EXCHANGE RATE PASS-THROUGH INTO VIETNAM S IMPORTS:

Transcription

1 EXCHANGE RATE PASS-THROUGH INTO VIETNAM S IMPORTS: EMPIRICAL EVIDENCE FROM JAPANESE TRADE DATA NGUYEN CAM NHUNG ABSTRACT This study investigates the exchange rate pass-through into Vietnam s imports from Japanese trade data at a highly disaggregated HS-9-digit level ranging from January 1998 to December The results of the OLS estimation show that the Japanese exporters tend to fully pass-through exchange rate movements to Vietnamese importers in the machinery industry. In contrast, in the electronic industry, a low degree of exchange rate pass-through seems prevalent, possibly due to US dollar invoicing in trade between Japan and Vietnam. Whereas it is said that the US dollar is generally used in Asian trade, Vietnam s machinery imports from Japan may be a notable exception in that Japanese exporters tend to pass-through the exchange rate changes to Vietnam s importers most probably by invoicing in Japanese yen. This evidence may also have important implications for Vietnam s macroeconomic policy. 1 INTRODUCTION Exchange rate pass-through has attracted a lot of attention over the last two decades. However, most of theoretical and empirical studies on exchange rate pass-through have focused on the developed countries, particularly in the United States, the Euro area, Japan and OECD countries, such as Knetter (1989), Marston (1990), Parsley (1993), Campa and Goldberg (2002), Campa and Goldberg (2005), Otani, Shiratsuka and Shirota (2005). Only a few studies have so far investigated the exchange rate pass-through of developing countries such as Asian countries. See, for instance, Parsons and Sato (2006), Takagi and Yoshida (2001), Lee (1995), Toh and Ho (2001) and Ghosh and Rajan (2009). However, there have been no studies to date that have analyzed exchange rate pass-through in Vietnam. Exchange rate pass-through into Vietnam s imports has not been studied quantitatively. This may create difficulties for policymakers in determining the optimal monetary policy and controlling inflation effectively. Indeed, over the last two years (2007 and 2008), Vietnam has been falling into an unstable situation with an increasing inflation rate at a double-digit level (with a peak at more than 25%), and also with a substantial depreciation of the Vietnam dong vis-à-vis major currencies, particularly the Japanese yen (see figure 1). Given that inflation control was its top policy objective, the Vietnamese government implemented a tightening monetary policy from February 2008 by raising the base interest rate to 14 percent. The inflation rate started to decline from October 2008 but still remained high at a twodigit level. Macroeconomic instability still exists, such as a slower economic growth rate compared to projections and a current account deficit exceeding acceptable limits. After ten months of applying a contractionary monetary policy, the State Bank of Vietnam announced a cut in the base interest rate to 8.5 percent in December However, the impact of exchange rate changes on domestic inflation was not properly considered by the Vietnamese government in its fight with inflation. Therefore, it is necessary to have an empirical study of the exchange rate pass-through into Vietnam s

2 42 (708) 横浜国際社会科学研究第 14 巻第 6 号 (2010 年 2 月 ) Inflation rate 30% 25% 20% 15% 10% 5% 0% -5% Jan-98 Jan-99 Jan-00 Jan-01 Jan-02 Jan-03 Jan-04 Jan-05 Jan-06 Source: General Statistics Office of Vietnam (GSO). Figure 1.a Jan-07 Jan-08 Nominal exchange rate of VND vis-à-vis the yen M1 1998M9 1999M5 2000M1 2000M9 2001M5 2002M1 2002M9 2003M5 2004M1 2004M9 2005M5 2006M1 2006M9 2007M5 2008M1 2008M9 Monthly series of bilateral nominal exchange rates, 1998M1 2008M12 Source: The University of British Columbia, Pacific Exchange Rate Service, website. Figure 1.b Nominal exchange rate of VND vis-à-vis US dollar M1 1998M9 1999M5 2000M1 2000M9 2001M5 2002M1 2002M9 2003M5 2004M1 2004M9 2005M5 2006M1 2006M9 2007M5 2008M1 2008M9 Monthly series of bilateral nominal exchange rates, 1998M1 2008M12. Source: The University of British Columbia, Pacific Exchange Rate Service, website. Figure 1.c

3 EXCHANGE RATE PASS-THROUGH INTO VIETNAM S IMPORTS: EMPIRICAL EVIDENCE FROM JAPANESE TRADE DATA(NGUYEN CAM NHUNG) (709) 43 imports, revealing implications for many important policies in Vietnam. The main goal of this study is to estimate exchange rate pass-through into import prices in Vietnam. We use Japanese trade data at a highly disaggregated HS-9-digit level. We investigate Japanese exporter s pass-through behavior and also to check whether or not the US dollar is widely used in trade between Japan and Vietnam. Our empirical evidence is expected to provide a further understanding about the link between exchange rate movements and import prices, which can be used for considering appropriate monetary policy, and for choosing the optimal exchange rate regime. In addition, understanding exchange rate pass-through at a highly specific industry level may give us insights about international market power in each industry. The remainder of this study is structured as follows. In section 2, a brief literature review is presented. In section 3, the analytical framework and empirical model used in this paper are discussed. The data descriptions and the empirical results are presented in section 4 and section 5 will conclude. 2 LITERATURE REVIEW The theoretical and empirical analysis of pass-through rates from exchange rate movements to import prices of the countries has so far been at the center of heated debates. The empirical research can be classified into four groups. The first group investigates the exchange rate pass-through into import prices for a number of sample countries using the aggregated data of imports from world for their estimation. For example, Campa and Goldberg (2002) used import prices indices of OECD countries (25 countries). The second group includes the studies that estimate the degree of changes in exchange rate pass-through into aggregated import prices from various source countries. Parsley (1993), for instance, uses the Japanese export data and Ghosh and Rajan (2009) use both US and Japanese export data. The third group studies exchange rate movements into import prices using a commodity or industry-breakdown data of imports of a particular country from world such as in Otani, Shiratsuka and Shirota (2005). The last group investigates exchange rate pass-through into import prices using both commodity and partner country-breakdown data such as Takagi and Yoshida (2001) that employed the disaggregated data of Japanese exports and imports. The present study belongs to the last group and employs the highly disaggregated (HS-9-digit level) commodity data to estimate the exchange rate passthrough into import prices in Vietnam. Thus far, there are a number of studies that investigate the exchange rate pass-through of Japanese exports using the highly disaggregated commodity data at the HS-9-digit level. However, most of these papers concentrate on estimating exchange rate pass-through in the industrialized countries such as the United States, European Union countries and a few studies conduct exchange rate pass-through in Asian countries. For instance, Knetter (1989, 1993), Feenstra (1989), and Marston (1990) examine the exchange rate pass-through in the United States. Sato (2003) studies the exchange rate pass-through to the United States and East Asia. Parsons and Sato (2008) investigate the exchange rate pass-through to United States, EU and East Asia. Takagi and Yoshida (2001) focus on estimates of exchange rate passthrough in East Asia. There have so far been no studies on exchange rate pass-through of Japanese exports in Vietnam using disaggregated HS-9-digit commodity data. Only few studies about the exchange rate pass-through in Asia have done up to now partly because of a lack of data. 1) For example, Lee (1995) examined the exchange rate pass-through in Korea by looking at Korean manufacturing exports. Toh and Ho (2001) investigated the exchange rate pass-through at a semi-aggregate level for Malaysia, Singapore, Taiwan and Thailand by looking at several primary good exports and manufactured goods. Parsons and Sato 1)Asian countries, except Singapore, Japan and Korea, do not have enough time series data for this line of research.

4 44 (710) 横浜国際社会科学研究第 14 巻第 6 号 (2010 年 2 月 ) (2006) estimate the exchange rate pass-through in Indonesia, Malaysia, the Philippines and Thailand. Ghosh and Rajan (2009) examines exchange rate pass-through into Korea s and Thailand s consumer and import prices at the aggregate level. This study will examine the top five categories of commodities that Vietnam imported from Japan at a highly disaggregated HS-9-digit level for estimating exchange rate pass-through into Vietnam s imports. There are several reasons why this study estimates the exchange rate pass-through into Vietnam s imports using the Japanese trade data. First, Japan has been one of the five major trading partners of Vietnam over time (see figure 2 and table 1). Second, it is hard to obtain the reliable Vietnam s trade data while Japanese trade statistics gives us the bilateral trade data between Japan and Vietnam at a HS-9-digit level. Using the HS- 9-digit level commodity data, an analysis of the linkage between the exchange rate movements and import prices will give us insights about domestic and international market power in each specific industry. We use OLS regressions to estimate the exchange rate pass-through from the exporters side. The new openeconomy macroeconomics model indicates that a transmission of macroeconomic policy impacts depends crucially on the exporter s price setting behavior. Therefore, investigating exchange rate pass-through into import prices, we can see how they are sensitive to exchange rate movements, which may be useful for conducting appropriate monetary policy and an optimal exchange rate regime in the countries concerned. 3 ANALYTICAL FRAMEWORK In this section, we discuss the theoretical relationship between the exchange rate and import prices. Exchange rate pass-through is defined as the percentage change in the import prices of the importer s currency resulting from one percent change in the exchange rate between exporting and importing countries (Goldberg and Knetter, 1997). Most studies of exchange rate pass-through estimate the relationship between exchange rates and import prices by looking at the exporters side (Knetter, 1989 and 1993; Gil-Pareja, 2002). Some examine this issue by looking at the importers side (Feenstra, 1989) or by looking at both exporter s and importer s point of view (Parsons and Sato, 2006). In this study, we estimate the degree of exchange rate pass-through by looking at the exporters side. The econometric specification used in this study to estimate the degree of response of export prices to exchange rate changes is based on the generic regression model used in the literature such as Goldberg and Knetter (1997) and Campa and Goldberg (2002). ln p t =α 0 + α 1 ln E t + α 2 ln PPI t +ε t ⑴ where p is the export prices; E is the bilateral nominal exchange rate; PPI is the domestic production price index (a proxy for the cost of exporter s production); ε is an error term and t denotes time period;. When using equation ⑴ for examining the degree of exchange rate pass-through, we convert it into the first -differenced form to ensure the stationarity of tradable commodity prices, exchange rates and production prices indexes. 2) The primary goal of this study is to investigate the Japanese exporter s pass-through behavior. We employ the following specification: Δp t =β 0 + β 1 ΔE /VND t + β 2 ΔPPI t +ε t ⑵ 2) We use the unit root test to examine whether or not the variable is stationary. The result of the ADF test shows that most of variables are non-stationary in levels but they are stationary in the first differences.

5 EXCHANGE RATE PASS-THROUGH INTO VIETNAM S IMPORTS: EMPIRICAL EVIDENCE FROM JAPANESE TRADE DATA(NGUYEN CAM NHUNG) (711) 45 Source: United Nations Statistics Division- Commodity Trade Statistics Database. Figure 2.a Source: United Nations Statistics Division- Commodity Trade Statistics Database. Figure 2.b Table 1 Top import partners of Vietnam Mill.USD Partner Singapore 1,964 1,878 2,694 2,478 2,533 2,875 3,606 4,473 6,269 7,608 Japan 1,481 1,618 2,300 2,183 2,502 2,979 3,548 4,070 4,693 6,177 Other Asia, nes n.a 1,566 1,879 2,008 2,525 2,915 3,697 4,303 4,823 8,280 Rep. of Korea 1,154 1,485 1,753 1,886 2,279 2,623 3,348 3,583 3,897 5,334 China ,401 1,606 2,158 3,138 4,595 5,899 7,391 12,502 Other partners 8,247 4,513 5,599 6,054 7,732 10,542 12,605 13,610 15,937 16,882 Source: United Nations Statistics Division- Commodity Trade Statistics Database.

6 46 (712) 横浜国際社会科学研究第 14 巻第 6 号 (2010 年 2 月 ) Table 2 The ratio of currency invoicing (the 2 nd half of 2007) Japanese exports to (Unit: %) World US EU Asia Currency US dollar Yen Euro GBP AUD Others Share Currency US dollar Yen Euro GBP CAD Others Share Currency Euro Yen US dollar GBP SEK Other Share Currency US dollar Yen THB TWD KRW Other Share Source: Ministry of Finance Japan. Table 3 The priors for tests for estimating pass-through coefficients β 1 =1 Eq. ⑵:E /VND No P-T (PTM in VND) Eq. ⑶:E /USD No P-T (PTM in USD) β 1 =0 Full P-T Full P-T Note: The first column shows the hypothesis of coefficient β 1 in equations ⑵ and ⑶. where P is the export price in terms of the exporter s currency (the Japanese yen); E /VND is the bilateral nominal exchange rate of the Japanese yen vis-à-vis Vietnam dong (VND); PPI is the yen-based Japanese production price index; ε is an error term ;Δ denotes the first-difference operator and t denotes a time period. In this equation, only the coefficient β 1 is of concern. If the null hypothesis of β 1 = 0 cannot be rejected, this may imply that Japanese exporters fully pass-through exchange rate changes to Vietnamese importers. If β 1 is significantly positive and closer to unity, Japanese exporters tend to stabilize the export price in the importer s currency. β 1 =1 may suggest no pass-through or pricing-to-market (PTM) in Vietnam dong. Because we know that the US dollar is generally used as an invoicing currency in East Asian trade (see table 2), Japanese exporters may conduct PTM not in the Vietnam dong but in a third currency such as the US dollar. Therefore, we need to check the following regression equation: Δp t =β 0 + β 1 ΔE t /$ + β 2 ΔPPI t +ε t ⑶ where E /$ t is the bilateral nominal exchange rate of the Japanese yen vis-à-vis US dollar. The above equation is used to analyze whether the US dollar (a third currency) is used as an invoicing currency in their exports to Vietnam. Similarly, if the null hypothesis of β 1 = 0 cannot be rejected, this may imply that Japanese exporters fully pass-through exchange rate changes to Vietnamese importers. β 1 =1 may suggest no pass-through or PTM in US dollars. The estimates of β 1 in both equations ⑵ and ⑶ can be interpreted in table 3. In the next section, the results of estimation of equations ⑵ and ⑶ will be discussed. We also conducted additional estimation of the exchange rate pass-through from the Vietnamese importer s side to support the results of estimation

7 EXCHANGE RATE PASS-THROUGH INTO VIETNAM S IMPORTS: EMPIRICAL EVIDENCE FROM JAPANESE TRADE DATA(NGUYEN CAM NHUNG) (713) 47 using equations ⑵ and ⑶. These are available upon request. 3) 4 EMPIRICAL RESULTS 4.1 Data description We use highly disaggregated commodity data at the 9-digit harmonized system (HS)-based level obtained from the Japan Tariff Association. The quantities and values of Japanese exports by commodity and country are available. All data are monthly ranging from 1998M1 to 2007M12. Each export value is based on the free on board value in terms of the yen, and unit values are calculated by dividing each export value by its export volume (quantity) in a consistent way for each commodity. Each export value in terms of the Vietnam dong (VND) is calculated by multiplying each export value in terms of the yen with the monthly average of nominal bilateral exchange rate of the Vietnam dong vis-à-vis the Japanese yen. The producer price indexes (PPI) for each selected commodity are collected from the website of the Bank of Japan (2000 base). All unit value and PPI data are seasonally adjusted using the Census X-12 method. Monthly series of the bilateral nominal exchange rates (vis-à-vis the US dollar) are taken from the IMF, International Financial Statistics, CD-ROM. Eighteen commodities are selected for the estimation of the exchange rate pass-through to Vietnam s imports. Initially, we select the top five main imported categories having the largest trade value that Vietnam has imported from Japan over time including machinery, electric, iron and steel, vehicles and plastics (see figure 3). Then, we chose all commodities in five categories which have relatively large volume of transactions and no missing monthly data. Using the highly disaggregated commodity data at the 9-digit HS-based level, the selected commodities for the estimation can be considered as the representative ones for each industry. Details on the commodities are listed in the Appendix. 4.2 Results The results of estimated pass-through coefficients using equations ⑵ and ⑶ will be presented in table 4. The original data set included a larger number of commodities but the final results presented are based on 18 commodities. The sample size is reduced due to several reasons. First, some commodities have missing data because they might have stopped importing sometimes or disappeared from the market as their product cycle ends. Second, some commodities having a small volume of transactions were dropped because the smaller the volume of trade, the larger the fluctuation of the unit value series is. We find some coefficients are unusually larger than unity. This may be due to some data problem such as the data input error. In this case, we drop the commodity from our sample. 3) To further check the exchange rate pass-through into Vietnam s imports, we used the following regression equation Δp t VND =β 0 + β 1ΔE t VND/ + β 2 ΔPPI t +ε t ⑷ where p VND is the export price in terms of the destination market s currency (Vietnam dong (VND)); E VND/ is the bilateral nominal exchange rate of Vietnam dong vis-à-vis Japanese yen and PPI is the yen-based Japanese production price index; Δ denotes the first-difference operator and t denotes time period. The dependent variable in equation ⑷ is obtained by multiplying P t with E t VND/ (P t VND =P t. E t VND/ ) and is slightly different from that in equation ⑵. The bilateral nominal exchange rate variable, E t VND/, in the right-hand side of equation ⑷ also differs from that in that we use the inverse of that used in equation ⑵. The results of estimation using equation ⑷ support the results discussed in section 4.2, table 4. In equation ⑷, if it is full pass-through (or Japanese yen invoicing), β 1 will be statistically significant and equal to unity.

8 48 (714) 横浜国際社会科学研究第 14 巻第 6 号 (2010 年 2 月 ) Source: United Nations Statistics Division Commodity Trade Statistics Database Figure Interpretation As mentioned above, eighteen commodities have been chosen for estimation. The results presented in table 4 are empirical evidence that explains the Japanese exporters pass-through behavior. The null hypothesis of β 1 = 0 in equation ⑵ and ⑶ is presented in the first column and the second column of table 4, respectively. For the first group (a) plastics and articles thereof, the null hypothesis of β 1 = 0 cannot be rejected in most cases. Only five out of eighteen commodities reject the null hypothesis. The first commodity of this category (a), light polyethylene commodity has a low pass-through because the coefficient of β 1 is significant and close to unity in equation ⑵ while the coefficient of β 1 for that commodity cannot reject the null hypothesis in equation ⑶ presented in the second column in table 4. Therefore, we can conclude that Japanese exporters likely stabilize export prices in terms of the Vietnam dong for light polyethylene commodities. In fact, this commodity does not require good skills or high technology, so it can be easily produced in the destination country. Therefore, Japanese exporters have no strong comparative advantage of this commodity. For other commodities of the first group (a), the null hypothesis cannot be rejected in both equations ⑵ and ⑶, so there is insufficient evidence to make any conclusion about them. Similarly, next to the second group (b) iron and steel, the null hypothesis cannot be rejected in both equations ⑵ and ⑶ for this group. We also do not have enough evidence to make conclusions about this group (b). We get consistent results for the group (c). The coefficient β 1 of this commodity estimated in equation ⑵ in the first column of table 4 is positive and significant but insignificant in equation ⑶. Therefore, this suggests that Japanesee exporter s pass-through is low for this group (c). Next to the fourth group (d) ʻʻnuclear reactor, boilers, machinery, only the commodity of ʻʻtaps, cocks, valves out of five commodities in this group is significant in both equations ⑵ and ⑶ 4) These results support our results discussed in equation ⑵ that most of commodities in the group (d) have full pass-through and US dollars appear absent from invoicing. We find that Japanese producers in this area seem to prefer to stabilizing their profits in terms of their own 4) When we check the results of the coefficient β 1 for this group in equation 4, interestingly, we see the results of the coefficient β 1 for all commodities in the group (d) in equation ⑷ are significant and close to unity.

9 EXCHANGE RATE PASS-THROUGH INTO VIETNAM S IMPORTS: EMPIRICAL EVIDENCE FROM JAPANESE TRADE DATA(NGUYEN CAM NHUNG) (715) 49 Table 4 Estimates of pass-through coefficients Commodity name Eq. 2: p E /VND β 1 = 0 Full P-T Eq. 3: p E /USD β 1 = 0 Full P-T β 1 s.e. β 1 s.e. (a) Plastics and articles thereof 1. Light polyethylene 2. Heavy polyethylene 3. Tubes, pipes and hoses 4. Boxes, cases, crates 5. Sacks and bags 6. Articles of plastics 0.80* ** (b) Iron and steel 7. Wire of iron or steel (c) Vehicles 8. Motorcycle parts 0.54* (d) Nuclear reactor, boilers, machinery 9. Road rollers 10. Power tillers 11.Machines 12. Taps, cocks, valves 13. Transmission shafts (e) Electrical, electronic equipment 14. Fuses 15. Apparatus 16. Apparatus parts 17. Parts suitable for apparatus 18. Electric conductors ** *** *** * * 0.78*** 1.06*** 1.06* 0.55** Note: at 1%, at 5%, at 10%, ʻs.e. the standard errors, β 1 denotes the pass-through coefficients currency, and they are likely invoicing their exports in their national currency. 5) In this case, Vietnamese importers take all risk when the exchange rate of Japanese vis-à-vis Vietnam dong changes. In fact, Japan is an advanced country while Vietnam is an emerging country. These commodities require high technology that Vietnamese producers cannot make. Thus, it is necessary to import these commodities for satisfying the domestic market s demand. In fact, Figure 3 shows that the total importing value of this category account for 21 percent of total importing value of all commodities that Vietnam imported from Japan over time. In the trading relationship between Japan and Vietnam, Japanese exporters may have an advantage in negotiation compared to Vietnamese importers in this category due to their large market share. Therefore, Japanese exporters may wish to pass-through the risk of exchange rate movements to Vietnamese importers by setting invoicing in terms of their currency. For the last group, table 4 shows that only two out of five cases are positive and significant in equation ⑵. However, all cases are significant in equation ⑶. Two out of five commodities are less than unity. Then, we can say the dollar-invoiced exports appear dominant in the group of electrical, electronic equipment in Japan s exports to Vietnam. Because export prices are likely invoiced in US dollars, Japan s exporters as well as Vietnam s importers will share risks 5) However, according to PTM theory Marston, firms that have market share do not want to change local (Vietnam) prices so much.

10 50 (716) 横浜国際社会科学研究第 14 巻第 6 号 (2010 年 2 月 ) if the exchange rate changes. We have found the evidence of low pass-through for two commodities, apparatus and electric conductors, in this group. 5 CONCLUDING REMARKS This study has explored the empirical evidence from Japanese trade data on the exchange rate pass-through into Vietnam s imports. It seems apparent that the pass-through behavior in Japanese exports varies across industries. Even though both groups of machinery and electric industries have quite similar total importing values, accounting for 21 percent and 20 percent of all total importing values, respectively. Full pass-through seems very common in machinery products in Japanese exports to Vietnam. US dollar invoicing is not dominant in this group. In contrast, Japanese exporters have low pass-through to Vietnamese importers in electronics products where US dollar invoicing is dominant. This evidence suggests that Japanese exporters have stronger market power in the machinery industry than that in the electronic industry in trade with Vietnam. We do not have enough evidence to make any conclusion about plastics and iron and steel products. The vehicles industry exhibits low pass-through. Shortly, theoretical research indicates that the choice of an optimal exchange rate regime and the transmission of macroeconomic policy impacts depend broadly on the exporter s price setting behavior. Therefore, Vietnam needs to put more emphasis on the bilateral nominal exchange rate of the Vietnam dong vis-à-vis the Japanese yen if Vietnam imports more of the general machinery products from Japan. This also suggests that the total or aggregated imports will not give us useful information. We need to look into an industry-breakdown data. An analysis of currency invoicing at an industry (or commodity) level will be necessary to draw some policy implications for an macroeconomic impact of exchange rate fluctuations on emerging economies like Vietnam. However, Japan is only the third biggest trading partner of Vietnam. To investigate market power in each industry and the exporter pass-through behavior, it is necessary to examine the pass-through behavior of the largest and second largest trading partners, Singapore and Korea. This certainly merits further study.

11 EXCHANGE RATE PASS-THROUGH INTO VIETNAM S IMPORTS: EMPIRICAL EVIDENCE FROM JAPANESE TRADE DATA(NGUYEN CAM NHUNG) (717) 51 Appendix Table A1 In the empirical analysis, the following eighteen commodities are examined. The export price data are collected from Japan Tariff Association, Japan Exports & Imports (Commodity by Country) and the production price indexes are obtained from the wholesale price index data of Bank of Japan. Table A1(a): Export prices No Commodity Detailed description (a) Plastics and articles thereof 1 Light polyethylene Polyethylene having a specific gravity of less than 0.94, in primary forms. (H.S ) 2 Heavy polyethylene Polyethylene having a specific gravity of less than 0.94, in primary forms. (H.S ) 3 Tubes, pipes and hoses Other tubes, pipes and hoses, not reinforced or otherwise combined with other materials, without fittings, of polymers of vinyl chloride. (H.S ) 4 Boxes, cases, crates Boxes, cases, crates and similar articles of plastics, for the conveyance or packing. (H.S ) 5 Sacks and bags Sacks and bags of other plastics, for the conveyance or packing. (H.S ) 6 Articles of plastics Other articles of plastics and articles of other materials of headings to 39.14, n.e.s. (H.S ) (b) Iron and steel 7 Wire of iron or steel Wire of iron or non-alloy steel, containing by weight 0.6% or more of carbon, n.e.s. (H.S ) (c) Vehicles other than railway, tramway 8 Motorcycle parts Parts and accessories of motorcycles, excluding saddles. (H.S ) (d) Nuclear reactor, boilers, machinery, etc 9 Road rollers Road rollers other than those fitted with types or those of vibration type. (H.S ) 10 Power tillers Power tillers. (H.S ) 11 Machines Machines and mechanical appliances, having individual functions, not specified or included elsewhere in this Chapter, n.e.s. (H.S ) 12 Taps, cocks, valves Taps, cocks, valves and similar applicances for pipes, boiler shells, tanks, vats or the like including thermostatically controlled valves, of iron or steel, other than those of subheadings to (H.S ) 13 Transmission shafts Transmission shafts (including cam shafts and crank shafts) and cranks. (H.S ) (e) Electrical, electronic equipment 14 Fuses Fuses for a voltage not exceeding 1,000 volts. (H.S ) 15 Apparatus Apparatus for making connections electrical circuits, for a voltage not exceeding 1,000 volts. (H.S ) 16 Apparatus parts Parts of apparatus for making connections electrical circuits. (H.S ) 17 Parts suitable for apparatus Parts suitable for use solely or principally with the apparatus of heading 85.35, or other than those of subdivisions No to (H.S ) 18 Electric conductors Electric conductors, for a voltage not exceeding 1,000V of copper conductor, other than those fitted with connectors and communication cables. (H.S )

12 52 (718) 横浜国際社会科学研究第 14 巻第 6 号 (2010 年 2 月 ) Table A1 (b): Production Price Index No Commodity Production Price index data description (a) Plastic resins & materials 1 Light polyethylene Low density polyethylene resins 2 Heavy polyethylene High density polyethylene resins 3 Tubes, pipes and hoses Plastic pipe & tube fittings 4 Boxes, cases, crates Plastic daily necessities 5 Sacks and bags Plastic bags 6 Articles of plastics Other plastic products (d) Iron and steel 7 Wire of iron or steel Iron wires (e) Vehicles other than railway, tramway 8 Motorcycle parts Motor vehicle parts (d) Nuclear reactor, boilers, machinery, etc 9 Road rollers Roller chains 10 Power tillers Power tillers 11 Machines General machinery & equipment 12 Taps, cocks, valves Taps & dies 13 Transmission shafts Power transmission equipment (e) Electrical, electronic equipment 14 Fuses Spark plugs 15 Apparatus Apparatus 16 Apparatus parts Connecting components 17 Parts suitable for apparatus Apparatus 18 Electric conductors Generators

13 EXCHANGE RATE PASS-THROUGH INTO VIETNAM S IMPORTS: EMPIRICAL EVIDENCE FROM JAPANESE TRADE DATA(NGUYEN CAM NHUNG) (719) 53 Appendix Table A2 The exchange rate pass-through coefficients Constant (s.e.) PPI (s.e.) E /VND (s.e.) Adjusted R-squared Durbin-Watson stat 1 Light polyethylene (0.98) 0.80* (0.44) Heavy polyethylene (0.00) 0.61 (0.70) 0.23 (0.29) Tubes, pipes and hoses (0.02) (1.34) 0.77 (0.69) Boxes, cases, crates (0.04) 9.01 (9.26) (1.52) Sacks and bags (1.29) (0.42) Articles of plastics (3.03) (0.60) Wire of iron or steel (0.86) (0.45) Motorcycle parts (4.08) 0.54* (0.36) Road rollers (5.03) (0.42) Power tillers (2.00) (0.63) Machines (0.05) (29.0) (2.06) Taps, cocks, valves (0.05) (7.70) -3.98** (1.83) Transmission shafts (0.04) (20.6) (1.81) Fuses (0.03) 0.16 (4.62) 0.56 (1.04) Apparatus (0.00) 1.93 (3.93) 0.67*** (0.24) Apparatus parts (2.09) 0.58 (0.39) Parts suitable for apparatus (0.02) (10.2) 0.37 (0.62) Electric conductors (0.00) (2.40) 0.55*** (0.22) The null hypothesis Ho: β 1 = 0.

14 54 (720) 横浜国際社会科学研究第 14 巻第 6 号 (2010 年 2 月 ) Appendix Table A3 The exchange rate pass-through coefficients Constant (s.e.) PPI (s.e.) E /$ (s.e.) Adjusted R-squared Durbin-Watson stat 1 Light polyethylene (0.99) 0.49 (0.47) Heavy polyethylene (0.00) 0.62 (0.70) 0.39 (0.31) Tubes, pipes and hoses (0.02) (1.33) 1.41** (0.73) Boxes, cases, crates (0.04) 8.54 (9.29) (1.62) Sacks and bags (1.30) (0.45) Articles of plastics (0.02) (3.02) 0.70 (0.63) Wire of iron or steel (0.87) 0.38 (0.48) Motorcycle parts (4.06) 0.42 (0.38) Road rollers (5.04) (0.45) Power tillers (0.02) (1.99) (0.67) Machines (0.06) (29.2) (2.22) Taps, cocks, valves (0.05) (7.76) -3.29* (1.96) Transmission shafts (0.05) (20.7) (1.94) Fuses (0.03) (4.58) 2.03* (1.09) Apparatus (0.00) 2.29 (3.89) 0.78*** (0.25) Apparatus parts (2.04) 1.06*** (0.41) Parts suitable for apparatus (0.02) (10.1) 1.06* (0.65) Electric conductors (0.00) (2.41) 0.55** (0.23) The null hypothesis Ho: β 1 = 0.

15 EXCHANGE RATE PASS-THROUGH INTO VIETNAM S IMPORTS: EMPIRICAL EVIDENCE FROM JAPANESE TRADE DATA(NGUYEN CAM NHUNG) (721) 55 Appendix Table A4 The exchange rate pass-through coefficients Production name Equation 2 Equation 3 E /VND Ho: β 1 = 0 Ho: β 1 = 1 E /$ Ho: β 1 = 0 Ho: β 1 = 1 1 Light polyethylene 0.80 *** c.r 0.49 c.r c.r 2 Heavy polyethylene 0.23 c.r *** 0.39 c.r ** 3 Tubes, pipes and hoses 0.77 c.r c.r 1.41 ** c.r 4 Boxes, cases, crates c.r * c.r c.r 5 Sacks and bags c.r *** c.r *** 6 Articles of plastics c.r * 0.70 c.r c.r 7 Wire of iron or steel c.r *** 0.38 c.r c.r 8 Motorcycle parts 0.54 * c.r 0.42 c.r c.r 9 Road rollers c.r *** c.r *** 10 Power tillers c.r * c.r ** 11 Machines c.r c.r c.r c.r 12 Taps, cocks, valves ** *** * ** 13 Transmission shafts c.r c.r c.r c.r 14 Fuses 0.56 c.r c.r 2.03 * c.r 15 Apparatus 0.67 *** c.r 0.78 *** c.r 16 Apparatus parts 0.58 c.r c.r 1.06 *** c.r 17 Parts suitable for apparatus 0.37 c.r c.r 1.06 * c.r 18 Electric conductors 0.55 *** c.r 0.55 ** * Note: at 1%, at 5%, at 10%, c.r denotes cannot reject. Acknowledgements I would like to express deep gratitude to Professors Kiyotaka Sato and Craig Parsons for their useful comments and suggestions throughout this research work. I am also grateful to Ms. Kaori Okayama and the staffs of CITS who helped me to collect trade data for this study. References Campa JM, Goldberg LS, and J. M Exchange rate pass-through to import prices in the Euro Area. NBER Working paper Campa JM and Goldberg LS Exchange rate pass-through into import prices: a macro or micro phenomenon? NBER Working paper Campa JM and Goldberg LS Exchange rate pass-through into import prices. Review of Economics and Statistics, November, 87 ⑷: Campa JM and Goldberg LS Distribution margins, imported inputs, and the sensitivity of the CPI to exchange rate. NBER working paper #1212 (March). Feenstra RC Symmetric pass-through of tariffs and exchange rates under imperfect competition: an empirical test. Journal of International Economics. 27, 1 2,

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