The role of foreign currency debt in financial crises: 1880–1913 versus 1972–1997

We show that exposure to foreign currency debt does not necessarily increase the risk of having a financial crisis. Some countries do not suffer from financial fragility despite original sin. Before 1913 British offshoots and Scandinavia afflicted with it avoided financial meltdowns. Today many advanced countries have original sin, but few have had crises. In both periods, aggregate balance sheet mismatches are associated with a greater likelihood of a crisis. The evidence suggests that foreign currency debt is dangerous when mis-managed. This is part of the difference between developed countries and emerging markets both of which borrow in foreign currency.     

OCA Issue in East Asia under the Pressure of Chinese RMB Appreciation

As the rumor that RMB will appreciate in the near future, most Asian currencies had appreciated according to this matter since the appreciation of Chinese RMB will strengthen the exports of those Asian counties, thus appreciate the currencies of those countries. An OCA matter here comes again to the Asian countries. As we all know, Euro has been formally used among European areas since 1999, and this is the fir.st time that the optimum currency system was adopted in the international history. Asia, as another area that has most development potentiality in the world, should it adopt the monetary integration process as well？ In this paper the necessary conditions to form an OCA are analyzed; European experience are conjured with the own feature of East Asia areas; possibilities of forming the OCA in East Asia are concluded as well as the resistances; besides the potential process of forming an OCA is suggested.     

A geometric approach to portfolio optimization in models with transaction costs

We consider a continuous-time stochastic optimization problem with infinite horizon, linear dynamics, and cone constraints which includes as a particular case portfolio selection problems under transaction costs for models of stock and currency markets. Using an appropriate geometric formalism we show that the Bellman function is the unique viscosity solution of a HJB equation.Mathematics Subject Classification (1991): 60G44JEL Classification: G13, G11This research was done at Munich University of Technology supported by a Mercator Guest Professorship of the German Science Foundation (Deutsche Forschungsgemeinschaft). The authors also express their thanks to Mark Davis, Steve Shreve, and Michael Taksar for useful discussions concerning the principle of dynamic programming.     

中国外汇储备与货币供给量的关系——基于双对数模型

2001年以来,持续的双顺差促使外汇储备量迅速积累,人民币升值压力增大,为了维持人民币汇率的稳定,政府不得不加大货币投放量来回笼外汇市场上过多的外汇。通过建立外汇储备和货币供给量(M1、M2)之间的双对数模型,进行实证分析得出结论:外汇储备的增加确实推动了中国货币供应量的增加,并且外汇储备变动给M1带来的影响大于M2。因此,应适当控制外汇储备规模消除外汇储备超额增长的制度性原因,完善货币政策工具,积极进行金融创新。     

我国外汇储备货币组合的实证分析

截至2006年2月我国外汇储备达8536亿美元,超过日本成为世界外汇储备持有量第一大国,其后我国外汇储备也呈不断增长的态势,到2007年3月已达12020.31亿美元.外汇储备的持续增加意味着面临的风险也在持续增加.因此,如何确定合理的外汇储备币种组合成为目前需要迫切研究的课题.本文根据国内外已有研究确定了外汇储备货币结构的影响因素,结合因子分析法,得出了我国外汇储备币种组合的新选择,提出了我国外汇储备货币组合的对策建议.     

The timing of exchange rate collapse

Recent episodes of exchange rate collapse have renewed interest in models of speculative attacks. These episodes have been considered by some observers to be inconsistent with “fundamentals” models of attack since there was no prolonged period of policy misalignment and declining reserves, as required by such models. This paper develops a fundamentals model in which collapse is instantaneous at the time of unexpected policy change and/or a change in the expectations of future policy, even for a reserve abundant country.     

化解金融危机全球要共同稳定货币

2008年的全球金融危机标志着一个时代的终结,引起了人们的广泛思索。无论发达国家还是发展中国家,都在努力寻求化解危机的办法。浮动汇率制度解决不了金融稳定问题,或许多元化的货币政策是解决问题的方法之一。     

日本流通结构变化特征研究

20世纪90年代以来,日本流通结构发生了重要的变化,主要表现为零售组织结构从众多小规模分散性构造向大中小比例适当、大规模集中性的构造转换、批发环节短缩化、物流组织社会化、流通业态多样化、流通企业市场竞争多样化、流通渠道扁平化和流通者主导化等特征。这些变化特征对日本经济效率化和经济结构改革将产生重要影响。     

CURRENCY BOARD ARRANGEMENTS AS A SUPER‐FIXED ALTERNATIVE IN THE CHOICE OF EXCHANGE RATE REGIME1

Currency board arrangements (CBAs) are currently widely proposed as a super‐fixed exchange rate solution to exchange rate volatility. This paper researches the nature, operation, benefits and disadvantages of CBAs. Benefits comprise improved policy credibility, lower inflation and interest rate levels, increased economic growth, increased foreign capital flows, and sharply reduced currency speculation. These are compared with the shortcomings of CBAs, such as the absence of a lender of last resort, real exchange rate misalignments and their consequences for the economy. The paper identifies the type of country that would be the most likely candidate to benefit from a CBA.     

货币危机:基于资产运营视角的诠释和预警

本文以国民资产负债表为起点,应用资产运营一般模式的理论和一般均衡的方法,通过对现金资产、信贷资产、证券资产和实体资产四个市场的分析,从独特的角度研究了货币危机产生的机理,并据此提出了货币危机预警的有关指标体系.