找准外汇监管切入点 提高外汇管理科学性

近几年，我国在抵御亚洲金融危机冲击的过程中，外汇管理综合治理取得重大成果，外汇秩序有了明显好转，但信后外汇管理面临的任务依然十分以艰巨和繁重，因此，如何找准外汇监管切入点，合理运用管理资源，提高科学管理水平，对进一步做好外汇管理工作具有重要意义。     

浅谈如何提升外汇管理电子化水平

国家外汇管理局是行使国家宏观经济调控四大职能的重要机构之一,负责外汇收支的管理工作,并为国家宏观决策提供依据,监管对象涉及全社会。外汇局的信息化建设是中国金融电子化、信息化发展的重要组成部分之一。我国金融市场正面临着前所未有的新形势,如何进一步加强外汇管理是摆在我们面前的重要课题。胡晓炼局长曾指出,没有有效的手段,外汇管理就像“稻草人”,形同虚设。抓手段,就是要积极采取先进的技术手段实施监管,只有在信息化系统的支撑下,外汇局的管理和业务才能取得重大突破。     

对外汇管理信息技术标准化的思考

一、引言标准化是为在一定范围内获得最佳秩序,对现实问题或潜在问题制定共同使用和重复使用的条款的活动。信息技术标准化则是指在信息化建设实践中,对重复『生出现的技术和事务,通过标准化使之在各方面达到协调和统一,以获得最佳秩序和效益的过程。众所周知,信息化建设使业务由手工处理升级为系统处理,曾极大地提高了业务处理效率。但随着信息化建设的深入,信息系统的数量不断增加,技术的日新月异,数据量的迅猛增长,正造成信息管理和使用效率的降低。这一问题已经不是靠单纯提高软件和硬件质量所能解决的。如何进一步提高信息管理的效率,跟上经济发展和技术进步的步伐,实现安全管理、合理管理、高效管理,是技术工作者面临的日益严峻的问题。开展信息技术标准化工作,能规范信息和技术管理,合理分配和利用资源,促进技术交流和进步,构架技术发展的平台,是一种行之有效的解决方案。     

2005外汇管理政策：平衡为本 收放兼具

2005年本刊第1-2期合刊曾遴选出“2004年外汇服务十大亮点”，评选出便利银行、企业的十项外汇管理政策。2005年，外汇管理部门又推出了哪些新政策？如何理解政策背后的涵义？这些政策取得了哪些成效？社会各界又有何反映？此次，我们撷取10余项政策“亮点”，力求为读者展现2005年国家外汇管理局在政策创新上所作出的种种努力。[编者按]     

改革外汇贷款管理方法 提高外汇管理水平

2002年12月6日，国家外汇管理局发布了《关于实施内外汇贷款外汇管理方式改革的通知》。与原规定相比，此次改革意义深远。对企业来部，简化了办事手续，疏通了融资渠道；而银行则增加了自主权和主动性，有利于银行更好地管理其债权；从外汇管理角度看，有利于监管水平和效率的提高。     

外汇管理信息化建设现状及发展方向探讨

一、外汇管理信息化建设的现状及面对的形势 自1986年以来,外汇管理信息化建设取得了较大成绩。覆盖主要外汇管理业务的外汇统计和管理信息电子化体系已经形成,总局和各级外汇管理分支机构在全面联网的基础上均已实现了信息化管理。有关业务系统包括国际收支统计监测系统、银行结售汇系统、进出口核销系统、外债统计监测系统等。这些系统承担了大量的数据收集和日常业务监管工作,有效地提高了外汇统计分析能力和监     

积极应对外汇管理新形势努力发挥杂志宣传作用

“十五”期间，我国将迎来对外开放新阶段。外汇管理部门处于我国对外开放的最前沿，肩负国家涉外经济管理重任，必须认清形势、认真准备，积极应付。     

外汇黑市的负面影响及治理对策

外汇黑市的负面影响。首先，它干扰和破坏了国家正常的金融环境和社会经济秩序。稳定的金融环境和社会经济秩序是国民经济发展的重要保证。如果没有一个稳定的金融环境，就没有各项金融事业的发展，就不能将一系列金融改革措施顺利地推进下去。同样，没有一个稳定的社会经济秩序，整个国家的经济发展就会受到严重的干扰，     

金融宏观调控与外汇管理市场化选择

该文论述了金融宏观调控与外汇管理市场化选择的关系,分析了在现阶段尽快实现外汇管理向市场化方向转变的重要性和迫切性,并对如何加快外汇管理的市场化改革,以推进人民币跨境业务发展和提高跨境资本流动监管的有效性进行了论证。     

Information and volatility links in the foreign exchange market

We apply the trading model of Fleming et al (1998 ). to a number of currency markets. The model posits that two markets can have common volatility structures as a result of receiving common information and from cross‐hedging activity where a position in one currency is used to hedge risk in a position taken in another. Our results imply that the model is effective in identifying common information flows and volatility spillovers in the currency markets and that some of these effects are lost when simply examining raw correlations. A series of specification tests of the 21 bivariate systems that are examined provides support for the trading model in the foreign exchange context.     

Volatility spillover in the foreign exchange market: the Indian experience

We find evidence of significant volatility co-movements and/or spillover from different financial markets to the forex market in India. Among a large number of variables examined, volatility spillovers from domestic stock, government securities, overnight index swap, Ted spread and international crude oil markets to the foreign exchange market are found to be significant. There is evidence of asymmetric reactions in the forex market volatility. Comparisons between pre-crisis and post-crisis volatility indicate that the reform measures and changes in financial markets microstructure during the crisis period had significant impact on volatility spillover. During the post-crisis period, the lagged volatility component that represents persistent or fundamental changes had significant spillover effect on forex volatility, rather than the temporary shocks component. There is evidence of a decline in the asymmetric response in the forex volatility during the post-crisis period in India.     

Asymmetric volatility in the foreign exchange markets

We examine the presence or absence of asymmetric volatility in the exchange rates of Australian dollar (AUD), Euro (EUR), British pound (GBP) and Japanese yen (JPY), all against US dollar. Our investigation is based on a variant of the heterogeneous autoregressive realized volatility model, using daily realized variance and return series from 1996 to 2004. We find that a depreciation against USD leads to significantly greater volatility than an appreciation for AUD and GBP, whereas the opposite is true for JPY. Relative to volatility on days following a positive one-standard-deviation return, volatility on days following a negative one-standard-deviation return is higher by 6.6% for AUD, 6.1% for GBP, and 21.2% for JPY. The realized volatility of EUR appears to be symmetric. These results are robust to the removal of jump component from realized volatility and the sub-samplings defined by structural-changes. The asymmetry in AUD, GBP and JPY appears to be embedded in the continuous component of realized volatility rather than the jump component.     

Monitoring the foreign exchange rate benchmark fix

ABSTRACT

We develop a Manipulation Index (ManIx) that captures the potential manipulation intention of dealers during the World Markets/Reuters (WMR) benchmark (London Close) period at 4 pm London time through a unique algorithm and simulation. The application of this model (using a dataset with dealers’ identities) can identify banks that are prone to potential manipulative behavior. The results concerning the identified banks are validated by the regulatory investigations. Implementation of this algorithm allows regulators better direct their limited resources towards more targeted in-depth investigation.     

The crisis in the foreign exchange market

We provide an overview of the important events of the recent global financial crisis and their implications for exchange rates and market dynamics. Our goal is to catalogue all that was truly of major importance in this episode. We also construct a quantitative measure of crises that allows for a comparison of the current crisis to earlier events. In addition, we address whether one could have predicted costly events before they happened in a manner that would have allowed market participants to moderate their risk exposures and yield better returns from currency speculation.     

A study of diffusion processes for foreign exchange rates

The nature of the stochastic process generating the time path of foreign exchange rates plays an important role in dynamic theories of international financial economics. An important consideration in this stochastic process is the relationship between currency return variances and exchange rate levels. Using five years of daily data separated into quarterly intervals, this study demonstrates that currency return variances depend on exchange rate levels and the dependency is unstable intertemporally. Thus, these empirical results contradict the assumption of stable log-normal distribution and the more general assumption of constant elasticities of variances. For elasticity coefficients ordinary least squares estimates are compared to maximum likelihood estimates; the maximum likelihood estimator clearly is superior. Implications of these results for models of foreign exchange rates are discussed.     

Properties of foreign exchange risk premiums

We study the properties of foreign exchange risk premiums that can explain the forward bias puzzle, defined as the tendency of high-interest rate currencies to appreciate rather than depreciate. These risk premiums arise endogenously from the no-arbitrage condition relating the term structure of interest rates and exchange rates. Estimating affine (multi-currency) term structure models reveals a noticeable tradeoff between matching depreciation rates and accuracy in pricing bonds. Risk premiums implied by our global affine model generate unbiased predictions for currency excess returns and are closely related to global risk aversion, the business cycle, and traditional exchange rate fundamentals.     

外汇卡系统的设计

随着国民经济的快速发展和国内金融体制改革的不断深化，外汇投资市场逐年升温，外汇交易量大幅增长。此外，由于城镇居民生活水平的不断提高，出境旅游的人也越来越多，持卡到国外旅游消费成为新的时尚。面对巨大的市场发展机遇，华夏银行决定开发集境外消费、国内炒汇功能于一身的特色产品——外汇卡，为客户进行外汇理财。