Chapter

Statistical Appendix

Author(s):
Peter Clark, Shang-Jin Wei, Natalia Tamirisa, Azim Sadikov, and Li Zeng
Published Date:
September 2004
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Table A1.List of Countries in Major Country Groupings
Advanced EconomiesTransition EconomiesEmerging EconomiesRest of the World
AustraliaAlbaniaArgentinaAfghanistan, I.S. of
AustriaArmeniaBrazilAlgeria
BelgiumAzerbaijanChileAngola
CanadaBelarusChina, P.R.Antigua and Barbuda
CyprusBulgariaChina, P.R., Hong Kong SARAruba
DenmarkCroatiaColombiaBahamas, The
FinlandCzechoslovakiaEcuadorBahrain, Kingdom of
FranceCzech RepublicIndonesiaBangladesh
GermanyEstoniaKoreaBarbados
GreeceGeorgiaMalaysiaBelize
IcelandHungaryMexicoBenin
IrelandKazakhstanPanamaBolivia
IsraelKyrgyz RepublicPeruBurkina Faso
ItalyLatviaPhilippinesBurundi
JapanLithuaniaSingaporeCambodia
LuxembourgMacedonia, FYRSouth AfricaCameroon
NetherlandsMoldovaThailandCape Verde
New ZealandMongoliaTurkeyCentral African Rep.
NorwayPolandUruguayChad
PortugalRomaniaVenezuela, Rep. Bol.China, P.R., Macao SAR
SpainRussiaCongo, Dem. Rep. of
SwedenSerbia and MontenegroCongo, Republic of
SwitzerlandSlovak RepublicCosta Rica
United KingdomSloveniaCôte d’Ivoire
United StatesUkraineDjibouti
Dominica
Dominican Republic
Egypt
El Salvador
Equatorial Guinea
Ethiopia
Fiji
Gabon
Gambia, The
Ghana
Grenada
Guatemala
Guiana, French
Guinea-Bissau
Guyana
Haiti
Honduras
India
Iran, I.R. of
Iraq
Jamaica
Jordan
Kenya
Kuwait
Lao People’s Dem. Rep.
Lebanon
Liberia
Libya
Madagascar
Malawi
Maldives
Mali
Malta
Martinique
Mauritania
Mauritius
Morocco
Mozambique
Myanmar
Nepal
Netherlands Antilles
Nicaragua
Niger
Nigeria
Oman
Pakistan
Papua New Guinea
Paraguay
Qatar
Réunion
Rwanda
St. Kitts and Nevis
St. Lucia
St. Vincent and the Grenadines
Samoa
Saudi Arabia
Senegal
Seychelles
Sierra Leone
Solomon Islands
Sri Lanka
Sudan
Suriname
Syrian Arab Republic
Tanzania
Togo
Tonga
Trinidad and Tobago
Tunisia
Uganda
Vanuatu
Vietnam
Yemen, Republic of
Zambia
Zimbabwe
Table A2.List of Countries in Regional Groups of Developing Countries and by Source of Export Earnings
Sub-Saharan Africa1Developing AsiaMiddle East and TurkeyWestern HemisphereFuel ExportersNonfuel Primary Product Exporters
AngolaAfghanistan, I.S. ofBahrain, Kingdom ofAntigua and BarbudaAlgeriaAfghanistan, I.S. of
BeninBangladeshEgyptArgentinaAngolaBolivia
Burkina FasoCambodiaIran, I.R. ofBahamas, TheBahrain, Kingdom ofBurkina Faso
BurundiFijiIraqBarbadosCongo, Republic ofBurundi
CameroonIndonesiaJordanBelizeEquatorial GuineaChad
Cape VerdeLao People’s Dem. Rep.KuwaitBoliviaGabonChile
Central African Rep.MalaysiaLebanonBrazilIran, I.R. ofCongo, Dem. Rep. of
ChadMaldivesLibyaChileIraqCôte d’Ivoire
Congo, Dem. Rep. ofMyanmarMaltaColombiaKuwaitEthiopia
Congo, Republic ofNepalOmanCosta RicaLibyaGhana
Côte d’IvoirePakistanQatarDominicaNigeriaGuinea-Bissau
DjiboutiPapua New GuineaSaudi ArabiaDominican RepublicOmanGuyana
Equatorial GuineaPhilippinesSyrian Arab RepublicEcuadorQatarLiberia
EthiopiaSamoaTurkeyEl SalvadorSaudi ArabiaMalawi
GabonSolomon IslandsYemen, Republic ofGrenadaVenezuela, Rep. Bol.Mali
Gambia, TheSri LankaGuatemalaYemen, Republic ofMauritania
GhanaThailandGuyanaNiger
Guinea-BissauTongaHaitiPapua New Guinea
KenyaVanuatuHondurasRwanda
LiberiaVietnamJamaicaSierra Leone
MadagascarMexicoSolomon Islands
MalawiNetherlands AntillesTogo
MaliNicaraguaUganda
MauritaniaPanamaZambia
MauritiusParaguayZimbabwe
MozambiquePeru
NigerSt. Kitts and Nevis
RwandaSt. Lucia
SenegalSt. Vincent & Grenadines
SeychellesSuriname
Sierra LeoneTrinidad and Tobago
SudanUruguay
TanzaniaVenezuela, Rep. Bol. de
Togo
Uganda
Zambia
Zimbabwe

Excludes Nigeria and South Africa.

Excludes Nigeria and South Africa.

Table A3.Correspondence Between the Official/IMF and Natural Regime Classification, 1970–20011
Official IMF Classification2
Natural Classification3PegLimited FlexibilityManaged FloatingFreely FloatingTotal
Peg84.298.175.002.54100
53.5346.618.485.1835.33
Limited Flexibility34.868.8235.8420.48100
16.1336.6544.2830.4225.74
Managed Floating55.101.2324.6019.07100
22.584.5226.9225.0822.8
Freely Floating12.5816.981.2669.18100
1.0112.220.2717.804.46
Freely Falling32.21035.8231.97100
6.75020.0521.5211.67
Total55.646.2020.8417.33100
100100100100100
Note: The top member in each classification is the row percentage, and the bottom number is the column percentage.

The statistics are derived from a sample of 150 countries.

Based on the IMF’s Annual Report on Exchange Arrangements and Exchange Restrictions.

Based on Reinhart and Rogoff (2002).

Note: The top member in each classification is the row percentage, and the bottom number is the column percentage.

The statistics are derived from a sample of 150 countries.

Based on the IMF’s Annual Report on Exchange Arrangements and Exchange Restrictions.

Based on Reinhart and Rogoff (2002).

Table A4.Official Classification of the Distribution of Exchange Rate Regimes Across Country Groups, 1970–20011
IMF Classification2
Country GroupsPegLimited FlexibilityManaged FloatingFreely FloatingTotal
Advanced32.3225.4613.7228.50100
11.3187.3313.2733.0819.82
Emerging39.520.6343.9715.87100
11.501.8135.3315.3116.47
Transition35.06034.3230.63100
4.39011.8612.717.09
Developing72.841.1114.3211.73100
72.8110.8639.5438.9056.62
Total56.645.7820.5017.08100
100100100100100
Note: The top number in each classification is the row percentage, and the bottom number is the column percentage.

The above statistics are derived from a sample of 150 countries.

Based on the IMF’s Annual Report on Exchange Arrangements and Exchange Restrictions.

Note: The top number in each classification is the row percentage, and the bottom number is the column percentage.

The above statistics are derived from a sample of 150 countries.

Based on the IMF’s Annual Report on Exchange Arrangements and Exchange Restrictions.

Table A5.Natural Classification of the Distribution of Exchange Rate Regimes Across Country Groups, 1970–20011
Natural Classification2
Country GroupsPegLimited FlexibilityManaged FloatingFreely FloatingFreely FallingTotal
Advanced26.8240.6317.7111.982.86100
15.1633.3016.3157.145.1420.65
Emerging26.4124.8424.532.9721.25100
12.4416.9718.8211.8031.7817.21
Transition13.8125.0019.033.7338.43100
2.727.156.126.2124.077.21
Developing46.3519.5323.981.968.17100
69.6842.5858.7524.8439.0254.93
Total36.5425.1922.434.3311.51100
100100100100100100
Note: The top number in each classification is the row percentage, and the bottom number is the column percentage.

The above statistics are derived from a sample of 150 countries.

Based on Reinhart and Rogoff (2002).

Note: The top number in each classification is the row percentage, and the bottom number is the column percentage.

The above statistics are derived from a sample of 150 countries.

Based on Reinhart and Rogoff (2002).

Table A6.List of Countries in the Real Parallel Exchange Rate Data Set
Advanced EconomiesTransition EconomiesEmerging EconomiesRest of the World
AustraliaBelarusArgentinaAfghanistan, I.S. of
AustriaBulgariaBrazilAlgeria
BelgiumCzech RepublicChileBangladesh
CanadaEstoniaChina, P.R.Benin
CyprusHungaryChina, P.R., Hong Kong SARBolivia
DenmarkLatviaColombiaBurundi
FinlandLithuaniaEcuadorCongo, Dem. Rep. of
FrancePolandIndonesiaCosta Rica
GermanyRomaniaKoreaDominican Republic
GreeceRussiaMalaysiaEgypt
IcelandSerbia and MontenegroMexicoEl Salvador
IrelandUkrainePeruEthiopia
IsraelPhilippinesGambia, The
ItalySingaporeGhana
JapanSouth AfricaGuatemala
NetherlandsThailandGuyana
New ZealandTurkeyHaiti
NorwayUruguayHonduras
PortugalVenezuela, Rep. Bol.India
SpainIran, I.R. of
SwedenIraq
SwitzerlandJamaica
United KingdomJordan
United StatesKenya
Kuwait
Lao People’s Dem. Rep.
Lebanon
Liberia
Libya
Madagascar
Malawi
Malta
Mauritania
Mauritius
Morocco
Myanmar
Nepal
Nicaragua
Nigeria
Pakistan
Paraguay
Saudi Arabia
Sierra Leone
Sri Lanka
Suriname
Syrian Arab Republic
Tanzania
Tunisia
Uganda
Vietnam
Zambia
Zimbabwe
Table A7.Short-Run Effective Volatility of Real IFS Exchange Rate: Smaller Sample of Major Country Groups
YearG-7Advanced EconomiesTransition EconomiesEmerging Market EconomiesOther Countries of the World
19701.391.171.566.151.82
19711.751.936.341.992.33
19721.761.632.414.173.68
19732.842.733.266.824.17
19742.262.353.053.893.08
19751.711.771.944.893.21
19762.382.252.424.702.86
19771.982.401.864.972.74
19782.412.203.212.813.47
19791.941.782.312.184.12
19802.011.845.832.712.73
19812.282.233.893.015.47
19822.672.614.336.464.04
19831.972.053.343.655.68
19841.791.963.613.844.16
19852.472.384.234.247.52
19862.492.394.484.496.61
19871.961.906.493.035.75
19881.961.904.605.278.56
19892.122.1911.717.375.18
19902.101.8113.554.685.04
19912.032.0322.043.454.89
19923.022.8427.352.785.17
19932.492.416.522.486.29
19941.731.627.233.607.22
19952.662.234.533.543.15
19961.331.333.561.872.25
19972.162.005.783.553.19
19982.552.298.435.023.74
1970–802.042.013.114.113.11
1981–902.182.146.834.625.87
1991–982.252.098.833.294.47
1970–982.142.087.464.044.55
Table A8.Short-Run Effective Volatility of Real Parallel Exchange Rate: Smaller Sample of Major Country Groups
YearG-7Advanced EconomiesTransition EconomiesEmerging Market EconomiesOther Countries of the World
19702.271.884.878.474.15
19712.012.435.584.754.93
19722.322.273.974.985.57
19734.024.064.487.516.95
19746.006.186.715.748.10
19752.784.144.814.876.57
19763.954.265.587.156.01
19772.903.836.836.316.49
19784.294.587.884.546.44
19793.343.599.473.176.96
19803.373.559.864.148.50
19814.394.837.326.2810.01
19824.244.677.139.619.65
19833.714.706.599.427.87
19843.884.497.826.607.67
19853.583.698.308.1410.15
19863.533.7210.676.608.52
19872.892.947.537.529.09
19882.782.798.487.2712.42
19893.173.3516.169.648.47
19902.832.7113.7610.886.32
19912.712.9110.164.926.71
19923.643.6615.184.846.40
19933.714.658.153.946.80
19942.091.896.044.436.33
19953.132.746.233.574.49
19961.891.834.572.503.58
19972.632.518.573.874.79
19983.032.706.965.263.98
1970–803.393.716.855.596.50
1981–903.503.799.998.229.02
1991–982.862.867.864.175.37
1970–983.283.498.236.087.02
Table A9.The Role of Exchange Rate Volatility in Trade: Main Results
Country FE + Time FECountry Pair FE + Time FETime-Varying Country EffectsCountry FE + Time FE with Full SampleTime-Varying Country Effects with Full Sample
Variable(1)(2)(3)(4)(5)
Long-run volatility of real official exchange rate−2.37−2.402.89−1.16−1.17
(0.67)(0.47)(1.78)(0.22)(0.83)
Dummy for common currency union1.350.251.431.351.30
(0.14)(0.38)(0.14)(0.12)(0.12)
Log of real GDP product0.200.490.830.100.06
(0.13)(0.10)(0.19)(0.11)(0.27)
Log of real per capita GDP product−0.06−0.250.070.000.83
(0.12)(0.09)(0.22)(0.10)(0.28)
Log of distance−1.52−1.54−1.50−1.50
(0.02)(0.02)(0.02)(0.02)
Common language dummy0.250.260.360.36
(0.05)(0.05)(0.04)(0.04)
Common border dummy−0.12−0.110.360.35
(0.10)(0.10)(0.08)(0.08)
Number of landlocked countries in the country pair0.11−1.370.28−0.22
(0.50)(0.39)(0.32)(0.47)
Number of island countries in the country pair2.540.862.12−0.11
(0.36)(0.77)(0.27)(0.4)
Log of area product0.52−0.030.560.16
(0.08)(0.18)(0.07)(0.14)
Dummy for same colonizer after 19450.700.720.590.61
(0.07)(0.07)(0.06)(0.06)
Dummy for both currently being colonies0.310.21−1.120.59−1.05
(0.47)(0.98)(0.16)(0.44)(0.14)
Dummy for common nation0.832.330.572.29
(0.57)(0.37)(0.53)(0.33)
Dummy for being colonizer and colony to each other1.461.451.311.29
(0.07)(0.07)(0.06)(0.06)
Dummy for common Free Trade Agreement membership0.280.250.270.390.40
(0.08)(0.10)(0.08)(0.06)(0.07)
Dummy for one in World Trade Organization0.260.101.800.222.03
(0.12)(0.10)(0.55)(0.09)(0.49)
Dummy for both in World Trade Organization0.430.223.520.414.01
(0.14)(0.10)(1.10)(0.11)(0.97)
Dummy for Generalized System of Preferences0.630.450.590.710.67
(0.03)(0.09)(0.03)(0.03)(0.03)
Time-fixed effectsYesYesNoYesNo
Country-fixed effectsYesNoNoYesNo
Country pair–fixed effectsNoYesNoNoNo
Time-varying country effectsNoNoYesNoYes
Number of observations16,23816,23816,23826,26726,267
R-squared0.790.490.810.750.77
Root mean squared errors1.641.601.761.71
Note: FE = fixed effects. Numbers in parentheses are standard errors.
Note: FE = fixed effects. Numbers in parentheses are standard errors.
Table A10.Controlling for Endogeneity of Exchange Rate Volatility
Real Exchange RateNominal Exchange Rate
Variable(1)(2)(3)(4)(5)(6)
Relative Money Supply as Instrumental Variable1
Long-run volatility of real official exchange rate−22.64−6.49−23.82
(12.5)(6.24)(28.87)
Long-run volatility of nominal official exchange rate−25.98−7.78−17.92
(14.50)(7.52)(21.72)
Log of real GDP product0.370.520.440.620.600.45
(0.2)(0.12)(0.41)(0.31)(0.16)(0.40)
Log of real per capita GDP product−0.25−0.280.35−0.52−0.360.41
(0.19)(0.12)(0.35)(0.32)(0.17)(0.41)
Log of distance−1.52−1.52−1.49−1.52
(0.04)(0.09)(0.06)(0.08)
Common language dummy0.270.270.220.26
(0.06)(0.10)(0.08)(0.10)
Common border dummy−0.08−0.12−0.10−0.12
(0.12)(0.14)(0.12)(0.14)
Number of landlocked countries in the country pair−1.41−1.38−1.86−1.16
(0.56)(0.39)(0.72)(0.51)
Number of island countries in the country pair1.76−1.641.36−0.87
(0.70)(2.79)(0.91)(1.87)
Log of area product0.440.540.310.43
(0.11)(0.60)(0.16)(0.46)
Dummy for same colonizer after 19450.780.790.700.76
(0.09)(0.13)(0.12)(0.16)
Dummy for being colonizer and colony to each other1.331.331.321.31
(0.08)(0.08)(0.09)(0.08)
Dummy for common Free Trade Agreement membership0.270.230.260.300.240.29
(0.09)(0.11)(0.13)(0.09)(0.11)(0.10)
Dummy for one in World Trade Organization0.14−0.02−1.770.16−0.02−0.65
(0.16)(0.11)(3.83)(0.16)(0.11)(2.48)
Dummy for both in World Trade Organization0.110.12−3.630.100.11−1.41
(0.29)(0.15)(7.69)(0.30)(0.16)(5.01)
Dummy for Generalized System of Preferences0.660.440.630.650.430.63
(0.03)(0.11)(0.04)(0.03)(0.11)(0.03)
Time-fixed effectsYesYesNoYesYesNo
Country-fixed effectsYesNoNoYesNoNo
Country pair–fixed effectsNoYesNoNoYesNo
Time-varying country effectsNoNoYesNoNoYes
Number of observations14,34314,34314,34314,34314,34314,343
R-squared0.770.480.800.760.460.80
Root mean squared errors1.711.621.741.62
Common Anchor Dummy as Instrumental Variable2
Long-run volatility of real official exchange rate−10.6229.06−7.23
(7.45)(17.79)(7.73)
Long-run volatility of nominal official exchange rate−7.0627.75−4.37
(4.92)(17.17)(4.67)
Log of real GDP product0.661.081.060.730.831.02
(0.20)(0.18)(0.12)(0.20)(0.21)(0.1)
Log of real per capita GDP product0.311.070.360.311.410.45
(0.26)(0.48)(0.16)(0.26)(0.69)(0.11)
Log of distance−1.45−1.46−1.45−1.46
(0.04)(0.04)(0.04)(0.04)
Common language dummy0.350.360.360.36
(0.07)(0.07)(0.07)(0.07)
Common border dummy0.240.250.240.25
(0.14)(0.14)(0.14)(0.14)
Number of landlocked countries in the country pair−2.19−0.78−2.43−0.81
(1.44)(0.47)(1.36)(0.47)
Number of island countries in the country pair−2.390.17−2.000.13
(1.02)(0.33)(0.93)(0.32)
Log of area product0.08−0.170.02−0.16
(0.14)(0.07)(0.12)(0.06)
Dummy for same colonizer after 19451.001.020.991.01
(0.10)(0.10)(0.10)(0.10)
Dummy for being colonizer and colony to each other0.950.950.950.94
(0.20)(0.20)(0.20)(0.20)
Dummy for common Free Trade Agreement Membership0.810.740.690.820.770.70
(0.17)(0.31)(0.18)(0.17)(0.33)(0.18)
Dummy for one in World Trade Organization0.02−0.050.700.04−0.090.84
(0.16)(0.16)(0.39)(0.15)(0.15)(0.34)
Dummy for both in World Trade Organization0.010.411.400.060.381.66
(0.22)(0.29)(0.73)(0.20)(0.28)(0.63)
Dummy for Generalized System of Preferences0.660.200.640.660.200.64
(0.04)(0.20)(0.04)(0.04)(0.20)(0.04)
Time-fixed effectsYesYesNoYesYesNo
Country-fixed effectsYesNoNoYesNoNo
Country pair–fixed effectsNoYesNoNoYesNo
Time-varying country effectsNoNoYesNoNoYes
Number of observations8,5318,5318,5318,5318,5318,531
R-squared0.750.520.770.760.490.77
Root mean squared errors1.721.681.711.68
Propensity to Share a Common Anchor Dummy as Instrumental Variable3
Long-run volatility of real official exchange rate−46.60−19.76−34.99
(12.99)(20.98)(8.86)
Long-run volatility of nominal official exchange rate−32.91−11.48−24.65
(8.77)(11.44)(6.14)
Log of real GDP product1.871.531.192.031.551.19
(0.37)(0.29)(0.09)(0.35)(0.29)(0.09)
Log of real per capita GDP product−1.89−0.800.47−1.70−0.530.60
(0.67)(1.10)(0.15)(0.59)(0.77)(0.14)
Log of distance−1.18−1.22−1.21−1.24
(0.07)(0.05)(0.06)(0.05)
Common language dummy0.510.480.490.48
(0.10)(0.09)(0.09)(0.09)
Common border dummy−0.17−0.09−0.21−0.13
(0.21)(0.18)(0.20)(0.18)
Number of landlocked countries in the country pair−6.01−0.34−4.73−0.38
(1.86)(0.31)(1.49)(0.30)
Number of island countries in the country pair0.36−0.201.34−0.12
(1.55)(0.34)(1.42)(0.34)
Log of area product−0.37−0.06−0.49−0.07
(0.22)(0.07)(0.20)(0.07)
Dummy for same colonizer after 19450.550.660.530.64
(0.19)(0.15)(0.18)(0.15)
Dummy for being colonizer and colony to each other0.800.890.810.87
(0.24)(0.21)(0.22)(0.20)
Dummy for common Free Trade Agreement membership0.030.250.000.110.310.05
(0.22)(0.26)(0.21)(0.21)(0.22)(0.20)
Dummy for one in World Trade Organization−0.75−0.18−1.60−0.53−0.07−0.49
(0.31)(0.25)(0.63)(0.26)(0.18)(0.48)
Dummy for both in World Trade Organization−1.62−0.53−3.06−1.16−0.27−0.87
(0.52)(0.58)(1.22)(0.40)(0.31)(0.91)
Dummy for Generalized System of Preferences0.62−0.220.630.60−0.270.61
(0.06)(0.32)(0.05)(0.05)(0.28)(0.05)
Time-fixed effectsYesYesNoYesYesNo
Country-fixed effectsYesNoNoYesNoNo
Country pair–fixed effectsNoYesNoNoYesNo
Time-varying country effectsNoNoYesNoNoYes
Number of observations4,8014,8014,8014,8014,8014,801
R-squared0.730.440.810.760.490.81
Root mean squared errors1.781.531.681.52
Note: Numbers in parentheses are standard errors.

The instrumental variable is the long-run volatility of the relative money supply, constructed similarly to that of Frankel and Wei (1993).

The instrumental variable is a common anchor dummy constructed by Tenreyro (2003).

The instrumental variable is propensity to share a common anchor, estimated based on Tenreyro (2003).

Note: Numbers in parentheses are standard errors.

The instrumental variable is the long-run volatility of the relative money supply, constructed similarly to that of Frankel and Wei (1993).

The instrumental variable is a common anchor dummy constructed by Tenreyro (2003).

The instrumental variable is propensity to share a common anchor, estimated based on Tenreyro (2003).

Table A11.Alternative Measures of Volatility: Short Run and Long Run, Parallel Market, Nominal, and Conditional(In percent)
LR, SR, Official, and RealLR, Official, Parallel, and RealLR, SR, Official, Parallel, and RealLR, Official, and NominalConditional, Official, and Real
Variable(1)(2)(3)(4)(5)
Long-run official real volatility−3.86−1.86−3.92
(0.88)(0.98)(1.30)
Short-run official real volatility−1.87−2.72
Long-run official real rolatility(0.71)(1.04)
Long-run parallel real volatility−1.55−1.20
Long-run official real volatility(0.60)(0.63)
Shot-run parallel real volatility−0.55
Short-run official real volatility(0.73)
Long-run official nominal volatility−2.60
(0.60)
Volatility conditional upon historical information−2.20
(0.92)
Dummy for common currency union1.371.301.41
(0.14)(0.14)(0.14)
Log of real GDP product0.180.210.210.220.18
(0.13)(0.19)(0.19)(0.13)(0.13)
Log of real per capita GDP product−0.051.041.03−0.09−0.04
(0.12)(0.21)(0.21)(0.12)(0.12)
Log of distance−1.51−1.40−1.39−1.51−1.52
(0.02)(0.03)(0.03)(0.02)(0.02)
Common language dummy0.250.300.300.250.25
(0.05)(0.06)(0.06)(0.05)(0.05)
Common border dummy−0.12−0.26−0.22−0.12−0.12
(0.09)(0.12)(0.12)(0.10)(0.10)
Number of landlocked countries in the country pair−3.12−3.06−3.33−0.010.10
(0.56)(0.69)(0.55)(0.50)(0.50)
Number of island countries in the country pair0.56−3.08−5.112.512.58
(0.54)(0.72)(1.11)(0.36)(0.36)
Log of area product0.530.270.230.500.52
(0.09)(0.10)(0.12)(0.08)(0.08)
Dummy for same colonizer after 19450.680.700.700.700.70
(0.07)(0.11)(0.11)(0.07)(0.07)
Dummy for both currently being colonies0.31−0.81−0.820.280.29
(0.48)(0.16)(0.16)(0.46)(0.47)
Dummy for common nation0.800.910.84
(0.58)(0.57)(0.57)
Dummy for being colonizer and colony to each other1.441.011.001.451.46
(0.07)(0.09)(0.09)(0.07)(0.07)
Dummy for common Free Trade Agreement membership0.27−0.49−0.500.280.28
(0.08)(0.11)(0.11)(0.08)(0.08)
Dummy for one in World Trade Organization0.27−0.14−0.180.260.29
(0.12)(0.18)(0.18)(0.12)(0.12)
Dummy for both in World Trade Organization0.43−0.15−0.180.430.49
(0.14)(0.22)(0.22)(0.14)(0.14)
Dummy for Generalized System of Preferences0.630.590.600.630.63
(0.03)(0.04)(0.04)(0.03)(0.03)
Time-fixed effectsYesYesYesYesYes
Country-fixed effectsYesYesYesYesYes
Number of observations16,0856,9886,94916,23816,238
R-squared0.790.820.830.790.79
Root mean squared errors1.641.441.441.641.65
Note: LR = long run; SR = short run. Numbers in parentheses are standard errors.
Note: LR = long run; SR = short run. Numbers in parentheses are standard errors.
Table A12.Country Pair–Fixed Effects
LR, SR, Official, and RealLR, Official, Parallel, and RealLR, SR, Official, Parallel, and RealLR, Official, and NominalConditional, Official, and Real
Variable(1)(2)(3)(4)(5)
Long-run official real volatlity−4.84−1.43−4.72
(0.61)(0.60)(0.76)
Short-run official real volatility−2.97−4.15
Long-run official real volatility(0.44)(0.55)
Long-run parallel real volatility−0.94−0.42
Long-run official real volatility(0.34)(0.34)
Short-run parallel real volatility−1.14
Short-run official real volatility(0.41)
Long-run official nominal volatility−2.51
(0.43)
Volatility conditional upon historical information−4.12
(0.70)
Dummy for common currency union0.220.200.28
(0.38)(0.38)(0.38)
Log of real GDP product0.500.610.650.510.50
(0.10)(0.13)(0.13)(0.10)(0.10)
Log of real per capita GDP product−0.250.520.47−0.27−0.24
(0.09)(0.14)(0.13)(0.09)(0.09)
Dummy for both currently being colonies0.170.150.16
(0.98)(0.98)(0.98)
Dummy for common Free Trade Agreement membership0.250.290.330.260.24
(0.10)(0.13)(0.13)(0.10)(0.10)
Dummy for one in World Trade Organization0.10−0.24−0.250.100.13
(0.10)(0.13)(0.13)(0.10)(0.10)
Dummy for both in World Trade Organization0.24−0.20−0.200.220.29
(0.10)(0.14)(0.14)(0.10)(0.10)
Dummy for Generalized System of Preferences0.430.030.000.450.46
(0.10)(0.14)(0.14)(0.09)(0.09)
Time-fixed effectsYesYesYesYesYes
Country pair–fixed effectsYesYesYesYesYes
Number of observations16,0856,9886,94916,23816,238
R-squared errors0.490.690.690.480.49
Note: LR = long run; SR = short run. Numbers in parentheses are standard errors.
Note: LR = long run; SR = short run. Numbers in parentheses are standard errors.
Table A13.Time-Varying Country Effects
LR, SR, Official, and RealLR, Official, Parallel, and RealLR, SR, Official, Parallel, and RealLR, Official, Real, Effective, and RealConditional, Official, and Real
Variable(1)(2)(3)(4)(5)
Long-run official real volatility5.993.347.523.64
(2.14)(3.25)(3.89)(1.58)
Short-run official real volatility4.196.70
Long-run official real volatility(1.88)(3.24)
Long-run parallel real volatility−2.01−2.20
Long-run official real volatility(2.69)(2.71)
Short-run parallel real volatility−1.55
Short-run official real volatility(2.80)
Sum of effective long-run official real volatility of country pairs−6.20
(1.52)
Volatility conditional upon historical information0.97
(1.50)
Dummy for common currency union1.421.491.36
(0.14)(0.15)(0.14)
Log of real GDP product0.810.970.990.240.72
(0.18)(0.09)(0.09)(0.14)(0.17)
Log of real per capita GDP product0.120.690.83−0.080.19
(0.22)(0.09)(0.13)(0.12)(0.21)
Log of distance−1.54−1.42−1.43−1.53−1.53
(0.02)(0.03)(0.03)(0.03)(0.02)
Common language dummy0.270.300.310.260.25
(0.05)(0.06)(0.06)(0.05)(0.05)
Common border dummy−0.11−0.22−0.17−0.13−0.12
(0.09)(0.12)(0.12)(0.09)(0.10)
Number of landlocked countries in the country pair−1.27−0.19−0.75−2.97−1.26
(0.39)(0.25)(0.29)(0.59)(0.39)
Number of island countries in the country pair0.971.160.770.521.02
(0.75)(0.26)(0.26)(0.52)(0.76)
Log of area product0.01−0.20−0.210.520.10
(0.18)(0.04)(0.04)(0.08)(0.16)
Dummy for same colonizer after 19450.710.720.700.730.72
(0.07)(0.11)(0.11)(0.07)(0.07)
Dummy for both currently being colonies−1.14−0.75−0.700.00−1.11
(0.16)(0.18)(0.19)(0.57)(0.16)
Dummy for common nation2.421.212.33
(0.38)(0.66)(0.37)
Dummy for being colonizer and colony to each other1.451.001.001.471.45
(0.07)(0.09)(0.09)(0.07)(0.07)
Dummy for common Free Trade Agreement membership0.26−0.57−0.560.300.26
(0.08)(0.11)(0.11)(0.08)(0.08)
Dummy for one in World Trade Organization1.780.640.100.261.78
(0.54)(0.35)(0.41)(0.13)(0.55)
Dummy for both in World Trade Organization3.491.400.380.413.46
(1.06)(0.64)(0.75)(0.15)(1.09)
Dummy for Generalized System of Preferences0.580.570.560.650.59
(0.03)(0.04)(0.04)(0.03)(0.03)
Time-fixed effectsNoNoNoYesNo
Country-fixed effectsNoNoNoYesNo
Time-varying country effectsYesYesYesNoYes
Number of observations16,0856,9886,94915,15716,238
R-squared0.810.830.840.790.81
Root mean squared errors1.591.431.421.621.60
Note: LR = long run; SR = short run. Numbers in parentheses are standard errors.
Note: LR = long run; SR = short run. Numbers in parentheses are standard errors.
Table A14.Differentiation by Product Type1
With Country-Fixed EffectWith Time-Varying Country Effect
VariableHomogeneousDifferentiatedHomogeneousDifferentiated
Long-run official real volatility−0.59−2.89−2.970.98
(2.12)(1.66)(4.39)(3.06)
Log of real GDP product2.293.180.840.23
(0.28)(0.22)(0.09)(0.12)
Log of real per capita GDP product−2.16−3.24−0.790.49
(0.28)(0.22)(0.20)(0.24)
Log of distance−2.06−1.01−2.11−1.08
(0.04)(0.03)(0.04)(0.03)
Common language dummy0.050.300.040.33
(0.09)(0.07)(0.08)(0.06)
Common border dummy−0.95−0.23−0.99−0.28
(0.14)(0.11)(0.12)(0.08)
Number of landlocked countries in the country pair−1.99−6.411.280.62
(0.46)(1.22)(0.41)(0.48)
Number of island countries in the country pair−6.82−12.114.68−3.97
(1.59)(1.25)(0.51)(0.63)
Log of area product−2.12−3.36−0.29−0.16
(0.34)(0.26)(0.08)(0.11)
Dummy for same colonizer after 19450.430.350.470.26
(0.27)(0.21)(0.24)(0.17)
Dummy for both currently being colonies0.490.120.130.04
(1.16)(0.91)(1.05)(0.73)
Dummy for being colonizer and colony to each other0.890.790.890.81
(0.16)(0.12)(0.14)(0.10)
Dummy for common Free Trade Agreement membership−0.340.05−0.510.06
(0.11)(0.08)(0.11)(0.08)
Dummy for one in World Trade Organization0.671.31−0.02−0.12
(1.16)(0.90)(0.54)(0.38)
Dummy for both in World Trade Organization0.990.96
(1.16)(0.91)
Dummy for Generalized System of Preferences−0.510.51−0.410.55
(0.09)(0.07)(0.08)(0.06)
Time-fixed effectsYesYesNoNo
Country-fixed effectsYesYesNoNo
Time-varying country effectNoNoYesYes
Number of observations4,3704,3704,3704,370
R-squared0.720.820.780.89
Root mean squared errors1.611.261.430.99
Note: Numbers in parentheses are standard errors.

Using seemingly unrelated regressions (SUR) technique.

Note: Numbers in parentheses are standard errors.

Using seemingly unrelated regressions (SUR) technique.

Table A15.Differentiation by Country Type1
Developed and Developing Countries
Variable(1)(2)
Long-run official real volatility43.4747.90
(3.54)(3.85)
Long-run official real volatility (NS dummy)−45.70−47.59
(3.60)(3.90)
Long-run official real volatility (SS dummy)−46.69−47.92
(3.64)(4.00)
Dummy for common currency union−0.62−0.60
(0.23)(0.21)
(Currency union dummy) (SS dummy)2.112.12
(0.27)(0.25)
Dummy for north-south country pair−0.491.11
(0.28)(0.45)
Dummy for south-south country pair−2.490.56
(0.52)(0.87)
Time-fixed effectsYesNo
Country-fixed effectsYesNo
Time-varying country effectsNoYes
Number of observations16,23816,238
R-squared0.790.81
Root mean squared errors1.641.59
Note: NS = trade among advanced and developing countries; SS = trade among developing countries. Numbers in parentheses are standard errors.

The estimated coefficients for standard control dummies in the baseline specification are not reported.

Note: NS = trade among advanced and developing countries; SS = trade among developing countries. Numbers in parentheses are standard errors.

The estimated coefficients for standard control dummies in the baseline specification are not reported.

Table A16.Summary Statistics and Correlations
Summary Statistics of Main Variables for Aggregate Trade Data
Full-Sample
VariableCode in Data SetNumber of ObservationsMeanStandard DeviationMinimumMaximum
Long-run official real volatlityvol_lor26,3950.0660.0760.0031.405
Long-run official nominal volatilityvol_lon37,2540.0620.08100.979
Long-run parallel real volatilityvol_lpr11,8440.0900.0740.0070.684
Long-run parallel nominal volatilityvol_lpn16,3020.0890.07300.596
Short-run official real volatilityvol_sor26,4440.0460.0650.0010.836
Short-run official nominal volatilityvol_son37,4160.0410.06900.900
Short-run parallel real volatilityvol_spr12,5750.0730.0750.0000.664
Short-run parallel nominal volatilityvol_spn16,7530.0730.06900.561
Log of bilateral tradeltrade37,4439.9833.541−16.09020.890
Log of real GDP productlrgdp37,59347.9732.76536.12858.356
Log of real per capita GDP productlrgdppc37,59316.0471.6629.16020.850
Sample for Regressions
VariableCode in Data SetNumber of ObservationsMeanStandard DeviationMinimumMaximum
Long-run official real volatilityvol_lor16,3030.0430.0280.0030.293
Long-run official nominal volatilityvol_lon16,3030.0390.03100.271
Long-run parallel real volatilityvol_lpr6,9880.0660.0540.0070.541
Long-run parallel nominal volatilityvol_lpn6,9880.0630.05200.517
Short-run official real volatilityvol_sor16,1490.0340.0250.0020.254
Short-run official nominal volatilityvol_son16,3030.0280.02700.267
Short-run parallel real volatilityvol_spr7,1900.0520.0390.0000.393
Short-run parallel nominal volatilityvol_spn7,2290.0490.04000.387
Conditional volatilitycvol16,3030.0470.0210.0030.191
Log of bilateral tradeltrade16,23810.4583.573−8.07620.890
Log of real GDP productlrgdp16,30348.2962.85237.36858.356
Log of real per capita GDP productlrgdppc16,30316.2641.7339.16020.850
Correlation Matrix of Main Variables for Aggregate Trade Data
(1)(2)(3)(4)(5)(6)(7)(8)(9)(10)(11)(12)
(1)Long-run official real volatility1.00
(2)Long-run official nominal volatility0.961.00
(3)Long-run parallel real volatility0.440.521.00
(4)Long-run parallel nominal volatility0.420.510.991.00
(5)Short-run official real volatility0.380.400.370.361.00
(6)Short-run official nominal volatility0.350.400.380.370.971.00
(7)Short-run parallel real volatility0.150.120.240.240.310.271.00
(8)Short-run parallel nominal volatility0.120.100.210.210.290.250.991.00
(9)Log of bilateral trade−0.32−0.28−0.31−0.31−0.19−0.13−0.22−0.201.00
(10)Log of real GDP product−0.20−0.17−0.23−0.23−0.08−0.04−0.16−0.140.761.00
(11)Log of real per capita GDP product−0.35−0.27−0.34−0.33−0.19−0.11−0.30−0.260.610.441.00
(12)Conditional volatility0.560.570.330.320.320.310.090.07−0.35−0.22−0.361.00
Summary Statistics of Main Variables for Aggregate Trade Data
Number of ObservationsMeanStandard DeviationMinimumMaximum
Log imports of differentiated goods (real value)4,66710.543.23−2.6217.84
Log imports of homogeneous goods (real value)4,4739.293.08−4.0517.08
Log total imports (real value)9,1409.933.22−4.0517.84
197519801985199019952000
Total imports of differentiated goods (millions of U.S. dollars)187290300538788946
Total imports of homogeneous goods (millions of U.S. dollars)70138114148165185
Share of differentiated products in total trade0.730.680.720.780.830.84
Table A17.List of Countries in the Regressions with Disaggregated Trade, 1975–2000
Argentina
Australia
Austria
Belgium
Brazil
Canada
Chile
China
Colombia
Denmark
Finland
France
Germany
Greece
Hong Kong SAR
India
Indonesia
Ireland
Italy
Japan
Korea, Republic of
Malaysia
Mexico
Netherlands
New Zealand
Norway
Peru
Philippines
Poland
Portugal
Singapore
South Africa
Spain
Sweden
Switzerland
Thailand
Turkey
United Kingdom
United States
Table A18.Classification of Products into Homogeneous and Differentiated Categories
Homogeneous Products
SITC 4 (rev. 1)Item
1121Wine of fresh grapes including grape must
1124Distilled alcoholic beverages
1222Cigarettes
2517Sulphate wood pulp
3214Coal: anthracite, bituminous
3310Petroleum: crude and partly refined
3321Motor spirit, gasoline, and other light oils
3411Gas, natural
5121Hydrocarbons and their derivatives
5122Alcohols/phenols/phenol-alcohols/glycerine
5811Products of condensation, polycond. and polyaddition
6411Newsprint paper
6412Other printing and writing paper, machine-made
6415Machine-made paper and paperboard, simply finished
6516Yarn and thread of synthetic fibers
6732Bars and rods of iron or steel, ex. wire rod
6748Other coated iron or steel plates under 3 mm
6821Copper and alloys, unwrought
6822Copper and alloys of copper, worked
6841Aluminum and aluminum alloys, unwrought
6842Aluminum and aluminum alloys, worked
7291Batteries and accumulators
Differentiated Products
SITC 4 (rev. 1)Item
2432Lumber, sawn, planed, etc.—conifer
5417Medications
5530Perfumery and cosmetics, toothpaste, etc.
5999Chemical products and preparations
6291Rubber tires and tubes for vehicles and aircraft
6429Articles of paper pulp, paper, or paperboard
6522Cotton fabrics, woven, other than gray
6537Knitted or crocheted fabrics, not elastic or rubber
6554Coated or impregnated textile fabrics and products
6942Nuts, bolts, screws, rivets, washers, etc.
6952Other tools for manual use or in machines
6981Locksmiths’ equipment
6989Articles of base metals
7114Aircraft, including with jet propulsion engines
7115Internal combustion engines, not for aircraft
7143Statistical machines for cards or tapes
7149Office machines
7151Machine tools for working metals
7171Textile machinery
7182Printing and bookbinding machinery
7184Construction and mining machinery
7191Heating and cooling equipment
7192Pumps and centrifuges
7193Mechanical handling equipment
7195Power tools
7196Other nonelectrical machines
7197Ball, roller, or needle-roller bearings
7199Parts and accessories of machinery
7222Apparatuses for electrical circuits
7231Insulated wire and cable
7241Television broadcast receivers
7242Radio broadcast receivers
7249Telecommunications equipment
7250Domestic electrical equipment
7293Thermionic valves and tubes, transistors, etc.
7294Automotive electrical equipment
7295Electrical measuring and controlling instruments
7299Electrical machinery and apparatuses
7321Passenger motor cars, other than buses
7323Trucks, including ambulances, etc.
7328Bodies and parts for motor vehicles except motorcycles
7331Bicycles and other cycles, not motorized, and parts
7341Aircraft
7349Parts of aircraft balloons and airships
7353Ships and boats, other than warships
8210Furniture
8310Travel goods, handbags and similar articles
8411Clothing of textile fabric, not knitted or crocheted
8414Clothing and accessories, knitted or crocheted
8510Footwear
8616Photographic and cinematographic equipment
8617Medical instruments
8619Measuring, controlling, and scientific instruments
8624Photography film and developed film other than movie
8911Phonographs, tape, and other sound recorders, etc.
8912Phonograph records, recorded tapes
8921Books and pamphlets, printed
8942Children’s toys, indoor games, etc.
8944Other sporting goods

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