参考一篮子货币的人民币汇率形成机制研究——基于人民币有效汇率目标的分析

文章主要研究如何建立参考一篮子货币的汇率制度,首先分析了人民币对美元汇率、人民币对非美元货币和人民币有效汇率之间的关系。其次研究了从人民币钉住美元货币汇率向参考一篮子货币汇率制度(人民币有效汇率目标)的过渡,以及建立一篮子货币汇率机制的方法和实证模拟研究,并考察了人民币汇率的波动幅度。最后文章认为人民币汇率制度的市场化改革是我国汇率体制改革的最终目标,并给出了本文的主要结论。     

Possible Best Currency Basket Selection from the Perspective of Real Effective Exchange Rate

We calculated the real effective exchange rate indexes and measured their volatilities based on four currency baskets to find which currency basket is optimal for achieving China's policy target of keeping exchange rates stable. The volatility of the bilateral exchange rate between the RMB and the US dollar is also calculated to make a comparative analysis. Results showed that the bilateral exchange rate of the RMB and the US dollar is only stable in special time periods. In most time periods, pegging to the G3 currency basket is optimal to achieve the goal of stabilizing exchange rates while pegging to the AMU currency basket will result in the most volatile exchange rates.     

Bi‐currency versus Single‐currency Targeting: Lessons from the Russian Experience

This paper examines how the 2005 shift in Russian exchange rate policy from US dollar (USD) single‐currency to USD–EUR (euro) bi‐currency targeting has impacted domestic interest rates. The finding show that this policy shift has disconnected Russian interest rates from US dollar‐denominated interest rates, while instead linking them to a synthetic interest rate composed of USD and EUR rates at the same proportion as that of these two currencies in the currency basket against which the ruble's exchange rate is set. The Russian experience shows that while the adoption of bi‐currency targeting may help ensure that domestic interest rates are less dependent on the monetary cycle of a single country, these rates are instead likely to reflect financial developments in all countries whose currencies are included in the currency basket. This insight is likely to be relevant for other countries that pursue basket‐targeting policies.     

Exchange Rate Policy in China after the Financial Crisis: Evidence from Time‐varying Exchange Rate Basket

We analyze the period of a managed floating exchange rate policy in China between June 2010 and November 2014. We estimate a time‐varying structure of a hypothetical currency basket using the Kalman filter. We show that the exchange rate policy continues to focus on the US dollar. However, its weight has been gradually declining, while this decline has moderated in 2014. The euro played some role before summer 2011, but became negligible after the outbreak of the European sovereign debt crisis. Finally, the Thai baht has positive implicit weights.     

West African Single Currency and Competitiveness

This paper compares different nominal anchors to promote internal and external competitiveness in the case of a fixed exchange rate regime for the future single regional currency of the Economic Community of the West African States (ECOWAS). We use counterfactual analyses and estimate a model of dependent economy for small commodity exporting countries. We consider four foreign anchor currencies: the US dollar, the euro, the yen and the yuan. Our simulations show little support for a dominant peg in the ECOWAS area if they pursue several goals: maximizing the export revenues, minimizing their variability, stabilizing them and minimizing the real exchange rate misalignments from the fundamental value.     

中国货币替代现象的VEC模型:1994-2005

随着人民币汇率制度改革的进行和资本账户开放进程的加快,中国的货币替代现象理当引起我们更大的关注.本文通过建立货币替代的VEC模型对中国的货币替代程度及其影响因素之间的关系作了动态分析,最后得出人民币名义有效汇率在长期和短期内都是影响中国货币替代的主要因素,名义有效汇率的频繁波动会造成货币替代乃至货币需求的不稳定.因此加快人民币汇率制度改革、降低美元在人民币汇率盯住篮子中的比重就显得尤为重要了.     

Do China and oil exporters influence major currency configurations?

This paper analyses the impact of the shift away from a US dollar focus of systemically important emerging market economies (EMEs) on configurations between the US dollar, the euro and the yen. Given the difficulty that fixed or managed US dollar exchange rate regimes remain pervasive and reserve compositions mostly kept secret, the identification strategy of the paper is to analyse the market impact on major currency pairs of official statements made by EME policy-makers about their exchange rate regime and reserve composition. Developing a novel database for 18 EMEs, we find that such statements not only have a statistically but also an economically significant impact on the euro, and to a lesser extent the yen against the US dollar. The findings suggest that communication hinting at a weakening of EMEs’ US dollar focus contributed substantially to the appreciation of the euro against the US dollar in recent years. Interestingly, EME policy-makers appear to have become more cautious in their communication more recently. Overall, the results underscore the growing systemic importance of EMEs for global exchange rate configurations.     

THE CHOICE OF EXCHANGE RATE REGIME AND THE VOLATILITY OF EXCHANGE RATES BEFORE AND AFTER THE ASIAN CRISIS: A COUNTERFACTUAL ANALYSIS*

This paper carries out a counterfactual analysis of the impact of alternative exchange rate regimes on the volatility of the nominal effective exchange rate (NEER) and the bilateral rate against the US dollar for nine East Asian countries, both before and after the Asian financial crisis. Our hypothetical regimes include a unilateral basket peg (UBP), a common basket peg (CBP) and a hard peg against the $US, but in contrast to previous counterfactual exercises which compute the weights for effective exchange rates on the basis of simple bloc aggregates, we apply a more disaggregated methodology using a larger number of trade partners and utilise ARCH/GARCH techniques to better capture the time‐varying characteristics of volatility. Our results suggest that a UBP would minimise effective exchange rate volatility for all countries both before and after the crisis and provides the highest regime gains compared to actual. Although the gains for a CBP are always less than those for a UBP the absolute differences between the two regimes appear to be small. In terms of bilateral exchange rates against the dollar the gains from a UBP or CBP could also be quite significant for the non‐dollar peggers, especially post‐crisis, since a fall in effective instability would be accompanied by a fall in bilateral instability.     

Weights and Empirical Analysis of RMB Exchange Rate Adjustments with Reference to a Basket of Currencies Following the Exchange Rate System Reform of 2010

This paper constructs an RMB/USD exchange rate index and a basket currency exchange rate index. The correlation maximization of the RMB/USD and the basket currency index may determine the weight and quantity of the basket currency. The currency basket indicates that the weight of the USD is highest, whereas that of the GB Pound is the lowest. Our currency basket has a high linear dependence on that of the central bank. We found that the RMB/USD and currency basket indices have a long-term co-integration relationship according to the optimal currency weights. The results of the error-correcting model manifest as the RMB/USD exchange rate deviates from the long-term equilibrium level, wherein 76.3% will be corrected. This paper checks the prediction capacity, which indicates the good fit of the model. By using the Granger causality test the findings show that the People＇s Bank of China adjusts the RMB/USD exchange rate with reference to the currency basket.     

“汇改”后人民币汇率制度分析

自2005年7月21日人民币汇率形成机制进行重大改革以来,人民币对美元的基准汇率一直处于单边升值的态势.从宏观经济特征和模型实证分析中可以得出,虽然"汇改"后人民币货币篮子发挥了一定的作用,人民币汇率的灵活性在逐渐增强,但主要还是参考美元汇率来进行调节,属于"软钉住美元的汇率制度".     

Choice of Exchange Rate Regime: Currency Board (Hong Kong) or Monitoring Band (Singapore)?

Following the East Asian crisis, a number of observers have advocated that small and open economies in Asia adopt an irrevocably fixed regime. Such a hard peg, it is argued, signals greater commitment to rule out arbitrary exchange rate adjustments as well as the authorities’ willingness to subordinate domestic policy objectives such as output and employment growth to the maintenance of the pegged exchange rate. But is this a reasonable position to adopt? In order to answer this question, we consider and contrast the experiences of Hong Kong and Singapore. While both of these economies share a number of broad similarities, the former operates a US dollar–linked currency board arrangement and the latter maintains an adjustable peg in the form of a monitoring band arrangement with the central parity based on an undisclosed trade–weighted currency basket.     

SYNCHRONIZATION OF ECONOMIC SHOCKS BETWEEN GULF COOPERATION COUNCIL AND UNITED STATES,EUROPE, JAPAN,AND OIL MARKET: CHOICE OF EXCHANGE RATE REGIME†

Using a structural vector autoregression (SVAR) with block exogeneity, this study examines the impacts of external shocks originating from the United States, the European Union, Japan, and the oil market as well as those of the regional shocks, on the oil‐rich countries of the Gulf Cooperation Council (GCC), viewed as a prospective monetary union. It takes into account the implications of the shock impacts for selecting an appropriate common exchange rate arrangement. The SVAR variance decomposition and impulse response analyses strongly underscore the relative impacts of the global shocks over the regional ones. The findings imply that the world's two major currencies, the U.S. dollar and the euro, should figure highly in a GCC's common basket of currencies. Accordingly, a transitional movement to a more flexible exchange rate arrangement such as a basket peg may be desirable for these trade‐dependent economies in the long run, as is argued in the optimal currency literature for developing countries. (JEL E52, O52, C22)     

Identification of a basket peg: the model specification controversy

A controversy has been triggered by the Chinese exchange rate regime shift from a single currency peg to an alleged basket peg. The controversy is about the specification of the model used to represent the basket as three models have been used: levels, log levels and first log differences. It is suggested that one way to confirm the validity or otherwise of a model is to use data on the special drawing rights exchange rate since the currency weights are known. The results show that the estimated weights are almost identical no matter which model and which numeraire is used. However, nonnested model selection criteria show that the best model is that written in levels, simply because this is what is used in practice by central banks adopting basket pegs.     

Behavioural equilibrium exchange rate and total misalignment: evidence from the euro exchange rate

In the present paper we attempt to investigate whether the nominal exchange rate of the euro against the currencies of the four major trading partners of the eurozone, namely China, Japan, the UK and the USA, converges or not to its equilibrium level. Applying recent unit root and system cointegration techniques in the presence of structural shifts in the data, our results indicate that there exist an equilibrium relationship between each of the euro/yuan, euro/yen, euro/UK pound and euro/US dollar nominal exchange rates and the fundamentals defined by the monetary model. Following these results, our modified Behavioural Equilibrium Exchange Rate model suggests that at the end of the estimated period, the euro/Chinese yuan and the euro/UK pound nominal exchange rates follow an equilibrium process. Our empirical results also imply that the single European currency is considered as overvalued against the US dollar, while it is considered as undervalued against the Japanese currency.     

China as Number One: How about the Renminbi?

Using simulations projecting Chinese economic growth into the future, this paper first examines when China will overtake the USA to become the largest economy. Demographic changes that affect economic growth are taken into consideration in these projections. China is expected to become number one sometime in the mid-2020s, unless its growth rate of gross domestic product per worker declines dramatically, à la the lost decade of Japan. Next, the paper examines whether China becoming the number one economy will mean its currency, the renminbi (RMB), will become the international key currency. According to the basket currency regressions during the period that Chinese currency was gradually appreciating against the US dollar from July 2005 to August 2008, it is shown that the RMB has already acquired a strong influence on the Asian currencies. This shows that the RMB is fast gaining the status of a regional anchor currency for a possible regional joint float. As the Chinese government proceeds with internationalization of its currency, the RMB is expected to gain in the ranking of other aspects of international currency, such as the store of value and the medium of exchange.     

略论中国外汇储备面临的潜在资本损失

本文分析了中国巨额外汇储备面临的由本币升值汇率风险而导致的资本损失。文章从两个角度来研究该项损失:一是从央行资产负债表由于货币错配而招致的现实以及潜在资本损失的角度;二是从以一篮子货币或者一篮子商品来衡量的中国外汇储备国际购买力损失的角度。本文的结论是:中国央行资产负债表面临的资本损失是显著的;中国外汇储备国际购买力的波动显著高于市场价值的波动,尤其是用油价来衡量的外汇储备购买力波动相当剧烈。     

Choice of currency basket weights and its implications on trade balance

This paper seeks to find an optimal choice of currency basket weights for emerging economies that peg their currencies to a currency basket, and to examine the long-run relationship between the real exchange rates of a group of trading partners. A general equilibrium model is set up to establish an optimal set of currency basket weights, coupled with the choice of fiscal policy, to simultaneously stabilize trade balance and aggregate price level of an economy. This optimal set of weights is a weighted average of two sets of weights; each targets at one policy goal (stabilizing either balance of trade or aggregate price level) at a time. Empirical studies including vector autoregression (VAR) analysis and cointegration analysis on the long-run relationship between the Thai baht and the real exchange rates of its major trading partners are presented.     

Exchange rate volatility and the role of regional currency linkages: the ASEAN case

As the economies of the Association of Southeast Asian Nations (ASEAN) have moved towards closer economic ties and trade integration in recent years, the establishment of exchange rate stability is becoming an important regional policy concern, particularly in the wake of the Asian currency crisis of 1997. This paper examines the exchange rate volatility of the currencies of Indonesia, Malaysia, Philippines, Singapore and Thailand between 1974 and 1999. Using variance decomposition (VDC) methods and impulse response functions, which are VAR-related estimation techniques, the study also investigates the regional currency linkages which may have played a role in transmitting exchange rate fluctuations. The results indicate that, in spite of the adoption of the crawling peg exchange regime following the breakup of the Bretton Woods system, all of the five ASEAN currencies experienced volatility, with the Indonesian rupiah posting the highest volatility level. The switch to de facto pegging against the US dollar in the mid-1980s helped to stabilize all ASEAN currencies with the exception of the Malaysian ringgit. Each of the five currencies became more susceptible to instabilities in other ASEAN currencies in the post-1985 period. Consistent with the experience of the Asian currency crisis, the Thai baht was the main channel through which regional currency fluctuations were transmitted.     

汇率制度能影响外汇市场压力和央行干预吗

按照Stavarek（2007）的方法和标准,分别计算了2002年1月到2011年12月期间人民币对美元的外汇市场压力及中央银行干预指数。结果显示,人民币实行参考一篮子货币的汇率制度与盯住美元的汇率制度相比,不仅没有减轻外汇市场压力,反而加大了外汇干预压力。汇率制度不是影响外汇市场压力的决定因素,但不同的汇率制度却对我国央行外汇市场干预程度产生了较大的影响。在人民币实行参考一篮子货币的汇率制度下,央行干预程度明显降低,汇率决定的市场化程度相应提高。     

Tobin Tax and Volatility: A Threshold Quantile Autoregressive Regression Framework

From an original data set on the euro–dollar and on the won–dollar currency pairs (2008–2010), we conduct a threshold quantile autoregressive model to explain the role of a Tobin tax (TT) on the exchange rate volatility, taking into account two types of nonlinearity (regimes and quantiles). We find evidence that the impact of a TT would not be monotonic. A TT may be a good instrument to stabilize foreign exchange volatility only in normal times and/or in efficient markets. In contrast, a TT could be counterproductive in turbulent periods by increasing the volatility. In addition, by comparing a major currency pair (euro/dollar) and a minor currency pair (won/dollar), it appears that the potential stabilizing effect of a TT would be more clear‐cut in the low volatility regime of a major currency pair, similar to the euro/dollar. Our results do not corroborate the previous studies that derived a monotonic and positive impact of a TT on volatility.