Estimating the Effect of Exchange Rate Changes on Total Exports

估计汇率变动对总出口的影响

2019/05/03 20:46
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本文表明,实际有效汇率(REER)回归(估计总出口对汇率变化的反应的标准方法)意味着对潜在弹性的有偏估计。我们提供了一个新的总体回归规范,它与由引力方程建立的双边贸易流动微观一致。

This paper shows that real effective exchange rate (REER) regressions, the standard approach for estimating the response of aggregate exports to exchange rate changes, imply biased estimates of the underlying elasticities. We provide a new aggregate regression specification that is consistent with bilateral trade flows micro-founded by the gravity equation. This theory-consistent aggregation leads to unbiased estimates when prices are set in an international currency as postulated by the dominant currency paradigm. We use Monte-Carlo simulations to compare elasticity estimates based on this new “ideal-REER” regression against typical regression specifications found in the REER literature. The results show that the biases are small (around 1 percent) for the exchange rate and large (around 10 percent) for the demand elasticity. We find empirical support for this prediction from annual trade flow data. The difference between elasticities estimated on the bilateral and aggregate levels reduces significantly when applying an ideal-REER regression rather than a standard REER approach.

本文表明,实际有效汇率(REER)回归(估计总出口对汇率变化的反应的标准方法)意味着对潜在弹性的有偏估计。我们提供了一个新的总体回归规范,它与由引力方程建立的双边贸易流动微观一致。这一理论一致的聚合导致了无偏的估计,当价格是在一个国际货币作为假设的主导货币范式。我们使用蒙特卡罗模拟来比较基于这种新的“理想-回归”回归与典型回归规范的弹性估计。结果表明,汇率偏差较小(约1%),需求弹性偏差较大(约10%)。我们从年度贸易流量数据中找到了对这一预测的实证支持。当采用理想回归而不是标准回归方法时,双边和总水平上估计的弹性之间的差异显著减小。

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