Some doubts about the efficacy of monetary policy under flexible exchange rates

This paper raises doubts about the proposition that monetary policy is effective, under flexible exchange rates, in stabilizing domestic output. It is argued that if the price elasticities of the demands for exports and imports are affected by the transition to flexible rates, and capital flows are assumed to be dependent on the exchange rate, the efficacy of monetary policy under flexible rates will not necessarily follow.     

“三元悖论”与中国汇率制度选择

＂三元悖论＂的基本原理是指在货币政策独立、资本自由流动和固定汇率这三个经济目标中最多只能同时实现两个,而该理论本身也存在理论假设过于绝对化,组合难以有效实现,政策组合难以执行的局限性。基于对中国资本流动现状和货币政策有效性分析和＂三元悖论＂的基本原理分析,得出我国的汇率制度选择终级目标是实现＂货币政策独立＋资本自由流动＋自由浮动汇率＂的政策组合。     

我国国际资本流动影响因素的实证研究

本文对1982-2004年期间我国的国际资本流动状况及其影响因素进行了实证研究。研究结果表明:我国国际资本流动存在着数量上波动性和方向上双向性之特点,其主要影响因素是人民币汇率预期,其次是物价水平和名义汇率,而利率因素的影响并非显著。其政策含义是,在当前内外经济条件下,人民币升值并非可举之策;但在长远,资本流动的双向性决定了浮动汇率制度是我国汇率制度改革的必然选择。     

人民币汇率购买力平价假说的实证检验

从长期来看,购买力平价对人民币汇率虽然具有一定的解释作用,但有很大的局限性。汇率的变动不仅仅与物价水平相关,还与一国的生产力发展水平、利率、资本流动等其他经济变量以及该国施行的货币政策、财政政策和汇率政策有关。因此,必须对购买力平价计量检验模型进行修正,以期更好地解释人民币汇率的变化并指导其调整。     

美元周期性波动对我国跨境资本流动的非对称效应研究

有效应对和防范跨境资本流动冲击，维护外汇市场稳定是贯彻落实习总书记“打好防范化解重大风险攻坚战”的重要举措。目前，美元已进入强周期，我国正面临着由强势美元引发的货币贬值、资本外流等风险，当前背景下研究美元周期性波动特征、区制划分及其对跨境资本流动的影响具有重要的理论和现实意义。本文基于2006年10月至2018年6月的月度数据，运用理论模型和MSVAR模型分析美元周期性波动对我国跨境资本流动的非对称效应。研究表明，中美利差对跨境资本流动的影响存在非对称效应，当投资者不存在恐慌避险情绪时，利差的变化将不会引起大规模的跨国资本流动。美元指数对跨境资本流动的冲击效应具有一定的时滞性，美元升值将引发跨境资本流出，且冲击效应持续时间明显长于利差冲击。VIX指数和人民币汇率对跨境资本流动影响较弱，但呈现非对称性特征。加息和缩表后美元升值对资本外流的推动作用明显强于加息和缩表前，表明第三轮强周期下美元升值对我国跨境资本流动的影响更大。     

Is there an optimal crawl?

This paper shows that optimal exchange rate policy can be defined in terms of either a long-run secular policy or a short-run stabilization policy. The rate of crawl which maximizes real per capita consumption is shown to often differ from the exchange rate movements produced under fixed or floating exchange rates. And the optimal program for dealing with short-run speculative capital flows will involve both discrete and gradual exchange rate changes. It is also argued that domestic monetary policy and exchange rate policy are not independent instruments.     

On the Link Between Exchange‐rate Regimes,Capital Controls and Monetary Policy Autonomy in Small European Countries, 1979–2000

We investigate international monetary‐policy transmission under different exchange‐rate and capital‐account regimes in eleven small, open economies during the 1980s and 1990s. We find no systematic link between ex‐post monetary‐policy autonomy and exchange‐rate regimes. Capital controls appear to have provided a degree of temporal insulation from foreign monetary policy shocks, though not strict autonomy. The results are consistent both with short‐term autonomy for small countries even under fixed exchange rates and an open capital account, and with long‐term dependence under flexible exchange rates and an independent stability target. Results also indicate that euro‐area market interest rates are significantly more responsive to the development of the corresponding US rate than were the previous national rates.     

NAFTA Chapter 11: “Tantamount to Expropriation”: Tantamount to Explosive

This paper provides an alternative methodology for testing the degree of international capital mobility through the analysis of a causality direction between the exchange rate and the interest rate for Sweden. The change of exchange rate regime in Sweden in 1992 is used here to illustrate how the alternative exchange rate regimes, fixed and floating, affect the degree of international capital flows. On the basis of new Granger non-causality testing procedures developed by Toda and Yamamoto (1995), the results exhibit that Granger-causality is unidirectional, running from interest rate to exchange rate under the floating exchange rate regime. The implication of this result is that the hypothesis of high capital mobility is supported only under the floating exchange rate regime.     

外汇市场压力、国际资本流动与国内货币市场均衡——基于中国数据的实证研究

本文首先建立外汇市场压力、国际资本流动与国内货币市场均衡状况的理论模型,分析了三者之间的理论关系。进而通过LS、ECM、Johansen协整和State-Space等方法估算出1996年1月至2009年9月的外汇市场压力、国内货币市场均衡状况和国际资本净流动,然后采用VAR模型分析了三者之间的动态关系。最后得出结论如下:国际资本净流入时,我国外汇市场压力为正(人民币升值压力),同时我国货币市场会出现短暂的超额供给。     

Teaching the Linkages Between the International Credit and Foreign Exchange Markets

ABSTRACT

This paper presents a teaching model which provides an analytical framework that encourages students to think about economic events in a global context. It ties the international credit and foreign exchange markets together and shows how international capital flows represent the crucial linkage between them. This model is primarily a teaching tool which illustrates how changes in monetary and fiscal policies in one country, say Japan, impact world interest rates, exchange rates, and trade and capital imbalances for other countries. This approach can also be used to illustrate the impacts of changes in savings and investment behavior by businesses and households, as well as central bank interventions.     

我国国际贸易中的非正常资本流入研究

近年来,境外投机资本以套利、套汇以及获得资产价格上涨的收益为目标流入我国,并且绕开严格控制的资本项目,隐蔽在国际贸易中,在数量上占到我国投机资本净流入的绝大比例,呈现出金融资本贸易化的特征。本文定量测算了我国国际贸易中非正常资本流入的规模和原因,并从金融与贸易结合的角度探究资本流入的触发机制。结论是:贸易项下非正常资本流入归根结底在于我国贸易顺差的变动。我国巨额的贸易顺差为投机资本的流入提供了动力和途径。     

股票市场开放条件下的货币政策效应分析

本文探讨了在股票市场开放条件下,股票市场的国际资本流动对货币政策的影响。在开放经济条件下,对在东道国投资的国际投资者来说,如果股票投资比债券投资更重要,那么货币政策比财政政策相对有效的观点难以成立。扩张性货币政策使国内利率下降,但利率下降会增加股票投资的预期收益,这会吸引国际资本流入,从而导致本币升值,因而扩张性货币政策对产出的净影响是不确定的。浮动汇率体制有利于减缓外部冲击。     

析我国外汇占款对冲策略

根据我国的经济运行情况,分析固定汇率、资本流动与货币政策自主的“三元困境”在我国的具体表现。指出在经常项目和资本项目持续顺差的情况下,货币政策与外汇储备增长的矛盾。说明为控制流通中的货币而被动进行的单向对冲操作的成本昂贵,并且是以牺牲货币政策自主为代价的,还易积蕴金融风险,酿致恶性后果。证实了外汇占款对冲策略的不可持久性,为此必须改革现行的固定汇率制度,并放松资本管制。     

人民币汇率的决定因素及其走势分析

研究人民币汇率的决定因素及其走势对我国在未来的经济发展具有重要意义。人民币汇率的主要决定因素为国内外的物价和利率水平差异、经济增长速度的快慢、国际收支状况及央行货币政策等。在短期内,由于我国经济增长放缓、美国经济逐渐复苏、美联储退出量化宽松、央行引导挤出套利资金以及国际收支的变动等原因的影响,我国人民币汇率的走势仍是双向波动,2014年内可能不会再出现人民币单边升值。预计未来跨境资金流动和人民币汇率仍保持双向波动的局面,且后者的波动幅度将加大。     

美联储量化宽松货币政策正常化与人民币汇率变动——基于时变参数向量自相关模型的研究

2015年后，随着量化宽松货币政策正常化和人民币汇率进入双向波动新常态，美国货币政策对人民币汇率的外溢效应日益显著。通过构建时变参数向量自相关模型对2008-2018年美联储量化宽松货币政策的实施和退出对人民币汇率的溢出效应进行研究，结果表明：美联储加息在滞后一季度作用人民币兑美元先升值后贬值，加息通过中美利差、产出差、货币供给之差分别作用于人民币兑美元贬值、升值和升值，利差渠道是主要作用渠道；美联储资产负债表扩张和缩减分别带来人民币汇率的升值和贬值，且扩张的升值影响大于缩减的贬值影响；美联储资产负债表和利率政策有一定替代性，替代关系存在明显的结构效应；美联储资产负债表的扩张和缩减分别带来中国银行间市场利率的下降和回升，两国利率表现出一定联动性。     

Impacts of short-term interest rates on stock returns and exchange rates: Empirical evidence from EAGLE countries

In this study, we estimate Bayesian vector autoregression (BVAR) and time-varying structural VAR (TVP-VAR) models for Brazil, Indonesia, Mexico and Turkey to analyze the impacts of short-term interest rates on stock prices and exchange rates considering the relationships between these variables. BVAR and TVP-VAR models’ estimations indicate that monetary policy decisions of these countries lead to capital movements as well as capital movements may create a considerable amount of variation in exchange and stock markets both in the periods of economic stability and financial crisis. We also reveal that increases in interest rates intending to prevent capital outflows may lead to decrease in stock returns, which in turn may deteriorate the real economic activity in Indonesia, while changes in short-term interest rates in Brazil, Indonesia and Turkey cannot be used as a tool to stabilize the value of their home currencies against the USD. Our study highlights the importance of formulating an optimal monetary policy framework accompanied by macro-prudential polices, which help to reach inflation target and smooth the possible variations in exchange rates and stock prices during economic crisis conditions in Brazil, Indonesia, Mexico and Turkey.     

论美国金融危机对中国的影响及对策

美国次贷危机,给中国经济带来了巨大不良影响。这种影响主要通过外需、资本流动、资产负债表、金融市场、国际初级产品价格、汇率及货币政策等渠道传递到中国。中国应借鉴美国次贷危机产生诱因的教训,从改善宏观调控、加快贸易调整、稳定投资增长和支持消费等几方面着手应对危机影响。同时,应在扩大内需。保持经济平稳发展的基础上。加强国际合作,和全世界共同应对美国金融危机,弱化、遏止危机对中国经济的影响。     

Surges

This paper examines when and why capital sometimes surges to emerging market economies (EMEs). Using data on net capital flows for 56 EMEs over 1980−2011, we find that global factors, including US interest rates and investor risk aversion act as “gatekeepers” that determine when surges of capital to EMEs will occur. Whether a particular EME receives a surge, and the magnitude of that surge, however, depends largely on domestic factors such as its external financing need, capital account openness, and exchange rate regime. Differentiating between surges driven by exceptional behavior of asset flows (repatriation of foreign assets by domestic residents) from those driven by exceptional behavior of liability flows (nonresident investments into the country), shows the latter to be relatively more sensitive to global factors and contagion.     

Capital Inflows and the Real Exchange Rate: A Comparative Study of Asia and Latin America

The nexus of real exchange rate (RER) and capital inflows is examined through a comparative analysis of the experiences of emerging market economies in Asian and Latin America during the period 1985‐2000. It is found that the degree of appreciation in RER associated with capital inflow is uniformly much higher in Latin American countries compared to their Asian counterparts, despite the fact that the latter experienced far greater foreign capital inflows relative to the size of the economy. The econometric evidence suggests that both the composition of capital flows and differences in the degree of response of RER to capital flows matter in explaining these contrasting experiences. While RER appreciation is a phenomenon predominantly associated with other (non‐FDI) forms of capital inflows (OCFW), a given level of OCFW brings about a far greater degree of appreciation of the real exchange rate in Latin America where the importance of these flows in total capital inflow is also far greater. On the policy front, Asian countries seem to have used fiscal contraction and nominal exchange rate adjustment more effectively to cushion the RER against the appreciation pressure of capital inflows. There is, however, no evidence to suggest that sterilised intervention can generate a lasting impact on the real exchange rate.     

Fluctuations in the foreign exchange market: How important are monetary policy shocks?

We study the effects of U.S. monetary policy shocks on the bilateral exchange rate between the U.S. and each of the G7 countries. We also estimate deviations from uncovered interest rate parity conditional on these shocks. The analysis is based on a structural vector autoregression in which monetary policy shocks are identified through the conditional heteroscedasticity of the structural disturbances. Unlike earlier work in this area, our empirical methodology avoids making arbitrary assumptions about the relevant policy indicator or transmission mechanism in order to achieve identification. At the same time, it allows us to assess the implications of imposing invalid identifying restrictions. Our results indicate that the nominal exchange rate exhibits delayed overshooting in response to a monetary expansion, depreciating for roughly ten months before starting to appreciate. The shock also leads to large and persistent departures from uncovered interest rate parity. Variance-decomposition results indicate that monetary policy shocks account for a non-trivial proportion of exchange rate fluctuations.