人民币汇率增加弹性和参考一篮子货币汇率形成机制研究

在央行货币政策目标下,可以确定最优汇率水平及汇率水平的调整。我国外汇体制改革要建立以市场供求为基础的,参考一篮子货币的有管理的浮动汇率制度,央行的汇率目标应由人民币对美元稳定转变为参考人民币有效汇率目标,确保人民币币值的总体水平稳定。实际上,参考篮子货币,人民币对美元汇率的弹性将显著增加。央行应逐步放宽人民币对美元和非美元货币的波动幅度,人民币汇率最终将由市场供求来决定,发挥汇率配置资源的基础作用。     

A framework for stabilizing the euro/yen/dollar triplet

The current debate on exchange rate regimes is shaped by the so-called inconsistency triangle. In this paper I show that the discussion has overlooked a “third way” which combines capital mobility with monetary policy autonomy, and an exchange rate path determined by interest rate differentials. My scheme relies on interventions that are always carried out by the central bank with the strong currency, and a full sterilization of interventions with the instrument of a deposit facility. Thus the G3 central banks could set a band for their bilateral exchange rates with the floor and the ceiling defended by the respective strong central bank. As exchange rates bands are adjusted according to short-term interest rate differentials, there are no sterilization costs for the intervening central bank. Over the medium and long run interest rates are mainly determined by inflation differentials. Thus, the exchange rate band would follow a PPP path.     

Fear of Floating in Brazil: Did Inflation Targeting matter?

Brazil implemented Inflation Targeting (IT) after the breakdown of a managed floating regime, showing a similar pattern to most of the emerging markets that adopted this framework. This unplanned policy change has led to some disbelief regarding the country's commitment to its inflation objective and to a floating exchange rate. In this paper we analyse whether the adoption of IT has led to an actual shift in the country's approach to the exchange rate. We find greater exchange rate flexibility and milder interventions in the foreign exchange market after IT. We conclude that possible interventions should not be seen as Fear of Floating, but as a required policy for the attainment of the inflation targets.     

The effects of U.S. monetary policy on Colombia and Panama (2002–2007)

I study the economies of Colombia (floating exchange rate) and Panama (dollarized) to illustrate how the monetary policy of a large economy can export capital structure distortions to small open economies that follow different exchange rate regimes. The paper contributes to the literature on international business cycles in two ways. First, it adds to recent research that extends the Mises–Hayek business cycle theory to an international context. Second, most current research abstracts from effects on the production structures of emerging market economies when analyzing the transmission of monetary policy shocks. This paper seeks to fill this gap by studying structural effects of U.S. monetary policy on the economies of Colombia (floating exchange rate) and Panama (dollarized).     

Fear of floating or monetary policy as usual? A structural analysis of Mexico's monetary policy

This paper uses Bayesian methods to estimate a small open economy dynamic stochastic general equilibrium (DSGE) model for the period in Mexico after the 1994 crisis. I consider a Taylor rule as the expression of the evolution of monetary policy to gauge its response to the exchange rate in the post-crisis period. The estimation results favor a consistent response of the nominal interest rate to the short-run nominal exchange rate after 1994. Although fear of floating is present, Mexico's monetary policy has taken steps toward a credible free-floating exchange rate that targets inflation.     

基于市场利率波动测度的货币政策操作风险研究

在货币政策操作过程中,中央银行对宏观经济形势的认识偏差,货币政策工具及政策调控时机的选择不当,以及政策信息的披露不及时等,都有可能误导公众预期,增加市场不确定性,从而引致货币政策操作风险。文章通过利用中国货币市场上同业拆借和债券回购的利率数据进行实证,结果表明,中央银行政策操作透明度不高以及对宏观经济形势进行判断的前瞻性不足,是引致我国货币政策操作风险的重要原因。     

Japanese and U.S. interventions in the yen/U.S. dollar market: estimating the monetary authorities’ reaction functions

This paper uses recently released official data on the foreign exchange market interventions of the Japanese monetary authorities in the yen/U.S. dollar market during the period 1991–2001 to examine the motivation for the intervention policy. We also compare the Japanese intervention policy with the U.S. intervention policy. Our results suggest that the Japanese authorities regularly responded to deviations of the yen/U.S. dollar exchange rate from a short-term and a long-term exchange rate target. By contrast, the U.S. authorities intervened only occasionally and seemed to have merely reinforced Japanese interventions.     

Financial openness, financial frictions and optimal monetary policy

Increasing financial integration challenges the optimality of inward-looking strategies for optimal monetary policy. Those issues are analyzed in an open economy where foreign net lending, and the current account, are determined by a collateral constraint. Durables represent collateral. The current account features persistent imbalances, but can deliver a long run stationary equilibrium. The comparison between floating and managed exchange rate regimes shows that the impossible trinity is reversed: higher financial integration increases the persistence and volatility of the current account and calls for exchange rate stabilization. In this context, the Ramsey plan too prescribes stabilization of the exchange rate, alongside with domestic inflation.     

Monetary convergence to the Euro

This special issue of Economic Systems includes seven papers about various aspects of monetary convergence to the Euro. It includes both policy discussion papers examining a wide range of issues and empirical studies evaluating specific areas of monetary convergence. From a policy strategy view, the selected papers examine the ways of combining the two key objectives of monetary convergence, i.e., price stability and exchange rate stability. In addition, the papers analyze the interplay between monetary policies and financial market stability. The findings provide new insights on monetary policy transmission channels, market equilibrium exchange rates, interest rates pass through effects, the importance of real relative to nominal convergence, and other intricacies encountered on the passage toward the Euro.     

Analysis of an unannounced foreign exchange regime change

Starting in 2004 the Guyanese foreign exchange rate has been remarkably stable relative to earlier periods. This paper explores the reasons for the stability of the rate. First, the degree of concentration in the foreign exchange market has increased, thus making the task of moral suasion relatively straightforward once this policy tool comes to bear on the dominant trader(s). Second, long-term or non-volatile capital inflows make the exchange rate less susceptible to sudden reversal. Third, commercial banks, the dominant foreign exchange traders, have large outlays of assets in domestic currency, thus their desire for exchange rate stability. The econometric exercise is consistent with the notion that trader market power has contributed to lower volatility in the G$/US exchange rate. The paper also presents a model that analyzes monetary policy effects in the presence of a mark-up or threshold interest rate.     

美国与中国货币政策工具选择的差异分析

综合近十年美国与中国在货币政策运用方面的表现,文章认为存在着注重利率的调节和注重准备金率的调节两种不同取向。文中对这种差异从利率市场化、货币政策目标及金融市场发展程度三个层面分析,并分析两国在货币政策使用的效果,最后提出我国货币政策的调整应该依据具体的经济情况、加强中国利率市场化以及建立风险防范机制三点建议。     

The political economy of exchange rate regime determination: Theory and evidence

This paper studies exchange rate regime choice from a positive perspective by modeling the interplay of monetary and fiscal policy, credibility and financial market microstructure as factors influencing the decision on de facto regime. The model shows how a small open economy reliant on foreign sources of financing is likely to opt for a stable regime. Furthermore, a stable political environment with a high degree of accountability is conducive to choosing a flexible regime. The findings suggest that flexible rather than fixed exchange rate regimes provide more fiscal discipline.     

Monetary policy and bank performance: The role of business models

This paper examines the relationship between monetary policy and bank performance in a multiple-instrument environment, particularly highlighting the conditioning role of bank business models. Employing a unique dataset of Vietnamese commercial banks from 2007 to 2019, we display that banks react to monetary policy changes, either when the central bank increases policy rates or injects money into the economy through open market operations, by decreasing overall returns and increasing financial instability. Additionally, we document that the accumulation of foreign exchange reserves benefits bank outcomes, contrasting to open market operations, albeit the central bank uses both of these policy instruments to alter money supply in the economy. Our key analysis of interest reveals that business models considerably matter in the effects of monetary policy on bank performance. Collectively, our findings demonstrate that banks’ business models that yield more non-interest income or diversify more into different income sources may mitigate the pass-through of monetary policy to bank performance. This finding holds across all interest- and quantitative-based monetary policy indicators and across all the functions of risk-taking behavior, earning-profit capacity, and financial stability. Furthermore, while plotting the marginal effects of monetary policy, we realize that they are insignificant for banks whose business models heavily rely on non-traditional segments.     

Exchange rate regimes and market integration: evidence from the dynamic relations between renminbi onshore and offshore markets

The Chinese renminbi (RMB) has been on the way of becoming a major international currency. This paper examines the impact of the RMB exchange rate regime and policy on the integration and information flows between RMB onshore and offshore markets. We employ a long sample of daily data encompassing multiple times of RMB exchange rate regime change (peg to managed float in 2005, re-peg in 2008, re-float in 2010, and the central parity reform in 2015), and study the dynamic conditional correlations and spillovers between RMB onshore spot market and offshore non-deliverable forward (NDF) market. It is found that the switch from exchange rate peg to managed float and a widening of the floating band strengthen cross-market correlation and information flows (especially offshore-to-onshore spillovers). A market-learning explanation is offered for the observation that the correlation collapse in the re-peg period was not as prompt as the correlation take-off in the 2005 reform period. These findings have important implications for China’s monetary and foreign exchange policies and shed light on the integration of China’s financial markets with the rest of the world.     

Interest rate pass-through in South East Europe: An empirical analysis

This paper investigates the effectiveness of the interest rate channel in three small open economies with rigid exchange rate regimes in South East Europe – Bulgaria, Croatia and Macedonia – during the period 2000–2010. Specifically, we examine the size and speed of adjustment of bank lending rates to the changes in money market rates by employing various cointegration methods. In addition, we assess the stability of interest rate passthrough during the transition period, including the recent economic crisis. The results reveal the existence of a cointegrating relationship among some of the interest rates. We find that the long-run pass-through is far from complete with the exception of Macedonia. The shortrun adjustment of lending rates is also low and sluggish, implying that the domestic monetary policy may have a limited impact on the interest rate channel. Finally, the econometric investigation provides mixed evidence on the stability of the interest rate pass-through. Therefore, the overall findings of the paper support the view that in small open economies with rigid exchange rates the effectiveness of domestic monetary policy through the interest rate channel is quite limited.     

Some empirical evidence on the effects of U.S. monetary policy shocks on cross exchange rates

This paper examines the impact of U.S. monetary policy shocks on the cross exchange rates of sterling, yen and mark. The main finding of the paper is a ‘delayed overshooting’ pattern for all currency cross rates examined (sterling/yen, yen/mark and mark/sterling) following an unexpected U.S. monetary policy change, which in turn generates excess returns. We also provide evidence that the ‘delayed overshooting’ pattern in cross exchange rates is accompanied by asymmetric interventions by central banks in the foreign exchange markets under consideration triggered by a U.S. monetary policy shock.     

Impacts of Monetary, Fiscal and Exchange Rate Policies on Output in China: A Var Approach

Applying the VAR model and using the interest rate as a monetary policy variable, we find that in the long run, output in China responds negatively to a shock to the interest rate, the real exchange rate, government debt, or the inflation rate, and it reacts positively to a shock to government deficits or lagged own output. When real M2 is chosen as a monetary policy variable, long-term output in China responds positively to a shock to real M2 or lagged own output, and it reacts negatively to a shock to the real exchange rate, government debt, or government deficits. Its response to a shock to the inflation rate is negative when government debt is used and is positive when government deficits are considered. In the short run, fiscal policy is more important than monetary policy in three out of four cases. In the long run, monetary policy is more influential than fiscal policy in three out of four cases. Therefore, the government may consider conducting monetary and fiscal policies differently in the short run and long run. The government needs to be cautious in pursuing deficit spending as its long-term impacts depend on the monetary variable employed. The policy of maintaining a relatively stable exchange rate is appropriate as the depreciation of the Yuan may hurt the economy in the short run.JEL Classifications: E5, F4, H6     

EXCHANGE RATE TARGET ZONES: A SURVEY OF THE LITERATURE

This work selectively reviews the literature on exchange rate target zones and their theoretical and empirical methodologies and examines whether they can be used to clarify to what extent this type of exchange rate regime could contribute to greater exchange rate stability. We discuss the main contributions of the first and second generations of exchange rate target zone models. In an attempt to reconcile the poor empirical performance of the Krugman model with the reality of exchange rate target zone regimes, this line of research integrates target zones with alternative underlying economic models, such as imperfect credibility, intra‐marginal interventions and sticky price models. It was thus possible to understand the correlations observed between the exchange rate, its fundamentals determinants and the interest rate differential, and to explain the fact that the statistical distribution of the exchange rate is hump shaped rather than U shaped. This implies that the initial emphasis of target zone models on nonlinearities, ‘honeymoon effect’, ‘smooth pasting’ and marginal interventions has vanished. Exchange rate target zones are better described as similar to managed floating regimes with intra‐marginal interventions, with some marginal interventions when the exchange rate reaches the edges of the floating band.     

Explaining the Czech interbank market risk premium

This paper focuses on the development of the interbank market risk premium in the Czech Republic during the global financial crisis. We explain the significant departure of interbank interest rates from the key monetary policy rate by a combination of different factors, including liquidity risk, counterparty risk, foreign influence, interbank relations, and strategic behavior. The results suggest a relevant role of market factors and some importance of counterparty risk.     

Monetary policy in a small open economy with fixed exchange rate: The case of Macedonia

This paper empirically applies the New Keynesian model for monetary policy analysis in a small open economy with a fixed exchange rate. Official reserves are included in the interest rate rule to account for the constraint that these impose on monetary policy when the exchange rate is fixed. Also, the foreign interest rate is included in order to reflect the necessity of following the foreign monetary policy. The model is applied to Macedonian data from the period 1997 to 2011. In general, results indicate that monetary policy has been focused on domestic objectives during this period, despite the fixed currency. In addition, there seem to have been significant differences in the conduct of the monetary policy in the first and second half of this period. The response to inflation has been more aggressive in the earlier period, at a time when reserves appear less important, while the output gap is found to be important only in the latter period, possibly due to the stronger monetary policy transmission. Finally, results indicate that the monetary policy has likely moved from adaptive in the first period to rational in the second period.