本币升值对股市的影响——基于日本的经验研究

作为一国经济晴雨表的股票市场,不可避免地受到汇率变动的影响。文章以日本为例,分析本币升值对股市的影响。分析表明,本币升值在短期内推动本国股市繁荣,往往伴生股市泡沫,但继续升值预期一旦消失,股市往往出现大幅度下跌。因此,在人民币持续升值的背景下,必须根据我国的实际情况慎重考虑其对股市的影响。     

日元升值对日本泡沫经济的影响分析

通过构建一个加入汇率变量的理性泡沫模型,分析日元升值对20世纪末日本泡沫经济的影响。研究发现：当一个金融自由化程度较高的经济体存在经济泡沫的时候,本币的急剧升值不仅会刺激经济泡沫进一步膨胀,而且经济泡沫会随着升值的增加以加速度的方式膨胀。1985年的“广场协议”以及后来世界五大主要经济体联合公开干预外汇市场的行为,直接导致日元大幅度升值。20世纪80年代后半期的日元升值主要通过总体和局部两条闭合路径刺激日本经济泡沫的不断膨胀,日元升值因素是日本泡沫经济形成和扩大的一个重要因素。     

中国股市不会重蹈日本覆辙

当前,很多人担心我国股市涨得过快,而基本面方面如同当年的日本,如经济长期稳定增长、本币升值、消费物价不高、央行实行低利率、股民预期良好,等等;认为有可能导致经济泡沫。如何衡量泡沫度?泡沫与国情、体制与经济增长阶段究竟是一个什么关系?不说清楚这些,就不能     

本币升值影响外汇储备的实证分析:2003～2007

本文以2003～2007年13个国家为研究对象,研究了不同国家本币升值对外汇储备的影响。面板数据的实证结果表明,汇率波动在一定程度上决定了一国外汇储备的规模,本币升值是导致2002年以后新兴市场国家外汇储备快速增长的重要因素,本币升值幅度与外汇储备的增幅成反比。我们认为,外汇储备管理应从控制供给入手,有效控制外汇储备规模。而央行减少对汇率的干预,并逐步推进人民币国际化是有效降低过多外汇储备的重要手段。     

汇率升值预期与国内资产市场均衡

本文研究汇率体制转型过程中的资本市场均衡决定,并给出比较静态性质。我们发现,本币升值预期对资产市场的影响不会超过预期货币升值幅度,本币升值速度的提高对资产价格的影响不敏感。在完美的资本市场上,升值预期只会使资产的市盈率一次性上涨,资产升值之后将开始逐步下降,并在升值预期结束时回到长期均衡水平。汇率升值过程的不确定性会增加热钱投机的风险,进而降低资本市场的膨胀程度。提高升值速度未必导致更多的热钱流入,当存在资本流入障碍时,更多热钱流入的条件是资本流动速度对利差的凸性。本文预言的资产价格运动趋势和中国股票市场的表现一致。     

日元与马克升值对两国经济的影响

本文首先运用数据论述德日两国货币升值的原因和货币升值对两国经济造成的不同影响。然后透过两国应对本币升值的政策差异这一表象，揭示出本币升值后两国经济表现迥异的根源在于两国发展模式的差异。最后思考应对人民币升值的策略及中国经济转变发展模式的问题。     

人民币汇率升值与资产价格泡沫的传导机制和实证研究

文章旨在研究具有资本流动和较低金融市场组织程度的开放经济体中,如果产生某些外部冲击而使得汇率升值,便会产生资产价格泡沫。在传导机制的理论模型推导中,以凯恩斯宏观经济模型为基础,通过模型推导得出实际汇率升值使得均衡收益率上升,股票资产需求迅速增加,进而导致股票价格的快速上涨,形成泡沫。然后通过对人民币汇率升值和上证A股股指变化进行实证研究,并考虑金融危机的影响因素,结果支持了文章的理论分析。     

人民币升值对中国对外贸易的影响及对策

一般而言，本币升值有利于扩大进口、抑制出口：本币贬值则有利于扩大出口、抑制进口。自2005年人民币汇率改革以来，人民币大幅度升值。然而在此背景下我国外贸顺差不降反升，从而使我国目前面监着空前的人民币升值压力。本文在分析人民币升值原因的基础上，结合实际论述了人民币升值对我国当前对外贸易有利及不利的影响，并就如何应对人民币升值和促进我国进出口贸易的发展提出了相应的对策。     

汇率波动与亚洲的经济增长

从年度数据看 ,亚洲各经济体的经济增长与汇率走势没有显著的相关关系 ,但是其系数的符号能呈现出货币有否升值的趋势。从每天的数据看 ,在经济高速增长时期 ,汇率波动的方差较小 ,“波动持续性”也较短。亚洲各经济体的经验可以给人民币汇率市场化提供参考 ,既要避免高速增长时由于短期外资涌入造成的本币升值 ,也要警惕国际舆论形成的对本币升值压力。中国经济持续高速增长是人民币汇率市场化的最佳时期 ,因为这种高速增长为本币国际化、最终的本币汇率市场化创造了稳定的环境。     

人民币升值，外贸企业重负下前行

本币升值具有双重性,关键在于如何变不利因素为有利因素。人民币升值实际上也为我国的产业结构调整和升级提供了有利因素     

The Korean stock market volatility during the currency crisis and the credit crisis

This paper studies the volatility of the Korean stock market during the Asian currency crisis of 1997–1998 and the global credit crisis of 2008–2009. We use a fad model with Markov switching heteroskedasticity, which was first proposed by Kim and Kim (1996). Using the monthly data from January 1980 to October 2009, we find that the volatility of the transitory component of the stock return, or fads, increased during the currency crisis, but did not rise much during the credit crisis. It implies that the stock price fluctuations were not driven by irrational sentiments during the recent global crisis as much as during the former crisis. However, when we consider the dollar value of the Korean stock index in order to estimate the volatility that foreign investors confront, we find that the volatility of the transitory component was raised during the credit crisis as well as during the currency crisis. That is, foreign investors experienced greater volatility than domestic investors in the recent financial market turmoil. This asymmetric volatility that domestic and foreign investors face is one of the characteristics of the credit crisis.For more detailed analysis, the same model was applied to the weekly data from January 2005 to October 2009 and provided the result that the data measured by won–dollar exchange rates were more increased than the raw data. It holds that foreign investors confronted much greater volatility than domestic investors while the stock volatility was relatively lower in the credit crisis state than in the currency crisis state.     

PARTIAL DOLLARIZATION,EXCHANGE RATES,AND FIRM INVESTMENT IN PARAGUAY

Between 1989 and 1993 the government of Paraguay removed most restriction on financial transactions in domestic and foreign currency. The resulting financial deepening also involved partial dollarization. This investigation sought to determine whether partial dollarization led to negative balance sheet effects (in the form of reduced access to investment credit due to depreciation‐induced reduction in firms’ net worth as a result of currency mismatches on their balance sheets) and, therefore, to investment contractions, at the firm level, in the face of real currency depreciations. Support was found for that thesis. However, there was also evidence that banks expanded credit more rapidly in the face of currency depreciations. These apparent contradictory movements in credit and investment were shown to be a result of the absence of any clear causal link (in a Granger sense) between bank credit to the private sector and private investment in Paraguay.     

EXCHANGE MARKET PRESSURE,MONETARY POLICY,AND ECONOMIC GROWTH: ARGENTINA, 1993–2004

The exchange market pressure (EMP) against a currency has been frequently measured as the sum of the loss of international reserves plus the loss of nominal value of that currency. This paper follows the tradition of investigating the interactions between such a measure of EMP and monetary policy; but it also questions the usual omission of output growth in empirical investigations. The focus of this work is Argentina between 1993 and 2004. As in previous studies, we found some evidence of a positive and double‐direction relationship between EMP and domestic credit. But output growth also played a role in the determination of EMP, even more than domestic credit or interest rates. Also, there is some evidence that EMP affected growth negatively.     

CREDIT POLICY STRESS IN THE WEST AFRICAN ECONOMIC AND MONETARY UNION

This paper examines credit policy stress in the West African Economic and Monetary Union and provides evidence that a regional credit policy would not suit all the countries that are members of this currency union. Some countries obtain a higher volume of domestic credit when policy is conducted at a domestic level than they would in the context of a single regional policy. Furthermore, there are differences in the country‐specific reaction function to changes in the economic environment. To show the inappropriateness of a regional credit policy within the West African Economic and Monetary Union area, we compute credit stress indicators both for the countries and for the region taken as a whole. The stress indicators represent the gap between the optimal policies conducted at country and regional levels. Our study covers the period from 1980 to 2007.     

近年来中国国内货币供给源于国际资本流动吗?

中国央行对货币的控制能力一直是人们关注的焦点之一。普遍的观点是,近年来国际资本流动严重削弱了中国央行控制货币的能力。利用两阶段最小二乘法和递归法,本文的检验结果表明:尽管国际资本对央行净国内资产的抵消系数高达-1.014,但央行的冲销系数也达到了-0.985,这意味着货币供给受到国际资本流动的影响甚微。对广义货币的检验证明了这一点。因此,中国货币供给主要源于央行的国内信贷而非国际资本。     

中国地方政府是否可以发债？

This paper shows that just banning local governments from issuing debts has not eliminated the local government debt in many Chinese provinces. The paper then advocates that local governments should be allowed to issue bonds, but subject to some stringent fiscal rules.These fiscal rules should include a balanced-budget rule and a debt limit rule, similar to those already in place among the US states. Furthermore, such rules can only be made effective if they are accompanied by parallel institutional building efforts such as transparent budget process and budget institutions, independent credit rating agencies, proper accounting and auditing process, and other inter-governmental agencies aimed at alleviating information asymmetry of local government finances. Our domestic currency ratings indicate that all Chinese provinces possess basic creditworthiness that will enable them to issue domestic currency bonds.     

跨国企业的现金管理研究

文章根据国内外研究文献,分析和研究了现金库（Cash Pool）、货币风险库（Currency Risk Pool）、商业信用管理（Credit Risk Management）等跨国企业现金管理方式;针对现行公司治理机制下大企业内部的现金资本流向复杂、筹资多元、风险分散等特点,为实现大企业的风险共管与现金资本共享提供依据。     

Leading Indicators of Currency Crises: Are They the Same in Different Exchange Rate Regimes?

We investigate whether leading indicators of currency crises differ across exchange rate regimes using data for 88 countries in the period 1981–2010. Our estimates suggest that in fixed exchange rate regimes external indicators, such as deviations of the real exchange rate from trend and the growth of international reserves, have the strongest predictive power. In contrast, in floating exchange rate regimes monetary policy and credibility indicators, such as domestic credit growth and inflation, are the best leading indicators of currency crises. Both credibility and external economic indicators have predictive power in intermediate exchange rate regimes.     

Effects of Currency Devaluations on the Economic Growth in Developing Countries: The Role of Foreign Currency-Denominated Debt

Assuming that a developing country has to denominate its debts in the currencies of the principal creditor countries, how is the country??s economic performance affected when currency devaluation occurs? The aim of this paper is to prove that devaluation can be contractionary and that its occurrence can be the result of a self-fulfilling prophecy. Assuming credit constraints on firms?? borrowing capacity and nominal price rigidities, a sharp change in the value of the domestic currency leads to an increase in the real costs of foreign currency-denominated debt. Hence, firms?? profits as well as their borrowing capacity decrease, provoking a drop in future investment and output. Moreover, expectations about future output can alone trigger a currency devaluation, confirming the initial expectations in a self-fulfilling way. Finally, it is discussed in an empirical analysis the impact of devaluation on the economic growth in a sample of five countries.     

IMF conditionality: Conceptual problems and policy alternatives

This paper argues that the main issue damaging relations between developing countries and the International Monetary Fund is the latter's position that external disequilibria are always a consequence of excess aggregate domestic demand, caused by excessive credit expansion. As a result, Fund sponsored stabilization programs center on demand contraction through a credit crunch and may establish stricter domestic performance criteria than necessary to attain the balance-of-payments objectives. The author suggests that the IMF establish a two-tier conditionality system, which he calls the “hands-off” approach, with one tier composed exclusively of balance-of-payments or foreign exchange denominated variables, and the other of domestic currency denominated variables. The two-tier system would allow more flexibility in compliance assessment and might reduce substantially the number of breakdowns of Fund programs.A revised “hands-on” approach for the Fund is also suggested. The author critiques the recessive biases of the currently used financial analytical exercises and makes specific proposals to introduce “growth exercises” to establish the foreign credit requirements of a growth-oriented stabilization program and thus to introduce performance criteria for creditor countries and banks — a form of “reciprocal conditionality.”