人民币NDF与即期汇率的动态关联性研究

文章以2005年7月25日~2006年6月13日间人民币NDF和即期汇率为研究对象,以MA(1)-GARCH(1,1)模型分析人民币NDF市场和即期市场间均值和波动的溢出效应。分析结果表明,两个市场的波动没有相互溢出效应,即期市场对人民币NDF市场没有报酬溢出效应,而人民币NDF市场对即期市场具有报酬溢出效应。可见,我国汇制改革后,境外因素已开始影响人民币即期市场。     

Capital Flows and Exchange Rate Volatility in India: How Crucial Are Reserves?

This paper tests if the adequacy of reserves helps reduce exchange rate volatility in an environment of financial globalization, market‐determined exchange rate and macroeconomic imbalances. It exploits the difference in the period after 2010 when India did not accumulate reserves but faced higher capital flow pressures, relative to a previous managed‐float period marked by significant absorption of surplus capital flows. Along with other determinants, the sensitivity of rupee volatility is examined. The paper finds that adequate reserve holdings significantly reduce exchange rate volatility irrespective of the exchange rate regime; the effect is more through influence upon market sentiment and confidence than actual intervention. It contributes to existing evidence on the role of reserves in mitigating exchange rate volatility amid capital flow swings and offers insights into the policy environment depicted in the trilemma.     

Exchange Rate Flexibility in China: Measurement,Regime Shifts and Driving Forces of Change

With an emphasis on government intervention that hinders market forces in currency movements, this paper presents a nuanced investigation of the degree and dynamics of flexibility in China's exchange rate regime. A high‐frequency data model is developed to more accurately detect the extent to which the Chinese currency is market‐driven. This indicator is then utilized in a Markov switching model to examine shifts in RMB regime flexibility. The results suggest a moderate increase in exchange rate flexibility since the 2005 reform. Additionally, two switching states are captured, and possible driving factors are discussed.     

A new approach to the effect of intervention frequency on the foreign exchange market: evidence from Japan

This article estimates and analyses the effect of intervention frequency on the yen/dollar market, using daily intervention data. We examine using a nonlinear methodology, with the frequency of intervention from April 1991 to December 2005 as a focal explanatory variable. In this article, we also introduce a flexible target zone model that is capable of characterizing the dynamic behaviour of an exchange rate implied by the original target zone model of Krugman and its modifications. The empirical results show the importance of considering the threshold effect when analysing the effect of intervention due to the presence of asymmetry in the foreign exchange market. Moreover, we show that a high frequency intervention stabilizes the exchange rate by reducing exchange rate volatility, especially when the yen appreciates.     

The impact of government intervention on stock returns: Evidence from Hong Kong

In August 1998, the Hong Kong government, in her effort to restore investors' confidence, purchased shares of the 33 stocks that constitute the Hang Seng Index (HS). We find that the government's action not only reverses the declining trend of the stock market but also reduces the volatility of the market. The main beneficiaries of the action are the shareholders of the stocks that are purchased by the government during the intervention period, and the increase in stock prices persists. Although the shareholders of non-Hang Seng stocks also gain from the intervention, their gain is smaller and does not last.     

理解人民币汇率的均衡、失调、波动与调整

本文区分产品市场和资产市场均衡汇率、失调和波动,得出了人民币实际汇率的短期和长期均衡值,发现人民币不存在严重高估和低估,只是产品市场上近期实际汇率低估且程度在加深,而资产市场上高估;产品市场上实际汇率长期波动主要源自相对供给冲击,资产市场上短期波动则主要来自自身调整机制和相对货币供给冲击。政策含义表明:资本账户保持一定管制降低了风险溢价,允许决策者调整短期实际汇率波动,扩大波动幅度减缓汇率升值预期,消除资产市场上短期失调;长期波动决定因素使得决策者只能以产品市场长期均衡汇率为升值目标汇率,在需求政策效果不明显的情况下,可以考虑供给管理政策实现内外经济均衡。     

Convenience yield and real exchange rate dynamics: A present-value interpretation

In this paper, we empirically investigate the relationship between the convenience yield of government bonds and the real exchange rates using monthly data from 1999 to 2018. We extend the conventional models, based on the present-value relationship between the real exchange rate and economic fundamentals, while explicitly considering the role of the convenience yield. Empirical results suggest that our present-value models can capture the dynamic properties of the real exchange rate documented in the literature, including high persistence, excess volatility and excess co-movement compared with real interest rate differentials. We also find that the sum of expected convenience yields significantly drives real exchange rate movements. Moreover, we find that foreign exchange swap market friction also plays a role in explaining real exchange rates. Finally, we find that monetary policy at the zero lower bound may be essential in real exchange rate modelling.     

Does black market exchange rate volatility deter the trade flows? Iranian experience

Previous studies that investigated the impact of exchange rate volatility on the trade flows, employed official exchange rate data to construct a measure of exchange rate uncertainty. In this paper we show that in countries that there is a black market for foreign exchange, the black market exchange rate volatility could have adverse effect on the trade flows. We show this by using data from Iran and cointegration analysis.     

The impact of interest rate and exchange rate volatility on banks' stock returns and volatility: Evidence from Turkey

This paper investigates the effects of interest rate and foreign exchange rate changes on Turkish banks' stock returns using the OLS and GARCH estimation models. The results suggest that interest rate and exchange rate changes have a negative and significant impact on the conditional bank stock return. Also, bank stock return sensitivities are found to be stronger for market return than interest rates and exchange rates, implying that market return plays an important role in determining the dynamics of conditional return of bank stocks. The results further indicate that interest rate and exchange rate volatility are the major determinants of the conditional bank stock return volatility.     

Nonlinear exchange rate dynamics under stochastic official intervention

Many studies employ non-linear models to explain or forecast the exchange rate and find their superiority. This article builds an exchange rate model of managed float under conditional official intervention. In the model, the government minimizes social loss through a trade-off between targeting the exchange rate and lowering intervention costs. We obtain an endogenous threshold model and derive an analytical solution of the exchange rate stochastic interventions. The implication of a managed float causing a lower volatility of the exchange rate has been found by past empirical studies. Our model provides not only a justification for the central banks' conditional interventions but also a rationale for the use of regime-switching models of two states (intervention vs. non-intervention) in the empirical studies of exchange rates.     

Do central bank foreign exchange interventions affect market expectations?

The aim of this article is to study the impact of the Brazilian central bank swap interventions on the FX market from 2006 to 2013. In this period, these nontraditional interventions were the main FX instrument of the Brazilian Government. Since the central bank operates through a sequence of daily interventions in most of the period, we employ the event study method, which is appropriate to investigate cumulative impact of intervention episodes. We analyse the effects on the risk neutral distribution of BRL-USD exchange rate, which incorporates economic valuation besides the likelihoods. We investigate both changes in level and in the dynamics of the moments. Our tests indicate that interventions have little effects on the exchange rate distribution. We only find evidences of some impact on the dynamics of the mean, volatility and skewness over long horizons when the central bank takes short positions on the exchange rate.     

Government intervention in Malaysian manufacturing industries: a suggested methodology of measurement

The whole issue of the appropriate balance in dividing economic activities between the state and the market has, in recent years, received considerable attention. The proponents of ‘goverment intervention’ argue that government have to take a leading role in accelerating the structural change with is perceived as necessary towards achieving an efficient allocation of resources leading to a higher economic growth. Consequently, government have to rely on various policy measures which aim at reducing, if not completely erasing,the malfunctioning of the market. Here it is not the number of policies or regulations that matters. What is more important is the potential of each policy towards eliminating market imperfections. In this context, the crucial issue is the need for a direct measure to gauge the impact of each policy on selected problems which tend to contribute to the malfunctioning of the market. The objective of this paper is to suggest a method to measure the effect of government policies on reducing market concentration which is perceived as one of the sources of market failure. The applicability of the suggested methodology has been examined with a data set from the Malaysian Manufacturing Industries.     

Empirical Regularities of Financial Market Volatility and Good Modelling Process: Developing Countries’ Exchange Rate Markets Perspective

A survey of contemporary literature suggests that empirical studies on developing economies are few or almost non-existent. Engle and Patton (2001, What good is a volatility model. Quantitative Finance, 1, 237–245) as well as Poon (2005, A Practical Guide to Forecasting Financial Market Volatility. New Jersey: Wiley.) suggest that a good volatility model is one that utilizes the empirical regularities of financial market volatility (of which most were observed on industrialized economies markets). This paper uses exchange rate series from Ghana, Mozambique and Tanzania to show that;

1. they are not different from other financial markets as they exhibit most of the empirical regularities including volatility sign asymmetry, non-normal distribution and volatility clustering. It is however observed that the three exchange rate series are very volatile, with induced volatile shocks highly persistent and asymmetric, and extreme prices commonplace;

2. the ARCH technique (which has been well documented to capture these empirical regularities and produce good forecasts) generally produced a good fit to the three exchange rate series when compared with volatility forecasts generated using the EWMA technique. In the simple analysis of a day-ahead volatility forecast abilities of estimated models, it was observed that best fit does not necessarily ensure best forecast.

     

Public Information Arrival, Exchange Rate Volatility, and Quote Frequency

The mixture of distributions model motivates the role of public information arrival in foreign exchange market dynamics. Public information arrival is measured using Reuters Money-Market Headline News. The exchange rates are high-frequency mark/dollar and yen/dollar quotes. Estimation results suggest that higher than normal public information brings more than the normal quoting activity and volatility. The results have implications for the debate over regulation of the foreign exchange market. Foreign exchange activity is not largely self-generating. Trading is likely providing the function it is meant to provide-adjusting prices and quantities to achieve an efficient allocation of resources.     

Measuring Exchange Market Pressure and the Degree of Exchange Market Intervention for the Greek Drachma

This paper presents exchange market pressure and intervention indices than can be applied as tools for policy analysis in the case of Greece. A small open economy model is presented that helps to assess Greek exchange rate policy, within a framework characterized for a strong preference to eliminate excessive exchange rate volatility to meet the Maastricht criteria of low inflation and a fixed domestic currency. [F31]     

Exchange Rate Volatility,Earnings Uncertainty and Bidirectional Trade Flows: Empirical Evidence on Ghana

Although the empirical findings on the impact of exchange rate volatility on trade is diverse, the growing consensus in the literature appears to suggest that for developing economies, the theoretically expected negative relationship almost always exists. The paper takes a different approach to empirically assess this relationship by analysing the impact of exchange rate volatility independently on total trade, imports and exports. The intuition behind this approach is to assess exactly how exporters and importers are incentivised (differently or similarly) by exchange rate volatility costs. Whereas adequately risk-aversed Ghanaian exporters in the presence of higher exchange rate volatility and the absence of hedging facilities effectively compensated against exchange rate risk by increasing volume of exports, import decisions were to some extent (although not effectively) negatively affected by exchange rate volatility. The different responses by Ghanaian exporters and importers to higher exchange rate volatility costs are reflected in the relationship between volatility and total trade. The useful policy lessons and the challenges that the empirical evidence present are discussed.     

Economic Volatility and Capital Account Liberalization in Emerging Countries

Economic volatility has increased drastically in the age of financial liberalization. The tendency among mainstream economists has been to explain this trend by government misdeeds and various market imperfections. For instance, government overspending was the main culprit in the first generation models of currency crises. Following the Asian crisis the emphasis shifted onto capital flow reversals, and arguments based on the ‘moral hazard’ problems began to replace the emphasis on the monetized government deficits. This paper outlines an explanation of economic volatility that is not based on moral hazard problems or other market distortions. Two stylized facts associated with the aftermath of financial and capital account liberalization are singled out for emphasis and brought together in the context of a macroeconomic framework that draws from Keynes’ Treatise. These are: (i) liquidity preference becomes intertwined with currency substitution, producing a macroeconomic destabilizer that explains procyclical changes in bank credit independently of moral hazard problems; and (ii) asset prices become fairly easy to predict, stimulating destabilizing ‘trend’ speculation by foreign investors, which means that profit seeking and market rationality might lie behind erratic shifts in capital flows.     

Autoregressive conditional durations: An application to the Surinamese dollar versus the US dollar exchange rate

The parallel market nominal exchange rate of the United States dollar vis-à-vis the Surinamese dollar (USD/SRD) exhibited periods of severe volatility which were often followed by episodes of stability, usually at a cost of sharp depreciations. This study seeks to model this exchange rate using autoregressive conditional duration models. These models are suitable for modelling events occurring with irregular intervals. Exchange rates in developing countries have distinct features compared to exchange rates in countries with well-established and accessible financial markets. A key feature is that for these developing countries, exchange rates only occasionally experience jumps. Our findings suggest that past exchange rate changes appear to be a significant driver of future exchange rate jumps. Furthermore, our results show that money, international reserves, and commodity prices can explain jumps in the market USD/SRD exchange rate.     

Entry cost, the Tobin tax, and noise trading in the foreign exchange market

Abstract .  Two types of policy have been proposed to eliminate noise trading in the foreign exchange market: increasing the entry cost or imposing a 'Tobin tax' type of transaction tax. In this paper, we endogenize entry decisions of both informed traders and noise traders and show that these policies may be ineffective in reducing exchange rate volatility. This is because these policies will discourage the entry of all traders, so they may not change the relative ratio of traders, or they may affect informed traders disproportionately more, which increases the relative ratio of noise traders and exchange rate volatility.     

Monetary policy and commodity terms of trade shocks in emerging market economies

Commodity terms of trade shocks have continued to drive macroeconomic fluctuations in most emerging market economies. The volatility and persistence of these shocks have posed great challenges for monetary policy. This study employs a New Keynesian Dynamic Stochastic General Equilibrium (DSGE) model to evaluate the optimal monetary policy responses to commodity terms of trade shocks in commodity dependent emerging market economies. The model is calibrated to the South African economy. The study shows that CPI inflation targeting performs relatively better than exchange rate targeting and non-traded inflation targeting both in terms of reducing macroeconomic volatility and reducing the losses of a non-benevolent central bank. However, macroeconomic stabilisation comes at a cost of increased exchange rate volatility. The results suggest that the appropriate response to commodity induced exogenous shocks is to target CPI inflation.