The Impact of China Exchange Rate Policy on its Trading Partners: Evidence Based on the GVAR Model

Abbas, Shah; Nguyen, Van Chien; Yanfu, Zhu; Nguyen, H. T.

doi:10.13106/jafeb.2020.vol7.no8.131

Cited by 16 publications

(12 citation statements)

References 24 publications

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“…Studies show that the exchange rate plays an essential role in a country's trade performance. Exchange rate fluctuations have an essential impact on international trade, the balance of payments, and overall macroeconomic performance (Abbas et al, 2020). The exchange rate is the price of one currency in another currency (Mishkin, 2009).…”

Section: Exchange Rates and Reservesmentioning

confidence: 99%

The Determinants of Foreign Exchange Reserves: Evidence from Indonesia

Andriyani¹,

Marwa²,

Adnan³

et al. 2020

JAFEB

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This study aims to identify and analyze the factors that affect foreign exchange reserves in Indonesia. We consider the variables of external debt, exchange rate, inflation, and exports as explanatory factors referring to previous studies. We apply the Autoregressive Distributed Lag approach to time-series data retrieved from the Central Bank of Indonesia (BI), the Central Bureau of Statistics (BPS), and International Monetary Funds (IMF) from January 2016 to December 2018. Our results show that foreign debt, exchange rates, inflation, and exports significantly affect the simultaneous fluctuation of foreign exchange reserves in Indonesia. Partially, foreign debt has a significant and positive effect on foreign exchange reserves. The exchange rate has a significant and negative effect on foreign exchange reserves in Indonesia. However, our findings explain that inflation does not significantly affect foreign exchange reserves in Indonesia, and exports have a significant and positive effect on foreign exchange reserves. This study is expected to be useful to policymakers in managing foreign exchange reserves, so the economy of Indonesia can grow sustainably. One of the exciting things in this study lies in the model that uses the Autoregressive Distributed Log, which can explain long-term relationships through adjusted coefficient and cointegration tests.

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Section: Exchange Rates and Reservesmentioning

confidence: 99%

The Determinants of Foreign Exchange Reserves: Evidence from Indonesia

Andriyani¹,

Marwa²,

Adnan³

et al. 2020

JAFEB

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show abstract

“…The global vector autoregressive (GVAR) model is employed in this paper. The GVAR model has been widely applied in macroeconomics, including (see Chudik and Pesaran [ 13 ] for comprehensive surveys) studying the factors and shocks affecting global inflation [ 24 ], global imbalance [ 25 , 26 , 27 , 28 ], effects of fiscal and monetary policy [ 29 , 30 , 31 , 32 , 33 , 34 , 35 ], credit supply shock [ 36 , 37 , 38 ], spill-overs in the labor market [ 39 ], financial market [ 40 ], energy market [ 41 ], trade [ 42 ], and different sectors [ 43 , 44 , 45 ], etc. So far, the GVAR model has been applied to agricultural markets in a few empirical studies, including analyzing linkages among food commodity prices, energy prices, and financial sectors in the major wheat export countries by Gutierrez et al [ 46 ], studying short-run food price shock propagation in Sub-Saharan Africa (SSA) by Pierre and Kaminski [ 47 ], and analyzing spatial price transmission of the global butter export market under different market shocks such as exchange rate fluctuation, shocks to fertilizer prices, palm oil price, and crude oil price by Xue et al [ 48 ].…”

Section: Methods and Datamentioning

confidence: 99%

Market Integration and Price Dynamics under Market Shocks in European Union Internal and External Cheese Export Markets

Xue

Wang

2022

Foods

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The dairy sector in the European Union (EU) has experienced policy changes and market shocks recently. Using the global vector autoregressive (GVAR) model, this paper explores regional market integration, the feedback between market shocks and price dynamics, and the link between EU’s cheese export markets and energy market. This paper assesses and compares which influencing factors are typically associated with intra-EU and extra-EU cheese export price movement with regards to shocks to crude oil price, farm-gate raw milk price, and consumer price index (CPI) for food and cheese production of six representative EU member states, respectively. Using generalized impulse response functions, this paper finds that EU’s internal cheese export market is not well integrated, while EU’s external market is well integrated, with France as an exception. It also finds that the external cheese export market is vulnerable to shocks from the energy market compared to the internal market. Raw milk prices from the upstream supply chain have strong spill-over effects on EU’s internal cheese export market, yet their impact on extra-EU cheese export prices is relatively less significant. The movement patterns of extra-EU cheese export prices of Ireland and the UK show similar patterns in the long run. It is concluded that the dynamics of cheese export prices in the internal and external markets of the EU are different under market shocks.

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“…Again, differences in economic strength, economic size (GDP), government factor, political size, financial depth, etc. in these countries could have accounted for the difference in adjustment speed [19][20][21][22][23][24][25][26][27][28][29][30].…”

Section: Pmg or Mg Panel Analysismentioning

confidence: 99%

Exchange Rate Regimes, Import Prices and Foreign Reserve Holdings in Africa

Umoru

Obomeghie

Eshemogie

2022

AJEBA

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In this study, we examined dynamic interaction between exchange rate regimes, import prices and foreign reserve holdings in developing countries. Monthly data for the study were obtained on five African countries from 1980M1 to 2020M12. Recognizing that our sample of nations may not be homogenous due to unobserved characteristics of the individual countries such as, economic size, or differences in financial strength, we modelled reserve holding following P-ARDL specifications of Pesaran, Shin & Smith (1995) which recognizes the MG and PMG modeling in error correction configurations. The Hausman test reveals that MG was more efficient compared to PMG. To check robustness of our MG estimates, we had an alternative GMM specification. The GMM estimation was also necessitated to overcome simultaneity biases and endogeneity problems that characterized OLS estimation of our P-ARDL model. Findings showed that exchange rate regime is a significant positive contributor to the volume of reserve holdings while import prices negatively influences reserve holdings. Relatively, study reveals negative contributions of cost of holding reserves, and inflation towards declining reserve holding in selected countries of Africa is highly significant in both SR and LR. Nevertheless, significant heterogeneity exists amongst countries as regards speed of adjustment following disturbances in SR reserve holding to LR convergence. Nigeria had the fastest speed of 61% compared to Angola, Kenya, South Africa, and Egypt with 49%, 20%, 50%, and 19% respectively. Differences in economic strength, economic size (GDP), government factor, political size, financial depth, etc. of countries could have accounted for the difference in adjustment speed. Our MG estimates were found robust to a GMM specification. The study concludes that there is a dynamics interaction between exchange rate regime, import prices and foreign exchange reserves holding. We so recommended that African countries should strategically implement policies to reduce their inflation rates, dependence on import, effectively manage exchange rate regime so that they can achieve higher volume of external reserve holdings that will lead to a reduction in their import prices.

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The Impact of China Exchange Rate Policy on its Trading Partners: Evidence Based on the GVAR Model

Cited by 16 publications

References 24 publications

The Determinants of Foreign Exchange Reserves: Evidence from Indonesia

The Determinants of Foreign Exchange Reserves: Evidence from Indonesia

Market Integration and Price Dynamics under Market Shocks in European Union Internal and External Cheese Export Markets

Exchange Rate Regimes, Import Prices and Foreign Reserve Holdings in Africa

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