報告題目：Analyzing exchange rate uncertainty and bilateral export growth in China: A multivariate GARCH-based approach

報告人：Aaron D Smallwood

報告時間：2019年1月8日14:30-16:30

地點：將軍路校區經管樓706室

報告摘要：

Dramatic changes to exchange rate policy for the world’s largest exporter have arguably ushered in the optimal environment for studying the e?ects of exchange rate uncertainty on trade. This study builds on the recent literature by using an extremely general model that measures uncertainty using the ?exible multivariate GARCH model pioneered by Engle (2002) to analyze the impact exchange rate uncertainty has on bilateral export growth for China’s ten largest export markets. Importantly, all model parameters are estimated simultaneously and lagged e?ects of uncertainty are included for a full year, where signi?cant e?ects are found. The more general methods potentially overcome issues associated with ine?cient two-step methods and the assumption that volatility impacts are close to instantaneous. Using a comprehensive sample that spans 1994-2017, and using both the real and nominal exchange rate, the paper presents compelling evidence that exchange rate uncertainty has a robust negative impact on export growth for almost every country in the sample, and especially for Germany, Hong Kong, India, Korea, and the Netherlands. Surprisingly, there is virtually no evidence that export growth to the United States is a?ected by currency volatility, suggesting a potentially complex reality in the mechanisms via which uncertainty can impact trade.

智能決策與風險分析研究所