Japanese Journal of Monetary and Financial Economics
Online ISSN : 2187-560X
5 巻, 1 号
選択された号の論文の2件中1~2を表示しています
Article
  • Zhou Xuezhi
    2017 年 5 巻 1 号 p. 1-23
    発行日: 2017年
    公開日: 2019/04/17
    ジャーナル フリー

    This paper detects the exchange rate return relationships among the US dollar (USD), Renminbi (RMB) and East Asian currencies (EACs). Specially, whether the RMB and EACs became closer after the RMB shifted into a depreciation trend after January 2014. A DCC-GARCH (Dynamic Conditional Correlation Generalized Autoregressive Conditional Heteroskedasticity) model is employed in this paper in order to estimate the dynamic conditional correlations among these currencies. When we use the New Zealand Dollar (NZD) as the numeraire currency, we find the USD is still the most important currency in East Asia from a perspective of exchange return co-movement, albeit its importance declined in recent years. For the RMB, the DCC of the USD-RMB were very high during both periods. As a result, when some of the EACs got away from the USD, they were also far away from the RMB. However, when we chose the USD as the numeraire currency, we find that when the RMB shifted into a depreciation trend and became more flexible, the exchange rate return co-movements between the RMB and some of the EACs showed a rise during the second sub-sample period. When a country (region) kept close FDI and trade relations (trade surplus) with China, their currencies also fluctuated nearly with the RMB after January 2014. This co-movement can be forced by both pure market and authorities, or at least one of them. We conclude that the exchange rate integration between the RMB and EACs has been increased since the year of 2014, but still limited. The RMB had been neither a polar of East Asian exchange rate system nor a challenger to the USD.

  • Yajing Liu
    2017 年 5 巻 1 号 p. 24-47
    発行日: 2017年
    公開日: 2019/04/17
    ジャーナル フリー

    This paper examines the efficiency of two types of financial sources used in China – trade credit and bank loans – by measuring their impact on firm productivity using firm-level panel data. We first analyzed the relationship between productivity and the financial sources and found that enterprises experienced productivity gains as a result of using more trade credit, but they experienced productivity losses as a result of using more bank loans. Then, the effect of these sources according to firm ownership structure and size relative to the rest of the industry were analyzed. We also found that for large enterprises, both trade credit and bank loans had significant positive effects on their productivity growth. For small and medium enterprises (SMEs), however, regardless of the type of financial source used, the larger their reliance on them, the worse their productivity. Moreover, the results show that state owned enterprises might experience lower productivity because of their debts to banks.

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