浅析中国外汇市场的交易机制和发展

我国的外汇市场主要指银行之间进行结售汇头寸平补的市场,就是通常所说的国内银行间外汇市场.中国当前外汇市场制度在实践中尚需要进一步改进和完善.为了加快与国际接轨的步伐以及适应经济市场化的整体要求,我国都应该进一步深化外汇市场改革.     

关于我国外汇市场发展的思考

外汇市场的规范运行 ,有利于我国利用市场机制配置外汇资源 ,提高外汇资金的使用效益。文章分析了我国现行的外汇市场无论现在还是在中国金融进一步开放的背景下都有若干的缺陷 ,提出了改革和完善外汇市场的具体建议。     

中国外汇市场集中度研究

本文应用产业组织理论的分析方法研究我国外汇市场集中度问题，我国外汇市场结构的特点是垄断与封闭并存，反映在外汇市场集中度上就是绝对集中度指数（Cn）和赫芬因德指数（HI）明显偏高，造成我国外汇市场集中度较高的主要原因有外汇管制措施，人民币有限兑换，市场准入限制以及历史因素等。文章最后提出了完善外汇市场的对策和思路。     

外汇市场干预与冲销操作有效性研究评述

外汇市场干预是我国政府宏观调控的重要手段,而冲销干预是外汇市场干预的重要方式或主要内容。其有效性对于维持我国外汇市场稳定,抵御经济外来冲击,保持国内经济又好又快发展,实现宏观调控目标具有重要的意义。该领域的研究文献不断涌现,对理论发展和实践完善起着重要的推动作用。本文对主要相关文献进行梳理和评述,以反映外汇市场干预与冲销操作有效性研究的最新进展,把握其目前动态,为进一步研究我国的外汇稳定政策提供理论依据。     

人民币汇率风险度量研究——基于不同持有期的VaR分析

随着人民币汇率的进一步改革,我国外汇市场的开放程度进一步加大,人民币汇率的波动进一步加强,这些因素都加大了人民币汇率的风险。本文以不同持有期下的人民币汇率风险度量为研究重点,采用先进的汇率波动风险度量VaR工具进行汇率风险管理研究。并结合我国外汇市场的实际情况,运用各种VaR模型对人民币汇率波动风险进行实证研究,主要结论有:我国人民币兑美元市场具备使用VaR模型度量人民币汇率波动风险的前提条件;持有期逐渐增大,人民币兑美元汇率风险也呈逐渐增大趋势,但相对于成熟市场不同持有期之间的变化,我国外汇市场还是有许多需要改善的地方;置信度逐渐增大,人民币兑美元汇率风险呈逐渐增大趋势,不同风险承担主体选择的置信度不同。     

外汇市场信息与汇率波动性研究

本文归纳了近年来有关外汇市场的波动性研究的最新进展，并运用GARCH等模型及经验数据研究市场信息与国别间汇率的互动关系、公众及私人信息与汇率波动、信息外部性以及交易量与波动性等问题，试图揭示外汇市场信息与汇率波动的相关性，并指出我国外汇市场的特异性。     

我国银行间外汇市场产品差异化研究

本文考察了1994～2009年我国银行间外汇市场产品差异化的变化。研究表明,我国银行间外汇市场产品差异化程度明显不足,一方面,我国银行间外汇市场产品存在服务和营销差异,主要是信誉化差异等方面的主观差异;另一方面,各主体产品的客观差异化程度严重不足,存在产品同质化、交易币种偏置等问题,这种状况不利于银行间外汇市场结构通过差异化进行调整。因此,应采取措施扩大银行间外汇市场产品差异化程度。     

浅论人民币自由兑换对我国汇率政策提出的挑战

文章阐述了人民币自由兑换的意义及我国汇率政策现状与存在的问题 ,指出必须进一步深化外汇市场的改革 ,以适应加入WTO后的挑战     

完善人民币汇率形成机制与外汇市场建设

2005年7月21日,中国人民银行将人民币兑美元汇率上调了约2%,从1美元兑8.277元升至8.11元,同时宣布开始实行“以市场供求为基础,参考一篮子货币进行调节、有管理的浮动汇率制”。新的人民币汇率机制预示人民币汇率的变化将主要取决于外汇市场的供求变动,而只有成熟的外汇市场才能生成反映真实外汇需求的汇率。从当前我国外汇市场的现状看,显然远不具备成熟外汇市场应有的广度和深度,其流动性和真实性远远不能满足现行人民币汇率形成机制的需求。因此,加快培育和发展外汇市场已是迫在眉睫。发展外汇市场必须与资本账户开放、金融体制改革的阶段和步伐相一致,外汇市场的发展将受到以上边界的约束。从国际上一些国家走向弹性汇率制过程中外汇市场发展经验看,必须高度重视外汇市场投机风险带来的巨大灾难,稳妥、渐进地推进外汇市场建设,以实现外汇市场价格发现和规避风险等基本功能为核心,以市场规律和商业利益为导向,兼顾微观效率和宏观稳定的协调,兼顾国际化和本土化的协调,始终与我国资本账户开放进程相协调,与我国金融监管水平相适应。基于以上原则,目前我国外汇市场的建设需要分阶段进行:首先,应该做好即期外汇市场的完善工作;其次,发展有限制的远期外汇市场,金融产品创新的重点是人民币远期和人民币衍生产品;最后,随着资本账户完全开放,再发展完全意义上的远期外汇市场,即允许投机者参与的远期外汇交易。     

我国现行汇率制度的缺陷及改革建议

我国的汇率制度在很多方面已经不符合进一步改革开放的要求．其封闭性、垄断性的缺陷日益明显，改革已势在必行，本文试图通过对现行汇率制度缺点的剖析，结合中国实际经济情况，提出现阶段的改革建议，即：在保持一定程度的对外封闭性的基础上实现外汇市场国内自由化．     

货币反替代及其对中国股市的冲击

货币反替代是指在一国的经济发展过程中,居民在本币坚挺且存在升值趋势下,普遍看好本币的币值或在本币货币资产收益率明显高于外国货币资产收益率时,改变原来对外币的偏好,从而抛售外币资产,持有本币资产,使外币过分集中于中央银行的行为和现象。在对热钱的内涵进行辨析的基础上,分析货币反替代的目的和渠道,并对1990~2007年货币反替代率进行测度,进而实证检验货币反替代对中国股市的冲击。研究发现:货币反替代规模较大、流动速度加快、反转性强;货币反替代与国内股票价格正相关,即货币反替代会推动国内股价上涨;当货币反替代出现反转时,则会引起国内股价下跌。     

Transmission of monetary policy and exchange rate shocks under foreign currency lending

This paper analyses the differences in reaction of domestic and foreign currency lending to monetary and exchange rate shocks, using a panel VAR model estimated for the three biggest Central and Eastern European countries (Poland, the Czech Republic and Hungary). Our results point toward a drop in domestic currency loans and an increase of foreign currency credit in reaction to monetary policy tightening in Poland and Hungary, suggesting that the presence of foreign currency debt weakens the transmission of monetary policy. A currency depreciation shock leads to an initial decline in foreign currency lending, but also in loans denominated in domestic currency as central banks react to a weaker exchange rate by increasing the interest rates. However, after several quarters, credit in foreign currency accelerates, indicating that borrowers start using it to substitute for depressed domestic currency lending.     

Foreign currency debt, risk premia and macroeconomic volatility

This paper studies the relationships between foreign currency debt, macroeconomic volatility, and risk premia in a model of a small open emerging market economy. The external value of the local currency is counter-cyclical, so that foreign currency debt requires larger repayments than local currency debt in bad states of nature. The level of foreign currency-denominated debts, therefore, affects the volatility of aggregate demand and by extension of the exchange rate. Exchange rate volatility is in turn an important determinant of the risk premium on local currency debt. Finally, this risk premium is a major factor in the choice of local versus foreign currency for emerging market borrowers. The mutual endogeneity of foreign currency debt, risk premia, and macroeconomic volatility creates important feedback effects in the economy: small increases in international risk aversion may entail large amplification effects on macroeconomic volatility since domestic borrowers substitute towards cheaper but riskier foreign currency debt finance.     

Currency interdependence and dollarization

This paper constructs a search model of currency interdependence, and uses it to examine how in dollarized economies the foreign currency reacts to various shocks to the domestic currency. Currency interdependence is generated by allowing sellers to take into account their outside option of trading with the domestic currency while bargaining with buyers holding the foreign currency. The shocks consist in movements in the domestic interest rate, domestic inflation and the domestic currency’s market power. We show that if the purchasing power of the domestic currency is low, any shock that increases its value, such as a higher domestic interest rate, translates into a depreciation of the foreign currency. However, the result is opposite when the purchasing power of the domestic currency is high. We show that when money is indivisible these shocks can drive in or out the foreign currency. When money is divisible, this currency substitution effect is more limited. We use our results to discuss the opportunity of various de-dollarization policies and show that some can be counterproductive.     

The International Politics of Reactive Currency Statecraft: Japan’s Reaction to the Rise of the Chinese Renminbi

This study analyses how a state’s reactive currency statecraft – its strategic reaction to an international currency issued by a foreign state – is shaped, by devoting special attention to its broad foreign policy stance towards the state issuing that international currency, with a main empirical focus on the Japanese case with regard to the Chinese renminbi. This research argues that a state uses its policy related to a foreign international currency as a diplomatic means of managing its political relationship with the state issuing that currency, while also showing that in general most market actors are not greatly interested in their governments’ policies regarding foreign international currencies, especially those that are newly internationalising ones. This study finds as well that the conventional notion of ‘competition’ between international currencies does not necessarily affect a state’s reactive currency statecraft, even if its own currency is a major international one. All of this suggests that the inter-state politics between the state issuing an international currency and foreign states does have a crucial impact on the currency’s international use, especially during its early stages of internationalisation. It also implies that a state’s reactive currency statecraft can be fluid, depending upon the directions of its foreign policy.     

Government Bonds in Domestic and Foreign Currency: the Role of Institutional and Macroeconomic Factors*

In contrast to some recent research, this paper finds that institutional and macroeconomic factors are related to the depth and currency composition of government bond markets. Using panel data for developed and emerging economies, we find several factors to be systematically associated with bond markets. Aside from economic size (already shown to affect the currency composition), this paper shows that investor bases matter. Economies with deeper domestic financial systems (measured by bank deposits and stock market capitalization) have larger domestic currency bond markets and issue less foreign currency debt, whereas foreign investor demand is positively related to the size and share of foreign currency bonds. Moreover, less flexible exchange rate regimes are associated with more foreign currency issuance. Other relevant variables include inflation, fiscal burden, legal origin, and capital account openness.     

OPTIMAL EXPORT AND HEDGING DECISIONS WHEN FORWARD MARKETS ARE INCOMPLETE

This paper examines the behaviour of the competitive firm that exports to two foreign countries under multiple sources of exchange rate uncertainty. There is a forward market between the home currency and one foreign country's currency, but there are no hedging instruments directly related to the other foreign country's currency. We show that the separation theorem holds when the firm optimally exports to the foreign country with the currency forward market. The full‐hedging theorem holds either when the firm exports exclusively to the foreign country with the currency forward market or when the relevant spot exchange rates are independent. In the case that the relevant spot exchange rates are positively (negatively) correlated in the sense of regression dependence, the firm optimally opts for a short (long) forward position for cross‐hedging purposes.     

Gross substitution, Gresham's law, and Hayek's free currency system

Professor Hayek has advocated that citizens be free to use foreign currency as a means of payment in order to put a check on national governments' tendency to rely on the seigniorage for fiscal purposes. His proposed scheme is based on an intuitive reasoning that being able to use foreign currencies makes demand for domestic currency more elastic, thus reducing the monopoly power of national governments on currency issue. This paper demonstrates that this would be true if and only if the foreign currency were a gross substitute for the domestic currency. The paper also shows that the same condition holds for Gresham's law to be valid.     

Policy Measures to Alleviate Foreign Currency Liquidity Shortages under Aggregate Risk with Moral Hazard

During the recent global financial crisis, certain central banks introduced two innovative cross‐border operations to deal with the problems of foreign currency liquidity shortages: domestic liquidity operations using cross‐border collateral and operations that supply foreign currency among central banks based on standing swap lines. We show theoretically that central banks improve the efficiency of equilibrium under foreign currency liquidity shortages using these two innovative temporary policy measures.     

货币国际化程度度量的简单方法和人民币国际化水平的提升

货币国际化程度的度量是非常重要的问题,有了客观科学的度量方法,才能对不同货币在不同时间段内国际化程度的变化有客观的判断和把握。货币国际化功能表现在多个领域,涉及很多数据和参数,准确而全面地度量货币国际化并不容易。然而,不管货币国际化功能在多少个领域有所发挥,皆会导致相应货币外汇交易的活跃,因此,货币在国际外汇市场的活跃程度可以间接地度量货币的综合国际化程度。基于该思路,本文建立了一个即简单又切实可行的方法来度量货币国际化,还可容易地计算出不同货币或货币组之间相对的国际化程度,对包括人民币在内的30个国际主要货币2007年和2010年的国际化程度进行度量,并计算出这些货币相对美元的国际化程度及人民币相对于其他货币的国际化程度。