Exchange‐rate volatility and US–Hong Kong industry trade: is there evidence of a ‘third country’ effect?

Bahmani‐Oskooee, Mohsen; Hegerty, Scott W.; Xu, Jia

doi:10.1080/00036846.2012.654918

Cited by 19 publications

(9 citation statements)

References 27 publications

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“…While since 1990, the USA imported the goods especially from and to Europe, in 2013 the PRC became the most important market (Zhang et al, 2017). Bahmani-Oskooee et al (2013) focused on the export from the USA to Hong Kong for 143 industrial sectors and import from Hong Kong to the USA for 110 industrial sectors and found differences in export and import between the individual sectors. Standard International Trade Classification (SITC 7) shows a low negative coefficient both for the export and import from the USA.…”

Section: Introductionmentioning

confidence: 99%

Considering seasonal fluctuations in equalizing time series by means of artificial neural networks for predicting development of USA and People´s Republic of China trade balance

Vrbka¹,

Šuleř²,

Machová³

et al. 2020

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Balance of payments is an accounting identity of each country. The ability to make a qualified and accurate prediction of trade balance of huge world economies such as the USA and the People´s Republic of China economies can have influence on the world´s economy. An enormous expansion and advancement of artificial intelligence offers a possibility to measure and predict also this indicator. The aim of the contribution is to propose a methodology for taking into account the seasonal fluctuations in equalizing time series by means of artificial neural networks on the example of the USA and People´s Republic of China trade balance. For the analysis, the trade balance data of the two countries from the period between 1985 and 2018 are used. Regression by means of neural structures is carried out in two alternatives, where the second calculation takes into account the monthly seasonality of the time series. The result indicates that the additional variable in the form of the month in which the value was measured enables more order and accuracy. The other experimental calculation indicates that especially the fourth and the fifth retained neural networks are able to capture the whole course of the trade balance. They are thus able to identify and maintain local fluctuations of the time series, that is, to maintain its seasonal course. An interesting fact is also that in the case of the first alternative, the most successful networks were only the radial basis function neural networks, while in the second alternative those were only the multilayer perceptron networks.

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Section: Introductionmentioning

confidence: 99%

Considering seasonal fluctuations in equalizing time series by means of artificial neural networks for predicting development of USA and People´s Republic of China trade balance

Vrbka¹,

Šuleř²,

Machová³

et al. 2020

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show abstract

“…Therefoer, the objective of the study is to explore the performance of the measures of association for nominal data. The list of selected correlation coefficients for the nominal scale includes phi correlation, tetrachoric correlation, biserial correlation, point biserial correlation and correlation coefficient V. These statistics are selected based on their extensive use in economics and social sciences [8][9][10][11][12][13][14][15].…”

Section: Introductionmentioning

confidence: 99%

Comparison of Correlation Measures for Nominal Data

Islam

Rizwan

2020

Preprint

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In social sciences, a plethora of studies utilize nominal data to establish the relationship between the variables. This, in turn, requires the correct use of correlation technique. The choice of correlation technique depends upon the underlying assumptions and power of the test of significance. The objective of the research is to explore the best measure of association for nominal data in terms of size, power and bias in estimation. Monte Carlo simulations reveal that the Phi and Pearson correlation statistics performs equally well in terms of size, power, and bias for naturally dichotomous variables. When both variables are artificially dichotomized, the Tetrachoric statistic has an edge in terms of bias to Pearson correlation statistic. If one variable is continuous and other is artificially dichotomized, the Biserial correlation measure turns out to be less biased as compared to Pearson statistic although both statistics exhibit similar power and size properties. If one variable is continuous and other is naturally dichotomized, it is hard to choose between the Point Biserial and Pearson correlation measures. Finally, if one variable is naturally dichotomous and other is artificially dichotomized, correlation coefficient V is compared with Pearson, Phi and Tetrachoric correlation techniques in terms of bias in estimate. The results indicate that the Tetrachoric statistic considerably overestimates the correlation value against non-normal distributions. Pearson and Phi correlation slightly underestimate the correlation value. In contrast, the correlation statistic V perform well.

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“…In the international trade of various countries, the Renminbi (RMB) and HKD are both regarded as important trading currencies. Several researchers have studied the relationship between the RMB and HKD (Bahmani-Oskooee, Hegerty, & Xu, 2013;Chan, 2002;Klau & Fung, 2006). For example, Chan (2002) discussed the substituted relationship between the RMB and HKD; Bahmani-Oskooee et al (2013) considered that the RMB real exchange rate volatility can impact the influence of the fluctuation of HKD real exchange rate to Hong Kong's import and export, and suggested that the real volatility of the RMB can offset the real volatility of the HKD.…”

Section: Introductionmentioning

confidence: 99%

“…Several researchers have studied the relationship between the RMB and HKD (Bahmani-Oskooee, Hegerty, & Xu, 2013;Chan, 2002;Klau & Fung, 2006). For example, Chan (2002) discussed the substituted relationship between the RMB and HKD; Bahmani-Oskooee et al (2013) considered that the RMB real exchange rate volatility can impact the influence of the fluctuation of HKD real exchange rate to Hong Kong's import and export, and suggested that the real volatility of the RMB can offset the real volatility of the HKD. Therefore, for the purpose of promoting the integration of GBA's exchange rate markets and improving its financial development, this paper focuses on the interrelationship between the exchange rates of RMB and HKD.…”

Section: Introductionmentioning

confidence: 99%

Do the Renminbi and Hong Kong dollar bubbles interact?

Cheng

et al. 2020

Int. J Fin Econ

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This paper applies the Generalized Supremum Augmented Dickey-Fuller (GSADF) approach to highlight the multiple exchange rate bubbles, and detect the interaction between Renminbi (RMB) and Hong Kong dollar (HKD) by logistic regression. The results illustrate that (I) there exists multiple bubbles in the RMB and HKD, and both shows the short-term period bubbles in the nominal exchange rates whereas performing the long-term period bubbles in the real exchange rates; (II) the exchange rate bubbles mainly existed during the financial crisis. The RMB bubbles occurred more in domestic financial crisis, while the HKD bubbles occurred in both domestic and international financial crisis; (III) there are interactions between bubbles in the RMB and HKD. Specifically, the bubbles in the nominal exchange rates of the RMB and HKD are reinforcing each other while the bubbles in the real exchange rates markets are mutually hedging; the nominal and real exchange rate market are mutually reinforcing regardless of the RMB or HKD. Furthermore, the strength of interactions between the RMB and HKD shows that the price of the HKD is more stable than that of the RMB.

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Exchange‐rate volatility and US–Hong Kong industry trade: is there evidence of a ‘third country’ effect?

Cited by 19 publications

References 27 publications

Considering seasonal fluctuations in equalizing time series by means of artificial neural networks for predicting development of USA and People´s Republic of China trade balance

Considering seasonal fluctuations in equalizing time series by means of artificial neural networks for predicting development of USA and People´s Republic of China trade balance

Comparison of Correlation Measures for Nominal Data

Do the Renminbi and Hong Kong dollar bubbles interact?

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