报告题目：Analyzing exchange rate uncertainty and bilateral export growth in China: A multivariate GARCH-based approach
报告人：Aaron D Smallwood

报告时间：2019年1月8日14:30-16:30

地点：将军路校区经管楼706室

报告摘要：Dramatic changes to exchange rate policy for the world’s largest exporter have arguably ushered in the optimal environment for studying the effects of exchange rate uncertainty on trade. This study builds on the recent literature by using an extremely general model that measures uncertainty using the flexible multivariate GARCH model pioneered by Engle (2002) to analyze the impact exchange rate uncertainty has on bilateral export growth for China’s ten largest export markets. Importantly, all model parameters are estimated simultaneously and lagged effects of uncertainty are included for a full year, where significant effects are found. The more general methods potentially overcome issues associated with inefficient two-step methods and the assumption that volatility impacts are close to instantaneous. Using a comprehensive sample that spans 1994-2017, and using both the real and nominal exchange rate, the paper presents compelling evidence that exchange rate uncertainty has a robust negative impact on export growth for almost every country in the sample, and especially for Germany, Hong Kong, India, Korea, and the Netherlands. Surprisingly, there is virtually no evidence that export growth to the United States is affected by currency volatility, suggesting a potentially complex reality in the mechanisms via which uncertainty can impact trade.

智能决策与风险分析研究所