صورتحساب ارز و محکم کردن سبد بهینه برای شرق آسیا : تجزیه و تحلیل با استفاده از یک مدل اقتصاد کلان اقتصاد باز جدید

An important characteristic of trade in Asia is that the US dollar is the dominant invoicing currency. This fact might have a consequence on the region's choice of the currency regime. To investigate this possibility, I develop a three country “new open economy macroeconomics” model that consists of East Asia, Japan, and the US. Assuming that East Asia pegs its currency to a basket of the other two's currencies, the optimal basket weights are derived numerically. It is shown that the weights under a realistic invoicing pattern are drastically different from those in the textbook case of “producer currency pricing.” J. Japanese Int. Economies20 (4) (2006) 569–589.

In recent years, some economists have proposed that East Asian countries should adopt basket peg regimes with more weights attached to currencies other than US dollars (see Williamson, 1996, for example). Behind this argument is the empirical finding that those countries have been adopting de facto dollar pegs (see Fukuda and Cong, 2001, for example) and, at the same time, they are trading heavily with countries other than the US, such as Japan. For example, according to Fukuda and Cong (2001), in 1999, the US share in Thailand's trade was 32.12 percent, while that of Japan was 34.54 percent. Based on this kind of facts, it is argued that, through stabilizing their currencies to a basket of currencies weighted by trade shares, East Asian countries could hope to stabilize their trade balances against changes in macroeconomic policies of their trade partners. Ito et al. (1998) provide extensive theoretical and empirical studies on this matter.1 Trade shares, however, may not be the only important factor that determines the optimal weights, even if the sole objective of adopting basket pegs is to stabilize trade balance. It is worth noting that, although Japan takes up a sizable share in East Asia's trade volumes, when it comes to the currencies used for transaction, the US dollar still dominates the Japanese yen, even in trade between East Asia and Japan. It seems likely that this fact would change the way we calculate the true optimal basket weights between the US dollar and the Japanese yen for East Asia. Thus, we need a framework that enables us to compute the optimal basket weights, taking into account explicitly the fact that the US dollar is the dominant currency used for invoicing in international trade. In this paper, optimality of an exchange rate regime is defined mainly in terms of trade balance stabilization. But the paper also takes into consideration the possibility that trade balance stabilization may not be the only concern for the central banks.2 Some of them may be more concerned with dampening short run fluctuations in GDP. Others may genuinely be concerned with welfare of the people. This paper will also study how East Asia's GDP and welfare respond to foreign shocks under different exchange rate regimes and discuss a better choice of exchange rate regime from those viewpoints. This paper achieves this objective by building a new open economy macroeconomic model3 in which invoicing currencies play important roles. The model consists of three countries, East Asia, Japan and the US. Each of the three countries produces three types of goods: one type of nontradable goods and two types of tradable goods. One type of the tradable goods is characterized by a high elasticity of substitution between different brands within the same type (and thus a more fierce price competition), and the other is characterized by a low elasticity. Compared to the three-country model of Corsetti et al. (2000), in which the three countries are assumed to produce different types of goods, this model can incorporate much more realistic features of international trade. This model is used to investigate the role of invoicing currency in the determination of the optimal basket weights. This is done by comparing four alternative cases that correspond to different assumptions about currencies in which prices of traded goods are quoted. The first is the case of producer currency pricing, meaning that prices are preset in the short run in the units of the producer country's currency. This is the most typical assumption used in the theoretical literature (see, for example, Obstfeld and Rogoff, 1995). This assumption, however, may not be particularly realistic. In the actual trade, the US dollar is often used in both exports from and imports into the US. In that sense, there is asymmetry in currency invoicing. More importantly, the US dollar is often used in trade that does not involve the US, such as trade between Japan and other Asian countries. If menu cost is the main source of nominal rigidity, as is often thought to be, then nominal rigidity is likely to occur to prices in the units of currencies actually used for invoicing. To consider this realistic case explicitly, the paper studies the case of invoicing currency pricing. 4 In this case, prices of traded goods are preset in the short run in the units of currencies actually used for invoicing. In the numerical analysis, those invoicing patterns are taken directly from data. By comparing this case with the producer currency pricing case, the role of invoicing currency in the determination of optimal basket weights will be clarified. In addition to those two cases, I shall also consider the case of US currency pricing in which all the prices in all the international transactions are preset in the units of the US currency (i.e., the dollars), irrespective of the actual invoicing patterns. According to the Ministry of Finance of Japan (various years), in the first half of the year 2005, the US dollar's share as an invoicing currency for exports from Japan to the rest of Asia was 46.6%, while that of the Japanese yen was 51.6%. As for imports of Japan from the rest of Asia, the US dollar's share was 70.4% while that of the Japanese yen was 28.2%. Hence, although the US dollar is on average more important than the Japanese yen even in this Japan–Asia trade, the share of the Japanese yen is not exactly negligible. It thus seems worth studying the difference between the case of the pure US currency pricing and the case in which the actual invoicing patterns are used. Finally, I shall also briefly consider the case of local currency pricing in which prices of traded goods are rigid in the short run in the units of the currency of the buyer (as in Devereux and Engel, 1998 and Betts and Devereux, 2000). The rest of the paper is organized as follows. Section 2 provides an overview of the related literature. Section 3 describes the basic theoretical framework. Section 4 presents the model. Section 5 presents the results of numerical simulations. Section 6 concludes.

This paper has utilized a new open economy macroeconomic model to analyze the impact of different pricing regimes on the effects of the yen–dollar exchange rate fluctuations on Asian current account (as well as GDP and welfare), with a special emphasis on the case of invoicing currency pricing. The model is rich enough to incorporate various features of industrial (as well as trade) structure in East Asia, Japan, and the US. It has been shown that, if invoicing currency pricing holds, East Asia has to assign a much larger weight to the Japanese yen in its currency basket, compared to the case of producer currency pricing which is assumed in the basic new open economy macroeconomics model of Obstfeld and Rogoff (1995). In this paper, all the goods were supposed to be consumer goods. However, in today's trade in East Asia, trades in intermediate goods play an important role. It is often observed that multinational firms establish international networks of production, where different stages of production are conducted in different countries, and intermediate goods are shipped from one country to another in this region. To capture such a relationship explicitly, it would be necessary to build a new kind of open economy macroeconomic model in which trade occurs in both final and intermediate goods. In future work, I intend to explore the possibility of incorporating intermediate goods and foreign direct investment into this kind of analytical framework. Another important future task would be to consider the role of China, whose presence has been gaining importance in recent years. It would be interesting to incorporate China into this paper's framework and to model strategic interaction between China and the rest of East Asia (such as ASEAN and NIEs economies) in choosing currency regimes. Shioji (2006) is a first step toward such an effort. Finally, it would be very important to extend this model to a “full-fledged” dynamic model in which firms adjust prices slowly over time and capital accumulation is taken into account. Such a model would allow us to evaluate its “fit” by comparing the second moments of the variables predicted by the model with data. Development of such a model will be an important step toward more precise quantitative evaluation of policy effects.