基于“三元悖论”视角 探析我国宏观调控的有效性

目前,“三元悖论”受到学者们的广泛关注,已成为国际经济学中一个著名的论断。本文从“三元悖论”视角对我国货币政策有效性、汇率稳定及资本管制进行了分析,进而提出了要保持货币政策的独立性、保持汇率的相对稳定、控制资本项目开放的节奏等建议。     

基于“三元悖论”视角的我国经济金融发展探析

亚洲金融危机后,"三元悖论"被明确提出,并受到学者们的广泛关注,成为国际经济学中一个著名的论断。本文从"三元悖论"视角对我国货币政策有效性、汇率稳定及资本管制进行了分析,进而提出了要保持货币政策的独立性、保持汇率的相对稳定、控制资本项目开放的节奏等建议。     

Is monetary policy effective in dampening fiscally induced exchange market pressures? Evidence from Ghana

Episodes of currency crises in Ghana over the recent past were examined. We also address two fundamental questions using VAR framework. First, how does fiscal policy relate to exchange market pressures (EMPs) in Ghana? Second, whether persistent fiscal slippages hinder the effective use of interest rate as monetary policy tool to influence undesirable exchange rate fluctuations? We found sterilization interventions to be more effective than interest rate as a monetary policy tool in moderating tensions in foreign exchange market. Higher recurrent expenditure was generally associated with higher EMP, while capital expenditures tend to assuage EMP. We recommend strong policy coordination between the fiscal and monetary authorities to ensure macroeconomic stability.     

Interventions in the Yen–dollar spot market: A story of price,volatility and volume

We test the effectiveness of Bank of Japan (BOJ)’s foreign exchange interventions on conditional first and second moments of exchange rate returns and traded volumes, using a bivariate EGARCH model of the Yen/USD market from 5-13-1991 to 3-16-2004. We also estimate a friction model of BOJ’s intervention reaction function based on reducing short-term market disorderliness and supplementing domestic monetary policy. Important finding of this study are that: (i) we find ineffectiveness of BOJ interventions in influencing exchange rate trends pre-1995, in general, but effectiveness post-1995; (ii) FED intervention amplified the effectiveness of the BOJ transactions; (iii) interventions amplified market volatility and volumes through a ‘learning by trading’ process; (iv) BOJ’s interventions were based on ‘leaning against the wind’ motivations on the exchange rate trend and volumes; and (v) BOJ interventions were vigorously used in support of domestic monetary policy objectives post-1995. Though some of our findings confirm recent studies, our analysis goes deeper to provide new findings with important implications for central banks and foreign exchange market participants.     

全球金融周期、美国货币政策与“三元悖论”

全球金融周期存在的背景下“三元悖论”是否依然成立充满争议。本文通过构建包含银行与金融摩擦的两国DSGE模型,为考察全球金融周期的形成提供了理论依据。美国货币政策通过资本流动传导到外围国金融市场,使外围国信贷利率、银行风险承担以及杠杆率与美国银行趋同,形成全球金融周期。金融渠道的传导速度快于实体经济渠道导致外围国国内经济周期与金融周期相背离,外围国想要稳定经济就不得不与美国保持同向的政策利率变化,货币政策独立性将不再存在。随着全球经济一体化进程加速,估值效应的作用越来越明显,浮动汇率制度并不能隔离全球金融周期的影响也无法保证货币政策的独立性。在资本账户开放的情况下,外围国金融市场越不发达,受全球金融周期的影响越大,货币政策越不独立。     

开放经济下的“双支柱”调控稳定效应研究

本文研究了管理浮动汇率制下我国货币政策和宏观审慎政策双支柱的调控稳定效应。首先,本文从实证层面考察了人民币汇率升贬值对央行货币政策的非对称影响。接着,本文构建了包含银行部门与货币错配的开放宏观经济模型,重点分析了在面对美联储加息、人民币贬值压力的情况下,货币政策(包括对汇率的反应)和宏观审慎政策(对外债的逆周期调节)的配合如何影响宏观经济和金融的稳定。结论表明,如果缺少宏观审慎政策的配合,货币政策对汇率的反应将导致产出、通货膨胀和资产价格等经济金融变量的波动增大。在存在宏观审慎政策的前提下,相对于完全浮动汇率制,管理浮动汇率制从中长期看能进一步促进产出和外债等核心变量的稳定。     

中国货币政策目标制的选择——基于开放经济体的实证

本文使用开放经济下的新凯恩斯模型实证分析了开放经济体中不同的货币政策目标制。结果表明,面对国内利率政策、技术、国外通货膨胀、国外产出和国外实际利率冲击时,由灵活通货膨胀目标、资本自由流动和完全浮动的汇率构成的货币政策目标体系能够有效吸收冲击,减缓经济波动。相比而言,严格通胀目标制无法有效吸收国内外冲击,所以我国在开放经济下选择货币政策目标时,并不一定要选择严格通货膨胀目标,可以选择一些灵活通货膨胀目标的政策框架。此外,能够有效吸收各种冲击的灵活通胀目标、资本自由流动和完全浮动汇率制组成的目标体系也为我国货币政策和汇率制度改革提供了方向。     

国际资本流动下的中国金融安全实证分析

分析了国际资本流动对金融安全的冲击路径以及非均衡机制测试我国外汇市场压力指数的大小,建立了资本净流入和外汇市场压力指数之间的VAR（6）模型,研究结论表明,国际资本的净流入会增大外汇市场压力,但货币当局的冲销干预会削弱这种影响,降低发生货币危机的可能性;货币当局的政策选择应该是盯住外汇市场,而不是单纯的货币市场。     

从汇率制度视角看我国商业银行的流动性过剩

从汇率制度角度透视我国当前的商业银行流动性过剩现象,目的在于为经济金融的进一步开放提供理论依据和决策参考。本文通过对“三元悖论”理论的解读和1998～2006年各季度数据的实证检验,揭示了我国商业银行流动性过剩与汇率制度之间存在密切相关性,即在我国现行的汇率制度下,外汇储备的不断增加直接导致了商业银行存差的扩大,造成金融系统乃至整个社会的流动性过剩。基于上述研究,作者提出了如下相关建议:完善我国汇率形成的市场机制,培育相对均衡汇率;深化我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协调配合。     

从汇率制度视角看我国商业银行的流动性过剩

从汇率制度角度透视我国当前的商业银行流动性过剩现象，目的在于为经济金融的进一步开放提供理论依据和决策参考。本文通过对“三元悖论”理论的解读和1998～2006年各季度数据的实证检验，揭示了我国商业银行流动性过剩与汇率制度之间存在密切相关性，即在我国现行的；汇率制度下，外汇储备的不断增加直接导致了商业银行存差的扩大，造成金融系统乃至整个社会的流动性过剩。基于上述研究，作者提出了如下相关建议：完善我国汇率形成的市场机制，培育相对均衡汇率；深化我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协调配合。     

货币政策与宏观审慎政策共同支持宏观经济稳定

货币政策是维持宏观经济稳定运行的重要政策工具,但2007—2009年国际金融危机表明,仅仅保持物价水平稳定,忽视金融风险,并不足以维持宏观经济稳定。近年来中国提出双支柱宏观政策框架以支持宏观经济稳定,这一创新具有重要的理论与现实意义。我们首先提出了双支柱宏观调控的框架,强调应该注重两类政策目标的协同与矛盾、政策传导渠道的相互交叉与影响、冲击类型与开放条件的差异等,从而保证双支柱宏观调控对宏观经济的稳定效应。接下来,我们建立了一个DSGE两国模型,作为分析双支柱宏观调控稳定宏观经济的案例研究。研究表明,第一,金融冲击下,货币政策有助于稳定宏观经济,且随着汇率制度从固定转向浮动,货币政策稳定宏观经济的效果会明显加强。第二,在货币政策的基础上,增加以跨境资本流入税为代表的宏观审慎政策工具,可以有效遏制金融市场的顺周期机制,进一步提高宏观经济的稳定性,从而验证了双支柱宏观调控的有效性。第三,双支柱宏观调控的有效性与汇率制度有关,当汇率灵活性水平较低时,双支柱宏观调控对宏观经济的稳定效果更好。     

On the determinants of “small” and “large” foreign exchange market interventions: The case of the Japanese interventions in the 1990s

During the past 30 years, central banks have often intervened in foreign exchange markets, and the magnitude of their foreign exchange market interventions has varied widely. We develop a quantitative reaction function model that renders it possible to examine the determinants of “small” and “large” interventions. We apply the model to analyzing the intervention policy of the Japanese monetary authorities (JMA) in the yen/U.S. dollar market during the period from 1991 through 2001. To this end, we use recently released official data on the foreign exchange market interventions of the JMA. We find that the JMA tended to conduct large interventions when the yen/U.S. dollar exchange rate drifted away from an “implicit target exchange rate.”     

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。     

Capital controls and monetary policy autonomy in a small open economy

Is there a link between capital controls and monetary policy autonomy in a country with a floating currency? Shocks to capital flows into a small open economy lead to volatility in asset prices and credit supply. To lessen the impact of capital flows on financial instability, a central bank finds it optimal to use the domestic interest rate to “manage” the capital account. Capital account restrictions affect the behavior of optimal monetary policy following shocks to the foreign interest rate. Capital controls allow optimal monetary policy to focus less on the foreign interest rate and more on domestic variables.     

人民币国际化下的货币政策效应分析

货币政策是宏观经济政策中的重要组成部分。目前我国的货币政策虽然也受到国外因素的影响,但由于实行较为严格的资本管制,人民币只是在经常项目下可兑换,所以外部影响对货币政策的干扰不大。人民币国际化后,由于汇率浮动、资本可自由流动、人民币可自由兑换,国内货币政策会受到严重影响,其效力的发挥会产生很大的偏差。这些影响因素中最重要的是资本流动、货币替代和外汇储备。     

Is foreign exchange intervention by central banks bad news for debt markets?: A case of Reserve Bank of Australia's interventions 1986–2003

We investigate the effects of the Reserve Bank of Australia's foreign exchange interventions on the USD/AUD market and 90-day and 10-year interest rate futures markets for the period July 1986–December 2003. Using recently released revised and updated intervention data, we investigate contemporaneous and disaggregated intervention influences and find significant evidence for (i) intervention effectiveness in moderating the contemporaneous exchange rate movements especially if interventions were cumulative and large, (ii) exchange rate volatility reducing effect with a day's lag, (iii) undesirable interest rate movements following interventions in some periods compromising monetary policy effectiveness, and (iv) a volatility reducing effect of cumulative interventions in the 90-day rate, and a volatility increasing effect of large interventions in both the 90-day and 10-year rate futures. These findings are a unique and significant contribution to the prevailing literature as they demonstrate that the RBA's interventions matter not only for the foreign exchange market but also for the debt markets.     

De facto exchange rate regimes and currency crises: Are pegged regimes with capital account liberalization really more prone to speculative attacks?

This paper empirically examines whether de facto exchange rate regimes affect the occurrence of currency crises in 84 countries over the 1980–2001 period by using the probit model. We employ the de facto classification of Reinhart and Rogoff (2004) that allows us to estimate the impact of relatively long-lived exchange rate regimes on currency crises with much greater precision. We find that pegged regimes significantly decrease the likelihood of currency crises compared with floating regimes. By using the combined data of exchange rate regimes and the existence of capital controls, we also find interesting evidence that pegged regimes with capital account liberalization significantly lower the likelihood of currency crises compared with other regimes. These results are robust to a wide variety of samples and models. From the standpoint of the macroeconomic policy trilemma, we can conjecture that pegged regimes with capital account liberalization are substantially less prone to speculative attacks because they can enhance greater credibility in their currencies by abandoning monetary policy autonomy.     

外资流入对中国货币政策的影响及其政策分析

外资的持续流入始终是我国利用国外资源和引进先进技术的重要渠道，也是我国经济增长的亮点。但外资的流入也不是万能的，在我国现行的外汇管理体制下，外资的流入势必造在货币供给量的大量增加，这样中央银行货币政策的自主性必然受到掣肘。笔者就这一问题提出：应改革我国现行的外汇管理体制，加大公开市场业务操作力度，等等，以实现我国中央银行货币政策的主动性和灵活性。     

利率市场化改革对于人民币汇率的影响

利率与汇率作为货币资金的对内价格和对外价格,二者具有统一的价值基础,并且相互影响,相互制约,共同在金融市场的资源配置中发挥着重要的作用。利率作为货币资金的对内价格,影响着居民及企业的支出和投资,利率的变化对整个金融市场乃至整个经济生活都有不容忽视的影响。汇率作为货币资金的对外价格,是开放经济条件下,外汇市场上的核心价格变量,受外汇市场、国际收支、跨国资产组合、外汇储备等因素影响。在一国宏观经济中,利率政策和汇率政策是货币政策的重要组成部分,也是一国宏观经济调控的主要政策手段。实际上,在宏观经济运行中,尤其是开放型经济,利率与汇率存在着复杂的关系,甚至有时还存在冲突。因此,对于利率与汇率在传导机制、价值基础、政策运用方面的相互关系的研究,将更有利于发挥货币政策的宏观调控效果。近年来,随着我国的改革开放逐步向纵深方向发展,利率的市场化改革也将进入攻坚阶段。当然,利率市场化改革将对整个金融体系及经济生活产生深远影响,但本文将研究重点放在利率与汇率的联动关系进而更好的研究利率市场化改革对于人民币汇率的影响。     

资本项目开放过程中的本外币政策：印度的经验

在资本账户自由化过程中,印度选择的是资本项目渐进开放、汇率制度有限管理、独立货币政策的中间路线。本文回顾了印度资本项目开放的历程,着重考察在此过程中汇率政策和货币政策的演变特征,以及政策实践中遇到的困难,最后结合我国经济金融改革的实际情况,得出几点有益的启示。