汇率、利率、税率：名义和实际

当前我国经济运行情况以及面临的问题 过去的一年里，我国经济保持了稳定增长的态势，在全球经济特别是关、日和欧三大经济体同时陷入衰退的情况下，2001年我国国内生产总值达到95800多亿元，同比增长率为7．3％。更令人感到鼓舞的是，中国在2001年加入WTO，正式成为世界贸易组织的一员，中国的对外开放进入了一个新的阶段。 但在成功数字的外表下，我们还应该看到中国经济的一些问题以及在2002年可能遇到或者已经遇到的一些难题。2001年中国经济增长前高后低，四个季度的经济增长一路滑坡，前3个季度的增长速度分别是8．1％、7．8％和7％，第4季度GDP增长也很难达到7％，11月份居民消费价格总水平比去年同月下降3％，又面临通货紧缩的威胁。2001年的经济增长，主要是由国内投资和消费需求的增长拉动的。由于国际经济严重衰退，一方面，我国出口增速下降，大约在6％左右，净出口减少，对经济增长的贡献度为负值；另一方面，促使外资流入加快，实际利用外资增长近20％，减弱了出口下降的影响。……     

A Theory of Exchange Rates and the Term Structure of Interest Rates

This paper defines the concepts of indirect and direct risk premium effects and analyzes their properties in an exchange rate model. In the model, these effects are endogenously determined in a rational expectations equilibrium. For the effect of an interest rate shock, they have the opposite signs and the indirect risk premium effect can dominate the direct risk premium effect under reasonable parameters. This means that domestic short‐term bonds and foreign bonds are complements in the model even though domestic long‐term bonds and foreign bonds are substitutes. This model, focusing on the indirect risk premium effect and on the term structure of interest rates, can be combined with a small sample bias approach to explain stylized facts about the forward premium anomaly, which is found for short‐term interest rates, but not for long‐term interest rates.     

Time-Varying Risk, Interest Rates, and Exchange Rates in General Equilibrium

Under mild assumptions, the data indicate that fluctuations in nominal interest rate differentials across currencies are primarily fluctuations in time-varying risk. This finding is an immediate implication of the fact that exchange rates are roughly random walks. If most fluctuations in interest differentials are thought to be driven by monetary policy, then the data call for a theory which explains how changes in monetary policy change risk. Here, we propose such a theory based on a general equilibrium monetary model with an endogenous source of risk variation—a variable degree of asset market segmentation.     

Convergence in Interest Rates and Inflation Rates Across Countries and Over Time

We examine the relationship between interest rates and inflation rates for 10 countries during the period 1974–95. We find evidence of a unique cointegrating relationship between nominal interest rates of European Monetary System (EMS) countries, the US and Canada, and the US, Germany, and Japan. No similar relationship is obtained between inflation rates with one exception, namely, that between the US and Canada. We interpret these results as convergence in inflation but not in interst rates. Hence, if interest rates represent an indicator of monetary policy, the countries considered have attempted to implement independent policies but not to an extent which produced divergent trends in inflation.     

Eliciting Individual Discount Rates

Controlled laboratory conditions using monetary incentives have been utilized in previous studies that examine individual discount rates, and researchers have found several apparently robust anomalies. We conjecture that subject behavior in these experiments may be affected by (uncontrolled) factors other than discount rates. We address some experimental design issues and report a new series of experiments designed to elicit individual discount rates. Our primary treatments include: (i) informing subjects of the annual and effective interest rates associated with alternative payment streams, and (ii) informing subjects of current market interest rates. We also test for the effect of real (vs. hypothetical) payments and for the effect of delaying both payment options (vs. offering an immediate payment option). The statistical analysis uses censored data techniques to account for the interactions between field and lab incentives. Each of the information treatments appears to reduce revealed discount rates. When both types of information are provided, annual rates in the interval of 15%–17.5% are revealed, whereas rates of 20%–25% are revealed in the control session. Each of the treatments also lowers the residual variance of subject responses.     

Managed Exchange Rates*

Managed exchange rates have become a tool of macroeconomic stabilization policy. Much of the previous emphasis on parametrically chosen exchange rate regimes has missed the advantages of a strategy of a variable target exchange rate when the central bank tries to maintain equilibrium output in the face of various shocks to the economy. Based on a standard IS-LM-AS macromodel, optimal combinations of exchange rate and money supply changes are found that insulate the economy against all stipulated shocks. However, these combinations vary from one shock to another; therefore recognition signals are necessary. Continuous information on some variables allows the central bank to identify shocks if they can be guaranteed to occur individually, but not otherwise. As a second-best strategy, ‘defensively managed exchange rates’ appear suitable. The paper also discusses some side effects and other practical difficulties of a managed exchange rate as an automatic stabilizer.     

Interest Rates, Exchange Rates and Present Value Models of the Current Account

This paper develops a testable intertemporal model of the current account that allows for variable interest rates and exchange rates. These additional variables are channels through which external shocks may influence the domestic current account. The restrictions from the theoretical model are subjected to present value tests using quarterly data from three small open economies. The paper finds that including the interest rate and exchange rate improves the fit of the intertemporal model over what was found in previous studies. The model predictions better replicate the volatility of current account data and better explain historical episodes of current account imbalance.     

Forward Rates,Interest Rates,and Expectations Under Alternative Exchange Rate Regimes*

A model comprising spot and forward foreign exchange markets and a domestic credit market is used to examine the trade-off between volatility in the nominal exchange rate and domestic interest rate. It also shows how a slowly crawling spot rate can raise interest rate volatility and the amplitude of reserve flows. Finally, the paper extends a finding by Driskill and McCafferty that the exchange rate effects of external shocks are differently affected by the responsiveness of speculation to expected profits; high responsiveness makes the spot exchange rate more sensitive to foreign financial shocks but less sensitive to trade balance shocks.     

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.     

Exchange Rates and Oil Prices

The paper documents a robust and interesting relationship between the real domestic price of oil and real effective exchange rates for Germany, Japan and the United States. It also offers an explanation of why the real oil price captures exogenous terms-of-trade shocks, and why such shocks could be the most important factor determining real exchange rates in the long run.     

Penalty Rates and Enterprise Bargaining

Industrial relations procedures in both Australia and New Zealand are changing from a system based on centralised arbitration towards enterprise level negotiation. This article considers how this change will affect overtime and other penalty rate payments. In particular, we show how, despite the existence of a legislative ‘safety net’, enterprise level negotiations can lead to the widespread removal of penalty rates, possibly to the detriment of both employees and employers. Such changes will, however, enhance competition and benefit consumers.     

Interest Rates and Wage Indexation

The growth effects of European economic and monetary intergration and the progress of

regional convergence across Europe depend on whether economic in Europe is consistent with a neoclassical or an endogenous growth model. Using annual data from the 1950-1992 period for each of 20 European economies, the paper finds that steady-state real growth rates are generally unaffected by changes in the investment rate, population growth, and government consumption, evidence consistent with neoclassical growth theories. This Strengthens the likelihood of regional (perhaps conditional) convergence, and suggests that the effects of greater monetary and economic unification will be in terms of higher incomes per capita, but not in terms of permanently higher growth rates.[O40,F43]     

Bilateral Exchange Rates and Jobs

We study the labor market effects of realignment in fixed bilateral exchange rates, such as China's peg to the US dollar. We employ the open economy model by de Melo and Robinson to identify the core parameters of the real, trade side of the economy driving the unemployment effects of bilateral exchange rate realignment. A small open economy version of the model is explored analytically and a large multicountry version numerically. Analytics in the small open economy model show that unemployment effects of adjusting of a bilateral peg hinge on the fraction exported to and imported from the trading partner. A larger fraction exported to and a smaller fraction imported from the trading partner make it more likely that revaluation of a trading partner's currency has beneficial effects. Numerics in the large economy model show that Chinese revaluation can generate both positive and negative unemployment effects depending upon underlying parameter values. Adverse unemployment effects can go along with an improving trade balance.     

Forecasting Australian Marriage Rates*

The paper discusses the problem of modelling demographic variables for the purpose of forecasting. Two empirical model selection procedures are applied to suggest final form forecasting equations for Australian marriage rates. The suggested models are then assessed by comparing their post-sample forecast performance with that of univariate ARMA-type models of marriage rates which are regarded as approximations to marriage rate final equation models. In this instance the ARM A models are preferred for forecasting purposes. The properties of the ARM A model forecasts are then examined and the modelling strategy is contrasted with the regression method used by Withers.     

Fiscal Policy and Exchange Rates

This paper examines the dynamics of the nominal exchange rate and fiscal deficits in a continuous time optimizing general equilibrium model with OLG. It is shown that alternative financing modes of budget deficits imply different patterns of adjustment along the transitional path towards the steady-state equilibrium. In particular, the respect of public solvency without money financing is not sufficient to avoid the depreciation of the exchange rate in the long-run after a fiscal expansion. In addition, money and tax financing generate opposite intergenerational reallocation of wealth.     

Collective Perception and Exchange Rates

The authors' research suggests that people search online for information on currency exchange rates and that this information-seeking process can be translated into data on people's interest for a given currency. The authors utilize Google Trends data to capture the level of interest in 3 currency pairs: the euro, the pound sterling, and the Canadian dollar against the U.S. dollar and conduct a multivariate data analysis in the context of vector-autoregressive models. The findings suggest that there is a small but significant impact on collective perception on exchange rates. The authors show that Google Trends data could be an important source of information for investors looking into exchange rate trends.