96. Nguyen Cam Nhung Khoa KT&KDQT 2014 tài liệu, giáo án, bài giảng , luận văn, luận án, đồ án, bài tập lớn về tất cả cá...
56 iiRII Tr )f .*it~~~ Y 5i J"j;: lJl~i&fij£ I: sIt Q 1U4~~1¥1'$ Jt fii *t i:P~Il:slt ~ji 15 Qi&17~~jU~:IGblb'JJlO)m~ 41 ~ti~O)~m~~~~~.Qi:P~*O)~a~ ~~ 65 iI&~M~I:h.Q i:P~O)~~lb'JJl~:¥O)!/'ij~ -8*~~~Jl~:¥0)!/'ij~#b~~- liEEliEA - - - - 83 ;f / ?Cl-r\)v1tJUjjf~O)m~t~~O)~m Nguyen Cam Nhung 101 Is Exchange Rate Pass-Through Declining?: Evidence from Japanese Exports to the United States and Asia JtEEllffAj'j _ y~~y~~/t~l0)77/A~~~~~IGbm~0)~~t~~* i!1!i~1!i1%'931ti1~'7-I:J; Q~~O):J -=t:T -( 7- -( 'ftllfiO)JUlb'J -j;:llJjiljtg~~tT5i ~}vj];I 117 139 7~~to).H:~ R iR J*ljiM.:r Cl-~-' (llR) '7-v/ 161 (=If) rmmimllttjflJ*J Is Exchange Rate Pass-Through Declining?: Evidence from Japanese Exports to the United States and Asial) Nguyen Cam Nhung Abstract Unlike the previous studies, this paper reexamines the degree of exchange rate pass-through (henceforth ERPT) in-1apanesecexports=totheUnited~States and Asian countries by using the destination breakdown data of 300 export commodities at the HS 9-digit level By conducting the fixed effect panel estimation, we have found that ERPT has increased in Japanese exports to all destinations, even to the United States, at the HS 4-digit commodity level, which contrasts markedly with the Taylor's (2000) conjecture that ERPT declined in the low inflation environment Key words: exchange rate pass-through; pricing-to-market; Japanese exports; East Asia JEL Classification: F3, F4 INTRODUCTION Exchange rate pass-through (henceforth ERPT) has gained renewed attention in recent years in both theoretical and empirical literature Taylor (2000) conjectured that the extent of ERPT declined in the low inflation environment Recent studies, such as Campa and Goldberg (2005) and Otani, Shiratsuka and Shirota (2005), have examined the degree of ERPT in import prices using either the data on a number of source countries or the industry/commodity breakdown data In contrast to the previous studies, this paper employs the data on Japanese exports by commodity and by destination country to make more rigorous empirical investigation about whether the degree of ERPT has declined in the case of Japanese exports The highly disaggregated commodity data by destination is often used in the literature such as Knetter (1989), Takagi and Yoshida (2001), Sato (2003), Parsons and Sato (2008) and Yoshida (2009) However, except for Yoshida (2009), the above studies tend to choose only a small number of commodities at the HS 9-digit level as a "representative" of respective industries.2) The empirical results obtained by the above empirical approach are hard to be generalized in discussing the ERPT in a broader perspective To overcome the weakness of the previous studies, this paper employs a panel estimation as developed by Yoshida I) I would like to thank Kiyotaka Sato, Craig Parsons and Eiichi Tomiura for their helpful comments.An earlier version of this paper was presented at the 12th International Convention of the East Asian Economic Association in Seoul, Korea, 2-3 October 2010 2) For example, Takagi and Yoshida(2001) analyzed only II commodities for estimating pass-through coefficientsfor Japanese exports to East Asia Sato (2003) collected 13 commodities, Parsons and Sato (2008) selected 27 commodities T I 102 (398) (2009) by pooling all 300 export commodities at the HS 9-digit level into fifty-four HS 4-digit classifications We obtain pass-through coefficients at the HS 4-digit level, which better reflects the similarity of ERPT in Japanese exports at a broader commodity category While Japanese exporting firms have built a regional production network in East Asia and the share of intra-firm trade has been growing in the region (Ito, et aI., 2010), the high ERPT is generally observed in Japanese exports to East Asia In order to reexamine the degree of exchange rate pass-through in Japanese exports to the United States and Asian countries, nine destination countries are chosen including the United States, China, Korea, Indonesia, Malaysia, the Philippines, Singapore, Thailand, and Vietnam Since several East Asian countries were hit by the currency crisis ill 1997-1998 and the global economy has experienced a significant fall in trade transactions and economic growth on a global scale in recent years, we exclude the crisis period from our analysis Thus, the whole sample (from January 1988 to December 2008) is divided into two sub-samples for empirically analyzing the degree of pass-through for the pre-crisis period (January 1988 to December 1996) and the post-crisis period (from January 2000 to December 2008) Comparing findings between two sub-samples, we can explore whether the Japanese exporters' pass-through behavior in regional trade has changed in response to the dynamic development and integration in East Asian countries Our findings of the rising ERPT have.important.implications.for the price setting behavior of exporting firms in the growing production network The paper is organized as follows Section presents the empirical model Section describes the data Section discusses the estimated results Finally, Section concludes THE EMPIRICAL MODEL We employ the standard regression equation used in the literature such as Knetter (1989) and Yoshida (2009) to estimate the extent of exchange rate pass-through by using a panel data (I) where Ii denotes the first-difference operator; i = I, , N,j = I, , M and t = I, , T, respectively, indicate the commodity of exports, importing countries and time; p is the export price; a is a commodity fixed effect; S is the bilateral nominal exchange rate of the exporter's currency vis-a-vis the importers' currency; PPI is the producer price index of exporting country (a proxy for the exporter's marginal cost); IPI is the industrial production index of importing country (a proxy for the destination market demand conditions); and E: is an error term Before using equation (I) to estimate the degree of exchange rate pass-through, we checked the stationary of dependent and independent variables, and found that most of variables are non-stationary in level but stationary in first differences.l) Thus, we finally use the first-differenced form ofthe ERPT equation, that is, equation (I), which has been widely employed in previous studies for analyzing the pass-through, for instance, Yoshida (2009) and Parsons and Sato (2008) However, our pass-through coefficients are different from theirs While they estimate the pass-through coefficient for a single commodity at the HS 9-digit level, we evaluate the common slope pass-through coefficients gained from pooling all commodities at the HS 9-digit level for each of HS 4-digit classifications which gives us more accurate information on the exporters' behavior at an industry level fJ is a pass-through coefficient at the HS 4-digit level, and can be interpreted as follows If the null hypothesis of fJ = cannot be rejected, this may imply that full pass- 3) We performed the augmented Dickey-Fuller(ADF) test for stationarity of variables EViews is used for the ADF test Is Exchange Rate Pass-Through Declining? (Nguyen Cam Nhung) Table I (399) The Ratio of Currency Invoicing (the 2"d half of 2008) Japanese exports to World US 103 (Unit: %) Currency US dollar Yen Euro GBP AUD Others Share 49.8 39.5 6.7 1.3 0.7 2.0 Currency US dollar Yen Euro GBP CAD Others Share 86.8 13.0 0.1 0.0 0.0 0.1 EU Currency Euro Yen US dollar GBP SEK Other Share 51.1 28.0 16.1 4.5 0.2 0.1 Asia Currency US dollar Yen THB TWO KRW Other Share 50.7 47.5 0.5 0.4 0.2 0.7 Source: http://www.customs.go.jp,Ministry of Finance, Japan Table The-Priors,for-=Tests_forcEstimating-Pass-throughCoefficients SY/EA SYIUSD P=l No poT (PTM in EA) NoP-T (PTMin USD) O