汇率形成机制与做市商制度:动因、成本分析

人民币汇率形成机制问题成为近年来国际经济事务中的焦点.中国外汇交易中心2005年5月推出8种外汇交易品种以及引入外币间交易做市商制度,这一举措成为观察、试验做市商制度的序曲.本文研究认为,外汇市场引入做市商制度有利于改善人民币汇率形成机制,但是由于我国外汇市场还不完善,引入做市商制度也会带来一定的成本.为了全面推广做市商制度,多方面配套问题尚待解决.     

巨无霸指数视角下的货币汇率均衡水平分析

基于购买力平价理论的巨无霸指数因其简单易懂,为判断汇率水平均衡性提供了一个简便的工具和辅助的视角。文章按经济体类别对《经济学人》公布的巨无霸指数走势特征进行了考察,并依据其修订指数的思路进行了新指数计算方法的推导及数据试算。通过对新老BMI数据的系统考察,发现经济金融条件类似的国家,其巨无霸指数存在一致性,新兴经济体货币低估存在一定的普遍性;汇率均衡程度与金融市场发展水平、资本项目开放程度、外汇管制等因素之间未存在必然联系;调整后的巨无霸指数显示,人民币汇率可能已经处于比较稳定的均衡水平。     

Official FX interventions through derivatives

We use high-frequency data to study the effects of currency swap auctions carried out by the Brazilian Central Bank on the USDBRL exchange rate. We find that official currency swap auctions impact the exchange rate in a significant way, even though they do not directly alter the supply of foreign currency in the market. We show that during our sample period auctions of contracts in which the Central Bank took a short position in USD had larger effects than those in which the Central Bank took a long position. The supply of currency swaps to the market provides an alternative for traders that demand foreign currency for financial (speculative or hedging) rather than transactional reasons, and thus affects the demand for foreign currency and its price. This mechanism is likely to be particularly relevant when forecasters extrapolate exchange rate trends at short-term horizons.     

Efficiency tests with overlapping data: an application to the currency options market

This paper presents the results of an empirical study into the efficiency of the currency options market. The methodology derives from a simple model often applied to the spot and forward markets for foreign exchange. It relates the historic volatility of the underlying asset to the implied volatility of an option on the underlying at a specified prior time and then proceeds to test obvious hypotheses about the values of the coefficients. The study uses panel regression to address the problem of overlapping data which leads to dependence between observations. It also uses volatility data directly quoted on the market in order to avoid the biases which may occur when ‘backing out’ volatility from specific option pricing models. In general, the evidence rejects the hypothesis that the currency option market is efficient. This suggests that implied volatility is not the best predictor of future exchange rate volatility and should not be used without modification: the models presented in this paper could be a way of producing revised forecasts.     

Dual foreign currency markets and the role of expectations: Evidence from the Pacific Basin countries

This paper analyzes the role of expectations about the government policy in the official foreign currency market in determining the black market premium. We use data for the recent float from six emerging markets of the Pacific Basin where active black markets for foreign currency exist, namely, Indonesia, Korea, Malaysia, the Philippines, Singapore and Thailand. To test the impact of anticipated and unanticipated shocks to the official exchange rate on the black market premium, we employ the two-step procedure of Hoffman et al. [Hoffman, D.L., Low, S.A., Schlagenhauf, D.E., 1984. Tests of rationality, neutrality and market efficiency: a Monte Carlo analysis of alternative test statistics. J. Monet. Econ. 14, 339–363] which provides corrected F-statistics and allows us to draw valid inference in the presence of generated regressors. The main finding of our analysis is that anticipated and unanticipated shocks to the official exchange rate have an impact on the black market premium in all six Pacific Basin countries. These results suggest that portfolio balance models provide the suitable theoretical framework for analyzing the behaviour of the black market premium in the markets for foreign currency in the Pacific Basin countries. Furthermore, this implies that economic agents in these countries are sensitive to expected returns in foreign exchange.     

Joint dynamics of foreign exchange and stock markets in emerging Europe

This paper proposes an ideal specification for studying joint dynamics of emerging stock and foreign exchange markets, and applies it on European emerging markets where this interaction is of particular significance due to large external deficits. Results show that global developed and emerging stock market returns account for a large proportion of the (permanent) comovement between the stock index and currency value. The residual interaction after controlling for global indexes is small. The sign of the currency-stock market relationship is driven by dependence on foreign capital (predominantly positive for countries which are net receivers of foreign portfolio capital) and depth of the local stock market. Bank of Russia's intensive involvement in the currency market delays Ruble's response to global information. Emerging European currencies predict reversals in global equity indexes several months ahead.     

Are global shocks leading indicators of currency crisis in Viet Nam?

This paper aims to identify leading indicators of a currency crisis in Viet Nam based on an early warning system for the period 1996–February 2016. This paper found that global financial shocks (e.g., regional and global financial crisis, unexpected changes in monetary policy of largest economies such as the United States and the People’s Republic of China), and domestic credit growth rate are leading indicators of a currency crisis in Viet Nam in all three models. Deficits in trade balance, international reserves, and overvaluation of the dong are also good indicators. In addition, a model in which a currency crisis or turbulence in the foreign exchange market is defined based on the exchange market pressure and parallel market premium, with window length of 2 months, outperformed for predicting a currency crisis in Viet Nam. Empirical results suggested that probability of predicting a true currency crisis was 77.5%.     

中越边境地区本外币兑换市场建设的思考

近年来,公安部进一步加大对广西中越边境地区＂地摊银行＂的打击力度,使＂地摊银行＂为核心的中越本外币结算体系受到影响,因此规范和促进中越边境本外币兑换市场发展就显得尤为重要。本文在深入分析目前中越边境人民币与越南盾民间兑换市场现状以及存在问题基础上,提出以个人本外币兑换特许业务方式带动边境地区本外币兑换市场发展的基本思路,并就越南盾与人民币买卖、越南盾调剂市场的设立等方面进行制度安排,旨在解决长期困扰中越边境金融秩序的＂地摊银行＂问题,实现边境金融市场良性、持续和健康发展。     

Dynamic Currency Linkages and Their Determinants: An Empirical Study for East Asian Economic Community Region

In this article, Copula GARCH models have been employed to study the inter-temporal process of currency market co-movements between ASEAN+6 countries (referred to in this study as East Asian Economic Community) and ASEAN+6 currency market index. Empirical results show that the sample countries of the region exhibit varying levels of currency co-movements with the Asian benchmark. Markov regime switching results show that many of the countries which had high dependences with the regional currency index as was found in copula estimations had also overlapping currency market cycles. Using Principal Component Analysis, we find that three statistical factors explain exchange rate co-movements which came out to be trade linkages, economic risk, and currency market openness in our dynamic panel data estimation.     

The effectiveness of currency-hedging techniques over multiple return horizons for foreign-denominated debt issuers

In this study we use a unique dataset to examine the effectiveness of hedging techniques in reducing currency risk across different time horizons. Our primary results indicate that issuers of foreign-denominated debt (FDD) effectively use foreign exchange derivatives (FXD) and geographic sales-to-asset alignment to reduce currency exposure. We measure currency exposure, over multiple return horizons, as the sensitivity of firm’s stock returns to changes in the exchange rate while controlling for market’s return. In particular, we find that the use of foreign exchange derivatives is effective in the short-term horizon and the geographic sales-to-asset alignment is effective in the intermediate and longer-term horizons. When we control for foreign sales and for firm size, the primary results are robust. Our study contributes to the literature by providing evidence of the time period when the use foreign exchange derivatives and the geographic sales-to-asset alignment is most effective for issuers of foreign-denominated debt.     

金融市场开放背景下境内外币市场的变化与挑

长期以来,境内外币市场流动性更多受到境内企业外币存贷款需求变化的影响,关注其变化就能对流动性做出较好预判。但随着我国金融市场的开放程度不断提升,资本及金融市场项目的进出逐渐成为了决定境内外币流动性状况的主要因素,境内外市场利差不断缩小,对于全球货币市场流动性及境内资产的对外吸引力研究已成为境内外币流动性管理者不得不重视的课题。     

Modeling Foreign Exchange Risk Premium in Armenia

This paper applies stochastic discount factor methodology to modeling the foreign exchange risk premium in Armenia. We use weekly data on foreign and domestic currency deposits, which coexist in the Armenian banking system. This coexistence implies elimination of the cross-country risks and transaction costs, leaving the pure foreign exchange risk. It is shown that there exists a systematic time-varying risk premium that increases with maturity. Using two-currency affine term structure and generalized autoregressive conditional heteroskedasticity (GARCH)-in-mean models, we find that the central bank's foreign exchange market interventions and ratio-of-deposit volumes significantly affect public expectations about foreign exchange fluctuations. We also find that the foreign exchange risk premium accounts for the largest part of the interest differential. When accounting for economic and institutional differences, our results can be extended to other countries.     

Overreaction and underreaction in the foreign exchange market

Research has documented overreaction and underreaction for stocks and stock market indices, but it has not yet analyzed these phenomena with regard to currency exchange rates. This paper examines exchange rate changes following extreme 1-day fluctuations for currencies in industrialized and emerging markets. In this study, the exchange rate is defined as the number of foreign currency units per US dollar. An overreaction phenomenon for currencies in emerging markets and an underreaction phenomenon for currencies in industrial markets are found. Each extreme 1-day currency fluctuation event is classified according to the type of underlying reason as described in the Wall Street Journal. Events for which no announcements (undefined events) were found are associated with a stronger tendency toward overreaction than those events for which an explanation was given (defined events). This suggests that investors overreact more when the source of the extreme fluctuation is largely unknown. The defined events are classified into two groups: economic events and political events. There is some evidence that political events are associated with a stronger tendency toward overreaction than economic events. These findings can be attributed to uncertainty. Political events (e.g., civil uprising) should be more difficult to assess than economic events (e.g., the release of an inflation report), and undefined events should be associated with the largest degree of uncertainty. Cross-sectional analysis is used to relate post-event exchange rate changes to the magnitude of the initial exchange rate change, leakage, day of the week effects, type of currency (from emerging or industrial market), and the type of announcement (economic, political, or undefined) that appeared in the Wall Street Journal. The cross-sectional analysis confirms that currencies in emerging markets experience stronger degrees of overreaction than those of industrial markets, even after controlling for potentially confounding factors. Moreover, it confirms that undefined events experience stronger degrees of overreaction than defined events, even when controlling for other factors.     

Exchange Rate Exposure at the Firm and Industry Level

Previous work on the exposure of firms to exchange rate risk has primarily focused on U.S. firms and, surprisingly, found stock returns were not significantly affected by exchange‐rate fluctuations. The equity market premium for exposure to currency risk was also found to be insignificant. In this paper we examine the relation between Japanese stock returns and unanticipated exchange‐rate changes for 1,079 firms traded on the Tokyo stock exchange over the 1975–1995 period. Second, we investigate whether exchange‐rate risk is priced in the Japanese equity market using both unconditional and conditional multifactor asset pricing testing procedures. We find a significant relation between contemporaneous stock returns and unanticipated yen fluctuations. The exposure effect on multinationals and high‐exporting firms, however, is found to be greater in comparison to low‐exporting and domestic firms. Lagged‐exchange rate changes on firm value are found to be statistically insignificant implying that investors are able to assess the impact of exchange‐rate changes on firm value with no significant delay. The industry level analysis corroborates the cross‐sectional findings for Japanese firms in that they are sensitive to contemporaneous unexpected exchange‐rate fluctuations. The co‐movement between stock returns and changes in the foreign value of the yen is found to be positively associated with the degree of the firm's foreign economic involvement and inversely related to its size and debt to asset ratio. Asset pricing tests show that currency risk is priced. We find corroborating evidence in support of the view that currency exposure is time varying. Our results indicate that the foreign exchange‐rate risk premium is a significant component of Japanese stock returns. The combined evidence from the currency exposure and asset pricing analyses, suggests that currency risk is priced and, therefoe, has implications for corporate and portfolio managers.     

The intrinsic value of gold: An exchange rate-free price index

In this paper, we propose a gold price index that enables market participants to separate the change in the ‘intrinsic’ value of gold from changes in global exchange rates. The index is a geometrically weighted average of the price of gold denominated in different currencies, with weights that are proportional to the market power of each country in the global gold market. Market power is defined as the impact that a change in a country’s exchange rate has on the price of gold expressed in other currencies. We use principal components analysis to reduce the set of global exchange rates to four currency ‘blocs’ representing the U.S. dollar, the euro, the commodity currencies and the Asian currencies, respectively. We estimate the weight of each currency bloc in the index in an error correction framework using a broad set of variables to control for the unobserved intrinsic value. We show that the resulting index is less volatile than the USD price of gold and, in contrast with the USD price of gold, has a strong negative relationship with global equities and a strong positive relationship with the VIX index, both of which underline the role of gold as a safe haven asset.     

Explaining the accounting disclosure index of stock exchanges by foreign exchange market activity

In this article, researcher-created accounting disclosure index of 23 stock exchanges for the year 1992 and its relationship with variables including foreign exchange turnover, economic and financial indicators were investigated. The accounting disclosure index of global stock exchanges crafted by Adhikari and Tondkar (1992) was regressed on foreign market turnover which was utilized as a proxy for foreign exchange market activity. The OLS results supported that along with the activity of foreign exchange market; GNI per capita, market capitalization, energy and electric consumption, number of listed companies were significantly related with the accounting disclosure index. The foreign market turnover was found to be positively influencing the accounting disclosure index. The models explained about 73% of the variation in the index with an F-ratio of 26.56 indicating the overall significance of the model.     

Time-varying foreign-exchange risk and central bank intervention: estimating profits from intervention and speculation

Failure to risk-adjust estimates of profits, from central-bank foreign exchange intervention or from private speculation, can have large effects on the estimated profits, including changing signs. Many choices arise in deciding how to adjust profits for risk. The time period over which a market model is fit has mixed effects on calendar-year profits; variations in profits across calendar years is much more important than the period over which the market model is fit. In some cases, but not in all, results are sensitive to whether a US stock market index is used or a world market index. For non-US central banks or private speculators, the relevant market index might be denominated in USD, but alternatively might be denominated in a foreign currency. For the Swedish central bank, estimated profits decline importantly if an index measured in USD is used instead of an index measured in SEK. In estimating market models where beta is conditioned on some measure of intervention, likely candidates are intervention or cumulative intervention; the first has an effect for one or a few days, the second has long-term effects. Estimates show that the choice can make an important difference, though the effects are not all one way.     

新兴市场国家外汇储备适度规模研究

本文基于外汇储备的职能划分外汇储备的需求层次,建立了外汇储备适度规模测算模型,选取了中国、巴西、俄罗斯、印度、南非五个金砖国家作为新兴市场国家的典型代表,力图通过研究这五个金砖国家的外汇储备适度规模问题,从这一新角度界定新兴市场国家外汇储备适度规模区间,为新兴市场国家外汇储备管理提供有益的参考。实证研究中,通过测算金砖国家2000-2010年的外汇储备适度规模区间,我们发现以"金砖国家"中国、俄罗斯、巴西为代表的一些新兴市场国家的外汇储备逐渐偏离适度外汇规模上限;同时以南非为代表的一部分新兴市场国家,外汇储备水平一直处于不足的状态;而印度良好的外汇储备管理政策使得其外汇储备量一直保持在适度规模区间内。最后,针对各个新兴市场国家外汇储备处于的不同状态,我们提出了相应的政策建议。     

货币错配与经济金融稳定:亚太经验比较分析

中国的汇率制度改革使得在盯住汇率制度下积聚的巨大货币错配风险逐渐暴露出来.货币错配是否会影响经济金融稳定,本文通过对亚洲金融危机、日本经济衰退以及本世纪以来亚洲新兴市场国家的累积的新风险进行梳理、比较与分析,得出净外币负债型货币错配与净外币资产型货币错配在一定的条件下都会影响经济金融稳定.     

The scapegoat theory of exchange rates: the first tests

The scapegoat theory of exchange rates (Bacchetta and van Wincoop, 2004, Bacchetta and van Wincoop, 2013) suggests that market participants may attach excessive weight to individual economic fundamentals, which are picked as “scapegoats” to rationalize observed currency fluctuations at times when exchange rates are driven by unobservable shocks. Using novel survey data that directly measure foreign exchange scapegoats for 12 exchange rates, we find empirical evidence that supports the scapegoat theory. The resulting models explain a large fraction of the variation and directional changes in exchange rates in sample, although their out-of-sample forecasting performance is mixed.