人民币兑美元汇率的长期趋势分析

两种货币汇率水平以及波动方向,短期来说取决于两国利率的相对水平(符合利率平价理论);长期来说则取决于两国物价的相对水平(符合购买力平价理论).所有其他因素对汇率所产生的影响,基本上是间接通过对利率或物价水平的作用而传递的.不过,以上的短期趋势和长期趋势的有效性,需要在一个市场化的环境中.     

Testing for long-term memory in yen/dollar exchange rate

This paper examines evidence of long-term memory in the yen/dollar price change as well as in the daily estimate of volatility of the exchange rate series. The methodology used is due to Lo (1989) which is robust to the presence of heteroscedasticity and is applied to a ten year data set. The result shows no evidence of long-term memory in the price change series indicating efficient pricing by the market participants. The volatility series, however, shows evidence of long-term memory which may have implications for traders dealing with long lived assets.     

A twelve-area model for the equilibrium Chinese Yuan/US dollar nominal exchange rate

This paper investigates the equilibrium CNY/USD nominal exchange rate during 1976-2008. We extend for the first time the five-area FABEER model to a twelve-area TABEER model for China. All parameters are estimated with allowance for endogenous structural breaks. Our investigation of the sustainable current account highlights macroeconomic factors that determine savings and investment in the medium-term. We find that all cointegration relationships are subject to structural breaks. The equilibrium nominal rate was overvalued in most years from early 1990s until 2003. It has been strongly undervalued during 2004-2008. We further compute misalignment rates using a sustainable current account of 3%. Our findings suggest such exogenous input leads to results biased towards larger undervaluation.     

US dollar/Euro exchange rate: a monthly econometric model for forecasting

The intent of this paper is the construction of an econometric model able to produce reliable and reasonable forecasts for the US dollar/Euro real exchange rate. In order to achieve this aim, an area-wide model is analysed. The aggregation is motivated by the fact that the Euro-zone is under a single monetary policy. Furthermore, a more parsimonious parametric model enables one to consider an important source of non-stationarity given by the presence of structural breaks using the multivariate cointegration analysis. Against the Meese-Rogoff critique, the out-of-sample one-step-ahead forecasts using actual values of the exogenous produced by the estimated VECM are reasonably satisfactory.     

Monetary disequilibria and the euro/dollar exchange rate

Although stable money demand functions are crucial for the monetary model of the exchange rate, empirical research on exchange rates and money demand is more or less disconnected. This paper tries to fill the gap for the euro/dollar exchange rate. We investigate whether monetary disequilibria provided by the empirical literature on US and European money demand functions contain useful information about exchange rate movements. Our results suggest that the empirical performance of the monetary exchange rate model improves when insights from the money demand literature are explicitly taken into account.     

Price and volatility spillovers between interest rate and exchange value of the US dollar

In this paper, the dynamic relationships between interest rate and exchange value of the US dollar are studied via a multivariate Exponential Generalised Autoregressive Conditional Heteroskedasticity (EGARCH) model. In terms of price changes, movements of interest rates have positive effects on movements of exchange rates. However, changes in exchange rates do not explain changes in interest rates. Nevertheless, there exists volatility spillovers between the two markets, indicating that their second moments are related. Overall evidence suggests that these two markets have short-term dynamic interactions. The existence of volatility spillovers also suggests that the relationships between these two economic variables are not necessarily linear.     

Portfolio capital flows and the US dollar exchange rate: Viewed from the lens of time and frequency dynamics of connectedness

This study uses proprietary data on daily net non-resident portfolio flows to emerging markets to analyse the interconnectedness of non-resident debt and equity portfolio flows under different market conditions. We find that there is less interconnectedness during normal times but increased interconnectedness during periods of uncertainty and stress, suggesting an asymmetry in the spillovers of these portfolio flows. Importantly, we find that shocks in the broad EM US dollar exchange rate are a net transmitter of shocks to debt and equity portfolio flows of EM economies. Our analysis, based on the net directional spillover index, shows that this effect is most pronounced during the COVID-19 pandemic. Furthermore, using a frequency domain approach to connectedness, we find that the broad EM US dollar exchange rate is a net transmitter of shocks to the EM economies’ debt and equity flows, with the impact hitting portfolio capital flows within at least a week to 100 days. Our results suggest that pre-emptive macroprudential policy measures and better risk monitoring can improve the resilience of borrowers and investors in EM economies during times of global shocks, particularly during US dollar appreciations when portfolio flows tend to reverse.     

Mean and volatility dynamics of Indian rupee/US dollar exchange rate series: an empirical investigation

The paper is concerned with time series modelling of foreign exchange rate of an important emerging economy, viz., India, with due consideration to possible sources of misspecification of the conditional mean like serial correlation, parameter instability, omitted time series variables and nonlinear dependences. Since structural change is pervasive in economic time series relationships, the paper first studies this aspect of the exchange rate series in detail and finds the existence of four structural breaks. Accordingly, the entire sample period is divided into five sub-periods of stable parameters each, and then the appropriate mean specification for each of these sub-periods is determined by incorporating functions of recursive residuals. Thereafter, the GARCH and EGARCH models are considered to capture the volatility contained in the data. The estimated models thus obtained suggest that return on Indian exchange rate series is marked by instabilities and that the appropriate volatility model is EGARCH. Further, out-of-sample forecasting performance of the model has been studied by standard forecasting criteria, and then compared with that of an AR model only to find that the findings are quite favorable for the former.      

The impact of monetary policy on the exchange rate: A high frequency exchange rate puzzle in emerging economies

This study investigates the impact of monetary policy shocks on the exchange rates of Brazil, Mexico and Chile. We find that even a focus on 1 day exchange rate changes following policy events – which reduces the potential for reverse causality considerably – fails to lend support for the view that associates unexpected interest rate hikes with immediate appreciations. This lack of empirical backing for the predictions of standard open economy models persists irrespective of whether we use the US Dollar or effective exchange rates, whether changes in the policy rate that were followed by exchange rate interventions are excluded, whether “contaminated” events are dropped from the analysis or whether we allow for non-linearities. We argue that it is difficult to attribute this stronger version of the exchange rate puzzle to fiscal dominance, as unexpected rate increases are not associated with increases in risk premia, and similar results are obtained in the case of Chile – a country that has had the highest possible short-term credit rating since 1995 and a debt/GDP ratio below 10%.     

Explaining and forecasting the euro/dollar exchange rate through a non-linear threshold model

A linear econometric error correction model (ECM) model is built, based on short interest rates, gross domestic product (GDP) growth expectations and inflation differentials, in order to explain the euro/dollar exchange rate dynamics and provide reliable forecasts. This specification performs well. However, the introduction of non-linear threshold dynamics provides a better understanding of ‘abnormal’ features other than deviations from long-run equilibrium levels, allowing for the possibility of asymmetric behaviour. Empirical evidence of this is found in the actual dynamics of the euro. The non-linear specification performs better than the linear model in both in-sample fitting and out-of-sample forecasting, showing that fundamentals hold, working also through some non-linear mechanism, in explaining the euro/dollar dynamics.     

美元汇率波动对我国出口贸易影响的实证分析--兼论我国的汇率制度改革

美元汇率由于美伊战争的来临而变得起伏不定,而此汇率风险不仅对微观经济主体,即使宏观经济主体,即一国的对外贸易也同样有巨大冲击.本文采用"引力模型"作为本文的基本研究工具,以同一时期,多个国家的汇率波动为研究对象,进行横截面统计分析,(而非常见的以一国多年汇率变动为基础的时间序列分析)得出汇率波动不利于我国出口的结论,并由此论及我国人民币汇率制度的改革方向.     

Long-memory and heterogeneous components in high frequency Pacific-Basin exchange rate volatility

Recent research examining high-frequency financial data has suggested that volatility dynamics may be confounded by the existence of an intra-day periodic pattern and multiple sources of volatility. This paper examines whether these dynamics are present in the US Dollar exchange rates of five Pacific Basin economies. Using 30-min sampled returns, evidence of a ‘U’-shape intra-day pattern in volatility for regional markets is reported and controlled for using a Flexible Fourier transform. Supportive evidence for the existence of multiple volatility components is offered by semi-parametric fractional difference estimates of the long-memory properties of absolute exchange rate returns at various intra-day data sampling frequencies. Further parametric evidence of an explicit component structure in such high frequency exchange rate volatility is offered by the estimates of a component-GARCH model which comprises both a long-run volatility component exhibiting slow shock decay and a short-run volatility component exhibiting far more rapid decay, and provides a generally superior fit to the data. Further application of these C-GARCH models in the analysis of high frequency volatility spillovers between the currencies considered also reveals that such spillovers are predominantly transitory rather than highly persistent in nature, but that where volatility spillovers do impact on the long-run component of exchange rate volatility the Australian Dollar plays a pivotal role in the localised causality transmission mechanism.      

Real dollar exchange rate under the Bretton-Woods and floating exchange-rate regimes

The focus of the paper is on real exchange rates for the dollar over the period 1957 to 1985. Most such exchange rates followed an almost steplike pattern, showing relatively little movement in the late 1950s and 1960s, falling abruptly and then remaining low in the 1970s and finally in the 1980s rising back to levels close to those that prevailed initially. Contrary to much recent commentary, therefore, the period that appears different is not the last five years but the decade that preceded them. An important factor underlying this pattern of exchange-rate movement, according to results presented in the paper, was the behavior of monetary policy and, hence, inflation in the United States. What remains to be established is the precise mechanism linking money and real exchange rates and the (relative) strength of those links.     

European monetary arrangements: Implications for the dollar,exchange rate variability and credibility

This paper uses the recent history of the ERM to gain insights into what might happen to exchange rates on the road to EMU. to do this, the paper examines the variability of exchange rates, the transmission of monetary policy between countries, the role of the dollar in ERM exchange rate crises, and ERM members' credibility as measured by the realignment probabilities prior to the September 1992 crisis. We identify two factors that might have contributed to the September 1992 crisis: high German interest rates and weakness of the US dollar. We find that behaviour of exchange rates has changed over time and differs between ERM and non-ERM currencies. We also demonstrate that changes in German short-term interest rates influence interest rates in other ERM countries and vice versa.