经济增长、结构失衡与流动性过剩——论我国当前流动性过剩的成因与对策

由于社会保障制度的不完善和分配结构的不合理,经济增长带来居民收入增长的同时,消费需求难以有效放大,储蓄和净出口的高增长成为必然。储蓄的高增长导致银行的存贷差上升,其分流导致股市和房市的流动性过剩;净出口的持续高增长和国际资本的大量涌入导致国际收支持续的高顺差。由于汇率缺乏弹性,基础货币的被动增加和货币乘数的预期外上升一并导致货币供给过剩。强化储备货币发行国的发行约束;调整外贸发展战略,优化产业结构;扩大消费需求;扩大汇率浮动区间;提高货币政策的科学性等措施可以有效控制和利用流动性过剩。     

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中国人民银行副行长易纲在CMRC中国经济观察第30次季度报告会上表示，人民币已非常接近均衡汇率水平。外汇储备数量过去一年非常平稳．说明央行大幅减少市场干预．市场供给和需求大致匹配．跨境资金流入和流出大致平衡。长期来看，人民币对美元汇率水平取决于中美两国劳动生产率变化和货币政策松紧程度。随着中国人均GDP超过5000美元．中国企业对外投资将大规模扩张．这个阶段可能延续20年。     

人民币升值、外币资产增长与货币供给

本文以汇率的资产组合决定论为基础,探讨了我国央行干预外汇市场对本币供给的影响机制.近年来,人民币产生升值预期,我国外币资产单边增长,央行通过干预外汇市场投放本币的方式,既维护了人民币汇率稳定,又解决了货币供给.伴随着外币资产的过快增长,这种货币供给机制势必引发外汇占款激增,理论上央行能够对冲过剩的流动性,但在实际操作中,央行的对冲流动性工具不能无限使用.只要人民币存在升值预期,我国货币供给受纠冲击的风险就不断累积.为了化解货币危机,必须消除人民币升值预期,对我国经济发展战略、人民币汇率形成机制进行涮整.     

Informative trading or just costly noise? An analysis of Central Bank interventions

We conduct an empirical investigation of the impact of Central Bank intervention on the process of price formation in foreign exchange markets. The main contributions of this paper are (i) in considering the effects of official interventions on multiple dimensions of such a process beyond the first and second moment of currency returns and (ii) in exploiting insights from the analysis of market liquidity in proximity of these trades to explain their effectiveness. For that purpose, we employ a unique dataset of tick-by-tick indicative quotes and intraday (informative) sterilized spot interventions and (uninformative) customer transactions executed by the Swiss National Bank (SNB) on the Swiss Franc/U.S. Dollar exchange rate (CHFUSD) between 1996 and 1998. Using several empirical strategies (some of which are novel to the exchange rate literature), we find that the effectiveness of these trades is crucially related to their perceived information content, rather than to imperfect substitutability or inventory considerations. Indeed, regardless of their size, only SNB interventions (especially when unexpected or leaning against the wind) have significant and persistent effects on daily CHFUSD returns, although they often fail to smooth currency fluctuations. Nonetheless, only SNB interventions, regardless of their effectiveness, induce significant misinformation and heterogeneity of beliefs among market participants and deteriorate market liquidity. These externalities always translate into higher, economically significant transaction costs borne by investors.     

The asymmetric effect of international swap lines on banks in emerging markets

This paper investigates the effect of international swap lines on stock returns using data from banks in emerging markets. The analysis first shows that swap lines by the Swiss National Bank (SNB) had a positive impact on bank stocks in Central and Eastern Europe. It then highlights the importance of individual bank characteristics in identifying the asymmetric effect of swap lines on bank stocks. Bank-level evidence suggests that stock prices of local and less-well capitalized banks as well as banks with high foreign currency exposures and high reliance on short-term funding responded more strongly to SNB swap lines. This new evidence is consistent with the view that swap lines not only enhanced market liquidity but also reduced risks associated with micro-prudential issues.     

Reprint of: The asymmetric effect of international swap lines on banks in emerging markets

This paper investigates the effect of international swap lines on stock returns using data from banks in emerging markets. The analysis first shows that swap lines by the Swiss National Bank (SNB) had a positive impact on bank stocks in Central and Eastern Europe. It then highlights the importance of individual bank characteristics in identifying the asymmetric effect of swap lines on bank stocks. Bank-level evidence suggests that stock prices of local and less-well capitalized banks as well as banks with high foreign currency exposures and high reliance on short-term funding responded more strongly to SNB swap lines. This new evidence is consistent with the view that swap lines not only enhanced market liquidity but also reduced risks associated with micro-prudential issues.     

中国货币互换协议的动因分析

本文将我国货币互换协议的历程划分为三个时段,对其背后的动因进行了分析,揭示出:(1)次贷危机前的动因主要是,寻求亚洲区域合作,增强抵御外来冲击的能力,促进区域经济发展;(2)次贷危机中的动因主要是,提供短期流动性,稳定市场预期和信心,促进对外贸易和投资,防止经济增长放缓;(3)次贷危机后的动因侧重于推动人民币国际化、促进经济增长。三个时段的动因带有历史承接性,但又体现出一定的"时变性"。另外,与美国同期对比后发现,我国中央银行对货币互换协议进行了期限上的创新以将其用于对外贸易、投资,并兼顾人民币国际化,从而多元化了其目标。     

衍生产品与汇率政策工具

中国人民银行面临着持续的人民币升值外在压力和基础货币供应量被动扩张的内在压力,引入中央银行发行的货币掉期作为汇率政策工具可以较为有效的解决这两方面的问题。本文首先简要描述了当前中国人民银行对货币掉期的使用及其中存在的问题:然后说明了央行货币掉期的定价原理和均衡价格的形成,分析了其对汇率水平的信号发送功能。文章的结论是货币掉期具有易操作性、独立性和内在稳定性,可以设计成为一种供中央银行选择的汇率政策工具。     

Central bank intervention and the intraday process of price formation in the currency markets

We propose a novel theory of the impact of sterilized spot interventions on the microstructure of currency markets that focuses on their liquidity. We analyze the effectiveness of intervention operations in a model of sequential trading in which i) a rational Central Bank faces a trade-off between policy motives and wealth maximization; ii) currency dealers' sole objective is to provide immediacy at a cost while maintaining a driftless expected foreign currency position; and iii) adverse selection, inventory, signaling, and portfolio balance considerations are absent by assumption. In this setting, and consistent with available empirical evidence, we find that i) the mere likelihood of a future intervention—even if expected, non-secret, and uninformative—is sufficient to generate endogenous effects on exchange rate levels, to increase exchange rate volatility, and to impact bid-ask spreads; and ii) these effects are exacerbated by the intensity of dealership competition, the extent of the Central Bank's policy trade-off, and the credibility of its threat of future actions.     

稳定国际货币体系

本文着重研究60年代的国际货币体系与当今盛行的国际货币体系之间的差异。60年代，美元是主要的储备货币，倘若政府不希望持有美元，唯一的选择便是从美国财政部购入黄金。今天，他们则可以以美元换手欧元。他们可能继续购入美元以避免其本国货币升值，但随即他们又会在外汇市场上出售美元，换回欧元。于是欧元汇率上升，由于外国对美国政府债务持有需求的降低，美元利率将会迅速上调。为避免上述情形的发生，下列两种创新方法可资借鉴：欧洲中央银行可创设一特别便利设施（a special facility）以满足人们对欧元的这种需求；中央银行把非意愿持有的美元存放于基金组织所管理倡导的便利设施中。建议一赋予了欧元主要国际储备货币的角色；建议二则将这一角色功能定位在特别提款权身上。它同时将避免日后美元与欧元货币问转换所造成的不稳定。     

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。     

Interpreting deviations from covered interest parity during the financial market turmoil of 2007–08

This paper investigates the spillover effects of money market turbulence in 2007–08 on the short-term covered interest parity (CIP) condition between the US dollar and the euro through the foreign exchange (FX) swap market. Sharp and persistent deviations from the CIP condition observed during the turmoil are found to be significantly associated with differences in the counterparty risk between European and US financial institutions. Furthermore, evidence is found that US dollar term funding auctions by the ECB, supported by US dollar swap lines with the Federal Reserve, alleviated the level of dislocations, as well as the instability, of the FX swap market.     

中国公开市场业务的操作目标：一个描述性分析

目前,公开市场业务已经成为中国中央银行货币政策实施的最重要工具之一,尽管与发达国家相比,在操作目标的选择以及操作对象使用上面,还具有多种缺憾。当前,中国中央银行公开市场业务操作只能选择基础货币作为操作目标,并通过基础货币的调节影响和控制货币供应量的变动。利率的非市场化和债券市场规模约束成为中国公开市场业务操作的缺憾。     

中韩货币互换项下韩元贷款启用机制研究

2013年1月份,韩国央行正式启用中韩货币互换协议项下人民币资金用于商业银行为客户办理中韩贸易结算。当前我国已具备开展中韩货币互换项下韩元资金贷款业务的现实需要和有利条件,适时启用中韩货币互换协议项下韩元资金用于双边贸易结算具有必要性,而且有助于进一步推动人民币国际化。     

Central bank interventions and implied exchange rate correlations

This paper examines the effects of the foreign exchange market interventions by the Bank of Japan on the ex ante correlations between the JPY/USD, EUR/USD, and GBP/USD exchange rates. The correlation estimates used in the analysis are derived from the market prices of OTC currency options. The results show that central bank interventions significantly affect the market expectations about future exchange rate co-movements. In particular, we find that interventions tend to temporarily increase the ex ante correlations among the major exchange rates. However, our results also suggest that intervention episodes are associated with lower-than-average levels of exchange rate correlations.     

Firm-level effects of asymmetric intervention in foreign exchange markets: Evidence from the Swiss currency floor

In January 2015, the Swiss National Bank (SNB) abandoned the Swiss franc's exchange rate floor against the Euro. This paper is the first to study the firm-level effects of this asymmetric type of central bank intervention in foreign exchange markets. Using weekly stock returns for a sample of Swiss non-financial firms, I find significant reductions in total stock return volatility as well as market risk following the introduction of the currency floor. Accounting for the asymmetric nature of the intervention, I show that the enforcement of this policy solely manifests in a significant reduction of incremental EUR/CHF exchange rate risk exposures of exporting firms, while importing firms experience reductions in proportion to the market portfolio only. Thus, the asymmetric policy design is reflected in asymmetric responses of firm-level currency exposures. All effects, however, do not depend on the extent of business activity in the Eurozone. The overall results suggest that the currency floor was successful in supporting the performance of the Swiss economy by effectively reducing stock return sensitivities to market fluctuations and EUR/CHF exchange rate volatility.     

央行票据再考察:债务置换工具视角

与把央行票据性质定位为中央银行债券的传统角度不同,本文从债务置换工具的视角重新阐释了央行票据的性质。我国的"外汇资产—人民币"发行模式导致了货币的超额发行,央行票据是对中央银行超额发行债务的置换。外汇资产的递增趋势决定了央行票据作为债务置换工具的可持续性。针对央行票据过度膨胀带来的负面影响,文章认为,应该从根源上解决人民币超额发行问题。     

From turmoil to crisis: Dislocations in the FX swap market before and after the failure of Lehman Brothers

This paper investigates dislocations in the foreign exchange (FX) swap market between the US dollar and three major European currencies. After the failure of Lehman Brothers in September 2008, deviations from covered interest parity (CIP) were negatively associated with the creditworthiness of US financial institutions (as well as that of European institutions), consistent with the deepening of a dollar liquidity problem into a global phenomenon. US dollar term funding auctions by the ECB, SNB, and BoE, as well as the US Federal Reserve commitment to provide unlimited dollar swap lines are found to have ameliorated the FX swap market dislocations.     

Interest rate and liquidity risk management and the European money supply process

The monetary setup of the European Central Bank (ECB) centers around short-term securities repurchase agreements (repos) which ensure the flexibility of its money market management. However, a flexible repo-based monetary policy exposes banks to both interest rate risk and liquidity risk. This paper investigates the consequences for the money supply process and the conduct of monetary policy. We develop a loan supply model with maturity transformation and show how banks respond when future monetary policy is expected to become tighter or more uncertain. Our results also shed light on the rationale behind the use of different pricing rules in the ECB's repo auctions.     

Bidding behavior in the SNB’s repo auctions

The Swiss National Bank (SNB) provides reserves to market participants via fixed rate tender auctions. We analyze the banks’ bidding behavior and identify the determinants for the decision to participate as well as on the amount to tender. We find that a bank’s bids from the previous day, the amount of maturing repo operations with the SNB as well as the maturing volume on the interbank repo market have for most banks a significant effect. The autonomous factors (government balances at the SNB and currency in circulation) are of only minor importance. A further determinant is the attractiveness of the SNB’s auction rate compared to the prevailing interbank market repo rate. Further, the question is addressed whether the bidding behavior changed in the financial market crisis of 2007/2008. There is little evidence of a systematic change in bidding behavior in the crisis. This results from the fact that the SNB has addressed the volatile demand for reserves in the crisis with overnight fine-tuning operations.