본 연구는 국제경제학, 산업조직론 등 경제학의 여러 분야에서 광범위한 관심을 끌어온 환율의 변화와 이에 따른 교역재의 가격변화, 즉 환율의 전이현상을 분석하였다. 세분화된 양모(wool)의 교역 데이터를 사용하여, 자국통화의 가치 상승과 하락에 따른 가격변화가 대칭적인지, 그리고 수출국과 수입국의 시장점유율이 미치는 영향이 있는지를 중점적으로 분석한 본 연구는 다음과 같은 결론을 제시한다. 우선 매우 동질적인 재화임에도 불구하고, 교역대상국과 재화의 종류에 따라 환율의 전이정도와 방향이 상당히 다르다. 그리고 정상적인 전이현상(normal pass-through)이 전체의 60%를 차지하고 있지만, 실증적으로 과도한 전이현상(excessive pass-through)이나 특이한 전이현상(perverse pass-through)이 약 40%에 다다른 것도 특기할 만하다. 과도하거나 특이한 전이현상은 교역당사자들의 전략적 행태의 결과로 이해되는데, 본 연구의 결과는 매우 세분화된 데이터를 사용할 때 이런 현상이 기존 연구보다 많이 발견됨을 보여준다. 또한 83개의 교역관계 중 39개의 경우에 환율의 가격전이가 통화가치의 상승과 하락에 따라 다르게 나타나 비대칭적 전이가 광범위한 현상이며, 시장점유율이 경우에 따라 전이의 정도를 결정짓는 중요한 변수가 될 수 있음을 시사하고 있다.
본 연구는 국제경제학, 산업조직론 등 경제학의 여러 분야에서 광범위한 관심을 끌어온 환율의 변화와 이에 따른 교역재의 가격변화, 즉 환율의 전이현상을 분석하였다. 세분화된 양모(wool)의 교역 데이터를 사용하여, 자국통화의 가치 상승과 하락에 따른 가격변화가 대칭적인지, 그리고 수출국과 수입국의 시장점유율이 미치는 영향이 있는지를 중점적으로 분석한 본 연구는 다음과 같은 결론을 제시한다. 우선 매우 동질적인 재화임에도 불구하고, 교역대상국과 재화의 종류에 따라 환율의 전이정도와 방향이 상당히 다르다. 그리고 정상적인 전이현상(normal pass-through)이 전체의 60%를 차지하고 있지만, 실증적으로 과도한 전이현상(excessive pass-through)이나 특이한 전이현상(perverse pass-through)이 약 40%에 다다른 것도 특기할 만하다. 과도하거나 특이한 전이현상은 교역당사자들의 전략적 행태의 결과로 이해되는데, 본 연구의 결과는 매우 세분화된 데이터를 사용할 때 이런 현상이 기존 연구보다 많이 발견됨을 보여준다. 또한 83개의 교역관계 중 39개의 경우에 환율의 가격전이가 통화가치의 상승과 하락에 따라 다르게 나타나 비대칭적 전이가 광범위한 현상이며, 시장점유율이 경우에 따라 전이의 정도를 결정짓는 중요한 변수가 될 수 있음을 시사하고 있다.
This study examines ERPT with asymmetric response and both import and export market shares, using wool trade data. The study found that, asymmetric response may be as common as symmetric response. In addition, the responses (both in price and quantity demanded) to the changes in exchange rate are co...
This study examines ERPT with asymmetric response and both import and export market shares, using wool trade data. The study found that, asymmetric response may be as common as symmetric response. In addition, the responses (both in price and quantity demanded) to the changes in exchange rate are considerably different across goods, and even for the homogenous goods, across countries. In case of depreciation, the export price changes more than appreciation case in general, and as a result the destination price changes less. It is also found that the cases of excessive or perverse pass-through are found more frequently than reported by previous studies. This finding points out that strategic behavior of firms or unexpected response to exchange rate fluctuation takes place more frequently than we commonly expect or take, in particular at disaggregated levels. When the model considers asymmetric responses of the export price to appreciation and depreciation (of exporter's currency), the estimation provided that for 39 trade cases out of 83, export price responded to appreciation and depreciation in different fashions, although the normal response was the dominating phenomenon with 99 cases or about 60% out of 166 cases. Market shares affected the extent and direction of responses in select cases. These findings will have important implications for policy makers and traders.
This study examines ERPT with asymmetric response and both import and export market shares, using wool trade data. The study found that, asymmetric response may be as common as symmetric response. In addition, the responses (both in price and quantity demanded) to the changes in exchange rate are considerably different across goods, and even for the homogenous goods, across countries. In case of depreciation, the export price changes more than appreciation case in general, and as a result the destination price changes less. It is also found that the cases of excessive or perverse pass-through are found more frequently than reported by previous studies. This finding points out that strategic behavior of firms or unexpected response to exchange rate fluctuation takes place more frequently than we commonly expect or take, in particular at disaggregated levels. When the model considers asymmetric responses of the export price to appreciation and depreciation (of exporter's currency), the estimation provided that for 39 trade cases out of 83, export price responded to appreciation and depreciation in different fashions, although the normal response was the dominating phenomenon with 99 cases or about 60% out of 166 cases. Market shares affected the extent and direction of responses in select cases. These findings will have important implications for policy makers and traders.
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문제 정의
First, it is very important to understand the mechanism of the impact of exchange rate fluctuation to prices, which is related to various fields of economics such as international trade, international finance and industrial organization. Second, in a more macroeconomics aspect, this study is critical in understanding the effect of exchange rate changes on changes in trade account. While it is commonly believed that depreciation of currency will improve trade account, this is not always true and depends on constellation of parameters and variables, such as the changes in prices due to exchange rate changes and the elasticity of demand.
The lack of precision seems to be a function of volatile quantity data. This needs further investigation.
While prior research has investigated the extent to which exporters’ market power in the world market, no previous study has analyzed the changes in destination prices within the rigorous PTM (pricing-to-market) framework, which emphasizes the joint roles of market structure and exchange rates in international pricing. This research aims to reveal how monopolistic exporters react differently (or similarly) to fluctuations in exchange rates against each of its major trading partners. This study also takes into account the impact of the importer’s market power (i.
This research aims to reveal how monopolistic exporters react differently (or similarly) to fluctuations in exchange rates against each of its major trading partners. This study also takes into account the impact of the importer’s market power (i.e., how large a portion of the exporter’s total exports the importer takes), as well as the exporter’s market share (i.e., how large a portion of the importer’s market the exporter takes), as the importer’s market power may affect exporters’ response to exchange rate fluctuation.
This study explores topics related to exchange rate pass-through (ERPT). More specifically, it analyzes the topics being received the widest attention in the discipline: the relationship between the degree of ERPT and market share when the asymmetric response of price to exchange rate fluctuation is considered.
This study investigates the possibility of asymmetric responses further. In other words, it will empirically test the existence of the asymmetry for each type of wool for each trade case, and discuss the implication.
However, regarding the impacts, irresponsible and inaccurate scenarios and forecasts are prevailing. This study shows that more microeconomic foundation is needed to discuss the impact of exchange rate fluctuation to changes in price, quantity exported, and current account.
These three cases are in the extreme southeast area of the scatter diagram. While it is not clear why Australia’s ERPT to Turkey shows such an irregularity, it should be reminded that Turkey has experienced extremely insecure monetary system and exchange rate markets during the period investigated in this study. It is frequently observed that ERPT is irregular when exchange rate changes too dramatically in a short period.
가설 설정
(i) When the exporter’s market share is larger, the larger the appreciation ERPT tends to be.
(ii) When the importer’s market share for exports is larger, the smaller the appreciation ERPT tends to be.
5. Does Lagged Exchange Rate Matter?
제안 방법
Although the analysis of the dynamic effects of exchange rates change is useful, the data used in this study have only 24 observations, which are far too few to be used to draw out any useful and reliable results. As it is found from previous studies using impulse response that, when quarterly data is used, the exchange rate shock does not last longer than three to four quarters, this study attempts to find the lagged effects using a simple regression method where the equation to be estimated included exchange rate up to two lags. Unfortunately, the results did not present any interesting or meaningful findings, and consequently are not reported in this paper.
While this study pursues the effect of market shares or power on ERPT, it has at least two distinctively different characteristics from previous studies. First, this study investigates the impact of the importer’s power, as well as the exporter’s power to the ERPT. It is expected that the buyer with a larger market share may practise its power in negotiating prices, as witnessed by the case of monopsony, which is an extreme case of concentration of purchasing power.
Altogether, 83 trade relationships are investigated using 24 quarterly observations that cover the period of 1995 to 2001. The major contributions of this study include the analysis of ERPT considering both symmetry and asymmetry response cases, comparison of ERPT across different major destinations, and investigation of the effect of importer’s and exporter’s market shares. Major implications from this study can be briefly summarized in what follows.
This study examines ERPT with asymmetric response and both import and export market shares, using wool trade data. Altogether, 83 trade relationships are investigated using 24 quarterly observations that cover the period of 1995 to 2001.
Recent studies, including this study, revealed that asymmetric responses are observed very frequently, which implies that the use of the results based on the assumption of symmetric responses may provide incorrect information. This study examines this important but under-researched issue, by integrating the significance of market power into an asymmetry model.
이론/모형
This study uses Australian wool trade data for empirical analyses. There are at least four reasons to use the data for this study.
성능/효과
Although the analysis of the dynamic effects of exchange rates change is useful, the data used in this study have only 24 observations, which are far too few to be used to draw out any useful and reliable results. As it is found from previous studies using impulse response that, when quarterly data is used, the exchange rate shock does not last longer than three to four quarters, this study attempts to find the lagged effects using a simple regression method where the equation to be estimated included exchange rate up to two lags.
First, it should be taken into account that the responses (both in price and quantity demanded) to the changes in exchange rate are considerably different across goods, and even for the homogenous good, across countries. For instance, symmetric responses are found from 44 cases and asymmetric cases are found from 39 cases, out of 83 total cases.
While it is controversial how tariffs or non-tariff barriers affect ERPT, this characteristic of wool can exclude disturbance coming from trade barriers. Fourth, Australia is a major producer of wool, and its market share (and importers’ share) varies across destinations. This is helpful in investigating the relationship between ERPT and market shares in particular with homogenous goods.
Fourth, asymmetry approach with market shares shows that while the exporter’s market share affects the export ERPT for RAW 2 when exporter’s currency appreciates and depreciates, the importer’s market share affects the export ERPT for RAW 2 only when the dollar appreciates. Their influences were not found significant for Scoured wool.
In this study, while ERPT for appreciation is larger than ERPT for depreciation for seven cases only, for all of these seven cases, the elasticities are extremely irregular. Figure 1 illustrates the relationship between the two types of ERPT elasticity (for appreciation and depreciation) for each trade cases with symmetric responses are on the 45 degree line.
While it is expected that there are some relations between this irregularity of ERPT and exports of certain kinds of wool, this is beyond the scope of this study. Third, for most of these eight cases, the import market shares are very low. In contrast, exporter’s market shares are either medium or large.
후속연구
Before the results are discussed, it will be helpful to investigate the structural relationship between the magnitude of the elasticity of export ERPT and that of import ERPT, as many previous research concentrates on import ERPT. In this study, due to the availability of data, the export price is used.
In this regard, it is dangerous to discuss the impacts of appreciation or depreciation without deep understanding of ERPT. Third, the analysis will contribute to understanding pricing strategies of the exporter with limited monopolistic power. Fourth, this study has substantial importance to the Korean economy.
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