Exchange Rate Volatility and Bilateral Trade Flows of China:Is There a Third Country Exchange Effect？
WANG Xue, HU Weiming, YANG Haisheng
School of Economics and Business Administration,Chongqing University; Postdoctoral Research Station,Chongging Rural Commercial Bank; Lingnan College,Sun Yat-Sen University
Abstract:
Through the modified model from Cushman(1986), based on multiple GARCH-BEKK model and seemingly unrelated regression(SUR) method, this paper analyzes the existence and characters of the third-country exchange effect in the China bilateral export flowing to US, Europe and Japan. Based on the bilateral export data, we find that the third-country exchange risk exists, in addition to bilateral exchange negative risk. And the exports from China to US(Europe or Japan) rise with the increasing of the third-country exchange volatility, and decrease with the RMB price of the third-country currency appreciating. We also find the consistent results for the third-country exchange rate effect for majority commodities in industry analysis. Accordingly, we get some implications for exchange rate regime reform during the process of RMB internationalization.
王雪, 胡未名, 杨海生. 汇率波动与我国双边出口贸易:存在第三国汇率效应吗？[J]. 金融研究, 2016, 433(7): 1-16.
WANG Xue, HU Weiming, YANG Haisheng. Exchange Rate Volatility and Bilateral Trade Flows of China:Is There a Third Country Exchange Effect？. Journal of Financial Research, 2016, 433(7): 1-16.
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