• The Journal of Asian Finance, Economics and Business
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• 제8권3호
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• pp.731-740
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• 2021

This research aims to investigate the determinants of real effective exchange rate in emerging ASEAN countries, including Indonesia, Malaysia, Philippines, Thailand, and Vietnam. The research was conducted by using quarterly time series data set from 1980Q1 to 2020Q3. Cointegration and the error correction model (ECM) methods were applied to test the long run and short run relationship of the real effective exchange rate and its determinants. The results indicate that the ratio of foreign direct investment to GDP and the government spending have significantly positive impact on real effective exchange rate in the Emerging ASEAN countries. The trade opening had influencing real effective exchange rate in most the Emerging ASEAN countries, except Vietnam. In addition, the international reserve (INR) had significant long-run impacts variables on real effective exchange rate in Malaysia, Thailand and Vietnam. In the short run equilibrium, the error collection term suggest that Indonesia and Malaysia are the fastest speed adjustment to equilibrium. In addition, the term of trade influence the real effective exchange rate in Indonesia, Malaysia, and the Philippines but it is not in Thailand and Vietnam. However, FDI is a major factor of the real effective exchange rate in Vietnam, but not for other countries.

• The Journal of Asian Finance, Economics and Business
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• 제4권1호
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• pp.19-23
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• 2017

Based on a simultaneous-equation model consisting of aggregate demand and short-run aggregate supply, this paper estimates a reduced-form equation specifying that the equilibrium real GDP is a function of the real effective exchange rate, the government deficit as a percent of GDP, the real interest rate, foreign income, labor productivity, the real oil price, the expected inflation rate, and the interactive and intercept binary variables accounting for a potential change in the slope of the real effective exchange rate and shift in the intercept. Applying the exponential GARCH technique, it finds that aggregate output in Australia has a positive relationship with the real effective exchange rate during 2003.Q3 - 2013.Q2, the government deficit as a percent of GDP, U.S. real GDP, labor productivity and the real oil price and a negative relationship with the real effective exchange rate during 2013.Q3 - 2016.Q1, the real lending rate and the expected inflation rate. These results suggest that real appreciation was expansionary before 2013.Q3 whereas real depreciation was expansionary after 2013.Q2 and that more government deficit as a percent of GDP would be helpful to stimulate the economy. Hence, the impact of real appreciation or real depreciation on real GDP may change overtime.

• The Journal of Asian Finance, Economics and Business
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• 제8권3호
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• pp.119-126
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• 2021

This study is to examine the foreign direct investment (FDI) response to real effective exchange rate volatility in Vietnam by using the vector autoregression model. The research data are quarterly frequency data in the period from 2004:Q1 to 2019:Q2. The data on real effective exchange rate were collected from the statistics of Bruegel (Europe) and FDI data were collected from the International Financial Statistics. The quantitative study was conducted with two steps: (1) measuring exchange rate volatility by the GARCH(1,1) method; and (2) examining the impact of exchange rate volatility on FDI in the context of the global financial crisis. The estimation results show that FDI responded significantly to real exchange rate volatility with the lag of 3 periods at the 5% significance level. The FDI response increased after the exchange rate volatility with the lag of 3 periods, and the impact extended to the lag of 6 periods, and then gradually stabilized. The research findings indicate that FDI in Vietnam responds positively and significantly to exchange rate volatility with the lag of 3 periods. Simultaneously, the negative impact of the global financial crisis in 2008 with the lag of 2 periods leads to a slight decrease in FDI inflows into Vietnam.

• 무역학회지
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• 제45권6호
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• pp.113-130
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• 2020

This study analyzes the effect of misalignment exchange rate on economic performance asymmetrically. The results show that the over valuation of the real effective exchange rate of won has a significant positive relationship with economic performance. The under valuation of the real effective exchange rate of won has a positive effect on economic performance, but it is not significant. This is due to the high ratio of re-exports of intermediate goods despite Korea being an export-oriented country. In Japan, the undervaluation of the exchange rate has a negative impact on economic performance.

• 국제지역연구
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• 제13권3호
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• pp.309-330
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• 2009

본 연구는 실질환율변동이 경기변동에 미치는 효과를 한국과 일본에 대하여 비교분석하는데 목적을 두고 있다. 기존의 실증분석에 의하면 신흥경제국의 경우 실질환율의 상승이 경기수축효과를 가져올 수 있는 반면 선진국의 경우 경기확장효과를 가질 수 있다는 연구결과가 많다. 한국은 신흥경제국의 사례로, 일본은 선진국의 사례로 각각 선택하여 기존의 연구결과와 비교하고자 한다. 구조VAR(S-VAR)모형을 사용하여 실질금리, 실질성장률, 실질환율, 국제유가, 인플레이션율 등 5개변수의 1980년 1/4분기부터 2006년 4/4분기까지의 분기데이터에 대해 충격반응함수와 분산분해를 통해 실질환율변동의 경기변동효과를 분석하고 있다. 본 연구는 한국의 경우 실질환율의 상승이 경기수축적인 반면 일본의 경우는 반대로 경기팽창적이라는 기존의 연구결과를 다시 확인하고 있다.

• East Asian Economic Review
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• 제22권3호
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• pp.371-400
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• 2018

Although asset price is an important factor in determining changes in external balances, no studies have investigated it from the Chinese perspective. In this study, I empirically examine the underlying driving forces of China's trade balances, particularly the role of asset price and the real exchange rate. To this end, I estimate a sign-restricted structural vector autoregressive model with quarterly time series data for China, using the Bayesian method. The results show that changes in asset price affect China's trade balances through private consumption and investment. Also, an appreciation of the real exchange rate tends to deteriorate trade balances in China. Furthermore, forecast error variance decomposition results indicate that changes in asset price (stock price and housing price) explain about 20% variability of trade balances, while changes in the real exchange rate can explain about 10%.

• 문화기술의 융합
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• 제4권4호
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• pp.155-160
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• 2018

본 연구는 미국의 실질실효환율과 단기금리가 중국의 수출과 수입에 미치는 영향을 EGARCH-GED 모형을 이용하여 분석하였다. 미국이 금리의 인상을 추진하고 중국과의 무역 전쟁이 심화되는 시점에서 미국 주요 경제변수의 중국 수출과 수입에 대한 효과를 분석하였다. 분석결과, 첫째 중국의 교역량에는 미국 실질실효환율은 유의한 영향을 미치지 않고 미국 단기금리만이 유의한 양의 영향을 미치는 것으로 나타났다. 중국 수출의 경우에도 미국 실질 실효환율은 유의한 영향을 미치지 않고 미국 단기금리만이 유의한 양의 영향을 미쳤다. 그러나 중국 수입의 경우에는 수출과는 반대로 미국 단기금리는 유의한 영향을 미치지 않고 미국 실질실효환율은 유의한 양의 영향을 미치는 것으로 나타났다. 한편 중국 정책금리는 중국 수출에만 유의한 양의 영향을 미치는 것으로 나타났다.

• 무역학회지
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• 제48권4호
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• pp.47-66
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• 2023

본 연구는 중국의 대외무역정책 조치가 중국에 미치는 영향을 살펴보고자 하며 중국의 양자 무역이 실질실효환율의 움직임에 크게 영향을 받는다는 것으로 나타났다. 또한, 총무역흐름과 환율변동의 관계를 분석한 결과 실질환율의 하락이 중국의 수출량을 증가시키고 수입량을 소폭 감소시키는 것으로 나타났다. 또한 중국의 수출량은 환율수준에 비해 환율변동성에 대한 민감도가 높은 것으로 나타났으며, 나아가 세분화된 무역흐름에 대한 실증결과는 상품마다 환율변동에 따라 상이한 영향을 받고 있음을 시사하고 있다. 자본재와 소비재는 서로 다른 가공 단계에 있으므로 환율 하락으로 인해 수출입에 부정적인 영향을 미치지 않은 것으로 나타났다.

• The Journal of Asian Finance, Economics and Business
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• 제5권1호
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• pp.5-9
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• 2018

Many developing countries have attempted to depreciate their currencies in order to make their products cheaper, stimulate exports, shift aggregate demand to the right, and increase aggregate output. However, currency depreciation tends to increase import prices, raise domestic inflation, reduce capital inflows, and shift aggregate supply to the left. The net impact is unclear. The paper incorporates the monetary policy function in the model, which is determined by the inflation gap, the output gap, the real effective exchange rate, and the world real interest rate. Applying an extended IS-MP-AS model (Romer, 2000), the paper finds that real depreciation raised real GDP during 1997.Q1-2005.Q3 whereas real appreciation increased real GDP during 2005.Q4-2017.Q2. In addition, a higher government debt-to-GDP ratio, a lower U.S. real federal funds rate, a higher real stock price, a lower real oil price or a lower expected inflation rate would help increase real GDP. Hence, real depreciation or real appreciation may increase or reduce aggregate output, depending upon the level of economic development. Although expansionary fiscal policy is effective in stimulating the economy, caution needs to be exercised as there may be a debt threshold beyond which a further increase in the debt-to-GDO ratio would hurt economic growth.

• The Journal of Asian Finance, Economics and Business
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• 제8권5호
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• pp.43-52
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• 2021

This study is the first to scrutinize how real effective exchange rate, together with the vehicle currency exchange rate, asymmetrically influences the total trade balance between ASEAN (Association of Southeast Asian Nations) and the EU (European Union). This research employs quarterly data between 2000Q1 and 2018Q1, which is derived from several sources. We introduce a method for constructing the double-aggregated real effective exchange rate between ASEAN and the EU that captures the roles of all their currencies. Moreover, we propose the formula to compute vehicle currency exchange rate to assess the importance of vehicle currency in ASEAN-EU trade. Additionally, as asymmetrical impacts of exchange rate on trade balance are well documented by current studies, we employ Nonlinear Autoregressive Distributed Lag (NARDL) model of Shin et al. (2014) to analyze the impacts of currency depreciation as well as appreciation in detail. The findings confirm the prominence of USD as vehicle currency in ASEAN-EU trade. Both depreciation and appreciation of ASEAN's currencies against USD can foster ASEAN's trade balance in the long run. Short-run asymmetrical impacts as well as J-curve effect are found in the vehicle currency models only. The results are robust for the cases of EU-28 and EU-27.