Publication: Trade balances: do exchange rates matter?
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1994
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Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE)
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Abstract
The concern about the persistence of the US trade deficit has generated a lively debate over its causes and the role of exchange rates in restoring external balance. While some authors argue that the traditional adjustment process linking the behavior of the trade balance to movements in the real exchange rate and the domestic and foreign income levels has worked, recent research has found no empirical evidence in support of a stable long-run relationship between these variables, In this paper I use the approach in Johansen (1988,1991) to test for coiontegration between US bilateral trade balances, exchange rates and incomes during the floating period. I also apply the testing procedure developed by Hansen (1992) to detect potential structural breaks in a cointegrating relalionship in the bilatelal trade balance equations. The empirical results indicate the following: (1) the presence of stable long-run trade balance equations in all six models, (2) no significant evidence of structural breaks, (3) the nominal exchange rate has better explanatory power than the real rate, (4) the Marshall-Lerner condition is supported by the data, (5) the exchange rate is weakly exogenous in the trade balance relationship and, (6) the traditional belief that trade balances adjust slowly to exogenous shocks Is confinned; however, the speed of adjustment varies significantly across bilateral models.
La preocupación acerca del déficit comercial Norteamericano ha suscitado un animado debate sobre sus causas y el posible papel de una política cambiaria para restaurar el equilibrio externo. Mientras algunos autores mantienen que el proceso de ajuste tradicional que liga el comportamiento de la balanza comercial a las fluctuaciones en el tipo real de cambio y a los niveles de renta domésticos y extranjeros ha operado, recientes investigaciones empíricas no han podido encontrar evidencia de tal relación ni siquiera en el largo plazo. En el presente trabajo utilizo el enfoque de Johansen (1988,1992) para contrastar la presencia de cointegración entre balanzas comerciales bilaterales Norteamericanas, el tipo de cambio y rentas durante el periodo de tipos de cambio flexibles. Utilizo también los contrastes de Hansen (1992) para detectar posibles cambios estructurales en las ecuaciones de cointegración de las balanzas comerciales. Los resultados empíricos indican lo siguiente: (1) la existencia de relaciones estables a largo plazo en las seis balanzas bilaterales analizadas, (2) la ausencia de cambios estructurales significativos, (3) el tipo de cambio nominal tiene mayor impacto en las balanzas comerciales que el tipo real, (4) la condición de Marshall-Lerner encuentra apoyo en los datos, (5) el tipo de cambio es exógeno en sentido débil en la ecuación de la balanza comercial y, (6) la creencia aceptada de que las balanzas comerciales responden lentamente a los shocks exógenos se ve confirmada, sin embargo, la velocidad de ajuste varía de forma significativa entre modelos.
La preocupación acerca del déficit comercial Norteamericano ha suscitado un animado debate sobre sus causas y el posible papel de una política cambiaria para restaurar el equilibrio externo. Mientras algunos autores mantienen que el proceso de ajuste tradicional que liga el comportamiento de la balanza comercial a las fluctuaciones en el tipo real de cambio y a los niveles de renta domésticos y extranjeros ha operado, recientes investigaciones empíricas no han podido encontrar evidencia de tal relación ni siquiera en el largo plazo. En el presente trabajo utilizo el enfoque de Johansen (1988,1992) para contrastar la presencia de cointegración entre balanzas comerciales bilaterales Norteamericanas, el tipo de cambio y rentas durante el periodo de tipos de cambio flexibles. Utilizo también los contrastes de Hansen (1992) para detectar posibles cambios estructurales en las ecuaciones de cointegración de las balanzas comerciales. Los resultados empíricos indican lo siguiente: (1) la existencia de relaciones estables a largo plazo en las seis balanzas bilaterales analizadas, (2) la ausencia de cambios estructurales significativos, (3) el tipo de cambio nominal tiene mayor impacto en las balanzas comerciales que el tipo real, (4) la condición de Marshall-Lerner encuentra apoyo en los datos, (5) el tipo de cambio es exógeno en sentido débil en la ecuación de la balanza comercial y, (6) la creencia aceptada de que las balanzas comerciales responden lentamente a los shocks exógenos se ve confirmada, sin embargo, la velocidad de ajuste varía de forma significativa entre modelos.
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