欧洲央行提高的有效汇率和协调的竞争力指标（英）

MartinSchmitz,AndreasDietrich, RémyBrisson StatisticsPaperSeries TheECB’senhancedeffectiveexchangeratesandharmonisedcompetitivenessindicators Anupdatedweightingschemeincludingtradeinservices No49 Disclaimer:ThispapershouldnotbereportedasrepresentingtheviewsoftheEuropeanCentralBank(ECB).TheviewsexpressedarethoseoftheauthorsanddonotnecessarilyreflectthoseoftheECB. Contents Abstract2 1Introduction3 2MethodologyforcalculatingtheECB’seffectiveexchangerates6 2.1Thenominaleffectiveexchangerate6 2.2Therealeffectiveexchangerateanditsdeflators7 2.3Tradingpartnersandbasketsofcurrencies8 2.4Tradebasis10 2.5Weightingmethod11 2.6OverviewoftheavailabilityoftheECB’sEERs/HCIs16 3Bilateraltradeinmanufacturedgoodsandservices18 3.1Initialavailabilityofreporteddata18 3.2Extendingthecoveragewithmirrordata20 3.3Addressingasymmetrieswithbalancedvalues21 3.4Completingthedatasetwithagravitymodel24 3.5Finaldataset26 3.6Specificissuesoftradeinservicesdata28 4Enhancedindicatorsforcompetitivenessanalysis29 4.1Tradeweights29 4.2EERsandHCIs33 5Conclusions36 References37 Annex39 A:Summarytradeflowsdatasources39 B:Overviewofdataavailability–manufacturedgoods40 C:Overviewofdataavailability–services41 D:Symmetryindices42 Abstract Thenominaleffectiveexchangerate(EER)ofacurrencyisanindexofthetrade-weightedaverageofitsbilateralexchangeratesvis-à-visthecurrenciesofselectedtradingpartners,whiletherealEERisderivedbyadjustingthenominalindexforrelativepricesorcosts.ThenominalEERprovidesasummarymeasureofacurrency’sexternalvalue,whiletherealEERisthemostcommonlyusedindicatoroftheinternationalpriceandcostcompetitivenessofaneconomy.Additionally,forallindividualeuroareacountries,harmonisedcompetitivenessindicators(HCIs)arepublishedbytheEuropeanCentralBank(ECB)basedonthesamemethodologyastheeuroEERs.ThispaperdescribeshowthecalculationoftheECB’sEERsandHCIshasbeenenhancedtotakeintoaccountintheunderlyingtradeweightstheevolutionofinternationaltradelinkagesand,inparticular,thegrowingimportanceoftradeinservices.Thepaperincludesanin-depthdescriptionofthemethodologyusedtocalculatetheseenhancedEERsandHCIs.Inparticular,itpresentshowtoovercomethechallengesarisingfromtheinclusionofservicestrade,foremostintermsofdataavailability,withimputationandestimationtechniques.Importantly,theECB’swell-establishedmethodology–whichinparticularaccountsforcompetitionfacedbyeuroareaexportersinthirdmarkets–didnothavetobechangedwiththeinclusionofservicestrade.Finally,thepaperprovidessomeevidenceontheusefulnessoftheenhancedindicatorsforpolicymakers,economicanalystsandthepublicatlarge. JELclassification:C82,F10,F17,F30,F31,F40. Keywords:competitiveness,effectiveexchangerate(EER),harmonisedcompetitivenessindicator(HCI),nominaleffectiveexchangerate(NEER),realeffectiveexchangerate(REER),servicestrade,tradeweights,gravitymodel. 1Introduction Nominaleffectiveexchangerates(NEERs)areindicesbasedontheweightedaverageofbilateralnominalexchangeratesvis-à-visthecurrenciesofselectedtradingpartners,whilerealeffectiveexchangerates(REERs)arederivedbyadjustingthesenominalindicesforrelativepriceandcostdevelopmentsbetweenagiveneconomyanditstradingpartners.SimilarlytoNEERsandREERs,harmonisedcompetitivenessindicators(HCIs)arecomputedforindividualeuroareaMemberStates.1 NEERsprovideasummarymeasureofacurrency’svalue,whileREERsarethemostcommonlyusedindicatorofacountry’sinternationalpriceandcostcompetitivenessandrepresentakeycomponentofaneconomy’sexternalbalanceassessment.TheimportanceofREERsisreflected,forinstance,bytheirinclusioninthescoreboardoftheEuropeanCommission’smacroeconomicimbalanceprocedure(MIP)andintheInternationalMonetaryFund’s(IMF’s)externalbalanceassessment(EBA). Since2021theEERsandHCIspublishedbytheEuropeanCentralBank(ECB)havebeencompiledbytheDeutscheBundesbankinclosecooperationwiththeECB.2TheEERsandHCIswereoriginallysolelybasedonmanufacturingtradeweights(Schmitzetal.,2012),beforetheweightingschemewasexpandedin2020toalsoincludeservicestrade(FidoraandSchmitz,2020).3Whilemanufacturingtradestillaccountsforthelargestpartofeuroareatrade,tradeinserviceshasgainedimportanceinrecentdecades:extra-euroareaservicestraderelativetoGDPhasmorethandoubledsince2001andaccountedforaround30%oftotalextra-euroareatradeattheendof2021(Chart1,panelsaandb).Havingsaidthis,theroleoftheservicessectorininternationaltradeisevenlargerinvalueaddedtermsthansuggestedbygrosstradedata(JohnsonandNoguera,2012).Thegrowthinservicestradereflectsthefactthatawiderangeofheterogeneousservicesarenowadaystradedinternationally,inparticularthoseaffectedbynewtechnologiessuchasICTservicesorotherbusinessservicessuchasconsultancy,accountingandlegal(Chart2).Duetodigitalisationandincreasedvirtualproximitybetweencountries,suchservicescanincreasinglybedeliveredatdistancewithoutphysicalinteractionbetweenproducersandcustomers(HellmanzikandSchmitz,2015)whichalsogivesrisetotradeinintermediateservices(Baldwin,2022).Moreover,euroareaservicestradeisaffectedbypricecompetitivenessdevelopmentsinasimilarfashiontomanufacturedgoods(ChristodoulopoulouandTkacevs,2016).F