经济学权威期刊Journal of International Economics 2023年第1期

Journal of International Economics 2023年第1期

 

 

——更多动态，请关注gzh：理想主义的百年孤独

 

 

1.Sovereign credit and exchange rate risks: Evidence from Asia-Pacific local currency bonds

主权信用和汇率风险:来自亚太地区本币债券的证据

Mikhail Chernov, Drew Creal, Peter Hördahl

We study the dynamic properties of sovereign bonds in emerging markets and their associated risk premiums. We focus on the properties of credit spreads, exchange rates, and their interaction. Relying on the term structure of local currency bonds issued by Asia-Pacific sovereigns, we find that local variables are significant in the dynamics of currency and credit risk, and the components of bond risk premiums reflecting these risks. Local currency bonds dramatically improve the investment frontier.

我们研究了新兴市场主权债券的动态特性及其相关的风险溢价。我们重点研究了信用利差、汇率及其相互作用的性质。基于亚太主权国家发行的本币债券的期限结构，我们发现本币变量对货币和信用风险的动态以及反映这些风险的债券风险溢价的构成具有显著影响。本币债券显著改善了投资前沿。

 

2.The open-economy ELB: Contractionary monetary easing and the trilemma

开放经济ELB:紧缩性货币宽松和三难困境

Paolo Cavallino, Damiano Sandri

Contrary to Mundell's trilemma, we show that free capital mobility may prevent monetary policy from ensuring output stability even if the exchange rate is flexible due to the existence of an Effective Lower Bound. The ELB is an interest rate threshold below which monetary easing becomes contractionary because of adverse effects on credit supply. A tightening in global monetary and financial conditions increases the ELB and may force central banks to hike rates even though domestic economic activity contracts. We also show that the ELB gives rise to a novel inter-temporal trade-off for monetary policy and calls for using a broad range of policy tools to restore monetary transmission.

与蒙代尔的三难困境相反，我们的研究表明，即使汇率由于有效下限的存在而具有灵活性，资本的自由流动也可能阻碍货币政策确保产出稳定。ELB是一个利率阈值，低于该阈值，货币宽松就会因为对信贷供应的不利影响而收缩。全球货币和金融状况的收紧增加了ELB，并可能迫使央行加息，即使国内经济活动收缩。我们还表明，ELB为货币政策带来了一种新的跨期权衡，并呼吁使用广泛的政策工具来恢复货币传导。

 

 

3.Import substitution in illicit methamphetamine markets

非法甲基苯丙胺市场的进口替代

Leandro Freylejer, Scott Orr

The United States passed a series of precursor control laws between 2004 and 2006 which aimed to decrease illicit methamphetamine production by limiting access to key inputs. We provide evidence that this caused suppliers to substitute towards Mexican-produced methamphetamine. Using a difference-in-differences identification strategy, we show that the treatment effect of precursor controls on lab seizures was largest in the middle of the United States. This is consistent with substitution towards imports, where differences in each region's ability to substitute towards imports generates heterogeneous effects on domestic production. To quantify the effect of precursor controls on domestic costs and imports, we estimate a model of illicit methamphetamine production using data on lab seizures and methamphetamine prices. We find that precursor controls increased domestic costs by 114%–190%. Substitution towards Mexican-produced methamphetamine decreased the effect of precursor controls on methamphetamine prices by 62%–83%, relative to a counterfactual world without import substitution.

美国在2004年至2006年期间通过了一系列前体控制法，旨在通过限制关键投入物的获取来减少非法甲基苯丙胺生产。我们提供证据表明，这导致供应商取代墨西哥生产的甲基苯丙胺。利用双重差分识别策略，我们发现前体控制对实验室缉获的治疗效果在美国中部地区最大。这与对进口的替代是一致的，每个区域对进口的替代能力的差异对国内生产产生了不同的影响。为了量化前体控制对国内成本和进口的影响，我们利用实验室缉获和甲基苯丙胺价格的数据估计了一个非法甲基苯丙胺生产的模型。我们发现，前驱控制使国内成本增加了114% ~ 190%。与没有进口替代的反事实世界相比，对墨西哥生产的甲基苯丙胺的替代使前体管制对甲基苯丙胺价格的影响降低了62%-83%。

 

 

4.Intellectual property infringement by foreign firms: Import protection through the ITC or court

外国公司侵犯知识产权:通过ITC或法院提供进口保护

James A. Brander, Barbara J. Spencer

This paper examines intellectual property litigation as a method of protection from patent-infringing imports. Claims against patent-infringing imports entering the United States may be filed before the International Trade Commission (ITC) or in district court. The ITC applies injunctions (import prohibitions) that would seem to provide more protection from infringing imports than the standard license fee remedy in court. Settlements prior to legal adjudication are common in both venues. Using a model with Nash bargaining and Cournot competition, we show that an ITC filing may restrict imports by less than in court. This result tends to apply if product differentiation is high and the size of the patented cost-reducing innovation is large.

本文研究了知识产权诉讼作为一种保护进口专利侵权的方法。对进入美国的侵犯专利的进口产品的索赔可以向国际贸易委员会(ITC)或地区法院提出。国际贸易委员会适用的禁令(进口禁令)似乎比标准的许可证费用救济在法庭上提供更多的保护，以防止侵权进口。在这两个地方，在法律裁决之前达成和解是很常见的。利用一个具有纳什议价和古诺竞争的模型，我们表明，美国国际贸易委员会的申请可能会比在法庭上限制进口更少。当产品差异化程度高、专利降本创新规模大时，这一结果倾向于成立。

 

 

5.Migration, tariffs, and China's export surge

移民、关税和中国的出口激增

Chen Liu, Xiao Ma

We build a multi-sector spatial general equilibrium model that features heterogeneous firms' and workers' location choices to account for China's export surge between 1990 and 2005 using three policy changes: China's import tariffs, tariffs imposed against China's exports, and barriers to internal migration in China. We find that tariff and migration policies jointly accounted for 30% of China's export growth. We also find evidence that suggests a positive interaction effect of tariff and migration policies. As migration reform prepared the country to become more export oriented, China enjoyed faster export growth after opening to trade than it would have otherwise.

本文构建了一个包含异质性企业和工人区位选择的多部门空间一般均衡模型，利用中国进口关税、针对中国出口产品征收的关税和中国内部移民壁垒这三个政策变化来解释1990—2005年中国出口激增的原因。我们发现，关税和移民政策共同贡献了中国出口增长的30%。我们还发现了一些证据，表明关税和移民政策存在积极的交互作用。由于移民改革使中国变得更加以出口为导向，在开放贸易后，中国的出口增长比在其他情况下要快。

 

 

6.Third-country effects of regional trade agreements: A firm-level analysis

区域贸易协定的第三国效应:企业层面的分析

Woori Lee, Alen Mulabdic, Michele Ruta

How do regional trade agreements impact exporters in non-member countries? We revisit this long-standing trade policy question using firm-level data from Costa Rica and detailed information on the content of trade agreements. Differently from the conventional view on trade diversion, the analysis shows that “deep” regional trade agreements can have a positive spillover effect: they increase the probability of export and entry of third-country firms that previously exported to one of the member countries. This spillover effect is driven by provisions that are nondiscriminatory and address regulatory issues, as they make member countries more “similar”, thus allowing to reduce entry costs. Indeed, firms exporting regulation-intensive products benefit disproportionately more from deep trade agreements in destination markets.

区域贸易协定如何影响非成员国的出口商?我们利用哥斯达黎加公司层面的数据和关于贸易协定内容的详细信息，重新审视了这个长期存在的贸易政策问题。与传统的贸易转移观点不同，本文的分析表明，"深度"区域贸易协定能够产生积极的溢出效应:增加了先前向成员国出口的第三国企业的出口和进入概率。这种溢出效应是由非歧视性条款驱动的，这些条款解决了监管问题，因为它们使成员国更加”相似”，从而降低了进入成本。事实上，出口管制密集型产品的公司更多地受益于目的地市场的深入贸易协定。

 

 

7.Trade intermediation by producers

生产者的贸易中介

Aksel Erbahar, Vincent Rebeyrol

This paper shows that manufacturing exporters export goods that they have not produced and thus also act as trade intermediaries. The geographical dimension of the data reveals that almost half of these exports of “sourced” products are purely intermediated: to many destinations, firms export sourced products only. We find that this type of intermediation is ubiquitous across firms, products, and destinations, and is robust to a battery of alternative definitions. These findings show that trade intermediation by producers (TIP) is not solely driven by carry-along trade, where produced and sourced products are bundled when exported. Our decomposition of TIP highlights that trade intermediation should be identified at the firm-product-destination level. The prevalence of pure intermediation for all manufacturing exporters, including the largest ones, suggests that intermediation plays an important role in firms' participation and success in international markets.

本文的研究表明，制造业出口商出口的是自己没有生产的商品，因此也扮演着贸易中介的角色。数据的地理维度显示，这些“采购”产品的出口几乎有一半是纯粹的中介:对许多目的地，企业只出口采购产品。我们发现，这种类型的中介在企业、产品和目的地中普遍存在，并且在一系列替代定义中是稳健的。这些研究结果表明，生产者的贸易中介行为并不仅仅是由附带贸易驱动的，即在出口时将生产和采购的产品捆绑在一起。我们对TIP的分解强调了贸易中介应该在企业-产品-目的地层次上进行识别。所有制造业出口国(包括最大的出口国)普遍存在纯中介，这表明中介在企业参与国际市场和取得成功方面发挥着重要作用。

 

 

8.Responses of exporters to trade protectionism: Inferences from the US-China trade war

出口商对贸易保护主义的反应:来自中美贸易战的推论

Lingduo Jiang, Yi Lu, Hong Song, Guofeng Zhang

This paper investigates how exports respond to trade protection by studying the US-China trade war in 2018. Using monthly customs data in China from January 2017 to May 2019, we find that the launch of the trade war against Chinese exports by the US on average reduces Chinese total exports to the US by 16.47%. Further decomposition shows that the reduction in exports is mostly explained by a decrease in quantity, with prices relatively unchanged. Meanwhile, negative trade shocks cause export diversion to countries that are closer and have larger economies, and exports in R&D-intensive, skilled-labor-intensive, high-capital-income-share, and upstream industries have been diverted even more. Heterogeneous analyses show that industries with a comparative advantage, high export growth, large export value, and high elasticity of substitution are more responsive to trade protection.

本文以2018年中美贸易战为研究对象，考察出口对贸易保护的反应。利用2017年1月至2019年5月中国海关月度数据，我们发现，美国对中国出口发起贸易战平均减少了中国对美国的出口总额16.47%。进一步分解发现，出口减少主要是由于数量减少，价格相对不变。同时，负面的贸易冲击导致出口向距离更近、经济规模更大的国家转移，研发密集型、技术劳动密集型、高资本收入份额和上游行业的出口进一步转移。异质性分析表明，具有比较优势、出口增长率高、出口额大、替代弹性高的行业对贸易保护的反应更强烈。

 

 

9.Sovereign bond prices, haircuts and maturity

主权债券的价格、减记和期限

Tamon Asonuma, Dirk Niepelt, Romain Ranciere

We document that creditor losses (“haircuts”) during sovereign debt restructurings vary across debt maturity. In our novel dataset on instrument-specific haircuts suffered by private creditors in 1999–2020 we find larger losses on short- than long-term debt, independently of the specific haircut measure we use. A standard asset pricing model rationalizes our findings under two assumptions, both of which are satisfied in the data: increasing short-run restructuring risk in the run-up to a restructuring, and high exit yields. We relate our findings to the policy debate on restructuring procedures.

我们发现，在主权债务重组期间，债权人损失(“减记”)因债务期限的不同而有所不同。在我们关于1999—2020年私人债权人遭受的特定工具减记的新数据集中，我们发现短期债务的损失大于长期债务，这与我们使用的特定减记措施无关。一个标准的资产定价模型在两个假设下对我们的发现进行了合理化，这两个假设在数据中都得到了满足:在重组之前增加短期重组风险，以及高退出收益率。我们将研究结果与重组程序的政策辩论联系起来。

 

 

10.Capital flows in an aging world

老龄化世界中的资本流动

Zsófia L. Bárány, Nicolas Coeurdacier, Stéphane Guibaud

We investigate the importance of worldwide demographic evolutions in shaping capital flows across countries. Our lifecycle model incorporates cross-country differences in fertility and longevity as well as differences in countries' ability to borrow inter-temporally and across generations through social security. In this environment, global aging triggers uphill capital flows from emerging to advanced economies, while country-specific demographic evolutions reallocate capital towards countries aging more slowly. Our quantitative multi-country overlapping generations model explains a large fraction of long-term capital flows across advanced and emerging countries.

我们调查了全球人口演变在塑造各国资本流动中的重要性。我们的生命周期模型纳入了生育率和寿命的跨国差异，以及国家通过社会保障跨时期和跨代借贷能力的差异。在这种环境下，全球老龄化引发了资本从新兴经济体向发达经济体的大量流动，而特定国家的人口结构演变则将资本重新分配给老龄化速度较慢的国家。我们的多国代际重叠量化模型解释了发达国家和新兴国家长期资本流动的很大一部分。

 

 

11.Endogenous product adjustment and exchange rate pass-through

内生产品调整与汇率传递

Andreas Freitag, Sarah M. Lein

We document how product quality responds to exchange rate movements and quantify the extent to which these quality changes affect the aggregate pass-through into export prices. We analyze the substantial sudden appreciation of the Swiss franc post removal of the 1.20-CHF-per-euro lower bound in 2015 using export data representing a large share of the universe of goods exports from Switzerland. We find that firms upgrade the quality of their products after the appreciation. Furthermore, they disproportionately remove lower-quality products from their product ranges. This quality upgrading and quality sorting effect accounts for a substantial share of the total pass-through one year after the appreciation. We cross-check our results with the microdata underlying the Swiss export price index, which includes an adjustment factor for quality based on firms' reported product replacements, and obtain similar results.

我们记录了产品质量如何对汇率变动做出反应，并量化了这些质量变化对出口价格的总体传递影响程度。我们利用占瑞士商品出口很大一部分的出口数据，分析了瑞士法郎在2015年取消1.20瑞士法郎兑1欧元的下限后的大幅突然升值。研究发现，升值后，企业会提高产品质量。此外，他们不成比例地将质量较低的产品从其产品范围中移除。这种品质升级和品质分拣效应在升值后一年的总传递中占了相当大的份额。我们将结果与瑞士出口价格指数(Swiss export price index)的微观数据进行了交叉检查，得到了类似的结果。瑞士出口价格指数包括一个基于企业报告的产品替换的质量调整因子。

 

 

12.Monetary policy shocks and consumer expectations in the euro area

欧元区的货币政策冲击和消费者预期

Martin Geiger, Daniel Gründler, Johann Scharler

We study how consumers assess the effects of monetary policy shocks in euro area countries using survey data. Our findings provide evidence that consumers form expectations in a way that is broadly consistent with empirical and theoretical models of the monetary transmission mechanism, both at the aggregate level and at the country level. Although the euro area countries are characterized by economic and institutional heterogeneity, consumers' interpretations of the macroeconomic effects of monetary policy are relatively homogenous. Monetary policy is particularly effective in coordinating consumer price expectations, while the updating of unemployment expectations is more disperse across countries.

我们利用调查数据研究了欧元区国家的消费者如何评估货币政策冲击的影响。我们的研究结果表明，无论是在总体层面还是在国家层面，消费者形成预期的方式与货币传导机制的经验和理论模型基本一致。尽管欧元区国家具有经济和制度异质性的特征，但消费者对货币政策宏观经济效应的解释相对具有同质性。货币政策在协调消费者价格预期方面尤其有效，而失业预期的更新在各国之间更加分散。

 

 

13.The rise in foreign currency bonds: The role of US monetary policy and capital controls

外币债券的崛起:美国货币政策和资本管制的作用

Philippe Bacchetta, Rachel Cordonier, Ouarda Merrouche

An unintended consequence of loose US monetary policy is the increase in currency risk exposure abroad. Using firm-level data on corporate bond issuances in 16 emerging market economies (EMEs) between 2003 and 2017, we find that EME companies are more likely to issue bonds in foreign currency when US interest rates are low. This effect is driven by non-exporters. Interestingly, capital controls on bond inflows significantly decrease the likelihood of issuing in foreign currency and can even eliminate the adverse impact of low US interest rates. In contrast, macroprudential foreign exchange regulations increase foreign currency issuances among nonfinancial companies.

美国宽松货币政策的一个意外后果是海外货币风险敞口的增加。本文利用2003—2017年16个新兴市场经济体公司层面的公司债券发行数据，发现在美国利率较低时，新兴市场经济体公司更倾向于发行外币债券。这种影响是由非出口国驱动的。有趣的是，对债券流入的资本管制大大降低了以外币发行债券的可能性，甚至可以消除美国低利率的不利影响。相比之下，宏观审慎外汇监管增加了非金融公司的外币发行。

 

 

14.Low pass-through and international synchronization in general equilibrium: Reassessing vertical integration

一般均衡中的低传递与国际同步:对纵向一体化的再评估

Gregory de Walque, Thomas Lejeune, Ansgar Rannenberg, Raf Wouters

We investigate the difficulties of the canonical open New Keynesian model to i) reproduce the observed exchange rate pass-through disconnect, i.e. a pass-through high for import prices and low for consumer prices, and ii) to generate international business cycle synchronization. The literature tackled them separately: i) strategic complementarities for exporting firms to mitigate the pass-through to consumer prices and ii) intermediate inputs trade to enhance cross-border spillovers. We prove that foreign intermediate inputs also efficiently address the pass-through dimension, but, unlike strategic complementarities, solve the exchange rate pass-through disconnect puzzle. These results carry over to the general equilibrium effects of a depreciation. Furthermore, we show analytically that both types of vertical integration weaken sharply the expenditure switching effect. This feature strengthens real synchronization in response to productivity and monetary policy shocks, but lowers it in response to private demand shocks, a point which complements the existing literature.

我们研究了典型开放新凯恩斯模型在以下方面的困难:(1)再现了观察到的汇率传递脱节，即进口价格高而消费者价格低，以及(2)产生国际商业周期同步。文献分别解决了这两个问题:1)出口企业的战略互补性，以减轻对消费者价格的传递;2)中间投入品贸易，以增强跨境溢出。本文证明，外国中间投入也有效地解决了传递维度，但与战略互补不同的是，它解决了汇率传递脱节之谜。这些结果延续到贬值对一般均衡的影响。进一步分析表明，两种类型的垂直整合都显著削弱了支出转换效应。这一特征增强了在应对生产率和货币政策冲击时的实际同步性，但在应对私人需求冲击时却降低了实际同步性，这一点对现有文献是一个补充。

 

 

15.Does it matter how central banks accumulate reserves? Evidence from sovereign spreads

央行如何积累储备重要吗?来自主权信用利差的证据

César Sosa-Padilla, Federico Sturzenegger

There has been substantial research on the benefits of accumulating foreign reserves, but less on the relative merits of how these reserves are accumulated. In this paper we explore whether the form of accumulation affects country risk. We first present a model of endogenous sovereign debt defaults, where we show that reserve accumulation through the issuance of debt contingent on local output reduces spreads in a way that reserve accumulation with foreign borrowing does not. We confirm this model prediction when taking the theory to the data. These results suggest that attention should be placed on the way reserves are accumulated, a distinction that has important practical implications. In particular, our results call into question the benefits of programs of reserves strengthening through external debt such as those typically implemented by multilateral organizations.

关于积累外汇储备的好处已经有了大量的研究，但关于如何积累这些储备的相对优点的研究较少。本文探讨了积累形式对国家风险的影响。我们首先提出了一个内生性主权债务违约的模型，在该模型中，我们表明，通过发行取决于当地产出的债务而积累的储备减少了利差，而与此同时，外汇储备积累却不能减少利差。在将理论应用于实际数据时，验证了该模型的预测。这些结果表明，应该关注外汇储备积累的方式，这一区别具有重要的实际意义。特别是，我们的研究结果对通过外债加强储备计划的好处提出了质疑，例如那些通常由多边组织实施的计划。

 

 

16.MPCs in an emerging economy: Evidence from Peru

新兴经济体中的mpc:来自秘鲁的证据

Seungki Hong

This paper estimates the marginal propensity to consume (MPC) out of transitory income shocks for an emerging economy, Peru, using its nationally representative household survey. The mean quarterly MPC across Peruvian income deciles is 0.204, which translates to a mean annualized MPC of 0.545–0.592 under both model-free and model-based annualization methods. To compare Peruvian and U.S. MPCs reflecting the different reference periods of the underlying surveys, I employ a standard incomplete-market model. Two striking differences emerge. First, the mean annual MPC in Peru is three times as large as that in the U.S. Second, the MPCs are substantially more heterogeneous over income deciles in Peru than in the U.S. The model predicts that precautionary saving behavior drives both the higher mean MPC and stronger MPC heterogeneity in Peru.

本文利用具有全国代表性的家庭调查，估计了新兴经济体秘鲁在短暂收入冲击下的边际消费倾向(MPC)。秘鲁收入十分位数的季度平均MPC为0.204，这意味着在无模型和基于模型的年化方法下的平均年化MPC为0.545-0.592。为了比较秘鲁和美国的mpc反映了基础调查的不同参考时期，我使用了一个标准的不完全市场模型。出现了两个显著的差异。首先，秘鲁的年平均MPC是美国的三倍，其次，秘鲁的MPC在收入十分位数上的异质性要比美国大得多。模型预测，预防性储蓄行为推动了秘鲁更高的平均MPC和更强的MPC异质性。

 

 

17.Judgment day: Algorithmic trading around the Swiss franc cap removal

审判日:围绕瑞士法郎上限取消的算法交易

Francis Breedon, Louisa Chen, Angelo Ranaldo, Nicholas Vause

A key issue for decentralised markets like FX is how the market responds to extreme situations. Using data on FX transactions with a precise identification of Algorithmic trading (AT), we find that AT, broadly defined, appears to have contributed to the deterioration of market quality following the removal of the cap on the Swiss franc on 15 January 2015 by withdrawing liquidity and generating uninformative volatility. We also find that the Swiss National Bank, after initially stepping aside, played an important role, though more by signalling rather than trading. This perhaps explains why human trading – that could most easily interpret those signals – was important in stabilising the market.

像外汇这样的去中心化市场的一个关键问题是市场如何应对极端情况。利用精确识别算法交易(AT)的外汇交易数据，我们发现，在2015年1月15日取消瑞士法郎上限后，广义的AT似乎通过撤出流动性和产生无信息的波动，导致了市场质量的恶化。我们还发现，瑞士央行(Swiss National Bank)在最初退出后，发挥了重要作用，尽管主要是通过发出信号，而不是交易。这或许可以解释为什么人类交易——最容易解读这些信号——对稳定市场很重要。