关税、货币政策与中国实际均衡汇率

加入WTO后 ,降低进口品关税等措施将影响人民币均衡汇率水平 ,同时开放经济下国内货币政策、财政政策等宏观经济政策调整也会改变均衡汇率水平。本文运用动态一般均衡的方法 ,探讨中国在加入世界贸易组织之后 ,关税税率调整、货币供应量增长率改变、财政政策调整等措施对实际均衡汇率的长期效应。把货币引入生产函数和消费者的效用函数 ,我们扩展了由Turnovsky提出的两商品资本积累模型 ,利用参数赋值(calibration)的方法进行了均衡状态下的比较静态分析。研究发现降低进口品关税使人民币面临贬值压力 ,而政府增加税收 ,减少对贸易品的消费则有利于人民币的保值和升值。实证研究结果表明 :国外实际利率水平下降 ,实际货币供应量增长率降低都将引起人民币均衡汇率贬值。     

Fiscal Policy, Monetary Policy and the Exchange Rate

Domestic fiscal and monetary policy settings can influence the strength of the Australia dollar in a number of different ways.     

Time Inconsistency and the Exchange Rate Channel of Monetary Policy

This paper analyses time–inconsistency problems related to the exchange rate channel of monetary policy. Within a simple open–economy macroeconomic model, where the exchange rate is the only forward–looking variable, we show that a difference emerges between optimal policy under discretion and under commitment. Moreover, the nature of the time–inconsistency problem resembles that resulting from standard New Keynesian models: when cost–push shocks occur, the exchange rate channel gives rise to excessive output stabilisation and insufficient inertia in monetary policy under a discretionary policy.
JEL classification : E 42; E 52; E 61     

Monetary Shocks and Real Exchange Rate Dynamics: a Reappraisal

This paper proposes a two‐country general‐equilibrium model incorporating a tradable sector with pricing‐to‐market as well as a nontradable sector. In that case, real exchange rate fluctuations arise from two sources: changes in the relative price of traded goods, that exemplify deviations from the law of one price, and movements in the relative price of traded to nontraded goods across countries. Our framework sheds light on the propagation mechanisms through which monetary shocks affect the real exchange rate. More specifically, the two components respond in opposite directions to monetary disturbances, which is consistent with data. Besides, the introduction of nontraded goods does not alter the predictive power of monetary shocks because the presence of nontraded goods magnifies the response of the deviation from the law of one price.     

The Role of the Natural Rate of Interest in Monetary Policy

This paper examines the role of the natural rate of interestin the conduct of monetary policy. The natural rate figuresprominently in many theories of the business cycle and of inflationfluctuations, and therefore has the potential to play a keyrole in monetary policy given the current mandates of many centralbanks. However, the presence of financial imperfections andmeasurement uncertainty draw into question whether estimatesof the natural rate can be reliable indicators of excess demandpressures. Natural rate-based theories may, nonetheless, provideuseful guidance in the formulation of desirable monetary policies.(JELE21, E31, E43, E58)     

Monetary Policy and Exchange Rate Volatility in a Small Open Economy

We lay out a small open economy version of the Calvo sticky price model, and show how the equilibrium dynamics can be reduced to a simple representation in domestic inflation and the output gap. We use the resulting framework to analyse the macroeconomic implications of three alternative rule-based policy regimes for the small open economy: domestic inflation and CPI-based Taylor rules, and an exchange rate peg. We show that a key difference among these regimes lies in the relative amount of exchange rate volatility that they entail. We also discuss a special case for which domestic inflation targeting constitutes the optimal policy, and where a simple second order approximation to the utility of the representative consumer can be derived and used to evaluate the welfare losses associated with the suboptimal rules.     

Monetary Policy and Exchange Rate Interactions in a Small Open Economy

The transmission mechanisms of monetary policy in a small open economy like Norway are analysed through structural VARs, with special emphasis on the interdependence between monetary policy and exchange rate movements. By imposing a long‐run neutrality restriction on the real exchange rate, thereby allowing the interest rate and the exchange rate to react simultaneously to news, I find considerable interdependence between monetary policy and the exchange rate. In particular, following a contractionary monetary policy shock, the real exchange rate immediately appreciates, after which it gradually depreciates back to the baseline. The results are found to be consistent with findings from an “event study”.     

我国货币政策与人民币汇率的互动关系研究

基于SVAR模型研究我国货币政策与人民币汇率的相互作用关系,发现我国货币政策对汇率冲击的反应具有逆经济风向的操作特征,汇率升值,货币政策扩张;而人民币汇率对货币政策冲击的反应也符合经济理论,货币政策扩张会引起人民币汇率贬值。同时,在货币供应量作为货币政策变量时,汇率水平的反应表现为经典的超调现象,但在名义利率作为货币政策变量时,汇率的反应曲线则表现为延迟的超调现象。总体上,我国货币政策对人民币汇率变动非常敏感,相反人民币汇率对货币政策的反应相对较弱。     

Non-stationary Interest Rate Differentials and the Role of Monetary Policy

Abstract

The present work deals with a frequently detected failure of the uncovered interest rate parity (UIP) – the absence of bivariate cointegration between domestic and foreign interest rates. We explain the non-stationarity of the interest differential via central bank reactions to exchange rate variations. Thereby, the exchange rate in levels introduces an additional stochastic trend into the system. Trivariate cointegration between the interest rates and the exchange rate accounts for the missing stationarity property of the interest differential. We apply the concept to the case of Turkey and Europe, where we can validate the theoretical considerations by multivariate time series techniques.     

我国汇率政策对货币政策的制约性分析

自2005年7月21日我国实施汇率制度改革以来,我国继续出现贸易、资本双顺差,外汇储备持续高速增加使人民币升值压力继续存在。国外游资的大量涌入,使得我国银行体系出现“流动性过剩”,并凸显通货膨胀压力。央行采取了一系列货币政策措施,包括提高利率、提高法定准备金率、发行央行定向票据等,但是效果并不明显,目前我国流动性过剩问题依然严重,通胀压力仍然存在,货币政策的实施效果严重受到了汇率政策的制约。     

当前汇率制度下中国的货币政策效应分析

在中国当前的汇率制度下,外汇储备持续增加,使得基础货币投放量被动增加,进而导致了经济中流动性过剩问题.提高货币政策独立性的根本途径在于汇率制度改革:完善中国汇率形成的市场机制,培育相对均衡汇率;深化中国外汇管理体制改革,有序开放资本市场;汇率制度改革要与其他政策改革配合协调.     

Money,Interest Rate and Foreign Exchange Rate As Indicator Variables Of Monetary Policy

Since monetary policy operations affect the ultimate targets such as real income and prices with considerable time lags, this papers attempts to identify the indicator variable of monetary policy in Korea by using autoregression tests, variance docompositions of VAR forecasts and cointegration analyses. The results show that in Korea unlike the U.S., a broad concept of money, interest rate and foreign exchange rate, taken together, could serve as the indicator variables. In particular, M3, But not M2 nor MCT, is significantly related to real income both in the short-run and in the long-run. Such a finding rejects the practice of controlling either M2 or MCT which the Korean monetary authority had exercised before implementing the recent IMF financial-reform program. [E5]     

An Analysis of Recent Changes in the Australian Exchange Rate: Nominal and Real

Recent movements in the Trade Weighted Indexes (MI) of Australia's nominal and real exchange rates are documented. The volatility of the nominal rate in the pre-float and post-float periods is examined. Decompositions are made of the most recent depreciations of the Twls into compenents due to depreciations against the United States dollar ($US) and other major currencies. The extent to which the recent changes can be understood as necessary to correct misalignment in the Australian balance of payments is investigated.     

Exchange Rates and Monetary Policy

This paper looks at the relation between exchange rates and monetary policy. It focuses in particular on the role of the exchange rate of the euro in the context of the ECB's monetary policy strategy. The objective of monetary policy is to maintain price stability. The euro area is a large and relatively closed economy. Therefore, the exchange rate of the euro is not an intermediate target nor is it an objective. Nevertheless, the ECB's stability–oriented monetary policy strategy does not neglect the exchange rate of the euro. Clearly, exchange rate developments are taken into account both when looking at the transmission mechanism of monetary policy and when assessing the current economic situation and prospects for the euro area.     

Monetary Shocks and Real Exchange Rate Hysteresis: Evidence from the G-7 Countries

Long-run monetary neutrality specifies that nominal disturbances do not affect long-run real exchange rates. However, the "over depreciation" of the US dollar in the late 1980s, after its strong appreciation earlier in the decade, suggested to a number of observers that nominal disturbances alter long-run real exchange rates; that is, money supply shocks entail real exchange rate hysteresis. Using data from the G-7 countries and the post-1973 float, the paper measures the long-run effects of relative money supply disturbances on real US dollar exchange rates. Little evidence of hysteretic monetary policy effects is found.     

货币政策是否应该考虑汇率目标——基于美联储加息政策的应对分析

美联储启动加息预期以来,新兴市场和发展中国家货币汇率出现了较为剧烈的波动,关于货币政策规则中考虑汇率目标的争论增多。本文使用小型开放的新凯恩斯宏观经济模型,分析了美联储货币政策冲击对我国采取不同汇率目标权重货币政策规则时的影响。研究发现,美联储加息政策将使得我国产出减少、失业增加、通胀增加、汇率贬值。随着货币政策规则中汇率目标权重的增加,国内产出下降幅度扩大、失业增加幅度扩大、通胀增加幅度缩小、汇率贬值幅度缩小。此外,货币政策规则中考虑汇率目标也进一步削弱了本国货币政策的独立性。在此基础上,本文提出,在具体的货币政策实践中,货币当局应该根据本国的实际情况,对产出、就业、通胀和汇率等宏观经济变量的重要性做出权衡。     

真实汇率与真实利率差异——基于人民币真实汇率的实证研究

本文详细考察了人民币对美元、日元、港币和欧元的双边真实汇率、真实利率差异与进出口之间的统计关系，结果发现：（1）人民币真实汇率与真实利率差异间不存在显著且稳定的统计关系；（2）人民币真实汇率具有较强的“自回归”性，并且存在比较明显的非线性动态调整特征。因此，研究人民币真实汇率自身的特定生成机制可能更具有重要意义。     

人民币均衡实际汇率的估计与实际汇率错位的测算

基于均衡实际汇率理论 ,本文应用多种经济计量方法实证分析了自 2 0世纪 50年代中期至 2 0 0 0年期间人民币实际汇率状况 ,估计出人民币均衡实际汇率 ,进而测算了实际汇率错位状况。研究结果表明 :在计划经济时期 ,人民币实际汇率长期被高估。改革开放后 ,均衡实际汇率长期处于贬值状况 ,现实的实际汇率长期被低估。在亚洲金融危机期间 (特别是 1 997和 1 998年 ) ,人民币实际汇率出现了明显的高估。 1 999年这种高估状况得到部分缓解 ;2 0 0 0年出现了根本性好转。在现实中 ,1 999年以后中国出口的快速增长也证实了这一结论。     

The Effects of Foreign Currency Derivatives on the Monetary Policy Exchange Rate Channel in China

This paper examines changes in the monetary policy exchange rate channel in the presence of foreign currency derivatives (FCD) markets in China. Initially a theoretical macroeconomics model incorporating the exchange rate risk hedging is presented, and this is followed by an empirical test. A theoretical model implies that with more firms using foreign currency derivatives to hedge the exchange rate risk, the effect of the exchange rate on the net exports will be weaker and may even be reversed. The empirical section uses Structure Vector Autoregression (SVAR) models with China's monthly macro data over the 2000–2013 period to assess the impact of the FCD market on the exchange rate channel. Empirical support for the changes in the exchange rate channel transmission is found. By impulse response function (IRF) analysis, with the emergence of the domestic FCD market in China, in the long run the probability becomes higher that the negative effect of RMB appreciation on China's net exports to the US is reversed; meanwhile the negative effects of RMB appreciation on the overall net exports and the net exports to the EU become gradually weaker on average.