Do Fundamentals Explain the Behaviour of the Swedish Real Effective Exchange Rate?

This study examines the long‐run relationship between the real effective exchange rate and its fundamental determinants, and derives a real effective equilibrium exchange rate for the Swedish krona. Our results indicate that the krona was severely overvalued in late 1992, when the fixed exchange rate regime was abandoned. By the end of 2000 the krona was undervalued by approximately 5 percent, given the prevailing economic conditions. Arithmetic examples of suitable SEK/EUR conversion rates are calculated under various assumptions to provide a guideline if Sweden were to adopt the euro in the future.     

Foreign Money Shocks and the Welfare Performance of Alternative Monetary Policy Regimes*

The welfare properties of monetary policy regimes for a country subject to foreign money shocks are examined in a two‐country sticky‐price model. Money targeting is found to be welfare superior to a fixed exchange rate when the expenditure switching effect of exchange rate changes is relatively weak, but a fixed rate is superior when the expenditure switching effect is strong. However, price targeting is superior to both these regimes for all values of the expenditure switching effect. A welfare‐maximising monetary rule yields lower output and exchange rate volatility than price targeting for a wide range of parameter values.     

The Malaysian Real Trade Balance and the Real Exchange Rate

The cointegration technique is used to examine the long‐run and short‐run relationships between the real Malaysian trade balance with the real exchange rate, domestic and world incomes. The results suggest that a real ringgit exchange rate depreciation improves the trade balance in the long run. World and domestic incomes are also found to be important determinants of trade balance. The significance of world income on trade balance indicates that Malaysia is prone to external shocks. An error‐correction model is then estimated to study the short‐run dynamics of the effects of exchange rate. The impulse response analysis shows that the effect of exchange rate on the trade balance lasts for about three years. A devaluation of ringgit will initially improve the trade balance, albeit small, after which the trade balance starts to deteriorate, and then improves again suggesting that there exists a delayed J‐curve.     

Exchange Rate Regimes and Welfare Losses from Foreign Crises: The Impact of the US Financial Crisis on Mexico

We modify the Gali and Monacelli small open economy dynamic stochastic general equilibrium (DSGE) model, calibrate to Mexican data and simulate the impact of the financial crisis on Mexico, under floating and counter factual fixed exchange rates. The floating exchange rate ameliorates welfare losses for Mexico. They are greater under fixed exchange rates because the return paths to equilibrium are more volatile (higher variance) and output, consumption and employment impulse response functions (IRFs) overshoot. Monetary policy, inflation targeting with floating exchange rates, clearly reduced the welfare costs vis‐à‐vis other counter factual policies including consumer price index‐based Taylor rule, domestic inflation Taylor rule and fixed exchange rates.     

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。     

汇率失调、汇率中性假定和策略汇率

在资本不完全流动的情形下,汇率不仅是体现一国内部经济均衡和外部经济均衡的政策目标,也是一国政府实现其他政治、经济目标的重要政策工具。本文通过考察政府如何以汇率失调为代价,实现政治、经济等战略目标,并以此为基础提出策略汇率的概念,以完善对汇率失调的理论描述和加深对汇率失调内在机制的理解。本文还建立了汇率博弈的政治经济学模型,运用博弈论阐明策略汇率是一个Nash均衡结果。     

资本账户、法定汇率制度与事实汇率制度

文章对资本账户开放程度以及法定与事实汇率制度之差异的共同决定过程进行了研究。文章以世界各国自布雷顿森林体系崩溃以来的相关数据为基础,利用离散变量联立方程模型进行计量经济学分析。经验分析的结果表明,资本账户的开放程度,对于法定与事实汇率制度的差异有显著影响,但后者对前者的影响并不显著。此外,无论是资本账户的开放程度,还是法定与事实汇率制度的差异,都存在显著的状态依赖性。     

Export,Exchange Rate Risk and Hedging: The Duopoly Case

Abstract. This paper studies a Cournot duopoly in international trade with firms exposed to exchange rate risk. A hedging opportunity is introduced by a forward market on which one firm can trade the foreign currency. We investigate two settings: First, we assume that hedging and output decisions are taken simultaneously. It is shown that hedging is exclusively done for risk‐managing reasons as it is not possible to use hedging strategically. Second, the hedging decision is made before the output decisions. We show that hedging is not only used to manage the risk exposure but also as a strategic device.     

The Appreciation Pressure on RMB Yuan and the Adjustment of RMB Exchange Rate Policy

China has maintained RMB exchange rate nearly unchanged since 1998. However, with the relaxation of capital control, a crawling peg, a more flexible RMB exchange rate regime, is inevitable. Based on improving the current formation mechanism of RMB exchange rate, Chinese government could widen the floating band around the central parity; in the long run, switching the peg from USD alone to a basket of currencies may be a better choice.     

Exchange Rate Pass‐through: The Role of Regime Changes

We consider the effect on the degree of exchange rate pass‐through of the exchange rate regime in operation. We test the hypothesis that pass‐through will be lower under a float as firms may be reluctant to pass appreciations or depreciations on to their customers when there is a strong chance that they will be subsequently reversed. Taylor’s hypothesis that pass‐through will be lower in a low‐inflation environment is also considered. Both hypotheses are assessed in relation to the price of manufactured imports into New Zealand and we find that, whereas the shift to a float dramatically lowered the degree of pass‐through, the later shift to a low‐inflation regime has no significant additional effect on the pass‐through relationship.     

新汇率体制下中国上市公司外汇风险暴露研究

本文以沪市180指数样本股作为研究对象,通过测量上市公司经营活动产生的现金流相对贸易加权汇率指数及我国主要贸易伙伴货币汇率变化的敏感度,来考察我国企业的外汇风险暴露问题。研究显示,我国上市公司总体外汇风险暴露程度比较高,公司规模与短期外汇风险成正比关系,外国控股程度的高低对风险暴露则没有明显的影响。     

竞争力平价与人民币均衡汇率研究

传统的汇率决定理论认为，一国货币汇率的衡水平是由购买力平价、利率平价和货币相对供求等决定的。大多数实证研究表明，这些均衡汇率理论只是强调单一因素，同现实相距甚远。本文构建了多因素国际竞争力平价模型，认为均衡实际汇率随着国际竞争力的相对变化而变化，国际竞争力相对提高，该国货币升值，反之则反之。本文利用主成分分析法，从影响人民币汇率的多因素中构造国际竞争力这个指标，实证研究表明人民币实际有效汇率与国际竞争力之间存在协整关系，然后再基于这个协整关系式计算人民币的均衡实际有效汇率，并据以判断人民币汇率偏离均衡水平的程度。     

Fixed Exchange Rates and Banking Crises: When Does the Former Prevent the Latter?

Because monetary policy is constrained in fixed exchange rate regimes, banks should expect fewer money‐financed bailouts and therefore manage their risks more carefully when exchange rates are fixed than when they are flexible. It follows that we should observe fewer banking crises in countries with formal currency pegs. The 1990s however are littered with occurrences of banking crises in countries with fixed exchange rates. This paper asks whether banks in those countries could have adopted excess risk expecting money‐financed bailouts or whether their pegs discouraged such moral hazard‐type risks.     

Sectoral labor adjustment and monetary policy in a small open economy

This paper studies the welfare implications of sectoral labor adjustment cost in a two-sector small open economy model with sticky prices. We find that, when the economy faces external shocks, if monetary policy can stabilize the real economy, then sectoral labor market adjustment cost will lead to welfare loss. However, if monetary policy such as fixed exchange rates cannot stabilize real variables, then some degree of labor market friction will improve welfare instead and the gain will be significant. As a result, the welfare gap between flexible exchange rates and fixed exchange rates decreases with sectoral labor market friction. This is because the friction can offset some of the nominal rigidity and become a substitute for monetary policy to stabilize the real economy.     

关于加工贸易、实际汇率与经常账户的分析

考虑我国自然资源相对缺乏、加工贸易快速发展、实行固定汇率制度和强制结售汇制度等基本特征,建立了一个分析我国实际汇率和经常账户问题的计量模型,并对人民币实际汇率与经常账户的关系进行了实证研究。结果表明,我国经常账户持续顺差并非由汇率低估所致,人民币汇率调整难以根本解决经常账户持续顺差问题。资本管制放松、社会保障体系不健全和收入差距逐渐加大是我国1994年以来经常账户持续顺差的主要原因。在我国对外开放程度日益提高的情况下,妥善处理我国的经常账户持续顺差问题应从以下几个方面入手:稳定实际利率、名义汇率升值、加快社会保障体系建设和缩小居民收入差距。     

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。     

发展中国家汇率制度安排的名与实——对法定汇率制度与事实汇率制度之差异的经验分析

文章分析了发展中国家汇率制度安排名与实不符现象的分布与演变,并对其成因提出了一些假说。文章使用面板数据多元混合Logit模型的计量分析发现,较高的通货膨胀导致恐惧浮动现象,而较高外汇储备或严格的资本管制则导致恐惧固定现象,这在很大程度上支持了我们提出的关于发展中国家汇率制度安排名与实不符现象成因的假说。     

汇率传递：模型说明及文献综述

汇率是开放经济环境下的核心工具变量,在维持一国内部平衡和外部平衡时起着重要的作用。对于汇率传递问题的关注开始于世界由固定汇率体系向浮动汇率体系转变的时期,目前它仍然是关于外部调整研究的重要内容。本文分析了汇率传递与一价定律、依市场定价之间的关系,使用一个汇率传递模型阐明了汇率变动对价格体系的传导机制。汇率变动对商品出口价格和进口价格传递应该是一个连续的过程。当获知汇率发生变动时,出口商在不完全竞争的市场结构下,出于经营目的会调整其对价格的加成,这反应到进口国的进口价格上已经是一种“不完全”的传递;而进口商品由于存在分销过程,在最终销售价格上包含了相当程度的国内不可贸易的服务成本,这部分成本由于不受汇率变动的影响,因此汇率变动对进口价格的传递会进一步被削弱。     

人民币汇率形成机制探索

本文分析了人民币汇率形成机制与特点,指出了现行汇率制度存在的缺陷,说明在我国金融进一步开放的背景下,汇率制度的重新选择是我国汇率制度的内在要求,并对我国汇率制度选择路径进行了分析。指出从短期来看,“不可能三角理论”揭示了在资本管制的情况下,我国汇率制度的选择是维持汇率的稳定;从中长期来看,资本项目开放是大势所趋,汇率目标区是中国金融进一步开放中比较适合的汇率制度,也符合中国渐进式的发展改革道路;最后进一步从中心汇率和波动区间的确定、汇率干预等方面提出了实施汇率目标区的具体设想。     

The Attractiveness of the EMU Exchange Rate Stabilization Program

One of the arguments for a monetary union is that it reduces the variability of exchange rates. This paper demonstrates that the welfare gain that EU countries can expect to gain from the move to a single currency is moderate. The gains from exchange rate stabilization are limited by imports of foreign consumption goods and borrowing by governments. Furthermore, exchange rate stabilization may imply a welfare loss as the removal of non-zero exchange rate expectations deprives investors of the opportunity to speculate on expected-rate-of-return differentials. Numerical simulations suggest that the welfare gain from exchange rate stabilization for the average EU country is equivalent to a 0.9 percent rate of return on portfolio wealth.