Invoice currency choice, nonlinearities and exchange rate pass-through
Invoice currency choice, nonlinearities and exchange rate pass-through
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DOI：
10.1080/00036846.2019.1650884
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发表时间：
2020-02
影响因子：
2.2
通讯作者：
T. Nguyen;Kiyotaka Sato
中科院分区：
文献类型：
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作者：
T. Nguyen;Kiyotaka Sato
摘要通过估计出口国预测汇率的时变阈值，本研究提出了一种新的方法来分析日元升值和贬值期间日本出口商品的汇率传递(ERPT)或定价到市场(PTM)可能的不对称行为。在构建基于合约(发票)货币的特定行业名义有效汇率的基础上，我们进行了多元门限近向量自回归(NEAR-MTVAR)估计，发现在日元升值和贬值期间的短期内，ERPT具有很强的对称性。然而，从本世纪头十年开始，日本机械出口商甚至在长期内都提高了PTM程度，而其他行业则提高了长期ERPT程度，反映了不同行业产品差异化的差异。这一证据对近期日本贸易差额对日元大幅贬值反应迟钝有着重大影响。
ABSTRACT Estimating time-varying thresholds as a proxy for exporter’s predicted exchange rates, this study proposes a new approach to analyse possible asymmetric behaviour of exchange rate pass-through (ERPT) or pricing-to-market (PTM) in Japanese exports between yen appreciation and depreciation periods. Constructing the industry-specific nominal effective exchange rate on a contract (invoice) currency basis, we perform the multivariate threshold near-vector autoregressive (near-MTVAR) estimation and reveal a strong tendency of symmetric ERPT in the short-run, between yen appreciation and depreciation periods. From the 2000s, however, Japanese machinery exporters increased the degree of PTM even in the long-run, while other industries raised the degree of long-run ERPT, reflecting the difference of product differentiation across industries. This evidence has significant implications for the recent unresponsiveness of the Japanese trade balance to the large depreciation of the yen.