نوسانات نرخ مبادله و عملکرد صادرات: آیا اقتصاد بازار نو پا شبیه کشورهای صنعتی کلان یا دیگر کشورهای در حال توسعه می باشد؟

Authors who do not distinguish between Emerging Market Economies (EMEs) and other developing countries, find evidence of negative and significant effects of exchange-rate volatility on trade. We investigate the effects of real exchange-rate volatility on exports of ten EMEs and eleven other developing countries that were not classified as EMEs over our estimation period. We use panel-data sets that cover the periods 1980:Q1–2006:Q4 for the EMEs and 1980:Q1–2005:Q4 for the other developing countries. We use two estimation methods — generalized method of moments (GMM) estimation and time-varying-coefficient (TVC) estimation. The TVC procedure removes specification biases from the coefficients, revealing the underlying stable parameters of interest. We obtain similar results as previous authors for only the eleven non-EME developing countries we consider. In contrast, our results for the EMEs do not show a negative and significant effect of exchange-rate volatility on the exports of the countries considered. Our findings suggest that the open capital markets of EMEs may have reduced the effects of exchange-rate fluctuations on exports compared with those effects in the cases of other developing countries.

Since the breakdown of the Bretton-Woods system of pegged-but-adjustable exchange rates in 1973, a considerable empirical literature has sprung-up investigating whether exchange-rate volatility decreases trade. The motivation for research into this issue is the hypothesis that exchange-rate volatility introduces an element of uncertainty into conducting business across borders and this uncertainty decreases trade, thereby decreasing economic welfare.2 Until the late 1990s, the empirical literature concentrated mainly on industrial countries; reflecting a lack of time-series data pertaining to them, particularly high-frequency data, developing countries received much less attention than their industrial-country counterparts. By-and-large, a general conclusion that emerges from the empirical literature dealing with industrial countries' trade is that the relationship between exchange-rate volatility and trade is ambiguous, with many studies finding no significant effect or, where the effect is significant, it is neither predominantly positive nor negative.3 With the increasing availability of data, particular at higher (e.g., quarterly) frequencies, for developing countries, a number of recent studies have examined the effects of short-term volatility of exchange rates on the exports (or trade) of various groups of developing countries.4 Table 1 summarizes the results of studies, published between 1999 and 2008, that focus exclusively on the relationship between exchange-rate volatility and trade of developing countries. The overall thrust of these results is that exchange-rate volatility had a negative and significant effect on the exports of the countries considered, regardless of the sample period, data frequency, model specification, country coverage, and estimation method. Of the 14 studies listed in Table 1, authors of 13 studies found some negative and significant effect of exchange-rate volatility on trade.Authors who study the effects of exchange-rate volatility on exports of groups of developing countries often include emerging market economies (EMEs) in their sample of developing countries. Yet, there are reasons to believe that the effects of exchange-rate volatility on exports of EMEs may differ from the effects of such volatility on exports of other developing countries. Therefore, it may not be appropriate to consider EMEs and other developing countries together. EMEs are considered to be in transition between developing- and developed-country status. They are defined to be upper-income developing countries with relatively-open capital markets (IMF, 2007, pp. 206–08). That is, unlike many other developing countries, including some high-income, oil-exporting developing economies, EMEs are “heavily involved with private international markets” (Goldstein, 2002, p. 1).5 This paper studies the relationship between exchange-rate volatility and exports of (1) EMEs and (2) other developing countries using panel-data sets constructed by the authors covering the periods 1980:Q1–2006:Q4 and 1980:Q1–2005:Q4, respectively.6 Our panel of EMEs consists of Argentina, Brazil, Hungary, Israel, Korea, the Philippines, Singapore, South Africa, Thailand, and Turkey.7 Our panel of developing countries consists of Bolivia, Colombia, Costa Rica, Dominican Republic, Ecuador, Guyana, Malawi, Morocco, Pakistan, Paraguay, and Venezuela. We use two estimation methods: generalized method of moments (GMM) estimation and time-varying-coefficient (TVC) estimation. Although GMM estimation has become a workhorse technique in the empirical literature because it takes into account the endogeneity of the explanatory variables, the estimation procedure does not remove specification biases from the coefficients. Unlike GMM estimation, the TVC approach starts from the assumption that any econometric model is almost certainly a misspecified version of the truth.8 This misspecification may take the form of omitted variables, endogeneity problems, measurement errors, and incorrect functional forms. These problems are expected to produce estimated coefficients that are unstable and time-varying. The TVC technique tries to identify the causes of coefficient variation by using a set of “driving” variables — or, coefficient drivers. The technique involves two steps (performed simultaneously): (a) the estimation of a model with coefficients that are allowed to vary as a result of the fundamental misspecifications in the model, and (b) the identification of the specification biases that affect the underlying coefficients and the removal of these biases. If the procedure is followed successfully, we obtain a set of biased coefficients containing measurement-error and omitted-variable biases and a set of bias-corrected coefficients; the latter reveal the underlying bias-free coefficients stable parameters of interest.9 The remainder of this paper is divided into four sections. Section 2 provides an overview of analytic aspects concerning the relationship between exchange-rate volatility and trade for the ten EMEs and eleven other developing countries considered here. Section 3 discusses the estimated model and data. Section 4 presents empirical results. Section 5 concludes. The Appendix provides a comparison of the TVC and GMM estimation methods.

Do EMEs resemble industrial countries or do they resemble other developing countries in terms of the relationship between exchange-rate volatility and trade? For the sample of eleven developing countries excluding EMEs considered here, our results confirmed the findings in much of the recent literature, namely, that exchange-rate volatility negatively affects exports. In the case of the ten EMEs under consideration here, our findings do not provide support for the hypothesis that exchange-rate volatility had a negative and significant effect on exports during the period considered, despite the exchange-rate turbulence experienced by many of the EMEs in our sample. It may be the case that EMEs, with their open capital markets have been able to adapt to exchange-rate fluctuations in a way that is more similar to the behaviour of developed countries than that of other developing countries. Further work that includes other EMEs may be able to confirm and/or to explain more fully the extent to which these countries differ from other developing countries in terms of the effect of exchange-rate volatility on trade.