he numbering of he aers coninued wihou inerruion or change. ADBI s working aers reflec iniial ideas on a oic and are osed online for discussion. ADBI encourages readers o os heir commens on he main age for each working aer (given in he ciaion below). Some working aers may develo ino oher forms of ublicaion. Suggesed ciaion:, W How Would an Areciaion of he Yuan Affec he Peole s Reublic of China s Surlus in Processing Trade? ADBI Working Paer 219. Tokyo: Asian Develomen Bank Insiue. Available: h://www.adbi.org/workingaer/2010/06/18/3913.yuan.affec..rc.surlus.rade/ Asian Develomen Bank Insiue Kasumigaseki Building 8F Kasumigaseki, Chiyoda-ku Tokyo , Jaan Tel: Fax: URL: Asian Develomen Bank Insiue

3 Absrac Enormous rade surluses are roblemaic for he Peole s Reublic of China (PRC) and he res of he world. They rimarily sem from rocessing rade. This aer invesigaes how exchange rae changes would affec he PRC s imors for rocessing and rocessed exors. The resuls indicae ha an areciaion hroughou Eas Asian suly chain counries would reduce he PRC s surlus in rocessing rade, while an areciaion of he yuan alone migh no. Even for an areciaion hroughou Eas Asia, however, he sum of he exchange rae elasiciies is no large. Thus, o rebalance he PRC s rade, exchange rae areciaions mus be accomanied by oher changes such as facor marke liberalizaion and greaer enforcemen of environmenal regulaions. JEL Classificaion: F32, F41 1

4 Conens 1. Inroducion PRC s Processing Trade Daa and Mehodology Secifying Exor and Imor Funcions Consrucing an Inegraed Exchange Rae The Economeric Model Resuls Discussion Conclusion References Aendix: Daa... 18

5 1. INTRODUCTION The Peole s Reublic of China (PRC) has mainained a egged exchange rae regime argeed a he Unied Saes (US) dollar. In he rocess i has accumulaed more han 2.4 rillion dollars in foreign currency reserves. The Peole s Bank of China has serilized hese inervenions and revened inflaion from acceleraing. However, serilizaion oeraions have forced commercial banks o hold more and more cenral bank bills, inerfering wih he allocaion of credi. They have also roduced an increasingly inefficien allocaion of resources since rivae and social raes of reurn are higher for invesmens in he domesic economy han for invesmens in US Treasury securiies. Many have hus advocaed a more flexible exchange rae regime for he PRC. How would he resuling exchange rae flucuaions affec he PRC s surlus wih he res of he world? The Marshall-Lerner condiion imlies ha, if rade is iniially balanced, an areciaion will reduce he rade balance if he sum of (he absolue values of) he demand elasiciies for exors and imors exceeds one. In he case of he PRC, he effec of exchange rae changes on he rade balance is more comlicaed because he PRC s rade surlus since 2008 has been almos enirely concenraed in rocessing rade. Processed exors are final goods ha are roduced using ars and comonens imored from he res of he world. Since much of he value-added of rocessed goods comes from oher counries, he effec of changes in he yuan on he volume of rocessing rade may be aenuaed. Yoshiomi (2007) documened ha ars and comonens for he PRC s rocessed exors came rimarily from oher Eas Asian counries. He hus noed ha an areciaion of he yuan would only affec he foreign currency coss of he PRC s value-added in rocessing rade, while a oin areciaion in Asia would affec he foreign currency cos of he PRC s enire ouu of rocessed goods. 1 A generalized areciaion should hus have a much larger effec on he PRC s rocessed exors. and Smih (2010) consruced a single inegraed exchange rae variable o measure changes in he relaive foreign currency coss no us of he PRC s value-added bu of he PRC s enire ouu of rocessed exors. Using dynamic ordinary leas squares esimaion and an annual anel daa se over he eriod, hey reored ha a 10% areciaion hroughou he region would reduce rocessed exors by 10%. Ahmed (2009) emloyed an auoregressive disribued lag model and quarerly daa over he 1996Q1 2009Q2 eriod and disaggregaed CNY exchange rae changes ino hose relaive o Eas Asian counries and hose relaive o oher counries. He reored ha a 10% areciaion of he yuan relaive o non-eas Asian counries would reduce PRC s rocessed exors by 17% and ha a 10% areciaion in oher Eas Asian counries would reduce PRC s rocessed exors by 15%. 2 This aer exends he revious work in a coule of ways. Firs, i invesigaes he facors influencing imors for rocessing as well as rocessed exors. This makes i ossible o consider how exchange rae changes affec no only he PRC s rocessed exors bu also he PRC s surlus of almos US$300 billion in rocessing rade. Second, i exands and Smih s daa se o include observaions from This eriod is imoran because boh he yuan and he PRC s rocessing rade exhibied maor flucuaions during hese years. 1 This is no enirely rue since no all of he imored inus used o roduce rocessed exors come from Eas Asia. 2 Marquez and Schindler (2007) and Cheung, Chinn, and Fuii (2010), and Garcia-Herrero and Koivu (2007) also resened valuable esimaes of rade elasiciies for he PRC. 1

6 The resuls indicae ha an areciaion hroughou Eas Asian suly chain counries would reduce he PRC s rocessing surlus. The evidence is less clear concerning wheher an areciaion of he yuan no accomanied by an areciaion in he res of Asia would have his effec. The nex secion resens a descriive analysis of he PRC s rocessing rade. Secion 3 resens he daa and mehodology. Secion 4 conains he resuls and Secion 5 discusses he imlicaions of hese resuls. Secion 6 concludes. 2. PRC S PROCESSING TRADE The PRC s Cusoms Saisics (CCS) disinguishes beween imors and exors linked o rocessing rade and ordinary imors and exors. 3 Imors for rocessing are goods ha are brough ino he PRC for rocessing and subsequen re-exor. Processed exors, as classified by he Chinese cusoms auhoriies, are goods ha are roduced in his way. Imors for rocessing are imored duy free and neiher hese imored inus nor he finished goods roduced using hese imors ener PRC s domesic marke. By conras, ordinary imors are goods ha are no imored duy free and ordinary exors are goods ha are roduced rimarily using local inus. Feensra and Wei (2009) reored ha 84% of he PRC s rocessed exors were roduced by foreign-invesed enerrises. Figure 1 shows ha mos of he PRC s rade surlus unil 2008 and all of he PRC s rade surlus afer 2008 was due o rocessing rade. CCS divides rocessing rade ino wo caegories, rocessing and assembly rade and rocessing wih imored maerials rade. As Gaulier, Lemoine, and Unal-Kesenci (2005) discussed, he firs caegory refers o foreign suliers imoring inermediae goods ha belong o hem and using hese inus o roduce goods for re-exor. The second caegory refers o foreign suliers imoring inus from oher firms and using hese o roduce goods for re-exor. The surlus in he firs caegory averaged US$20 billion beween 2007 and 2009 and he surlus in he second caegory averaged US$250 billion. This imlies ha, while he degree of inra-firm imors by foreign-invesed enerrises (FIEs) has remained sable, arms lengh ransacions by FIEs in he PRC are increasingly aking lace wih oher firms locaed in he PRC. 3 The websie for he PRC s Cusoms Saisics is 2

7 Fig. 1. PRC s Trade Balance by Cusoms Regime (Billions of US Dollars). Billions of U.S. Dollars Source: PRC Cusoms Office Ordinary Processing Ohers Toal Figure 2 disaggregaes rocessing rade using Harmonized Sysem (HS) classificaions. I shows ha machinery and elecrical roducs (HS 84 85) have become increasingly imoran on boh he imor and exor side while exiles (HS 41 43, 50 63) have become rogressively less imoran. Thus rocessing rade largely involves imoring sohisicaed ars and comonens and using hem o roduce comuers, elecommunicaions equimen, and oher high-ech goods. Fig. 2a: Imors for Processing by Indusry (% of Toal Value) Percen Animals, Food Minerals, Wood Chemicals, Plasics Texiles Foowear, Headgear Meals, Aricles Machinery, Elecrical Transor Misc. Manufac Source: Feensra and Wei (2009). 3

8 Fig. 2b: Processed Exors By Indusry (% of Toal Value) Percen Animals, Food Minerals, Wood Chemicals, Plasics Texiles Foowear, Headgear Meals, Aricles Machinery, Elecrical Transor Misc. Manufac Source: Feensra and Wei (2009). Table 1 shows he PRC s rocessing rade disaggregaed by counry beween 2006 and Two-hirds of he PRC s imors for rocessing came from Jaan, members of he Associaion of Souheas Asian Naions (ASEAN), and he newly indusrialized economies (NIEs), while only abou 5% each came from he US and Euroe. On he oher hand, Eas Asia, he US, Euroe, and Hong Kong, China each received abou 20% of rocessed exors. 4 As a resul, he PRC ran deficis of abou US$100 billion wih Eas Asia in rocessing rade and surluses of US$100 billion wih Euroe and US$130 billion he US and Hong Kong, China. 4 Processed exors o Hong Kong, China largely reresened enreô rade. 4

9 Table 1: PRC s Processing Trade, Imors for Processing (%) World Korea Taiei,China Jaan ASEAN Hong Kong, China Unied Saes Euroe Res of World Processed Exors (%) World Korea Taiei,China Jaan ASEAN Hong Kong, China Unied Saes Euroe Res of World Balance in Processing Trade (Billions of US dollars) World Korea Taiei,China Jaan ASEAN Hong Kong, China Unied Saes Euroe Res of World (28.29) (50.01) 1.76 (10.74) (18.12) (31.57) (57.18) (1.63) (10.46) (4.65) (27.07) (55.71) 0.99 (6.53) Noes: ASEAN includes Indonesia, Malaysia, Philiines, Singaore, and Thailand and Euroe includes Ausria, Belgium, Denmark, Finland, France, Germany, Greece, Ireland, Luxembourg, Neherlands, Ialy, Porugal, Sain, Sweden and Unied Kingdom. Source: PRC Cusoms Saisics. 5

10 3. DATA AND METHODOLOGY 3.1 Secifying Exor and Imor Funcions According o he imerfec subsiues model of Goldsein and Khan (1985), exor and imor funcions can be reresened as: ex = α 10 + α 11 rer + α 12 y * + ε 1 (1) im = α 20 + α 21 rer + α 22 y + ε 2 (2) where ex reresens real exors, rer reresens he real exchange rae, y* reresens foreign real income, im reresens real imors, y reresens domesic real income, and all variables are measured in naural logs. In he case of he PRC s rocessing rade, i is necessary o modify hese equaions. Below I consider some of he oher facors ha should affec imors for rocessing and rocessed exors. For imors for rocessing, he Inernaional Moneary Fund (IMF) (2005) noed ha he rice elasiciy should be small because he inermediae goods are no roduced domesically, resuling in lile oenial for imor subsiuion. However, he huge surluses in rocessing rade ha have emerged since 2005 sugges ha firms have been able o source more inermediae goods from wihin he PRC. Thus he demand for imors for rocessing may have become more rice elasic in recen years. The IMF (2005) also argued ha imors for rocessing should vary one-for-one wih rocessed exors. Imors for rocessing should hus flow elasically ino he PRC in resonse o an increase in he demand for rocessed exors in he res of he world. Processed exors are herefore included as a righ hand side variable o exlain imors for rocessing. Since imors for rocessing are no inended for he domesic marke bu only for he assembly of rocessed exors, he referred secificaion below includes rocessed exors bu no PRC income. Foreign direc invesmen (FDI) flows and mulinaional cororaions (MNCs) also lay imoran roles in rocessing rade (see Gaulier, Lemoine, and Unal-Kesenci 2005). As discussed above, 84% of he PRC s rocessed exors in 2006 were roduced by foreigninvesed enerrises (Feensra and Wei 2009). FDI is hus included as a righ hand side variable. As Marquez and Schindler (2007) noed, he effec of FDI on imors could be osiive or negaive deending on wheher he invesmen generaes subsiuion effecs or comlemenary effecs. Following revious auhors (e.g., Garcia-Herrero and Koivu 2007), a World Trade Organizaion (WTO) dummy variable is included as a righ hand side variable. The PRC s WTO accession may have given foreign firms more confidence o ener ino longer-erm relaionshis wih PRC firms. Garcia-Herrero and Koivu (2007) osied ha he PRC s WTO accession began affecing he PRC s rade afer i became cerain ha he PRC would oin he WTO in he beginning of The WTO dummy variable is hus se equal o one beginning in For rocessed exors much of he value-added comes from imored inus, esecially inus roduced in oher Eas Asian counries. A generalized areciaion in Eas Asia would hus have a larger effec on he coss of he PRC s rocessed exors measured in he imoring counry s currency han a unilaeral areciaion of he CNY. A unilaeral areciaion would only change he relaive foreign currency cos of he PRC s value-added 6

11 in rocessed exors.5 An inegraed exchange rae is hus included ha weighs exchange rae changes in suly chain counries by he counries value-added in rocessing rade. 3.2 Consrucing an Inegraed Exchange Rae Following Tong and Zheng (2008), he PRC s value-added in rocessing rade can be measured as he difference beween he value of he PRC s rocessed exors (VPE ) and he value of imors for rocessing from all suly chain counries ( i VIP i, ): VA = ( VPE VIPi, ) / VPE = 1 VIPi, / VPE, Chin, i i (3) where VA Chin, equals he PRC s value-added in rocessing rade. Annual daa on he oal value of rocessed exors and he oal value of imors for rocessing is used o calculae he PRC s value-added. To calculae he value-added in suly chain counries his aer focuses on he nine leading roviders of imors for rocessing o he PRC. These are Germany, Jaan, he Reublic of Korea (hereafer Korea), Malaysia, he Philiines, Singaore, Taiei,China, Thailand, and he US. For hese suliers weighs ( w i, ) are calculaed by dividing heir conribuion o PRC imors for rocessing by he amoun of imors for rocessing coming from he nine maor suliers ogeher. These weighs are used o calculae a weighed exchange rae ( wrer, ) beween he PRC and each counry ha urchases rocessed exors from he PRC by calculaing he inner roduc of he weighs and he bilaeral real exchange raes beween he counries sulying imors for rocessing and counry : wrer w, = i, i rer i,,, (4) rer i where,, is he bilaeral real exchange rae beween suly chain counry i and counry urchasing he final rocessed exors. wrer The weighed exchange rae, is hen combined wih he bilaeral exchange rae rer Chin,, beween he PRC and counry ( ) o calculae a single inegraed exchange rae irer (, ) measuring how exchange rae changes affec he enire cos of he PRC s exors of rocessed goods o counry : irer = VA rer + 1 VA ) wrer. (5), Chin, Chin,, ( Chin,, To calculae irer in his way i is necessary o measure exchange raes using a common numeraire. This can be done by emloying he real exchange rae variables consruced by he Cenre D Eudes Prosecives e D Informaion Inernaionales (CEPII). The CEPII real exchange rae beween counries i and is calculaed by firs dividing gross domesic roduc (GDP) in US dollars for counry i by GDP in urchasing ower ariy (PPP) for counry i and doing he same for counry. The resuling raio for counry i is hen divided by he raio for counry. This variable measures he unis of consumer goods in counry i needed o buy a uni of consumer goods in counry. I can be comared across counries as well as across ime. Because i is comarable across counries, i can be used in equaion (2) o 5 This is rue assuming ha all of he PRC s imors for rocessing come from Asia. 7

12 calculae irer. Higher values of wrer and irer reresen sronger exchange raes in he PRC and in sulier counries. The oher indeenden variables are he PRC s caial sock in manufacuring, he sock of FDI, and a WTO dummy variable. Cheung, Chinn, and Fuii (2010) have found ha he PRC caial sock hels o exlain PRC exors. As discussed above, he FDI sock and he PRC s WTO accession may hel o exlain he increase in rocessing rade. The deenden variables are PRC imors for rocessing and PRC rocessed exors. These are obained from he PRC s Cusoms Saisics. Following Cheung, Chinn, and Fuii (2010), he Hong Kong, China o PRC re-exor uni value index is used o deflae he PRC s imors and he Hong Kong, China o US re-exor uni value index is used o deflae he PRC s exors. The daa are discussed in more deail in he Daa Aendix. 3.3 The Economeric Model Panel A of Table 2 reors he resuls from a baery of anel uni roo ess. 6 Column (1) resens he Im, Peseran, and Shin W-saisic, column (2) he asymoically disribuion free (ADF) Fisher Chi-square saisic, column (3) he Phillis-Perron Fisher Chi-square saisic, column (4) he Levin, Lin, and Chu -saisic, and column (5) he Hadiri heeroscedasic consisen Z-saisic. For he firs four ess, he null hyohesis is ha he variable has a uni roo while for he fifh es he mainained hyohesis is ha he variable is saionariy. In mos cases he resuls indicae ha he series have uni roos. Panel uni roo ess are no conduced for he series wih no cross-secional variaion (i.e., he PRC caial sock, PRC inward FDI, and PRC income). Panel B of Table 2 reors he resuls of he Kao residual coinegraion es. For boh he exor and he imor equaion he resuls indicae ha he null hyohesis of no coinegraion can be reeced. Panel dynamic ordinary leas squares (DOLS) esimaion, a echnique for esimaing coinegraing relaions, is hus emloyed. Table 2: Uni Roo and Coinegraion Tess Panel A. Uni Roo Tess Variable (1) (2) (3) (4) (5) Processed Exors ** 13.24** Imors for Processing ** 13.22** Inegraed Exchange Rae ** Res of World Income ** 12.45** (1) PP es Fisher Chi-square saisic (null hyohesis: uni roo) (2) Im, Pesaran, and Shin W-saisic (null hyohesis: uni roo) (3) ADF Fisher Chi-square saisic (null hyohesis: uni roo) (4) Levin, Lin, and Chu -saisic (null hyohesis: uni roo) (5) Hadiri Heeroscedasic Consisen Z-saisic (null hyohesis: saionariy) Noe: Lag selecion is based on he Schwarz Informaion Crierion. **denoes significance a he 5% level. 7 6 These ess are discussed in Breiung (2000), Choi (2001), Hadiri (2000), Im, Peseran, and Shin (2003), Levin, Lin, and Chu (2002), and Maddala and Wu (1999). 7 This es is discussed in Kao (1999). 8

13 Panel B. Kao Residual Coinegraion Tes Exor Equaion 7.17** Imor Equaion -3.18** (1) -saisic from Kao Residual Coinegraion es of he null hyohesis of no coinegraion.. Noe: Lag selecion is based on he Schwarz Informaion Crierion. **denoes significance a he 5% level. Source: Esimaion by he auhor. DOLS involves regressing he lef hand side variable on a consan, he righ hand side variables, and lags and leads of he righ hand side variables. The individual imor equaions have he form: im i, = β + β irer 10 α 11 1, rgd, = i, + β rgd 12 rgd C, + C, + β ex + β FDI + β WTO + α 13 1, ex, = ex 1, i, = 1,, T; i = 1,, N. Here im i, reresens real imors for rocessing from counry i o he PRC, irer i, reresens he inegraed real exchange rae, rgd C, equals real income in he PRC, ex reresens he PRC s oal real rocessed exors o he world, FDI denoes he sock of foreign direc invesmen, WTO is he WTO dummy variable, µ i is a counry i fixed effec, and reresens he number of leads and lags. im i,, irer i,, rgd C,, ex and FDI are measured in naural logs. im i, and irer i,, vary boh over ime and across counries and rgd C,, ex and FDI only vary over ime. The individual exor equaions have he form: 14 + α 15 1, FDI, = FDI α 1, irer, = irer + µ + u i i, + (6) ex i, = β 20 + β irer = α 21 2, rgd, i, + β rgd 22 rgd i, + i, 23 2, ex, K = 1,, T; i = 1,, N. + β K + β FDI + β WTO + = α 24 + = α 25 2, FDI, = FDI α 2, irer, irer + µ + u i i i,, + (7) Here ex i, reresens real rocessed exors from he PRC o counry i, irer i, reresens he inegraed real exchange rae, rgd i, equals real income in he imoring counry, K reresens he Chinese caial sock in manufacuring, FDI denoes he sock of foreign direc invesmen, WTO is he WTO dummy variable, µ i is a counry i fixed effec, and reresens he number of leads and lags. ex i,, irer i,, rgd i,, K and FDI are measured in naural logs. ex i,, irer i,, and rgd i, vary boh over ime and across counries and K and FDI only vary over ime. 9

14 Annual daa over he 1992 o 2008 eriod are used. One lead and lag is emloyed in he DOLS esimaion. 4. RESULTS Table 3 resens he resuls for imors for rocessing. The coefficiens on he exchange rae are osiive and saisically significan in every secificaion, indicaing ha an areciaion of he inegraed exchange rae will increase imors for rocessing. The coefficiens indicae ha a 10% areciaion of irer will increase imors for rocessing by beween 3.9% and 4.1%. Alhough no reored in Table 3, hese coefficiens remain virually unchanged if a rend erm is included Table 3: Panel DOLS Esimaes of he PRC s Imors for Processing From 25 Counries over he Period. Indeenden variables (1) (2) (3) (4) (5) CNY Exchange rae 0.41** 0.41*** 0.39** 0.40*** 0.42*** (0.16) (0.16) (0.16) (0.16) (0.16) PRC s Income -9.70*** (2.22) (2.01) (1.21) Processed exors *** 1.84*** 1.02*** (3.02) (0.07) (0.62) (0.08) FDI sock 21.27*** (4.86) (0.25) (2.06) (0.26) WTO dummy * *** (0.15) (0.09) (0.14) (0.08) Adused R-squared No. of observaions Noes: DOLS(1,1) esimaes. Heeroskedasiciy-consisen sandard errors are in arenheses. Imors are deflaed using he Hong Kong, China o PRC. re-exor uni value index. The daa exend from 1992 o Since he DOLS esimaion uses one lead and lag of he firs difference of he righ-hand side variables he acual samle eriod is from Counry fixed effecs are also included. *** (**) denoes significance a he 1% (5%) level. Source: Esimaion by he auhor. In he referred secificaions in columns (2) and (5) ha include rocessed exors bu no he PRC s income, he coefficiens on rocessed exors are close o uniy. These resuls suor he hyohesis of he IMF (2005) ha here is aroximaely a one-for-one relaionshi beween rocessed exors and imors for rocessing. The IMF (2005) also osied ha he exchange rae elasiciy for imors for rocessing should be small because here are few domesic subsiues. However, he evidence discussed in Secion 2, ha inerfirm ransacions by FIEs in he PRC are increasingly aking lace wih oher firms locaed in he PRC, suggess ha he exchange rae elasiciy may have increased in recen years. The exchange rae elasiciies reored in Table 3 are only significan when daa from are included. Fuure work should invesigae wheher imors for rocessing have become more sensiive o exchange rae changes over he las few years as he PRC has develoed more domesic subsiues o imored ars and comonens. Table 4 resens he resuls for rocessed exors. The coefficiens on he inegraed exchange rae are negaive and saisically significan in every secificaion, indicaing ha an areciaion in he PRC and oher suly chain counries will reduce rocessed exors. The coefficiens indicae ha a 10% areciaion across Eas Asia will reduce rocessed exors by beween 7.8 and 18.7%. Alhough no reored in Table 4, hese coefficiens remain highly significan when a rend erm is included. 10

15 Table 4: Panel DOLS Esimaes of he PRC s Processed Exors o 25 Counries over he Period Indeenden variables (1) (2) (3) (4) Inegraed exchange rae -0.79*** -1.20*** -0.78*** -1.87*** (0.16) (0.21) (0.16) (0.36) ROW Income 0.42** 1.64*** 0.44*** 3.08*** (0.18) (0.22) (0.15) (0.42) Caial sock 2.39*** 1.62*** (0.39) (0.11) FDI sock -1.01** 1.56*** (0.51) (0.28) WTO dummy *** *** (0.14) (0.17) (0.07) (0.12) Adused R-squared No. of observaions Noes: DOLS(1,1) esimaes. Heeroskedasiciy-consisen sandard errors are in arenheses. Exors are deflaed using he Hong Kong, China o US re-exor uni value index. The daa exend from 1992 o Since he DOLS esimaion uses one lead and lag of he firs difference of he righ-hand side variables he acual samle eriod is from Counry fixed effecs are also included. *** (**) denoes significance a he 1% (5%) level. Source: Esimaion by he auhor. The coefficiens on res of he world income are osiive and saisically significan in every secificaion, indicaing ha an increase in income in he res of he world will increase rocessed exors. The coefficien values equal abou 0.4 when he caial sock is excluded, and vary beween 1.64 and 3.08 when he caial sock is included. The coefficiens on he caial sock are also osiive and saisically significan in every secificaion. The coefficien values vary beween 1.62 and These values indicae ha a 10% increase in he Chinese caial sock would increase rocessed exors by beween 16 and 24%. These values are close o hose reored by Cheung, Chinn, and Fuii (2010). Table 5 resens he resuls for imors for rocessing using he yuan exchange rae as an indeenden variable insead of he inegraed exchange rae. The coefficiens on he exchange rae are osiive and saisically significan in every secificaion, indicaing ha an areciaion of he yuan will increase imors for rocessing. The coefficiens indicae ha a 10% areciaion of he yuan will increase imors for rocessing by beween 3.6 and 3.9%. 11

16 Table 5: Panel DOLS Esimaes of he PRC s Processed Imors From 25 Counries over he Period Indeenden variables (1) (2) (3) (4) (5) CNY Exchange rae 0.37** 0.36** 0.36** 0.37** 0.39*** (0.16) (0.16) (0.16) (0.16) (0.15) PRC s Income *** (2.12) (1.52) (1.79) Processed exors -3.92*** 0.91*** 2.01** 0.97*** (1.01) (0.03) (0.83) (0.06) FDI sock 22.95*** * (3.64) (0.10) (1.60) (0.16) WTO dummy 0.26** 0.19*** 0.21*** 0.25** (0.12) (0.05) (0.06) (0.12) Adused R-squared No. of observaions Noes: DOLS(1,1) esimaes. Heeroskedasiciy-consisen sandard errors are in arenheses. Imors are deflaed using he Hong Kong, China o PRC. re-exor uni value index. The daa exend from 1992 o Since he DOLS esimaion uses one lead and lag of he firs difference of he righ-hand side variables he acual samle eriod is from Counry fixed effecs are also included. *** (**) [*] denoes significance a he 1% (5%) [10%] level. Source: Esimaion by he auhor. Table 6 resens he resuls for rocessed exors using he yuan exchange rae insead of he inegraed exchange rae. The resuls indicae ha an areciaion of he CNY would reduce rocessed exors. The coefficiens on he yuan exchange rae are smaller ha he coefficens on he inegraed exchange rae. They average -0.77, comared wih an average of for he coefficiens on he inegraed exchange rae in Table 3. These resuls indicae ha an areciaion hroughou Asia would have a larger effec on rocessed exors han an areciaion of he yuan alone. Table 6: Panel DOLS Esimaes of he PRC s Processed Exors To 25 Counries over he Period Indeenden variables (1) (2) (3) (4) CNY Exchange Rae -0.68*** -0.95*** -0.71*** -0.74*** (0.14) (0.16) (0.13) (0.16) ROW Income 0.38** 1.62*** 0.38** 5.03*** (0.19) (0.26) (0.18) (0.39) Caial sock 2.51*** 1.94*** (0.33) (0.07) FDI sock -0.80* 2.16*** (0.42) (0.28) WTO dummy *** *** (0.10) (0.16) (0.05) (0.17) Adused R-squared No. of observaions Noes: DOLS(1,1) esimaes. Heeroskedasiciy-consisen sandard errors are in arenheses. Exors are deflaed using he Hong Kong, China o US re-exor uni value index. The daa exend from 1992 o Since he DOLS esimaion uses one lead and lag of he firs difference of he righ-hand side variables he acual samle eriod is from Counry fixed effecs are also included. *** (**) [*] denoes significance a he 1% (5%) [10%] level. Source: Esimaion by he auhor. 12

17 5. DISCUSSION PRC olicymakers have noed ha he PRC s rade surlus is oo large and needs o be rebalanced. The PRC s surlus in recen years has been concenraed in rocessing rade. How would an areciaion of Asian currencies or of he yuan alone affec he PRC s rocessing rade balance? The Marshall-Lerner condiion imlies ha if exors iniially equal imors an areciaion will reduce he rade balance if he sum of (he absolue values of) he demand elasiciies for exors and imors exceeds one. If he curren accoun is no iniially balanced i is necessary o emloy a general version of he Marshall-Lerner condiion (see Aleyard and Field 2001). This condiion saes ha an areciaion will reduce he rade surlus if: Z < α 21 + Z α 11 (8) where Z is he raio of exors o imors, α 21 is he rice elasiciy of imors, and α 11 is he rice elasiciy of exors. According o he PRC Cusoms Saisics, rocessed exors exceeded imors for rocessing over he las five years by a raio of 1.73 o 1. Z hus equals The coefficien α 21 in Table 3 averages Thus, inequaliy (8) imlies ha an areciaion of he inegraed exchange rae would reduce he rade surlus if he absolue value of he exor elasiciy is greaer han I is greaer han his in all four cases in Table 4 and averages This evidence indicaes ha a generalized areciaion in Asian suly chain counries would reduce he surlus in rocessing rade. In he case of a CNY areciaion alone, he coefficien α 21 in Table 5 averages Thus, according o (8), an areciaion of he yuan would reduce he rade surlus if he absolue value of he exor elasiciy is greaer han I is greaer han his in only one of he four cases in Table 4. Thus i is no clear han an areciaion of he yuan unaccomanied by areciaions in suly chain counries would reduce he surlus in rocessing rade. How could a oin areciaion hroughou Eas Asia be achieved? One way would be for he PRC o ado an exchange rae regime characerized by a mulile-currency, baske-based reference rae wih a reasonably wide band. In his case, he huge surluses generaed wihin Eas Asian roducion neworks would cause currencies in he region o areciae ogeher. Marke forces could hen allocae hese areciaions across suly chain counries based on heir value-added in rocessing rade. Even in he case of an exchange rae areciaion hroughou Asia, however, he exchange rae elasiciies in Tables 3 and 4 are no large. Thus he resuls in his aer imly ha exchange rae changes alone may no subsanially reduce he rocessing balance. To consider oher ways o reduce he surlus, i is helful o look a naional saving and invesmen in he PRC. These are loed in Figure 3. The figure shows ha saving and invesmen began diverging afer As he Asian Develomen Bank (ADB) (2009) reored, he shorfall of invesmen relaive o saving was driven by an increase in cororae saving in he PRC. I rose from 17% of naional disosable income in 2002 o 23% in

18 Figure 3: PRC's Saving and Invesmen as a % of GDP ( ) Percen of GDP Saving as ercen of GDP Invesmen as ercen of GDP Source: Inernaional Moneary Fund via CEIC daabase (h://www.ceicdaa.com/), accessed Aril 16, Wha caused cororae saving o rise so raidly? The Asian Develomen Bank (2009) reored ha afer-ax cororae rofis rose by 6% of GDP beween 2003 and Par of his increase was due o raid economic growh and rising ouu rices ha increased he rofiabiliy of sae-owned enerrises (SOEs) and rivae firms. Since SOEs yically do no ay dividends, higher rofis direcly increase he firms gross saving. Several oher facors also conribued o high and rising saving raes among SOEs. Many have monoolies in various secors, such as China Mobile in elecommunicaions and China Naional Peroleum Cororaion in oil. As Xing (2009) discussed, he resuling monooly rofis conribues o high cororae savings, exraordinarily high comensaion among execuives a SOEs, and a skewed income disribuion. In addiion, as Huang (2009) documened, facor marke disorions rovided a subsidy o roducers of almos 2 rillion yuan (7% of GDP) in These subsidies include a yuan ha is undervalued, arificially low land rices and real ineres raes, adminisered rices for fuel and elecriciy, and environmenal laws ha are no rigorously enforced. These subsidies ransferred resources o he cororae secor and increased heir rofiabiliy. If hese subsidies were removed and PRC enerrises faced higher rices for resources, land, elecriciy, and oher iems, hen heir global comeiiveness would decline and his would reduce he roducion of radables in he PRC. Thus if olicymakers in he PRC wan o rebalance growh, exchange rae areciaions in Asia would robably have o be accomanied by oher changes. These include deregulaion, liberalizaion of facor markes, and he removal of olicy disorions ha favor he radables secor over he non-radables secor. 14

19 6. CONCLUSION PRC s egged exchange rae has caused roblems in he PRC and he res of he world. In he PRC i has inerfered wih he allocaion of credi by forcing commercial banks o hold increasingly large quaniies of cenral bank bills. In oher Asian counries he PRC s eg has caused cenral banks o inervene in currency markes and accumulae reserves in order o mainain comeiiveness agains he PRC. Many have hus argued ha he PRC should move o a more flexible exchange rae regime. This aer has invesigaed how he resuling exchange rae changes would affec he PRC s rade surlus. Since 2008 his surlus has been concenraed in rocessing rade. Processed exors are final goods roduced using ars and comonens coming rimarily from oher Asian counries. The resuls indicae ha an areciaion hroughou Asia would reduce he PRC s surlus in rocessing rade. An areciaion of he yuan alone may no reduce he surlus. One way for suly chain counries o have heir currencies areciae ogeher would be for he PRC o ado an exchange rae regime characerized by a mulile-currency, baskebased reference rae wih a reasonably wide band. In his case, he huge surluses generaed wihin Eas Asian roducion neworks would cause currencies in he region o areciae ogeher. Marke forces could hen allocae hese areciaions across suly chain counries based on heir value-added in rocessing rade. However, he fac ha he exchange rae elasiciies reored in his aer are no large suggess ha greaer exchange rae flexibiliy needs o be accomanied by oher olicies in order o rebalance growh. These include enforcing environmenal regulaions and liberalizing he markes for land, labor, fuel, and caial. Afer he PRC began liberalizing is roduc markes in he lae 1970s, growh exloded in a quaniaive sense. Liberalizing facor markes and fighing environmenal degradaion could similarly sark an exlosion of growh in a qualiaive sense. 15

20 REFERENCES ADB Asian Develomen Oulook 2009: Rebalancing Asia's Growh. Manila: ADB. Ahmed, S Are Chinese Exors Sensiive o Changes in he Exchange Rae? Federal Reserve Board Inernaional Finance Discussion Paers No Washingon, DC: Federal Reserve. Aleyard, D. R., and A. J. Field Inernaional Economics, Fourh ediion. San Francisco, CA: Irwin/McGraw Hill. Bai, C.-E.., C.-T. Hsieh, and Y. Qian Reurns o Caial in China. Brookings Paers on Economic Aciviy 2006 (1): Breiung, J The Local Power of Some Uni Roo Tess for Panel Daa. In Advances in Economerics, Vol. 15: Nonsaionary Panels, Panel Coinegraion, and Dynamic Panels, edied by B. Balagi. Amserdam: JAI Press. Bosworh, B., and S. Collins Rebalancing he US Economy in a Pos-Crisis World. Paer resened a he Conference on Transacific Rebalancing. ADBI/Brookings Insiuion. 3 4 March. Cheung, Y.-W., M. Chinn, and E. Fuii China s Curren Accoun and Exchange Rae. In China's Growing Role in World Trade, edied by R. Feensra and S.-J. Wei. Chicago, IL: Universiy of Chicago Press forhcoming. PRC Cusoms Saisics daabase. Available ChinaCusomsSa.com. Choi, I Uni Roo Tess for Panel Daa. Journal of Inernaional Money and Finance 20 (2): Feensra, R., and S.-J. Wei Inroducion. In China's Growing Role in World Trade, edied by R. Feensra and S.-J. Wei. Chicago, IL: Universiy of Chicago Press forhcoming. Garcia-Herrero, A. and T. Koivu Can he Chinese Trade Surlus be Reduced wih he Exchange Rae Policy? BOFIT Discussion Paer, Bank of Finland. Gaulier, G., F. Lemoine, and D. Unal-Kesenci China s Inegraion in Eas Asia: Producion Sharing, FDI, and High-Tech Trade. CEPII Working Paer No Paris: CEPII. Goldsein, M., and M. S. Khan Income and Price Effecs in Foreign Trade.In Handbook of Inernaional Economics, Vol. 2, edied by R. W. Jones and P. Kenen. Amserdam: Norh-Holland. Hadri, K Tesing for Saionariy in Heerogeneous Panel Daa. Economeric Journal 3 (2): Huang, Y The Fuure of he Inernaional Currency Sysem: A Chinese Economis s Persecive. Paer resened a he Conference on Asian Archiecure and Global Governance, ADBI/ADB, Manila, 29 Ocober. Kao, C. D Surious Regression and Residual-Based Tess for Coinegraion in Panel Daa. Journal of Economerics 90,(1): Im, K. S., M. H. Pesaran, and Y. Shin Tesing for Uni Roos in Heerogeneous Panels. Journal of Economerics 115 (1): IMF Asia-Pacific Economic Oulook. Washingon, DC: IMF. Levin, A., C. F. Lin, and C.-S. J. Chu Uni Roo Tess in Panel Daa: Asymoic and Finie-Samle Proeries. Journal of Economerics 108 (1):

How Would an Appreciation of the RMB and Other East Asian Currencies Affect China s Exports?

How Would an Appreciation of the RMB and Other East Asian Currencies Affect China s Exports? How Would an Appreciaion of he RMB and Oher Eas Asian Currencies Affec China s Expors? Willem Thorbecke* George Mason Universiy and RIETI Gordon Smih** George Mason Universiy January 2008 Forhcoming in

More information

The Greek financial crisis: growing imbalances and sovereign spreads. Heather D. Gibson, Stephan G. Hall and George S. Tavlas

The Greek financial crisis: growing imbalances and sovereign spreads. Heather D. Gibson, Stephan G. Hall and George S. Tavlas The Greek financial crisis: growing imbalances and sovereign spreads Heaher D. Gibson, Sephan G. Hall and George S. Tavlas The enry The enry of Greece ino he Eurozone in 2001 produced a dividend in he

More information

Morningstar Investor Return

Morningstar Investor Return Morningsar Invesor Reurn Morningsar Mehodology Paper Augus 31, 2010 2010 Morningsar, Inc. All righs reserved. The informaion in his documen is he propery of Morningsar, Inc. Reproducion or ranscripion

More information

BALANCE OF PAYMENTS. First quarter 2008. Balance of payments

BALANCE OF PAYMENTS. First quarter 2008. Balance of payments BALANCE OF PAYMENTS DATE: 2008-05-30 PUBLISHER: Balance of Paymens and Financial Markes (BFM) Lena Finn + 46 8 506 944 09, lena.finn@scb.se Camilla Bergeling +46 8 506 942 06, camilla.bergeling@scb.se

More information

CALCULATION OF OMX TALLINN

CALCULATION OF OMX TALLINN CALCULATION OF OMX TALLINN CALCULATION OF OMX TALLINN 1. OMX Tallinn index...3 2. Terms in use...3 3. Comuaion rules of OMX Tallinn...3 3.1. Oening, real-ime and closing value of he Index...3 3.2. Index

More information

Price elasticity of demand for crude oil: estimates for 23 countries

Price elasticity of demand for crude oil: estimates for 23 countries Price elasiciy of demand for crude oil: esimaes for 23 counries John C.B. Cooper Absrac This paper uses a muliple regression model derived from an adapaion of Nerlove s parial adjusmen model o esimae boh

More information

Why Did the Demand for Cash Decrease Recently in Korea?

Why Did the Demand for Cash Decrease Recently in Korea? Why Did he Demand for Cash Decrease Recenly in Korea? Byoung Hark Yoo Bank of Korea 26. 5 Absrac We explores why cash demand have decreased recenly in Korea. The raio of cash o consumpion fell o 4.7% in

More information

Revisions to Nonfarm Payroll Employment: 1964 to 2011

Revisions to Nonfarm Payroll Employment: 1964 to 2011 Revisions o Nonfarm Payroll Employmen: 1964 o 2011 Tom Sark December 2011 Summary Over recen monhs, he Bureau of Labor Saisics (BLS) has revised upward is iniial esimaes of he monhly change in nonfarm

More information

DOES TRADING VOLUME INFLUENCE GARCH EFFECTS? SOME EVIDENCE FROM THE GREEK MARKET WITH SPECIAL REFERENCE TO BANKING SECTOR

DOES TRADING VOLUME INFLUENCE GARCH EFFECTS? SOME EVIDENCE FROM THE GREEK MARKET WITH SPECIAL REFERENCE TO BANKING SECTOR Invesmen Managemen and Financial Innovaions, Volume 4, Issue 3, 7 33 DOES TRADING VOLUME INFLUENCE GARCH EFFECTS? SOME EVIDENCE FROM THE GREEK MARKET WITH SPECIAL REFERENCE TO BANKING SECTOR Ahanasios

More information

Duration and Convexity ( ) 20 = Bond B has a maturity of 5 years and also has a required rate of return of 10%. Its price is $613.

Duration and Convexity ( ) 20 = Bond B has a maturity of 5 years and also has a required rate of return of 10%. Its price is $613. Graduae School of Business Adminisraion Universiy of Virginia UVA-F-38 Duraion and Convexiy he price of a bond is a funcion of he promised paymens and he marke required rae of reurn. Since he promised

More information

Appendix D Flexibility Factor/Margin of Choice Desktop Research

Appendix D Flexibility Factor/Margin of Choice Desktop Research Appendix D Flexibiliy Facor/Margin of Choice Deskop Research Cheshire Eas Council Cheshire Eas Employmen Land Review Conens D1 Flexibiliy Facor/Margin of Choice Deskop Research 2 Final Ocober 2012 \\GLOBAL.ARUP.COM\EUROPE\MANCHESTER\JOBS\200000\223489-00\4

More information

The Real Business Cycle paradigm. The RBC model emphasizes supply (technology) disturbances as the main source of

The Real Business Cycle paradigm. The RBC model emphasizes supply (technology) disturbances as the main source of Prof. Harris Dellas Advanced Macroeconomics Winer 2001/01 The Real Business Cycle paradigm The RBC model emphasizes supply (echnology) disurbances as he main source of macroeconomic flucuaions in a world

More information

Time Series Analysis Using SAS R Part I The Augmented Dickey-Fuller (ADF) Test

Time Series Analysis Using SAS R Part I The Augmented Dickey-Fuller (ADF) Test ABSTRACT Time Series Analysis Using SAS R Par I The Augmened Dickey-Fuller (ADF) Tes By Ismail E. Mohamed The purpose of his series of aricles is o discuss SAS programming echniques specifically designed

More information

Chapter 8: Regression with Lagged Explanatory Variables

Chapter 8: Regression with Lagged Explanatory Variables Chaper 8: Regression wih Lagged Explanaory Variables Time series daa: Y for =1,..,T End goal: Regression model relaing a dependen variable o explanaory variables. Wih ime series new issues arise: 1. One

More information

Market Liquidity and the Impacts of the Computerized Trading System: Evidence from the Stock Exchange of Thailand

Market Liquidity and the Impacts of the Computerized Trading System: Evidence from the Stock Exchange of Thailand 36 Invesmen Managemen and Financial Innovaions, 4/4 Marke Liquidiy and he Impacs of he Compuerized Trading Sysem: Evidence from he Sock Exchange of Thailand Sorasar Sukcharoensin 1, Pariyada Srisopisawa,

More information

BALANCE OF PAYMENTS AND FINANCIAL MA REPORT 2015. All officiell statistik finns på: www.scb.se Statistikservice: tfn 08-506 948 01

BALANCE OF PAYMENTS AND FINANCIAL MA REPORT 2015. All officiell statistik finns på: www.scb.se Statistikservice: tfn 08-506 948 01 RKET BALANCE OF PAYMENTS AND FINANCIAL MA REPORT 2015 All officiell saisik finns på: www.scb.se Saisikservice: fn 08-506 948 01 All official saisics can be found a: www.scb.se Saisics service, phone +46

More information

Contrarian insider trading and earnings management around seasoned equity offerings; SEOs

Contrarian insider trading and earnings management around seasoned equity offerings; SEOs Journal of Finance and Accounancy Conrarian insider rading and earnings managemen around seasoned equiy offerings; SEOs ABSTRACT Lorea Baryeh Towson Universiy This sudy aemps o resolve he differences in

More information

Information technology and economic growth in Canada and the U.S.

Information technology and economic growth in Canada and the U.S. Canada U.S. Economic Growh Informaion echnology and economic growh in Canada and he U.S. Informaion and communicaion echnology was he larges conribuor o growh wihin capial services for boh Canada and he

More information

MACROECONOMIC FORECASTS AT THE MOF A LOOK INTO THE REAR VIEW MIRROR

MACROECONOMIC FORECASTS AT THE MOF A LOOK INTO THE REAR VIEW MIRROR MACROECONOMIC FORECASTS AT THE MOF A LOOK INTO THE REAR VIEW MIRROR The firs experimenal publicaion, which summarised pas and expeced fuure developmen of basic economic indicaors, was published by he Minisry

More information

4. International Parity Conditions

4. International Parity Conditions 4. Inernaional ariy ondiions 4.1 urchasing ower ariy he urchasing ower ariy ( heory is one of he early heories of exchange rae deerminaion. his heory is based on he concep ha he demand for a counry's currency

More information

PROFIT TEST MODELLING IN LIFE ASSURANCE USING SPREADSHEETS PART ONE

PROFIT TEST MODELLING IN LIFE ASSURANCE USING SPREADSHEETS PART ONE Profi Tes Modelling in Life Assurance Using Spreadshees PROFIT TEST MODELLING IN LIFE ASSURANCE USING SPREADSHEETS PART ONE Erik Alm Peer Millingon 2004 Profi Tes Modelling in Life Assurance Using Spreadshees

More information

Title: Who Influences Latin American Stock Market Returns? China versus USA

Title: Who Influences Latin American Stock Market Returns? China versus USA Cenre for Global Finance Working Paper Series (ISSN 2041-1596) Paper Number: 05/10 Tile: Who Influences Lain American Sock Marke Reurns? China versus USA Auhor(s): J.G. Garza-García; M.E. Vera-Juárez Cenre

More information

Measuring the Effects of Exchange Rate Changes on Investment. in Australian Manufacturing Industry

Measuring the Effects of Exchange Rate Changes on Investment. in Australian Manufacturing Industry Measuring he Effecs of Exchange Rae Changes on Invesmen in Ausralian Manufacuring Indusry Robyn Swif Economics and Business Saisics Deparmen of Accouning, Finance and Economics Griffih Universiy Nahan

More information

The US Tech Pulse, stock prices, and exchange rate dynamics: Evidence from Asian developing countries

The US Tech Pulse, stock prices, and exchange rate dynamics: Evidence from Asian developing countries The US Tech Pulse, sock prices, and exchange rae dynamics: Evidence from Asian developing counries Akihiro Kubo Graduae School of Economics, Osaka Ciy Universiy, 3-3-138 Sugimoo, Sumiyoshi-ku, Osaka 558-8585,

More information

DEMAND FORECASTING MODELS

DEMAND FORECASTING MODELS DEMAND FORECASTING MODELS Conens E-2. ELECTRIC BILLED SALES AND CUSTOMER COUNTS Sysem-level Model Couny-level Model Easside King Couny-level Model E-6. ELECTRIC PEAK HOUR LOAD FORECASTING Sysem-level Forecas

More information

Microstructure of Russian stock market and profitability of market making

Microstructure of Russian stock market and profitability of market making КОНСОРЦИУМ ЭКОНОМИЧЕСКИХ ИССЛЕДОВАНИЙ И ОБРАЗОВАНИЯ - РОССИЯ И СНГ ECOOMICS EDUCATIO AD RESEARCH COSORTIUM RUSSIA AD CIS G. Kolodyazhny and A. Medvedev Microsrucure of Russian sock marke and rofiabiliy

More information

Chapter 6: Business Valuation (Income Approach)

Chapter 6: Business Valuation (Income Approach) Chaper 6: Business Valuaion (Income Approach) Cash flow deerminaion is one of he mos criical elemens o a business valuaion. Everyhing may be secondary. If cash flow is high, hen he value is high; if he

More information

Markit Excess Return Credit Indices Guide for price based indices

Markit Excess Return Credit Indices Guide for price based indices Marki Excess Reurn Credi Indices Guide for price based indices Sepember 2011 Marki Excess Reurn Credi Indices Guide for price based indices Conens Inroducion...3 Index Calculaion Mehodology...4 Semi-annual

More information

Index futures, spot volatility, and liquidity: Evidence from FTSE Xinhua A50 index futures. Yakup Eser Arisoy *

Index futures, spot volatility, and liquidity: Evidence from FTSE Xinhua A50 index futures. Yakup Eser Arisoy * Index fuures, so volailiy, and liquidiy: Evidence from FTSE Xinhua A5 index fuures Yaku Eser Arisoy * Absrac This aer examines he imac of he inroducion of he FTSE Xinhua A5 index fuures conrac on he volailiy

More information

Cointegration: The Engle and Granger approach

Cointegration: The Engle and Granger approach Coinegraion: The Engle and Granger approach Inroducion Generally one would find mos of he economic variables o be non-saionary I(1) variables. Hence, any equilibrium heories ha involve hese variables require

More information

SPEC model selection algorithm for ARCH models: an options pricing evaluation framework

SPEC model selection algorithm for ARCH models: an options pricing evaluation framework Applied Financial Economics Leers, 2008, 4, 419 423 SEC model selecion algorihm for ARCH models: an opions pricing evaluaion framework Savros Degiannakis a, * and Evdokia Xekalaki a,b a Deparmen of Saisics,

More information

Hedging with Forwards and Futures

Hedging with Forwards and Futures Hedging wih orwards and uures Hedging in mos cases is sraighforward. You plan o buy 10,000 barrels of oil in six monhs and you wish o eliminae he price risk. If you ake he buy-side of a forward/fuures

More information

Understanding China s High Investment Rate and FDI Levels: A Comparative Analysis of the Return to Capital in China, the United States, and Japan

Understanding China s High Investment Rate and FDI Levels: A Comparative Analysis of the Return to Capital in China, the United States, and Japan Undersanding China s High Invesmen Rae and FDI Levels: A Comparaive Analysis of he Reurn o Capial in China, he Unied Saes, and Japan Wenkai Sun, Renmin Universiy of China Xiuke Yang, Peking Universiy Geng

More information

Investor sentiment of lottery stock evidence from the Taiwan stock market

Investor sentiment of lottery stock evidence from the Taiwan stock market Invesmen Managemen and Financial Innovaions Volume 9 Issue 1 Yu-Min Wang (Taiwan) Chun-An Li (Taiwan) Chia-Fei Lin (Taiwan) Invesor senimen of loery sock evidence from he Taiwan sock marke Absrac This

More information

11/6/2013. Chapter 14: Dynamic AD-AS. Introduction. Introduction. Keeping track of time. The model s elements

11/6/2013. Chapter 14: Dynamic AD-AS. Introduction. Introduction. Keeping track of time. The model s elements Inroducion Chaper 14: Dynamic D-S dynamic model of aggregae and aggregae supply gives us more insigh ino how he economy works in he shor run. I is a simplified version of a DSGE model, used in cuing-edge

More information

CAUSAL RELATIONSHIP BETWEEN STOCK MARKET AND EXCHANGE RATE, FOREIGN EXCHANGE RESERVES AND VALUE OF TRADE BALANCE: A CASE STUDY FOR INDIA

CAUSAL RELATIONSHIP BETWEEN STOCK MARKET AND EXCHANGE RATE, FOREIGN EXCHANGE RESERVES AND VALUE OF TRADE BALANCE: A CASE STUDY FOR INDIA CAUSAL RELATIONSHIP BETWEEN STOCK MARKET AND EXCHANGE RATE, FOREIGN EXCHANGE RESERVES AND VALUE OF TRADE BALANCE: A CASE STUDY FOR INDIA BASABI BHATTACHARYA & JAYDEEP MUKHERJEE Reader, Deparmen of Economics,

More information

MSCI Index Calculation Methodology

MSCI Index Calculation Methodology Index Mehodology MSCI Index Calculaion Mehodology Index Calculaion Mehodology for he MSCI Equiy Indices Index Mehodology MSCI Index Calculaion Mehodology Conens Conens... 2 Inroducion... 5 MSCI Equiy Indices...

More information

I. Basic Concepts (Ch. 1-4)

I. Basic Concepts (Ch. 1-4) (Ch. 1-4) A. Real vs. Financial Asses (Ch 1.2) Real asses (buildings, machinery, ec.) appear on he asse side of he balance shee. Financial asses (bonds, socks) appear on boh sides of he balance shee. Creaing

More information

Chapter 8 Student Lecture Notes 8-1

Chapter 8 Student Lecture Notes 8-1 Chaper Suden Lecure Noes - Chaper Goals QM: Business Saisics Chaper Analyzing and Forecasing -Series Daa Afer compleing his chaper, you should be able o: Idenify he componens presen in a ime series Develop

More information

Impact of regional trade agreements on commodity trade between China and Australia

Impact of regional trade agreements on commodity trade between China and Australia Impac of regional rade agreemens on commodiy rade beween China and Ausralia Tianshu Liu, Xuean Jiao * May 2006 Absrac This paper aims o analyse he impac of curren regional rade agreemens on commodiy rade

More information

Usefulness of the Forward Curve in Forecasting Oil Prices

Usefulness of the Forward Curve in Forecasting Oil Prices Usefulness of he Forward Curve in Forecasing Oil Prices Akira Yanagisawa Leader Energy Demand, Supply and Forecas Analysis Group The Energy Daa and Modelling Cener Summary When people analyse oil prices,

More information

Influence of the Dow returns on the intraday Spanish stock market behavior

Influence of the Dow returns on the intraday Spanish stock market behavior Influence of he Dow reurns on he inraday Spanish sock marke behavior José Luis Miralles Marcelo, José Luis Miralles Quirós, María del Mar Miralles Quirós Deparmen of Financial Economics, Universiy of Exremadura

More information

Market Efficiency or Not? The Behaviour of China s Stock Prices in Response to the Announcement of Bonus Issues

Market Efficiency or Not? The Behaviour of China s Stock Prices in Response to the Announcement of Bonus Issues Discussion Paper No. 0120 Marke Efficiency or No? The Behaviour of China s Sock Prices in Response o he Announcemen of Bonus Issues Michelle L. Barnes and Shiguang Ma May 2001 Adelaide Universiy SA 5005,

More information

Evidence from the Stock Market

Evidence from the Stock Market UK Fund Manager Cascading and Herding Behaviour: New Evidence from he Sock Marke Yang-Cheng Lu Deparmen of Finance, Ming Chuan Universiy 250 Sec.5., Zhong-Shan Norh Rd., Taipe Taiwan E-Mail ralphyclu1@gmail.com,

More information

How does working capital management affect SMEs profitability? This paper analyzes the relation between working capital management and profitability

How does working capital management affect SMEs profitability? This paper analyzes the relation between working capital management and profitability How does working capial managemen affec SMEs profiabiliy? Absrac This paper analyzes he relaion beween working capial managemen and profiabiliy for small and medium-sized firms by conrolling for unobservable

More information

Does Financial Liberalization Improve the Allocation of Investment?: Micro Evidence from Developing Countries

Does Financial Liberalization Improve the Allocation of Investment?: Micro Evidence from Developing Countries Iner-American Developmen Bank Banco Ineramericano de Desarrollo (BID) Research deparmen Deparameno de invesigación Working Paper #7 Does Financial Liberalizaion Improve he Allocaion of Invesmen?: Micro

More information

The Interest Rate Risk of Mortgage Loan Portfolio of Banks

The Interest Rate Risk of Mortgage Loan Portfolio of Banks The Ineres Rae Risk of Morgage Loan Porfolio of Banks A Case Sudy of he Hong Kong Marke Jim Wong Hong Kong Moneary Auhoriy Paper presened a he Exper Forum on Advanced Techniques on Sress Tesing: Applicaions

More information

Risk Modelling of Collateralised Lending

Risk Modelling of Collateralised Lending Risk Modelling of Collaeralised Lending Dae: 4-11-2008 Number: 8/18 Inroducion This noe explains how i is possible o handle collaeralised lending wihin Risk Conroller. The approach draws on he faciliies

More information

Relationships between Stock Prices and Accounting Information: A Review of the Residual Income and Ohlson Models. Scott Pirie* and Malcolm Smith**

Relationships between Stock Prices and Accounting Information: A Review of the Residual Income and Ohlson Models. Scott Pirie* and Malcolm Smith** Relaionships beween Sock Prices and Accouning Informaion: A Review of he Residual Income and Ohlson Models Sco Pirie* and Malcolm Smih** * Inernaional Graduae School of Managemen, Universiy of Souh Ausralia

More information

JEL classifications: Q43;E44 Keywords: Oil shocks, Stock market reaction.

JEL classifications: Q43;E44 Keywords: Oil shocks, Stock market reaction. Applied Economerics and Inernaional Developmen. AEID.Vol. 5-3 (5) EFFECT OF OIL PRICE SHOCKS IN THE U.S. FOR 1985-4 USING VAR, MIXED DYNAMIC AND GRANGER CAUSALITY APPROACHES AL-RJOUB, Samer AM * Absrac

More information

A Note on Using the Svensson procedure to estimate the risk free rate in corporate valuation

A Note on Using the Svensson procedure to estimate the risk free rate in corporate valuation A Noe on Using he Svensson procedure o esimae he risk free rae in corporae valuaion By Sven Arnold, Alexander Lahmann and Bernhard Schwezler Ocober 2011 1. The risk free ineres rae in corporae valuaion

More information

The Effects of the Minimum Wage on Wages, Employment and Prices

The Effects of the Minimum Wage on Wages, Employment and Prices DISCUSSION PAPER SERIES IZA DP No. 1135 The Effecs of he Minimum Wage on Wages, Emloymen and Prices Sara Lemos May 2004 Forschungsinsiu zur Zukunf der Arbei Insiue for he Sudy of Labor The Effecs of he

More information

Supplementary Appendix for Depression Babies: Do Macroeconomic Experiences Affect Risk-Taking?

Supplementary Appendix for Depression Babies: Do Macroeconomic Experiences Affect Risk-Taking? Supplemenary Appendix for Depression Babies: Do Macroeconomic Experiences Affec Risk-Taking? Ulrike Malmendier UC Berkeley and NBER Sefan Nagel Sanford Universiy and NBER Sepember 2009 A. Deails on SCF

More information

APPLICATION OF Q-MEASURE IN A REAL TIME FUZZY SYSTEM FOR MANAGING FINANCIAL ASSETS

APPLICATION OF Q-MEASURE IN A REAL TIME FUZZY SYSTEM FOR MANAGING FINANCIAL ASSETS Inernaional Journal on Sof Comuing (IJSC) Vol.3, No.4, November 202 APPLICATION OF Q-MEASURE IN A REAL TIME FUZZY SYSTEM FOR MANAGING FINANCIAL ASSETS Penka Georgieva and Ivan Pochev 2 Burgas Free Universiy,

More information

Illiquidity and Pricing Biases in the Real Estate Market

Illiquidity and Pricing Biases in the Real Estate Market Illiquidiy and ricing Biases in he Real Esae arke Zhenguo Lin Fannie ae 39 Wisconsin Avenue Washingon DC 16 Kerry D. Vandell School of Business Universiy of Wisconsin adison 975 Universiy Avenue adison,

More information

MALAYSIAN FOREIGN DIRECT INVESTMENT AND GROWTH: DOES STABILITY MATTER? Jarita Duasa 1

MALAYSIAN FOREIGN DIRECT INVESTMENT AND GROWTH: DOES STABILITY MATTER? Jarita Duasa 1 Journal of Economic Cooperaion, 8, (007), 83-98 MALAYSIAN FOREIGN DIRECT INVESTMENT AND GROWTH: DOES STABILITY MATTER? Jaria Duasa 1 The objecive of he paper is wofold. Firs, is o examine causal relaionship

More information

Price Controls and Banking in Emissions Trading: An Experimental Evaluation

Price Controls and Banking in Emissions Trading: An Experimental Evaluation This version: March 2014 Price Conrols and Banking in Emissions Trading: An Experimenal Evaluaion John K. Sranlund Deparmen of Resource Economics Universiy of Massachuses-Amhers James J. Murphy Deparmen

More information

WHAT ARE OPTION CONTRACTS?

WHAT ARE OPTION CONTRACTS? WHAT ARE OTION CONTRACTS? By rof. Ashok anekar An oion conrac is a derivaive which gives he righ o he holder of he conrac o do 'Somehing' bu wihou he obligaion o do ha 'Somehing'. The 'Somehing' can be

More information

The Determinants of Trade Credit: Vietnam Experience

The Determinants of Trade Credit: Vietnam Experience Proceedings of he Second Asia-Pacific Conference on Global Business, Economics, Finance and Social Sciences (AP15Vienam Conference) ISBN: 978-1-63415-833-6 Danang, Vienam, 10-12 July 2015 Paper ID: V536

More information

Statistical Analysis with Little s Law. Supplementary Material: More on the Call Center Data. by Song-Hee Kim and Ward Whitt

Statistical Analysis with Little s Law. Supplementary Material: More on the Call Center Data. by Song-Hee Kim and Ward Whitt Saisical Analysis wih Lile s Law Supplemenary Maerial: More on he Call Cener Daa by Song-Hee Kim and Ward Whi Deparmen of Indusrial Engineering and Operaions Research Columbia Universiy, New York, NY 17-99

More information

A Note on the Impact of Options on Stock Return Volatility. Nicolas P.B. Bollen

A Note on the Impact of Options on Stock Return Volatility. Nicolas P.B. Bollen A Noe on he Impac of Opions on Sock Reurn Volailiy Nicolas P.B. Bollen ABSTRACT This paper measures he impac of opion inroducions on he reurn variance of underlying socks. Pas research generally finds

More information

Option Put-Call Parity Relations When the Underlying Security Pays Dividends

Option Put-Call Parity Relations When the Underlying Security Pays Dividends Inernaional Journal of Business and conomics, 26, Vol. 5, No. 3, 225-23 Opion Pu-all Pariy Relaions When he Underlying Securiy Pays Dividends Weiyu Guo Deparmen of Finance, Universiy of Nebraska Omaha,

More information

YEN FUTURES: EXAMINING HEDGING EFFECTIVENESS BIAS AND CROSS-CURRENCY HEDGING RESULTS ROBERT T. DAIGLER FLORIDA INTERNATIONAL UNIVERSITY SUBMITTED FOR

YEN FUTURES: EXAMINING HEDGING EFFECTIVENESS BIAS AND CROSS-CURRENCY HEDGING RESULTS ROBERT T. DAIGLER FLORIDA INTERNATIONAL UNIVERSITY SUBMITTED FOR YEN FUTURES: EXAMINING HEDGING EFFECTIVENESS BIAS AND CROSS-CURRENCY HEDGING RESULTS ROBERT T. DAIGLER FLORIDA INTERNATIONAL UNIVERSITY SUBMITTED FOR THE FIRST ANNUAL PACIFIC-BASIN FINANCE CONFERENCE The

More information

is a random vector with zero mean and Var(e

is a random vector with zero mean and Var(e Economics Leers 73 (2001) 147 153 www.elsevier.com/ locae/ econbase Esimaion of direc and indirec impac of oil price on growh Tilak Abeysinghe* Deparmen of Economics, Naional Universiy of Singapore, 10Ken

More information

RISK-BASED REPLACEMENT STRATEGIES FOR REDUNDANT DETERIORATING REINFORCED CONCRETE PIPE NETWORKS

RISK-BASED REPLACEMENT STRATEGIES FOR REDUNDANT DETERIORATING REINFORCED CONCRETE PIPE NETWORKS RISK-BASED REPLACEMENT STRATEGIES FOR REDUNDANT DETERIORATING REINFORCED CONCRETE PIPE NETWORKS Bryan Adey, Olivier Bernard 2 and Bruno Gerard 2 Division of Mainenance and Safey, Faculy of Archiecure,

More information

Relationship between Stock Returns and Trading Volume: Domestic and Cross-Country Evidence in Asian Stock Markets

Relationship between Stock Returns and Trading Volume: Domestic and Cross-Country Evidence in Asian Stock Markets Proceedings of he 2013 Inernaional Conference on Economics and Business Adminisraion Relaionship beween Sock Reurns and Trading olume: Domesic and Cross-Counry Evidence in Asian Sock Markes Ki-Hong Choi

More information

The Relationship Between Commercial Energy Consumption and Gross Domestic Income in Kenya

The Relationship Between Commercial Energy Consumption and Gross Domestic Income in Kenya The Relaionship Beween Commercial Energy Consumpion and Gross Domesic Income in Kenya Susan M. Onuonga The Journal of Developing Areas, Volume 46, Number 1, Spring 2012, pp. 305-314 (Aricle) Published

More information

Chapter 1.6 Financial Management

Chapter 1.6 Financial Management Chaper 1.6 Financial Managemen Par I: Objecive ype quesions and answers 1. Simple pay back period is equal o: a) Raio of Firs cos/ne yearly savings b) Raio of Annual gross cash flow/capial cos n c) = (1

More information

A DCC Analysis of Two Stock Market Returns Volatility with an Oil Price Factor: An Evidence Study of Singapore and Thailand s Stock Markets

A DCC Analysis of Two Stock Market Returns Volatility with an Oil Price Factor: An Evidence Study of Singapore and Thailand s Stock Markets Journal of Convergence Informaion Technology Volume 4, Number 1, March 9 A DCC Analysis of Two Sock Marke Reurns Volailiy wih an Oil Price Facor: An Evidence Sudy of Singapore and Thailand s Sock Markes

More information

Vector Autoregressions (VARs): Operational Perspectives

Vector Autoregressions (VARs): Operational Perspectives Vecor Auoregressions (VARs): Operaional Perspecives Primary Source: Sock, James H., and Mark W. Wason, Vecor Auoregressions, Journal of Economic Perspecives, Vol. 15 No. 4 (Fall 2001), 101-115. Macroeconomericians

More information

Do Public Income Transfer to the Poorest affect Internal Inter-Regional Migration? Evidence for the Case of Brazilian Bolsa Família Program

Do Public Income Transfer to the Poorest affect Internal Inter-Regional Migration? Evidence for the Case of Brazilian Bolsa Família Program Do Public Income ransfer o he Poores affec Inernal Iner-Regional Migraion? Evidence for he Case of Brazilian Bolsa Família Program Raul da Moa Silveira Neo PIMES-UFPE e Pesquisador do CNPq. Resumo O rabalho

More information

ElectricityConsumptionandEconomicGrowthinBangladeshCo-IntegrationandCausalityAnalysis

ElectricityConsumptionandEconomicGrowthinBangladeshCo-IntegrationandCausalityAnalysis Global Journal of Managemen and Business Research Volume 12 Issue 11 Version 1.0 July 2012 Type: Double Blind Peer Reviewed Inernaional Research Journal Publisher: Global Journals Inc. (US) Online ISSN:

More information

Journal Of Business & Economics Research September 2005 Volume 3, Number 9

Journal Of Business & Economics Research September 2005 Volume 3, Number 9 Opion Pricing And Mone Carlo Simulaions George M. Jabbour, (Email: jabbour@gwu.edu), George Washingon Universiy Yi-Kang Liu, (yikang@gwu.edu), George Washingon Universiy ABSTRACT The advanage of Mone Carlo

More information

Measuring macroeconomic volatility Applications to export revenue data, 1970-2005

Measuring macroeconomic volatility Applications to export revenue data, 1970-2005 FONDATION POUR LES ETUDES ET RERS LE DEVELOPPEMENT INTERNATIONAL Measuring macroeconomic volailiy Applicaions o expor revenue daa, 1970-005 by Joël Cariolle Policy brief no. 47 March 01 The FERDI is a

More information

NATIONAL BANK OF POLAND WORKING PAPER No. 120

NATIONAL BANK OF POLAND WORKING PAPER No. 120 NATIONAL BANK OF POLAND WORKING PAPER No. 120 Large capial inflows and sock reurns in a hin marke Janusz Brzeszczyński, Marin T. Bohl, Dobromił Serwa Warsaw 2012 Acknowledgemens: We would like o hank Ludwig

More information

Estimating Time-Varying Equity Risk Premium The Japanese Stock Market 1980-2012

Estimating Time-Varying Equity Risk Premium The Japanese Stock Market 1980-2012 Norhfield Asia Research Seminar Hong Kong, November 19, 2013 Esimaing Time-Varying Equiy Risk Premium The Japanese Sock Marke 1980-2012 Ibboson Associaes Japan Presiden Kasunari Yamaguchi, PhD/CFA/CMA

More information

Nikkei Stock Average Volatility Index Real-time Version Index Guidebook

Nikkei Stock Average Volatility Index Real-time Version Index Guidebook Nikkei Sock Average Volailiy Index Real-ime Version Index Guidebook Nikkei Inc. Wih he modificaion of he mehodology of he Nikkei Sock Average Volailiy Index as Nikkei Inc. (Nikkei) sars calculaing and

More information

SAMUELSON S HYPOTHESIS IN GREEK STOCK INDEX FUTURES MARKET

SAMUELSON S HYPOTHESIS IN GREEK STOCK INDEX FUTURES MARKET 154 Invesmen Managemen and Financial Innovaions, Volume 3, Issue 2, 2006 SAMUELSON S HYPOTHESIS IN GREEK STOCK INDEX FUTURES MARKET Chrisos Floros, Dimirios V. Vougas Absrac Samuelson (1965) argues ha

More information

II.1. Debt reduction and fiscal multipliers. dbt da dpbal da dg. bal

II.1. Debt reduction and fiscal multipliers. dbt da dpbal da dg. bal Quarerly Repor on he Euro Area 3/202 II.. Deb reducion and fiscal mulipliers The deerioraion of public finances in he firs years of he crisis has led mos Member Saes o adop sizeable consolidaion packages.

More information

The Relationship between Stock Return Volatility and. Trading Volume: The case of The Philippines*

The Relationship between Stock Return Volatility and. Trading Volume: The case of The Philippines* The Relaionship beween Sock Reurn Volailiy and Trading Volume: The case of The Philippines* Manabu Asai Faculy of Economics Soka Universiy Angelo Unie Economics Deparmen De La Salle Universiy Manila May

More information

On Overnight Return Premiums of International Stock Markets

On Overnight Return Premiums of International Stock Markets On Overnigh Reurn Premiums of Inernaional Sock Markes Mei Qiu and Tao Cai Deparmen of Economics and Finance (Albany), Massey Universiy Absrac We sudy he daily close-o-opening overnigh reurns of sock indices

More information

Investigation of the effect of the degree of openness of the economy on real effective exchange rate Volatility: case study (the Iran economy)

Investigation of the effect of the degree of openness of the economy on real effective exchange rate Volatility: case study (the Iran economy) saqartvelos mecnierebata erovnuli akademiis moambe,. 9, #2, 2015 BULLETIN OF THE GEORGIAN NATIONAL ACADEMY OF SCIENCES, vols. 9, no. 2, 2015 Economy Invesigaion of he effec of he degree of openness of

More information

Total factor productivity growth in the Canadian life insurance industry: 1979-1989

Total factor productivity growth in the Canadian life insurance industry: 1979-1989 Toal facor produciviy growh in he Canadian life insurance indusry: 1979-1989 J E F F R E Y I. B E R N S T E I N Carleon Universiy and Naional Bureau of Economic Research 1. Inroducion Produciviy growh

More information

Lecture Note on the Real Exchange Rate

Lecture Note on the Real Exchange Rate Lecure Noe on he Real Exchange Rae Barry W. Ickes Fall 2004 0.1 Inroducion The real exchange rae is he criical variable (along wih he rae of ineres) in deermining he capial accoun. As we shall see, his

More information

Investing in Gold: Individual Asset Risk in the Long Run

Investing in Gold: Individual Asset Risk in the Long Run CENTRAL BANK OF CYPRUS EUROSYSTEM WORKING PAPER SERIES Invesing in Gold: Individual Asse Risk in he Long Run Anonis Michis June 2014 Working Paper 2014-02 Cenral Bank of Cyprus Working Papers presen work

More information

Ownership structure, liquidity, and trade informativeness

Ownership structure, liquidity, and trade informativeness Journal of Finance and Accounancy ABSTRACT Ownership srucure, liquidiy, and rade informaiveness Dan Zhou California Sae Universiy a Bakersfield In his paper, we examine he relaionship beween ownership

More information

Return Calculation of U.S. Treasury Constant Maturity Indices

Return Calculation of U.S. Treasury Constant Maturity Indices Reurn Calculaion of US Treasur Consan Mauri Indices Morningsar Mehodolog Paper Sepeber 30 008 008 Morningsar Inc All righs reserved The inforaion in his docuen is he proper of Morningsar Inc Reproducion

More information

Earnings Timeliness and Seasoned Equity Offering Announcement Effect

Earnings Timeliness and Seasoned Equity Offering Announcement Effect Inernaional Journal of Humaniies and Social Science Vol. 1 No. 0; December 011 Earnings Timeliness and Seasoned Equiy Offering Announcemen Effec Yuequan Wang School of Accouning and Finance The Hong Kong

More information

INTRODUCTION TO FORECASTING

INTRODUCTION TO FORECASTING INTRODUCTION TO FORECASTING INTRODUCTION: Wha is a forecas? Why do managers need o forecas? A forecas is an esimae of uncerain fuure evens (lierally, o "cas forward" by exrapolaing from pas and curren

More information

Bid-ask Spread and Order Size in the Foreign Exchange Market: An Empirical Investigation

Bid-ask Spread and Order Size in the Foreign Exchange Market: An Empirical Investigation Bid-ask Spread and Order Size in he Foreign Exchange Marke: An Empirical Invesigaion Liang Ding* Deparmen of Economics, Macaleser College, 1600 Grand Avenue, S. Paul, MN55105, U.S.A. Shor Tile: Bid-ask

More information

Does Option Trading Have a Pervasive Impact on Underlying Stock Prices? *

Does Option Trading Have a Pervasive Impact on Underlying Stock Prices? * Does Opion Trading Have a Pervasive Impac on Underlying Sock Prices? * Neil D. Pearson Universiy of Illinois a Urbana-Champaign Allen M. Poeshman Universiy of Illinois a Urbana-Champaign Joshua Whie Universiy

More information

Oil Price Fluctuations and Firm Performance in an Emerging Market: Assessing Volatility and Asymmetric Effect

Oil Price Fluctuations and Firm Performance in an Emerging Market: Assessing Volatility and Asymmetric Effect Journal of Economics, Business and Managemen, Vol., No. 4, November 203 Oil Price Flucuaions and Firm Performance in an Emerging Marke: Assessing Volailiy and Asymmeric Effec Hawai Janor, Aisyah Abdul-Rahman,

More information

Stock Market Liquidity and the Macroeconomy: Evidence from Japan

Stock Market Liquidity and the Macroeconomy: Evidence from Japan WP/05/6 Sock Marke Liquidiy and he Macroeconomy: Evidence from Japan Woon Gyu Choi and David Cook 2005 Inernaional Moneary Fund WP/05/6 IMF Working Paper IMF Insiue Sock Marke Liquidiy and he Macroeconomy:

More information

DETERMINISTIC INVENTORY MODEL FOR ITEMS WITH TIME VARYING DEMAND, WEIBULL DISTRIBUTION DETERIORATION AND SHORTAGES KUN-SHAN WU

DETERMINISTIC INVENTORY MODEL FOR ITEMS WITH TIME VARYING DEMAND, WEIBULL DISTRIBUTION DETERIORATION AND SHORTAGES KUN-SHAN WU Yugoslav Journal of Operaions Research 2 (22), Number, 6-7 DEERMINISIC INVENORY MODEL FOR IEMS WIH IME VARYING DEMAND, WEIBULL DISRIBUION DEERIORAION AND SHORAGES KUN-SHAN WU Deparmen of Bussines Adminisraion

More information

SURVEYING THE RELATIONSHIP BETWEEN STOCK MARKET MAKER AND LIQUIDITY IN TEHRAN STOCK EXCHANGE COMPANIES

SURVEYING THE RELATIONSHIP BETWEEN STOCK MARKET MAKER AND LIQUIDITY IN TEHRAN STOCK EXCHANGE COMPANIES Inernaional Journal of Accouning Research Vol., No. 7, 4 SURVEYING THE RELATIONSHIP BETWEEN STOCK MARKET MAKER AND LIQUIDITY IN TEHRAN STOCK EXCHANGE COMPANIES Mohammad Ebrahimi Erdi, Dr. Azim Aslani,

More information

NBER WORKING PAPER SERIES IS THE U.S. CURRENT ACCOUNT DEFICIT SUSTAINABLE? AND IF NOT, HOW COSTLY IS ADJUSTMENT LIKELY TO BE?

NBER WORKING PAPER SERIES IS THE U.S. CURRENT ACCOUNT DEFICIT SUSTAINABLE? AND IF NOT, HOW COSTLY IS ADJUSTMENT LIKELY TO BE? NBER WORKING PAPER SERIES IS THE U.S. CURRENT ACCOUNT DEFICIT SUSTAINABLE? AND IF NOT, HOW COSTLY IS ADJUSTMENT LIKELY TO BE? Sebasian Edwards Working Paper 11541 hp://www.nber.org/papers/w11541 NATIONAL

More information

Sustainability of current account deficit with high oil prices: Evidence from Turkey 1

Sustainability of current account deficit with high oil prices: Evidence from Turkey 1 Inernaional Journal of Economic Sciences Vol. III / No. 2 / 2014 Susainabiliy of curren accoun defici wih high oil prices: Evidence from Turkey 1 Erkan Özaa ABSTRACT Curren accoun defici as a raio of GDP

More information

Modelling US & Australian 10-year bond yields

Modelling US & Australian 10-year bond yields Economics & Markes Modelling US & Ausralian 10-year bond yields 23 Ocober 2008 Auhor: Dr. Alex Joiner Economis +61 3 9273 6123 Alex.Joiner@anz.com Key poins In his noe we provide an economeric analysis

More information

European Commission - Energy Policy

European Commission - Energy Policy In naional currency Euro-super 95 Gas oil auomobile Auomoive gas oil Dieselkrafsoff Gasoil de chauffage Heaing gas oil Heizöl (II) Soufre

More information

Terms of Trade and Present Value Tests of Intertemporal Current Account Models: Evidence from the United Kingdom and Canada

Terms of Trade and Present Value Tests of Intertemporal Current Account Models: Evidence from the United Kingdom and Canada Terms of Trade and Presen Value Tess of Ineremporal Curren Accoun Models: Evidence from he Unied Kingdom and Canada Timohy H. Goodger Universiy of Norh Carolina a Chapel Hill November 200 Absrac This paper

More information