货币政策对外自主性: 中国的实践

根据传统国际金融学中蒙代尔-弗莱明模型和“不可能三角”假说,人们普遍认为在有资本流动的前提下,固定汇率制度下货币政策不能对外独立,而更加灵活的汇率制度有助于增强货币政策的对外自主性。但考虑到中国人民银行实施的大规模冲销操作,中国可能在人民币盯住美元和人民币对美元浮动期间都保持了货币政策独立性。利用中国1996年1月~2012年4月的月度数据,考虑到汇率制度调整的结构性突变因素后,我们发现,人民币相对美元升值是考察期货币供给增加的长期因素,而中国利率相对美国利率上升则仅在浮动汇率时期是中国货币供给增加的长期因素。这意味着,虽然中国汇率制度弹性有所扩大,但人民币单边升值过程对管理货币供给造成了障碍。     

“货币从紧”之后

2007年以来央行6次调高利率,10次提高存款准备金率,同时通过特别国债正回购操作回收流动性,6次加息通过融资成本适度上升来合理调控货币信贷投放。未来货币政策组合拳的力度更大,会通过汇率政策和利率政策的有效配合实现宏观调控。     

汇率政策、货币政策与财政政策——浅析当前汇率制度下中国的货币政策效应

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。     

流动性过剩与保持货币政策独立性

近年来,随着人民币升值预期的逐渐形成,如何应对人民币升值压力已成为我国经济稳定发展的核心问题。为了维持汇率稳定,防止人民币升值过快给国民经济带来巨大冲击,中央银行被迫大量买入外汇,投放基础货币,这使中央银行的货币政策丧失了独立性,导致银行体系流动性泛滥。过多的流动性给物价上涨和经济稳定造成了压力。中央银行应继续完善人民币汇率形成机制,进一步增强人民币汇率弹性,保持货币政策的独立性。     

新时期“三元悖论”与我国汇率制度再选择

"三元悖论",指在开放经济条件下,资本自由流动、货币政策独立性及汇率稳定三者之间存在着不可调和的矛盾。该原则为一国汇率制度选择提供了理论依据。随着世界经济一体化程度加深,实现资本自由流动已成必然趋势,同时由于货币政策受到货币替代和货币供给内生性增强的影响,其独立性逐渐减弱。因此,昔时的"三难困境"如今应不复存在,在资本自由流动和货币政策本身不独立的前提下,一国实施何种汇率制度取决于对本国经济状况的权衡。对于中国而言,汇率制度的选择不应局限于"三元悖论"原则,应跳出该理论的约束,从现在开始,密切关注本国经济形势的变化,并有针对性地为将来实施何种汇率制度营造一个良好的环境。     

流动性过剩的辨析与货币调控

本文从流动性的内涵出发,探讨了市场流动性、银行流动性、宏观流动性以及全球流动性的内涵及相互间的关系,在此基础上对流动性过剩的表象及内涵做出了界定,认为流动性过剩是指货币供应过多,超出正常经济所需要的货币数量,并最终导致资产价格超乎预期的、持续而大幅度地上涨。中央银行的流动性管理应该加大利率政策和汇率政策的使用力度,改革外汇管理体制,改变市场预期,有效遏制全球流动性的传递。     

货币政策传导效应及其对我国物价水平影响的实证分析

运用VAR模型分析了我国1997-2008年货币政策变化同经济增长之间的动态关系,并对货币政策的数量型工具和价格型工具传导的有效性进行了比较。中央银行的政策意图基本上能够得到实现,其中货币供应量对产出和通货膨胀的影响最大,利率政策的长期累积效应最强,而汇率政策的短期效应较为明显。     

关于人民币汇率问题的几点看法

通过适当增加人民币汇率弹性,增强我国货币政策的有效性 根据诺贝尔经济学奖获得者、欧元之父蒙代尔的理论,在开放经济条件下,一国的独立货币政策、国际资本流动、相对稳定的汇率三者不可兼得,即存在所谓“不可能三角”关系。我国奉行有管理的浮动汇率政策,意在保持人民币汇率在合理均衡条件下的基本稳定。事实上,汇率管理有余,浮动有限,     

我国利率变动对汇率影响研究

利率和汇率是国家货币政策最主要的两种手段,它们分别影响着国内市场均衡和外部市场均衡.在金融自由化的国家,利率影响的国内货币市场和汇率影响的外汇市场将成为一个整体.一国利率的变动通过影响货币市场和实体经济最终在汇率市场上得到反映,影响该国的汇率水平,利率变动对于汇率变化有明显的因果相关性.本文论述了我国现实中利率政策和汇率政策的目标不一致,使得两者之间经常出现冲突和矛盾.因此,我国应积极进行金融市场改革,促进利率市场化和真正的有管理浮动汇率制度的形成,建立协调的利率对汇率的传导机制.     

货币政策冲销效果——理论框架与中国实践

本文在ORW模型框架下,通过最小化中央银行损失函数来获得中央银行反应函数,进而利用2000年至2014年的月度数据测算中国货币政策的抵消和冲销系数。研究发现：（1）中国的资本管制比较严格,货币政策抵消系数平均为0.38,而且递归估计的结果显示中国的管制政策趋于严格;（2）中国的货币冲销效果比较有效,货币政策冲销系数总体上达0.91以上,但冲销系数呈现高低起伏的阶段性变化;（3）以外部冲击在货币当局冲销政策下的衰减速度来代表货币政策独立性,中国高效的货币冲销和有效的资本管制确保了货币政策的独立性;（4）在资本流动趋于频繁的背景下,深化汇率制度改革是确保货币政策独立自主的关键。     

资本管制有效性与中国汇率制度改革

本文在利率平价框架下考察了近十年中国资本管制的效力。我们采用比较类似金融工具在国内外市场的收益率、检验未抛补利率平价理论偏差的平稳性两种方法进行分析。研究表明,尽管资本管制的效力随时间推移有所下降,但境内外美元利差的持续存在以及未抛补利率平价理论偏差的非平稳性仍然足以证明中国的资本管制基本有效。资本管制的有效性在盯住制框架下确保了汇率稳定和一定的货币政策自主性,并且使未来汇率制度弹性化改革可以渐进地推进。     

Global monetary instability: The role of the IMF,the EU and NAFTA

This paper argues that the global monetary system has exhibited significant instability since the collapse of the Bretton Woods regime in 1971. The current challenge for economists and policy makers is the creation of a global monetary system that offers greater exchange rate stability without sacrificing international capital mobility. This paper proposes a solution that consists of three components. First, strengthening the international financial architecture to bring stability, primarily to emerging nations. Second, eventually creating a monetary union in NAFTA and extending it to other countries of the Western Hemisphere to bring stability to this region à la the European Monetary Union (EMU). Third, coordinating economic policies among the U.S., EU and Japan to stabilize these three key global currencies.     

Internal and external transmissions of monetary and fiscal policies in the EMU

With the introduction of Economic and Monetary Union (EMU), the sovereignty of national monetary institutions has been replaced by a common monetary institution, the European Central Bank (ECB) and national currencies have been replaced by a common currency, the euro. EMU therefore implies the loss of national monetary policy autonomy and internal exchange rate flexibility inside the EMU area. However, external exchange rate adjustment, i.e. adjustment of the euro exchange rate, remains a feasible adjustment mechanism. This paper analyses how internal and external exchange rate flexibility affect macroeconomic adjustment in EMU and non-EMU countries. To do so, a model is constructed in which three countries interact: two countries that decide to form a monetary union and a third country that does not participate in the monetary union. Numerical simulations of a representative example are used to characterise the adjustment dynamics induced by monetary and fiscal policies before and after the start of the EMU.     

A framework for stabilizing the euro/yen/dollar triplet

The current debate on exchange rate regimes is shaped by the so-called inconsistency triangle. In this paper I show that the discussion has overlooked a “third way” which combines capital mobility with monetary policy autonomy, and an exchange rate path determined by interest rate differentials. My scheme relies on interventions that are always carried out by the central bank with the strong currency, and a full sterilization of interventions with the instrument of a deposit facility. Thus the G3 central banks could set a band for their bilateral exchange rates with the floor and the ceiling defended by the respective strong central bank. As exchange rates bands are adjusted according to short-term interest rate differentials, there are no sterilization costs for the intervening central bank. Over the medium and long run interest rates are mainly determined by inflation differentials. Thus, the exchange rate band would follow a PPP path.     

Exchange rate regimes and market integration: evidence from the dynamic relations between renminbi onshore and offshore markets

The Chinese renminbi (RMB) has been on the way of becoming a major international currency. This paper examines the impact of the RMB exchange rate regime and policy on the integration and information flows between RMB onshore and offshore markets. We employ a long sample of daily data encompassing multiple times of RMB exchange rate regime change (peg to managed float in 2005, re-peg in 2008, re-float in 2010, and the central parity reform in 2015), and study the dynamic conditional correlations and spillovers between RMB onshore spot market and offshore non-deliverable forward (NDF) market. It is found that the switch from exchange rate peg to managed float and a widening of the floating band strengthen cross-market correlation and information flows (especially offshore-to-onshore spillovers). A market-learning explanation is offered for the observation that the correlation collapse in the re-peg period was not as prompt as the correlation take-off in the 2005 reform period. These findings have important implications for China’s monetary and foreign exchange policies and shed light on the integration of China’s financial markets with the rest of the world.     

Which exchange rate regimes in an era of high capital mobility?☆

This paper asks what influence increasing capital mobility has on the choice of exchange rate regime. Among exchange rate regimes considered are currency boards and dollarization. It is argued that a key lesson of the recent currency and financial crises in the emerging markets is that corner solutions in exchange rate policy may be preferable to less rigidly fixed exchange rates. The paper concludes that in the end the optimal exchange rate regime depends on the circumstances of a particular country and time, because each exchange rate system requires the fulfillment of certain preconditions. The paper then discusses institutional measures and innovations that may be necessary to enable exchange rate arrangements to avoid financial and currency crises or to dampen their consequences.     

我国货币政策利率传导渠道的体制转换特征——利率市场化改革进程中的考察

本文考察了我国利率市场化改革进程中货币政策利率传导渠道效应的体制转换特征。实证结果表明:1978年第一季度至2009年第二季度期间我国货币政策传导的管制利率渠道发生了两次体制转换,转换之后贷款基准利率调整对产出和物价水平的效应都降低了。1996年1月至2009年7月期间我国货币政策传导市场利率渠道发生了一次体制转换,转换之后同业拆借利率变动平抑产出和物价波动的效果都更强劲、更持续。这意味着我国的利率市场化改革取得了阶段性成果,也意味着我国利率调控由直接方式逐渐转向主要依靠间接方式不仅是必要的,也是可行的。     

Monetary Targets and the World Economy: A Progress Report

The recent changes in the value of the dollar and the talk of an interest rate ‘war’ demonstrate again that the world finds it difficult to cope with rapid exchange rate movements. In some ways the experience - and the reactions to it - are similar to the events of 1978. As now, the world was in a recession (though on a milder scale) and there were fears that exchange rate problems would obstruct economic recovery. The main difference is that in 1978 it was the strength of the Deutschmark which caused concern whereas this time the problems are associated with the rise in the value of the dollar. In a Briefing Paper in Economic Outlook, February 1978, ‘Monetary Targets and the World Economy’ we suggested that the problem arose from inconsistencies between national monetary policies and exchange rate objectives. In general, countries dislike exchange rate changes - in either direction - and there were problems because countries would not accept the exchange rate consequences of their own or other countries' monetary policies. We estimated the required monetary policies for stable exchange rates and suggested specific national monetary targets for 1978 which would at least move the world economy towards consistent monetary policies. In this Economic Viewpoint we return to those ideas. We consider what happened in 1978 and we also revise the underlying monetary rules. More recent experience suggests that although there has been some progress towards the convergence of monetary policies there will continue to be trend changes in exchange rates. It is also clear that there will be short-term fluctuations around these trends. We believe that greater convergence of monetary policies would be desirable but failing that it is important that countries should avoid abrupt changes in monetary policy. It is also important that countries should become accustomed to exchange rate changes. They should direct monetary policy towards their objectives for inflation and should not be diverted from it by temporary or permanent changes in their exchange rates.     

WHAT CAN WE LEARN FROM THE IMPLEMENTATION OF MONETARY AND MACROPRUDENTIAL POLICIES: A SYSTEMATIC LITERATURE REVIEW

The emergence of macroprudential policies, implemented by central banks as a means of promoting financial stability, has raised many questions regarding the interaction between monetary and macroprudential policies. Given the limited number of studies available, this paper sheds light on this issue by providing a critical and systematic review of the literature. To this end, we divide the theoretical and empirical studies into two broad channels of borrowers – consisting of the cost of funds and the collateral constraint – and financial intermediaries – consisting of risk‐taking and payment systems. In spite of the existing ambiguity surrounding coordination issues between monetary and macroprudential policies, it is argued that monetary policy alone is not sufficient to maintain macroeconomic and financial stability. Hence, macroprudential policies are needed to supplement monetary. In addition, we find that the role of the exchange rate is critical in the implementation of monetary and macroprudential policies in emerging markets, while volatile capital flows pose another challenge. In so far as how the arrangement of monetary and macroprudential policies varies across countries, key theoretical and policy implications have been identified.     

Fix or flex? Alternative exchange rate regimes in an era of global capital mobility

This paper discusses the pros and cons of fixed versus flexible exchange rate regimes under perfect capital mobility from a European perspective. Special attention is given to the exchange rate policy problems of Iceland and Norway and to the linkages between their dependence on natural resources and their choice of exchange rate regime. The relevance of the advent of a common currency in Europe for the Western Hemisphere is also discussed.