巨无霸指数视角下的货币汇率均衡水平分析

基于购买力平价理论的巨无霸指数因其简单易懂,为判断汇率水平均衡性提供了一个简便的工具和辅助的视角。文章按经济体类别对《经济学人》公布的巨无霸指数走势特征进行了考察,并依据其修订指数的思路进行了新指数计算方法的推导及数据试算。通过对新老BMI数据的系统考察,发现经济金融条件类似的国家,其巨无霸指数存在一致性,新兴经济体货币低估存在一定的普遍性;汇率均衡程度与金融市场发展水平、资本项目开放程度、外汇管制等因素之间未存在必然联系;调整后的巨无霸指数显示,人民币汇率可能已经处于比较稳定的均衡水平。     

Skewed exchange-rate forecasts

We used survey data on exchange-rate forecasts of the dollar/euro exchange rate and the yen/dollar exchange rate to analyze the correlation of the skewness of the distribution of heterogeneous forecasts with movements of the exchange rate. Using various measures of skewness, we found a negative correlation of skewness of 1-month-ahead forecasts with exchange-rate movements. In contrast, the correlation of skewness of 12-months-ahead forecast with exchange-rate movements is positive. The negative correlation arising in the case of 1-month-ahead forecasts is consistent with expected mean reversion in exchange rates. The positive correlation arising in the case of longer term forecasts, in turn, is consistent with longer term bandwagon effects.     

Burgernomics: the economics of the Big Mac standard

In the course of PPP research, much of the debate over the validity has been over the choice of an appropriate ‘basket’ for making purchasing power comparisons. The different compositions of goods and services in these baskets across countries have resulted in arguments against their usefulness for PPP purposes. This problem is augmented by the existence of productivity differentials in traded and non-traded goods across countries. Therefore we consider the use of the Big Mac as the international monetary standard as being a more palatable alternative: It is produced locally in over 80 countries around the world, with only minor changes in recipe and thus has the flavour of ‘the perfect universal commodity’. Our results indicate that the Big Mac Index is surprisingly accurate in tracking exchange rates over the long-term, which is consistent with previous PPP research findings. We subsequently enhance our PPP comparisons by taking into account the productivity differentials between countries and excluding non-traded goods from the Big Mac Index to derive the No-Frills Index.     

Real exchange rates under alternative nominal exchange-rate systems

The paper develops an equilibrium model of the determination of exchange rates, the relative price of nontraded goods, and the current account. The focus is on the effects of various real and nominal disturbances and the conditions under which the nominal exchange-rate system is neutral with respect to real variables in the economy. The model demonstrates an assymetry in the roles of trade and nontraded goods in affecting exchange rates. An econometric investigation of the raltion between the exchange-rate system and the variability of real exchange rates provides some evidence against the neutrality hypothesis.     

A re-examination on dissecting the purchasing power parity puzzle

The purpose of this paper is to examine the source of a real exchange-rate adjustment based on the impulse-response function constructed from local projections when the true data-generating process (DGP) is unknown. This work extends the local-projection method proposed by Jordà [2005. Estimation and inference of impulse responses by local projections. American Economic Review 95, 161-182] to allow for variables that are I(1) and exhibit cointegration. Our paper shows that nominal exchange-rate adjustments dominate in the reversion toward PPP regardless of a nominal exchange-rate shock or a price shock. It is also shown that the half-life of real exchange rates is close to that of nominal exchange rates. Since these results are consistent with those of Cheung et al. [Cheung, Y.W., Lai, K.S., Bergman, M., 2004. Dissecting the PPP puzzle: the unconventional roles of nominal exchange rate and price adjustments. Journal of International Economics 64, 135-150], we therefore conclude that their main findings are robust to possible misspecifications in the true DGP.     

Activist monetary policy and exchange-rate overshooting: The Deutsche mark/dollar rate

After a decade of generalized floating, it is clear that bilateral exchange rates exhibit more variability than the economic aggregates—relative prices, incomes, and money supplies—which generally comprise the fundamentals of theories of exchange-rate determination. Dornbusch's overshooting hypothesis is the best known explanation of this phenomenon. This paper shows that accommodative monetary policy (with respect to prices) has the potential to cause the economy to switch from exchange rate overshooting to undershooting. Using constrained maximum likelihood methods, the model is estimated for Germany and the United States. The results provide strong evidence in support of the overshooting hypothesis for the Deutsche mark/dollar exchange rate.     

Tracking exchange rate management in Latin America

One way to track exchange-rate deviations from its long-run value is to examine numerical patterns in exchange rates to see if those patterns appear to have been subjected to some degree of policy management. We apply Benford's Law to exchange rates in Latin American countries, computing and comparing the distribution of exchange-rate observed values with those of Benford's Law. For most cases we find that the exchange rate for the US dollar does not satisify Benford's Law, however this law holds when the euro is considered. This result may be explained by the fact that these countries are characterized for having different degrees of dollarization and intervention in the US dollar forex market while there is almost no policy intervention in the euro forex market. Our approach is an alternative view of how these characteristics play a role inducing deviations with respect to an implied equilibrium exchange rate.     

Belief changes and expectation heterogeneity in buy- and sell-side professionals in the Japanese stock market

We document the determinants of the expectation heterogeneity of stock price forecasters on TOPIX. Monthly panel data collected by QUICK Corporation in the Nikkei Group via surveys is utilized in the process. We examine the determinants of expectation heterogeneity by categorizing our sample into buy-side and sell-side professionals and demonstrate that the co-existence of different types of professionals contributes to the expectation heterogeneity. We show that buy-side and the sell-side professionals, who possess different business goals, differentiate the information contents as well as their interpretations of the same information in their forecasts, contributing to the expectation heterogeneity. In addition, we investigate the interactive expectation formulation of buy-side and sell-side professionals and find that buy-side professionals incorporate the sell side's ideas regarding future stock prices into their own forecasts, but refer exclusively to their own ideas when relating foreign exchange rates to future stock prices. Meanwhile, sell-side professionals tend to utilize buy-side professionals' ideas about future prices in order to improve their research and ingratiate themselves to their clients, that is, to the buy-side professionals. We demonstrate that this interactive expectation formulation also contributes to the generation of the expectation heterogeneity.     

News announcements and price discovery in foreign exchange spot and futures markets

This paper studies competition in price discovery between spot and futures rates for the EUR–USD and JPY–USD markets around scheduled macroeconomic announcements. Using both the information shares approach and the common factor component weight approach for futures prices from the Chicago Mercantile Exchange (CME), as well as deal prices from spot trading on the Electronic Broking Services (EBS), we gauge how foreign exchange spot and futures markets respond to news surprises. The results show that the spot rates provide more price discovery than do the CME futures rates overall; however, the contribution of the futures rates to price discovery increases in the time surrounding macroeconomic announcement releases.     

Expectations,exchange rates and monetary theory: The case of German hyperinflation

This paper tests some of the structural coefficient restrictions on goods-price equations and foreign exchange-rate equations implied by the monetary theory of exchange rates. The data are from the German hyperinflation (1922–1923). The results of the tests broadly support the monetary theory of exchange rates and they also support the hypothesis that the foreign exchange market was efficient during this period. However, the much higher residual volatility in foreign exchange prices is not explained by the monetary theory.     

Modeling exchange rate passthrough after large devaluations

Large devaluations are generally associated with large declines in real exchange rates. We develop a model which embodies two complementary forces that account for the large declines in the real exchange rate that occur in the aftermath of large devaluations. The first force is sticky nontradable-goods prices. The second force is the impact of real shocks that often accompany large devaluations. We argue that sticky nontradable goods prices generally play an important role in explaining post-devaluation movements in real exchange rates. However, real shocks can sometimes be primary drivers of real exchange-rate movements.     

Forecasting exchange rates: Non-linear adjustment and time-varying equilibrium

By linking two main strands of equilibrium exchange rate research, this paper models and forecasts exchange rate movements around a time-varying equilibrium using both linear and non-linear techniques. Our results support evidence of linear and non-linear (ESTR) stationary behaviour around a time-varying equilibrium, particularly when using a trade based price index. The latter results are largely robust across a break due to the Plaza Accord. Forecasts of both the equilibrium deviations and exchange rates themselves are largely supportive of the ESTR model over several alternatives. This is notably so across most measures with respect to the equilibrium deviations and over the sign based measures for the exchange rate forecasts. Overall, our results suggest that short-run changes in exchange rates are forecastable when allowing for a time-varying equilibrium rate and using an appropriate price index. Such a result has important implications for researchers, policy-makers and goods and financial market participants. For example, policy-makers need to be cognisant of a changing equilibrium level and not necessarily conduct policy in such a manner as to restore a previous equilibrium. Similarly, those engaged in hedging need to be aware that equilibrium rates are time varying but, beneficially, movements around equilibrium appear predictable.     

A melting pot — Gold price forecasts under model and parameter uncertainty

Gold is special as it is influenced by a wide range of factors such as commodity prices, interest rates, inflation expectations, exchange rate changes and stock market volatility. Hence, forecasting the price of gold is a difficult task and the main problem a researcher faces is to select the relevant regressors at each point in time. This model uncertainty in combination with parameter uncertainty is explicitly accounted for by Dynamic Model Averaging (DMA) which allows both the forecasting model and the coefficients to change over time. Based on this framework, we systematically evaluate a large set of possible gold price determinants and find that DMA (1) improves forecasts compared to other frameworks, (2) yields strong time-variation of gold price predictors and (3) favors parsimonious models. The results also show that typical in-sample features of gold such as its hedge property are weaker in an out-of-sample context.     

Market-maker,inventory control and foreign exchange dynamics

Abstract

This paper examines how inventory management of foreign exchange dealers may affect exchange-rate dynamics. According to empirical observations, market makers set exchange rates not only with respect to excess demand but also in recognition of their inventory. Within our model, market makers control their positions by quoting exchange rates that provoke offsetting orders of technical and fundamental traders. Our model demonstrates that such behaviour may amplify trading volume, exchange-rate volatility and deviations from fundamentals.     

Monetary and financial stability in the euro area: Pro-cyclicality versus trade-off

This paper investigates the nexus between monetary stability and financial stability. We examine, in the experience of EMU between 1994 and 2008, first, the response of the term structure of interest rates, share prices, exchange rates, property price inflation and the deposit–loan ratio of the banking sector (our proxies for financial stability) to changes in the consumer price level and ECB policy rate (our proxies for monetary stability); second, whether and to what extent lower inflation has caused share price stability and how ECB policy rate has reacted to inflation. Using a sign-restriction-based VAR approach, we find that there is a pro-cyclical relationship between monetary and financial stability in the long-run. With a positive inflation shock, we find on average a 2% estimated decline in share prices. This suggests that the interest rate instrument used for inflation targeting is conducive to financial stability.     

Target price forecasts: The roles of the 52-week high price and recent investor sentiment

This paper reveals that in addition to fundamental factors, the 52-week high price and recent investor sentiment play an important role in analysts’ target price formation. Analysts’ forecasts of short-term earnings and long-term earnings growth are shown to be important explanatory variables for target prices; equally, the 52-week high price and recent investor sentiment are also shown to explain target price levels and especially target price biases. Our analysis additionally reveals that analysts place greater weight on these two non-fundamental factors in settings with greater task complexity and to some extent in those with greater resource constraints. Conversely, on balance, the results suggest that this increased reliance does not translate into an increased impact per unit of each non-fundamental factor on forecast bias. Finally, our results show that target prices are useful in predicting future stock returns beyond earnings forecasts and commonly used risk proxies. However, in an internally consistent fashion, the informativeness of target prices for future returns is significantly reduced when greater weight is placed on either the 52-week high or recent investor sentiment in the target price formation process.     

Exchange Rates and the Conversion of Currency‐Specific Risk Premia

How do the risk factors that drive asset prices influence exchange rates? Are the parameters of asset price processes relevant for specifying exchange rate processes? Most international asset pricing models focus on the analysis of asset returns given exchange rate processes. Little work has been done on the analysis of exchange rates dependent on asset returns. This paper uses an international stochastic discount factor (SDF) framework to analyse the interplay between asset prices and exchange rates. So far, this approach has only been implemented in international term structure models. We find that exchange rates serve to convert currency‐specific discount factors and currency‐specific prices of risk – a result linked to the international arbitrage pricing theory (IAPT). Our empirical investigation of exchange rates and stock markets of four countries presents evidence for the conversion of currency‐specific risk premia by exchange rates.     

U.S. real exchange rate fluctuations and relative price fluctuations

Traditional theory attributes fluctuations in real exchange rates to changes in the relative price of nontraded goods. This paper studies the relation between the United States’ bilateral real exchange rate and the associated bilateral relative price of nontraded goods for five of its most important trade relationships. We find that this relation depends crucially on the choice of price series used to measure relative prices and on the choice of trade partner. The relation is stronger when we measure relative prices using producer prices rather than consumer prices. The relation is stronger the more important is the trade relationship between the United States and a trade partner. Even in cases where there is a strong relation between the real exchange rate and the relative price of nontraded goods, however, a large fraction of real exchange rate fluctuations is due to deviations from the law of one price for traded goods.     

名义价格幻觉——基于证券分析师目标价格预测的经验证据

本文利用证券分析师发布的股票目标价格预测,为名义价格幻觉提供了能够直接反映心理预期的经验证据。研究发现,证券分析师对低价股未来收益的心理预期显著高于高价股,该行为偏误在规模小、上市时间短、股票波动性大、财务透明度低和无形资产占比高等估值难度更大的股票中表现得更加明显。我们还利用股票送转,对证券分析师是否受到名义价格幻觉的影响做进一步验证,发现由送转引起的与基本面无关的名义价格下降显著提升了证券分析师对股票未来回报的心理预期。进一步研究表明,上述发现并不是因为证券分析师准确预见了低价股和高价股未来有不同的投资机会,也不是为了最大化其供职证券公司的利益而有意迎合投资者。     

Incomplete information,higher-order beliefs and price inertia

The question that motivates this paper is how incomplete information impacts the response of prices to nominal shocks. Our baseline model is a variant of the Calvo model in which firms observe the underlying nominal shocks with noise. In this model, the response of prices is pinned down by three parameters: the precision of available information about the nominal shock, the frequency of price adjustment, and the degree of strategic complementarity in pricing decisions. This result synthesizes the broader lessons of the pertinent literature. However, this synthesis provides only a partial view of the role of incomplete information. Once one allows for more general information structures than those used in previous work, one cannot quantify the degree of price inertia without data on the dynamics of higher-order beliefs, or of the agents’ forecasts of inflation. We highlight this with three extensions of our baseline model, all of which break the tight connection between the precision of information and higher-order beliefs featured in previous work.