Currency Substitution Between the Hong Kong Dollar and the Renminbi in South China

The present paper estimates the demand for the Hong Kong currency circulating in the Guangdong Province of China and Macau. The amount of Hong Kong dollars circulating in the Guangdong (Macau) region is reckoned to be 7.4 (3.2) percent of the total amount issued in Hong Kong. The estimated coeficients in the currency demand equation suggest that the Hong Kong currency in Guangdong is used mainly for transactions. Therefore, in spite of strong evidence of currency substitution of the Renminbi with the Hong Kong Dollar, its impact on the exchange rate and on the international reserves of Hong Kong during currency crisis should be minimal.     

人民币与欧元、美元、日元之间的汇率联动分析

利用向量自回归模型和多变量GARCH模型,对人民币汇率改革以来人民币、欧元、美元和日元之间的收益溢出效应和波动溢出效应进行了研究。结果显示欧元、美元和日元对人民币存在显著的收益溢出效应和波动溢出效应,但是人民币对其他几种货币的收益溢出效应和波动溢出效应并不显著。研究结果表明,人民币汇率形成机制改革以来,人民币汇率正在融入世界主要货币汇率市场,但是人民币汇率市场尚不成熟,目前我国仍然应该实行有管理的浮动汇率制度。     

人民币成为区域主导货币的实证研究——基于汇率视角的考察

从历史和现实的视角看,如果说布雷顿森林体系的崩溃导致了欧洲货币体系的形成和欧元的诞生,那么美国金融危机引发的国际货币动荡正在使东亚各国脱离美元本位,寻找区域内稳定的货币锚,而人民币则有可能成为东亚区域内首选的货币锚。本文拟从多边汇率相互影响的视角出发,实证分析人民币汇率变动态势及其与东亚其他货币之间联动关系的变化(包括其它国际货币汇率的变动对东亚其它货币之间关系变化的比较),从而揭示人民币成为区域锚货币、成为区域主导货币的可能性及其途径、进而了解人民币经济区形成的条件和趋势。     

Does the Euro follow the German Mark? Evidence from the monetary model of the exchange rate

This paper investigates whether German or synthetic European pre-EMU data provides the appropriate empirical basis for evaluating Euro/Dollar exchange rate behavior. Monetary exchange rate equations are estimated for both data sets over the pre-EMU period, and out-of-sample forecasts are evaluated to assess their ability to explain the Euro/Dollar exchange rate from 1999 to 2004. While forecast accuracy tests confirm the usefulness of synthetic European data for Euro exchange rate analysis, forecasts based on the German pre-EMU experience cannot even beat a random walk. Our results indicate that the Euro does not simply follow the German Mark, but that it has its origins in the other pre-EMU currencies as well.     

Modeling nonlinear Granger causality between the oil price and U.S. dollar: A wavelet based approach

In this paper, we use a wavelet approach to study the linear and nonlinear Granger causality between the real oil price and the real effective U.S. Dollar exchange rate. Instead of analyzing the time series at their original level, as it is usually done, we first decompose the two macroeconomic variables at various scales of resolution using wavelet decomposition and then we study the relationships among the decomposed series on a scale by scale basis. A major finding of this paper is that the linear and nonlinear causal relationships between the real oil price and the real effective U.S. Dollar exchange rate vary over frequency bands as it depends on the time scales. Indeed, there is a strong bidirectional causal relationship between the real oil price and the real dollar exchange rate for large time horizons, i.e. corresponding to fundamentalist traders, especially fund managers and institutional investors. But, for the first frequency band which corresponds to a class of traders whom investment horizon is about 3-months and whom trading is principally speculative (noise traders), the causality runs only from the real oil prices to real effective U.S dollar exchange rate.     

Interest Rate Linkages between Offshore and Onshore Renminbi Markets

We examine the interest rate volatility spillover between the offshore and onshore Renminbi (RMB) markets. The Hong Kong inter‐bank RMB offer rate (CNY HIBOR) and the Shanghai inter‐bank offer rate (SHIBOR) are used, respectively, as the interest rates for the offshore and onshore RMB markets. The results of our research show that there was significant volatility spillover between the offshore and onshore RMB prior to 21 June 2013 and that direction of the spillover from the SHIBOR to the CNY HIBOR is stronger than that from CNY HIBOR to SHIBOR. However, the spillover declined in strength between 21 June 2013 and 20 April 2016. We also find that the interest rate correlations are low and unstable. Our research reveals that the offshore RMB interest rate has been an independent system that is not determined by the onshore market, and that the determination of the offshore RMB interest rate is very complicated. The Hong Kong market is increasingly playing a more important role in the determination of the RMB. This study contributes to our understanding of the interest rate determination in China and has important implications for policy makers in terms of interest rate policies in the offshore and onshore RMB markets.     

The Halle Economic Projection Model

In this paper we develop an open economy model explaining the joint determination of output, inflation, interest rates, unemployment and the exchange rate in a multi-country framework. Our model—the Halle Economic Projection Model (HEPM)—is closely related to studies published by Carabenciov et al. (2008a,b,c). Our main contribution is that we model the Euro area countries separately. In doing so, we consider Germany, France, and Italy which represent together about 70% of Euro area GDP. The model combines core equations of the New-Keynesian standard DSGE model with empirically useful ad-hoc equations. We estimate this model using Bayesian techniques and evaluate the forecasting properties. Additionally, we provide an impulse response analysis and historical shock decomposition.     

论国际货币体系中欧元对美元的挑战

21世纪初,由于美元持续贬值、欧元持续升值等原因,前者在国际货币体系中的首要地位日益面临欧元的挑战。譬如,前者全球外汇储备中的比重逐步下降,后者则相应上升;越来越多的国家要求在国际石油交易中加入欧元等。国际货币体系的演变从根本上取决于各国政治、经济和军事实力的对比,由于实力差距,欧元在短期内难以改变美元在这一体系中的地位。     

国际金融形势分析与展望

2002年全球金融板块呈现调整特征:一是国际股票市场全线大跌,但其他市场却有不同程度的“好”行情;二是股票、风险投资等直接融资受挫,银行信贷等间接融资重拾风光;三是美元强货币走跌,欧元等弱货币走强;四是美国等强势金融体遭困,东南亚等弱势金融体逞强。与此相对应,中国的对外金融呈现一派繁荣景象,以开放促改革的局面初步形成。     

人民币与港币一体化刍议

本文比较了人民币与港币一体化的成本效益，分析了两地货币一体化的现实基础和障碍，设计了人民币和港币货币一体化的模式，提出了相应的实施步骤和配套改革的对策建议。     

Using the Haar wavelet transform in the semiparametric specification of time series

Using theoretical arguments for nonparametric wavelet estimation, we devise regression-based semiparametric wavelet estimators to dissect linear from nonlinear effects in a time series. The wavelet estimators localize in both time and frequency so that distortion due to outliers is lessened. Our regression-based approach also lends itself to ease of replication, clarity, flexibility, timeliness and statistical validity. We demonstrate the efficacy of the approach via rolling regressions on time series of quarterly U.S. GDP growth rates, monthly Hong Kong/ U.S. exchange rates, weekly 1-month commercial interest rates and daily returns on the S&P 500.     

A NEW COMPARATIVE STUDY ON THE FREE‐FLOATING AND CURRENCY BOARD REGIMES IN HONG KONG

This study aims to compare the performance of free‐floating and currency board regimes for Hong Kong by examining historical data of the two on the output growth and inflation rate. Structural vector autoregression has been applied in the empirical analysis. Without making a strong assumption of unit variance in the residual matrix, this study applies a more natural approach proposed by Cecchetti and Rich to recover the structural parameters. The study has further investigated the recovery of the economy under a demand shock under different exchange rate regimes, in order to provide some evidence to answer why Hong Kong's recovery process after the Asian financial crisis is relatively longer than that in other economies with a managed floating exchange rate regime. New evidence in this study indicates that output recovers much faster in a flexible exchange rate regime than in a fixed exchange rate regime after an aggregate demand shock. Furthermore, this study has applied a more robust method in the counterfactual analysis when comparing the two regimes. New evidence in this study suggests that a free‐floating regime may generate much smaller output variance in Hong Kong and deliver higher output and price levels to Hong Kong.     

The relationship between developed equity markets and the Pacific Basin's emerging equity markets

Using a trivariate vector autoregression (VAR) model with a proper control for heteroscedasticity, this paper investigates the relationships between the two largest equity markets in the world—the U.S. and Japan—and the four Asian emerging equity markets: Hong Kong, Korea, Singapore, and Taiwan. Evidence indicates that the links between the developed markets and the Asian emerging markets (AEMs) began to increase after the stock market crash in October 1987, and have significantly intensified since the outbreak of the Asian financial crisis in July 1997.     

International Capital Movement and Monetary Independence in Asia

In this paper, we investigate the extent of monetary independence in a group of ten Asian countries: China, Malaysia, Japan, India, Indonesia, Philippines, Thailand, Korea, Singapore, and Hong Kong. While the traditional investigation has considered only the bivariate relationship between the home interest rate and the base rate, we employ both single-equation and vector autoregressive representations of the bivariate and the trivariate relationship including the desired (or optimal) interest rate. We find in most countries, that the ranking of monetary independence is relatively consistent across the models and methodologies although model specifications produce important differences for some countries such as Japan, Indonesia, and India. Trilemma suggests that a country cannot accomplish all three policy objectives: monetary independence, exchange rate stability, and free capital mobility. To increase monetary independence a country must choose between greater exchange rate flexibility or a lower degree of capital mobility. The fact that China and Malaysia, the two countries that are known to have imposed the strictest capital controls, consistently rank high in various scenarios while Hong Kong, which has maintained nearly the freest regime in capital markets, is lowest in monetary independence, indicates that perhaps capital controls may play a more important role than does exchange rate flexibility in securing independence in monetary policy making. On the other hand, countries that maintain greater exchange rate stability do not necessarily rank low, unless it is combined with greater capital mobility as in the case of Hong Kong.     

股指期货限制交易对定价效率影响研究*——基于跨市场信息传递视角的实证

从跨国金融市场信息传递的视角对中国2015年股灾中股指期货限制交易政策实施前后的中美市场实证分析表明：股指期货的限制交易政策极大地增强了美国市场对中国市场的影响，尤其是在下跌行情中的影响更大。分位数回归显示美国市场的交易活动对中国市场开盘价的影响呈“V”型特征，美国市场的微小波动都会引起中国市场的巨大波动，限制交易措施实施后，在下跌行情中来自美国市场的负冲击对中国市场的影响变得更大。这一实证研究的政策含义在于：为了增强股指期货市场的定价效率，金融监管层在市场稳定后应放开股指期货的限制交易，并通过降低准入门槛和合约大小等措施提高市场的开放程度。此外，监管层和国内投资者不能忽视美国股指期货对国内市场的影响。     

沪深港股市动态联动性研究——基于三元VAR-GJR-GARCH-DCC的新证据

随着经济全球化的迅速发展,国际资本市场呈现出一体化趋势,各地证券价格的联动性也日趋显著。本文梳理已有理论文献,并总结经验成果的不足,在此基础上,构建三元VAR-GJR-GARCH-DCC整合分析框架,对沪深港股市联动效应进行了严谨而全面的实证检验。研究结果表明:沪深港三个市场具有联动效应,直接或间接引导对方;沪深股市对港市的新息冲击做出类似的反应,并且它们与港市的动态关联性具有趋同性,该结论为沪深两市合并提供了新证据;三个市场的相关性具有时变的动态特征,"中国因素"与"世界因素"的相关性正趋于增强。上述实证结论对投资者重新认识市场运行机制,合理制定投资策略以及监管当局有效防范国内外股市风险,推进股市整合均具有重要的启示意义。     

Is the exchange rate a shock absorber or a source of shocks? Evidence from the U.S.

We examine the stabilization role of the exchange rate in the U.S. economy using a factor augmented vector autoregression model. We find that exchange rate shock explains a large fraction of the variation in exchange rate and transmits major disturbances to the real economy. Further, we find that demand and supply shocks explain less than a quarter of the exchange rate movement. We provide robust evidence that although the exchange rate plays some role as a shock absorber, its role as an independent source of shocks is more dominant for the U.S. economy. The foreign exchange market breeds its own shocks which are destabilizing not only to the value of the dollar but to the overall economy as well. Our results suggest that policymakers need to take foreign exchange market fluctuations into account when making macroeconomic policy decisions.     

A Tale of Two Currencies: the Asian Crisis and the Exchange Rate Regimes of Hong Kong and Singapore

Hong Kong has maintained a pegged exchange rate since 1983, while Singapore has been on a floating regime since the early 1970s. This paper provides an interpretation of the different performance of the Hong Kong and Singapore economy that could be attributable to the differences in their exchange rate regime. We develop a model that can help to interpret the differences in both the longer run trends in inflation and real exchange rates in Hong Kong and Singapore as well as the short differences in macroeconomic and real exchange rate volatility. The difference in the response of the two economies to the Asian crisis is also consistent with our model.     

噪音交易影响中国股市效率的实证分析

适度的噪音能够增加市场的流动性，但噪音交易的过度存在会对股票市场的效率产生负面的影响。本文借用分形理论的R／S分析法，对中国股市的收益率进行了实证检验，计算其赫斯特（hurst）指数，并与美国和香港的赫斯特指数进行横向比较，以此来分析中国股市的有效性以及噪音交易的程度。     

DOES APPRECIATION OF THE RENMINBI DECREASE IMPORTS TO THE UNITED STATES FROM CHINA?

In 2005, China abated its fixed exchange rate against the U.S. dollar and began to appreciate the Renminbi (RMB). In this paper, I explore the effect of the appreciation of the RMB on imports to the United States from China by augmenting the gravity model with the exchange rate. Using an industrial panel data set during the period 2002–2008 and controlling for the endogeneity of the bilateral exchange rate, this extensive empirical analysis suggests that the appreciation of the RMB against the U.S. dollar significantly reduced imports to the United States from China. This finding is robust to a variety of econometric methods and to coverage in different periods. (JEL F1, F2)