外汇体制、税收与腐败

本文研究了外汇体制、税收和腐败之间的关系,比较了在有外汇管制和无外汇管制两种情况下,外汇体制对税收和腐败的影响。研究结果表明,当腐败对产出有正作用时,外汇管制将导致较高的税收和较严重的腐败。如果腐败对产出的正作用较小,那么外汇管制将导致税收增加。如果税收扭曲的作用非常大,那么外汇管制将导致腐败下降。当腐败对产出有负作用时,外汇管制将会导致较轻微的腐败和较高的税收。如果腐败对产出的正作用非常大,足以弥补由于高税收所造成的产出减少时,政府会采取外汇管制措施。如果腐败对产出的正作用较小,并且高税收对产出负作用很大,那么政府将采取没有外汇管制的体制。     

关于中国外汇储备多与少的思考

本文认为,外汇储备的增长既是我国经济实力增强的必然结果,又对我国经济健康发展具有重要保障作用;我国外汇储备尽管已逾8000亿美元,但并没有足够证据表明外汇储备已经“过多”;外汇储备的增减有其自身的规律性,只要外汇储备增长的同时,国内经济运行状态良好,就应当认为这种增长是正常的、合理的;外汇储备增长并不是通货膨胀、汇率升值的决定因素,也不存在资源浪费问题。     

Foreign portfolio equity holdings and capital gains taxation

Using panel data from 23 developed countries over the 2001–2011 period and employing the Arellano-Bover/Blundell-Bond dynamic panel estimation technique, this paper shows that the source country capital gains tax has a negative and statistically significant impact on foreign portfolio equity holdings. On average, a 1 percentage point increase in capital gains tax rate leads to 0.018% decrease in foreign equity holdings. The negative relationship between the capital gains tax and foreign equity holdings is found to be robust to alternative measures of the source country capital gains tax, inclusion of the dividend imputation tax rate, foreign dividend tax withheld rate, dividend tax credit and other control variables (the source and host country financial wealth, trade, exchange rate volatility, foreign listing and institutional quality). We find that a 1% increase in financial wealth of the source (host) country leads to, on average, a 0.428% (0.427%) increase in foreign equity holdings. An improvement in institutional quality has a positive effect on foreign equity holdings but an increase in the exchange rate volatility has the opposite effect.     

破解中国制造业产能过剩的新路径:外资开放政策的视角

产能过剩已经成为困扰中国经济可持续增长的深层次难题,本文以中国2002年外资管制放松作为准自然实验,采用倍差法系统研究外资开放政策对制造业产能利用率的影响及传导机制。研究发现,外资开放有效提升了同行业内资企业的产能利用率,生产效率、出口扩张和对外直接投资是外资开放影响内资企业产能利用率的重要渠道。外资开放对民营企业、一般贸易企业、吸收能力强的企业以及沿海地区企业产能利用率的提升效应更大,并且地区制度环境增强了外资开放的产能利用率提升效应。此外,内资企业除了获得行业内外资进入的水平溢出效应之外,还分别从上游和下游行业的外资进入中获得正向的前向关联与后向关联效应,进而显著提升了自身的产能利用率。最后,本文还进一步考察了外资开放政策对制造业总体产能利用率的影响,发现外资开放通过资源再配置渠道显著促进了制造业总体产能利用率的增长,进一步检验显示,外资开放一方面促进了市场份额从落后产能企业向相对优势产能企业的再配置,另一方面促进了落后产能企业的淘汰,进而提高了资源再配置效率并促进制造业总体产能利用率的提升。本文从外资开放政策视角探究了产能过剩问题,对新常态下破解产能过剩困境、实现“去产能”政策目标具有一定启示意义。     

Valuation Model of Defaultable Bond Values in Emerging Markets

This paper develops a model to value defaultable bonds in emerging markets. Default occurs when some signaling process hits a pre-defined default barrier. The signaling variable is considered to be some macro-economic variables such as foreign exchange rates. The dynamics of the default barrier depend on the volatility and the drift of the signaling variable. We derive a closed-form solution of the defaultable bond price from the model as a function of a signaling variable and a short-term interest rate. The numerical results show that the model values generated by using foreign exchange rates as the signaling variables can broadly track the market credit spreads of defaultable bonds in South Korea and Brazil. Given an expected level of the foreign exchange rate, defaultable bond values under a stressed market situation can be obtained.     

新凯因斯DSGE模型与货币政策法则之汇率动态分析

对于小型开放经济而言,当经济存在价格僵硬的情况下,中央银行在面对不同冲击发生时,各政策法则执行对汇率波动的影响及动态调整过程差异较大。从中国台湾地区的情况为案例来看,在稳定汇率波动方面:当国内技术冲击时,货币法则优于利率法则;当国外通货膨胀时,利率法则优于货币法则;当国外利率冲击时,执行利率法则或货币法则,其结果无显著差异。在汇率动态调整方面:当国外利率调升时,中央银行执行利率法则与货币法则下,汇率的瞬时反应为过度贬值;当国外物价膨胀时,执行利率法则与货币法则下,汇率的瞬时反应表现为立即升值;当国内技术进步冲击时,因为国外冲击对小型开放经济体系影响力道较强,使得国内技术进度对体系的影响相对较小,其中在利率法则下,汇率微幅贬值,而在货币法则下,汇率微幅升值。     

Income repatriation decision for multinational corporations: Tax issues

This paper analyzes the existing asymmetry in the US corporate tax law governing the determination of foreign tax credits earned by US firms with foreign subsidiaries. The existing asymmetry results in the US government de facto holding foreign currency put options against US firms with foreign subsidiaries. Combined with the exchange rate volatility, this tax law asymmetry reduces the effective foreign after-tax rate of return and, thus, makes it profitable for US firms to repatriate their foreign source income earlier even when the foreign after-tax rate of return is higher than the domestic rate. Although this paper identifies this asymmetry in the tax law and analyzes its potential effect on the timing of foreign source income repatriation, it is an open question as to the economic significance of this tax code feature provided the firms’ ability to curry the unused tax credit forward for up to 10 years.     

The impact of exchange rate deviations from relative PPP equilibrium on the U.S. demand for foreign equities

Applying fixed-effects panel data, this study investigates the impact of U.S. dollar exchange rate movements during different exchange rate states (overvaluation and undervaluation) on the monthly real gross and real net purchases of foreign equities by U.S. residents over the post-Plaza Accord period. The foreign equities come from 22 developed and 25 developing countries. Previous research has posited two alternative hypotheses regarding the relationship between exchange rates and foreign investment. These are the wealth effect and the profit-oriented effect. The evidence herein suggests that these two hypotheses coexist. We find robust evidence for a negative relationship between the exchange rate movements of an undervalued U.S. dollar and the demand for foreign equities. For developed countries, the wealth effect dominates the profit-oriented effect when the U.S. dollar is overvalued, while, for developing countries, the profit-oriented effect dominates the wealth effect. The results emphasize the importance of considering exchange rate states derived from a relative PPP equilibrium when analyzing U.S. allocations to foreign equities. The findings with respect to the macroeconomic control variables are mainly in agreement with the predictions of international financial theory. Some of the results, however, disappear or become inconclusive for the period after the bankruptcy of Lehman Brothers. This may be explained by the increased uncertainty in international financial markets following this unprecedented event. The findings are robust with respect to different constructed equilibrium exchange rates.     

Bubbles,growth and imperfection of credit market in a two-country model

This study extends Hirano and Yanagawa (Rev Econ Stud 84(1):406–443, 2017) to an asymmetric two-country model and examines bubbles effects on each country’s long-run economic growth rate. This study also provides numerical examples with respect to the relationship between each country’s growth rate and their financial frictions in the balanced growth equilibria with bubbles and without bubbles. It shows that foreign bubbles have positive and negative effects on both countries’ growth rates, and which effect dominates depends on the level of financial development in both countries. In this study, the positive effect of bubbles tends to dominate when the total level of financial frictions in both countries is relatively low. When the total effect of bubbles on the growth rate is positive, the burst of foreign bubbles leads to a decrease in the growth rate in both countries. This implies that there is a positive correlation between foreign bubbles and the domestic as well as the foreign country’s growth rate.     

我国外汇储备增长与人民币升值关系的实证分析

本文利用我国2005年7月-2007年6月的月度数据，通过协整分析、误差修正模型和格兰杰因果检验对外汇储备增长与人民币升值之间的关系进行了实证研究。结果表明，汇率形成机制改革对于释放两者之间弹性，维持缓和的、相互促进的长期稳定均衡关系起到显著的效果，继续稳步推进人民币汇率市场化改革将是明智之举。     

Price and volatility spillovers between exchange rates and stock indexes for the pre- and post-euro period

In this paper we explore the nature of the mean, volatility and causality transmission mechanism between stock and foreign exchange markets for the United States and some major European markets for the periods pre- and post-euro. The asymmetric volatility transmission is described by an extended Multivariate Exponential Generalized Autoregressive Conditionally Heteroskedastic (EGARCH) model. The results support the asymmetric and long-range persistence volatility spillover effect and show strong evidence of causality in the mean and variance between foreign exchange rate and stock price for both pre- and post-euro periods. However, the stock price has a more significant effect on foreign exchange rate for the two subsamples. These results are robust to the cross-correlation function test suggested by Cheung and Ng. The implication is particularly important for international portfolio managers when devising hedging and diversification strategies for their portfolios.     

金融市场流动性波动溢出效应的实证分析

金融资产流动性是影响其收益率的重要因素.本文在设计债券市场连续的综合流动性指标和股票市场波动调整的流动性指标的基础上,利用允许均值系统方程间互相关的AVAR-TVGARcH模型,并结合wald检验和LR检验对于股票、债券和人民币汇率市场间的流动性波动溢出效应进行检验.研究发现:三个市场间存在较为显著的流动性波动溢出效应.回归系数显示市场流动性间的波动溢出效应较小.同时,本文发现外汇和股票市场流动性序列间的条件协方差都存在明显的时变特征和程度不一的聚类现象.     

Exchange rates and FDI strategies of multinational enterprises

We examine the role of both the volatility and levels of exchange rates in the determination of multinational enterprises’ (MNEs) investments using a unique Korean dataset. These data provide a natural laboratory due to the Korean experience of a severe financial crisis in the late nineties. We find, first, that the behavior of foreign investors in Korea has changed following the 1997 crisis. The change in foreign direct investment (FDI) in response to exchange rate volatility is robust, while that to exchange rate level is quite mixed, which is consistent with recently developed real option-based FDI theory. Second, the effect of exchange rate volatility on FDI is persistent, whereas that of misalignment of level is only temporary, suggesting that MNEs regard volatility as a more generic determinant of foreign investment than misalignment of the exchange rate level. Third, we find strong evidence of nonlinearity between uncertainty and FDI, which may shed some light on why existing literature shows mixed results on the relation between exchange rate variables and FDI.     

Reducing reporting risk: Designating foreign currency forward contracts as cash flow hedges

We present an example that compares the effects on earnings of designating a foreign currency forward contract as either a cash-flow or fair-value hedge of a foreign currency denominated receivable. Entities engaging in exchange transactions not denominated in their functional currency frequently enter into foreign currency forward contracts in order to mitigate their foreign exchange rate risk exposure. The aggregate effect on earnings of the transaction gain or loss on the foreign currency receivable and the gain or loss on the forward contract is known on the date the forward contract is initiated. The effect on each period’s earnings during the term of a forward contract designated as a cash-flow hedge is also known on the date the contract is initiated; whereas the effect on each periods’ earnings from a fair-value hedge cannot be determined until the respective balance sheet dates. Therefore, designating forward contracts as cash-flow hedges may suppress volatility in reported earnings compared to designating forward contracts as fair-value hedges. In addition, the reporting risk (the amount of uncertainty surrounding the pending measure of an item to be reported in the financial statements) is lower when a forward contract is designated as a cash-flow hedge relative to designating it as a fair-value hedge. This suggests foreign currency forward contracts designated as cash-flow hedges are more consistent with the purpose of hedge accounting: to mitigate the effects on earnings of applying different measurement criteria for the hedge and the hedged item.     

Financial sector foreign aid and financial intermediation

The effectiveness of foreign aid is typically measured by the effect of aid on economic growth. Prior literature provides ambiguous results on this effect partly due to the aggregation of aid to different sectors and the small amount of foreign aid relative to the economy in most countries. Because growth in financial intermediation and financial markets has been shown to play a key role in spurring economic growth, in this paper we focus on aid to the financial sector and seek to identify the causal effects of foreign aid to the financial sector on financial intermediation. Using fixed effects OLS and system GMM methods for a panel of countries from 1993 to 2016, we find that foreign aid to the financial sector primarily increases claims on the government sector, and has negative or neutral effect on claims to the private sector and no effect on liquid liabilities of the banking sector and interest rate spread between borrowing and lending rates. This effect persists even after controlling for country institutional characteristics, such as trade openness and rule of law. Thus, foreign aid increases public sector borrowing but does not appear to have any benefits for financial intermediation in the private sector. We verify that the relation is not spurious by using aid to the health sector for falsification tests.     

Dynamic relationship between exchange rate and stock price: Evidence from China

The paper empirically analyzes the dynamic relationship between Renminbi (RMB) real effective exchange rate and stock price with VAR and multivariate generalized autoregressive conditional heteroskedasticity (GARCH) models using monthly data from January 1991 to June 2009. The results show that there is not a stable long-term equilibrium relationship between RMB real effective exchange rate and stock price. There are also not mean spillovers between the foreign exchange and stock markets. Furthermore, the paper examines the cross-volatility effects between foreign exchange and stock markets using likelihood ratio statistic. There exist the bidirection volatility spillovers effects between the two markets, indicating the past innovations in stock market have the great effect on future volatility in foreign exchange market, and vice versa.     

Financial crisis and a transmission mechanism of external shocks: The signaling role of the Korean Monetary Stabilization Bond

This paper explores a transmission mechanism of an exogenous shock to domestic financial markets by investigating the potential signaling role of the Monetary Stabilization Bond (MSB) spread together with several financial variables in Korea. The MSB spread widened and became more volatile during the crisis period after the variance change point at the end of 2007, when the causality relationships between the key variables became apparent. The empirical results illustrate that a foreign shock, which directly leads to rapid short-term capital flow and foreign exchange rate fluctuation, is likely to have a significant contagion effect on domestic financial markets in the case where it has a sizable negative impact on national foreign reserve holdings. The MSB is a monetary policy instrument for foreign exchange reserve management, and the daily observable MSB spread is a timelier signal in this transmission channel.     

人民币汇率变动对我国物价传导效应的分析

本文对汇率传导理论及其效应进行了简要回顾,并在国内外学者研究的基础上,对2005年汇改以来汇率变动对我国价格的传递效应进行实证分析。实证结果表明,汇率变动对国内价格指数存在一定的传递效应,但作用较小,以人民币升值对抗物价上涨并不可行。     

民币对美元日汇率决定模型研究

基于汇率决定理论的最新研究进展．本文分析了人民币对美元日汇率的影响因素。研究发现,宏观经济新闻、外汇市场微观因素买卖价差是人民币对美元日汇率的重要影响因素,而中美相对利率并不是人民币对美元日汇率的影响因素。进一步,本文将随机游走模型、新闻变量以及外汇市场微观因素结合起来,构建了人民币对美元日汇率决定理论模型。实证研究发现,人民币对美元日汇率由自身滞后值、中国经济活动方面的新闻和零售市场买卖价差决定。     

The British investor's gains from international portfolio investment

This paper analyses the effects of exchange controls on the ranking of British and overseas investments. A method is developed by which the costs of such controls can be incorporated into return calculations. It is shown that the adjustment of returns for exchange controls significantly alters the rankings of investments. An additional aspect of the paper is to rank domestic and foreign investments by stochastic dominance and compare the derived rankings with mean-variance. Again a significant differences in rankings is identifiable. It is concluded that the exchange rate regime, institutional exchange controls and the entire distribution of returns should be considered in ranking domestic and foreign investments.