scholarly journals Industry-specific exchange rate volatility and intermediate goods trade in Asia

2016 ◽  
Vol 63 (1) ◽  
pp. 89-109
Author(s):  
Kiyotaka Sato ◽  
Junko Shimizu ◽  
Nagendra Shrestha ◽  
Shajuan Zhang
Keyword(s):  
Exchange Rate ◽  
Exchange Rate Volatility ◽  
Intermediate Goods ◽  
Intermediate Goods Trade

An Examination of Exchange Rate Pass-Through to U.S. Motor Vehicle Products and Auto-Parts Import Prices

2009 ◽  
Vol 9 (1) ◽  
pp. 1850156
Author(s):  
Kemal Turkcan ◽  
Aysegul Ates
Keyword(s):  
Exchange Rate ◽  
Motor Vehicle ◽  
Intermediate Goods ◽  
Import Prices ◽  
Intermediate Goods Trade ◽  
Auto Parts ◽  
Nonstationary Panel Data ◽  
Pass Through ◽  
Exchange Rate Pass Through ◽  
The U.S

A distinctive feature of present globalization is the development of international production sharing activities (i.e. production fragmentation). The recent developments in transportation and communication technologies led to a surge in intermediate goods trade. However, intermediate goods trade is often neglected in the empirical studies of the exchange rate pass-through (ERPT). Using import unit values of 79 motor vehicle products and 245 auto-part products, which are classified by the 10-digit level of Harmonized Tariff Schedule (HTS), this study examines the pass-through of exchange rate changes into the U.S. auto-industry import prices from 5 major trading partners for the period of 1998.01 to 2006.12. Nonstationary panel data estimation techniques and tests for cointegration are employed in this study. Secondly, this study aims to compare the ERPT for the motor vehicle products (final goods) to the ERPT for the auto-parts (intermediate goods) in the U.S. The results suggest that import prices do not respond proportionately to the exchange rates and the estimated pass-through elasticities for motor vehicle products are lower than that for auto-parts.

Exchange Rate Volatility in Emerging Markets:The Chilean Case

2007 ◽  
pp. 87-100
Author(s):  
Juan R. Castro
Keyword(s):  
Exchange Rate ◽  
Exchange Rate Regime ◽  
External Debt ◽  
Exchange Rate Volatility ◽  
Arch Model ◽  
Macroeconomic Shocks ◽  
Domestic Debt ◽  
Domestic Credit ◽  
The Face ◽  
The Exchange Rate

The document conducts an empirical investigation on the volatility of the Chilean exchange rate regime, using a model of Objective Zones. Through the use of the ARCH model, the document tests the volatility of the exchange rate in the presence of different levels of international reserves and other macroeconomic shocks. The results show that domestic credit, domestic debt and external debt have the greatest impact on the volatility of the variables studied, especially when compared with other fundamental variables. The variance of the exchange rate is heterosedastic but it is not persistent, which implies that the exchange rate is stable, probably when it oscillates between two bands. The volatility of the exchange rate fluctuates to a greater extent in the face of changes in internal and external debt, than with the other variables used.

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