The Dynamics of Currency,Savings, and Investment Rates

This paper examines the dynamic relations among foreign exchange rates, savings, and investment ratio for a sample of 25 countries from the Organization for Economic Cooperation and Development. We find that the savings rate and the investment rate are cointegrated of order (1, −1). This result is consistent with the literature on the savings–investment relations and therefore confirms the validity of the Feldstein–Horioka puzzle. Using country‐specific and longitudinal panel vector autoregressive models, we show that historical savings–investment differentials do not help explain foreign exchange rates. We demonstrate, however, that foreign exchange rates and trade balance ratio impact the difference between savings and investments. Specifically, depreciation in the domestic currency would cause the savings–investment difference to widen.     

Will the Renminbi Emerge as an International Reserve Currency?

The global reserve system can be strengthened by increasing the role of alternative currencies. A gradual evolution to a multicurrency system reduces pressure on a single reserve currency issuer from an ever‐growing balance‐of‐payments deficit. It also allows countries to better diversify their foreign exchange holdings. Given the continuing strong economic growth in the China and its growing influence on the world economy, the renminbi will likely emerge as a new international currency. However, this is contingent on the China accepting a more convertible capital account and developing an efficient financial system. Internationalising the renminbi will likely be a gradual and drawn‐out process. Simulations show that, with greater convertibility, the renminbi could gradually become an international currency within Asia and beyond – sharing from 3 to 12 per cent of international reserves by 2035.     

Currency composition of reserves,trade invoicing and currency movements

This article analyses the relationships among the unit of account and means of exchange functions of an international currency, on the one hand, and its store of value in official use, on the other hand. Historical evidence links the currency composition of reserves to currency movements. The currency composition of reserves is strongly related in the cross-section to both currency movements and the currency denomination of trade. Data limitations make it hard to distinguish these two factors. A panel analysis of 5 countries from central and Eastern Europe shows that both trade invoicing and currency movements drive changing official reserve composition. Implications are suggested for the prospects for the renminbi enlarging its current small portion of official foreign exchange reserves.     

AMU Deviation Indicators for Coordinated Exchange Rate Policies in East Asia and their Relationships with Effective Exchange Rates

After the Asian currency crisis in 1997, the monetary authorities of East Asian countries have been strengthening their regional monetary cooperation. In this paper, we propose a deviation measurement for coordinated exchange rate policies in East Asia to enhance the monetary authorities’ surveillance process for their regional monetary cooperation. We calculate an Asian Monetary Unit (AMU) as a weighted average of East Asian currencies following the method used to calculate the European Currency Unit (ECU). Also, we calculate AMU Deviation Indicators which show how much each of the East Asian currencies deviates from a hypothetical benchmark rate in terms of the AMU. Furthermore, we investigate relationships between the AMU Deviation Indicators and the effective exchange rates, which mean international price competitiveness in terms of international trade. We found strong relationships between the AMU Deviation Indicators and the effective exchange rates except for some currencies. The results suggest that monitoring the AMU Deviation Indicator will be useful for the monetary authorities’ surveillance in East Asia in order to stabilise their effective exchange rate or price competitiveness among the East Asian countries.     

Understanding bilateral exchange rate volatility

This paper develops an empirical model of bilateral exchange rate volatility. We conjecture that for developing economies, external financial liabilities have an important effect on desired bilateral exchange rate volatility, above and beyond the standard optimal currency area (OCA) factors. By contrast, industrial countries do not face the same set of constraints in international financial markets. In our theoretical model, external debt tightens financial constraints and reduces the efficiency of the exchange rate in responding to external shocks. We go on to explore the determinants of bilateral exchange rate volatility in a broad cross section of countries. For developing economies, bilateral exchange rate volatility (relative to creditor countries) is strongly negatively affected by the stock of external debt. For industrial countries however, OCA variables appear more important and external debt is generally not significant in explaining bilateral exchange rate volatility.     

External causes of Euro zone inflation differentials

Whether the Economic and Monetary Union (EMU) satisfies the criteria of an optimum currency area (OCA) has been the subject of much debate. Probably the greatest consensus exists on the trade criterion. In general authors conclude from the high levels of intra-EU trade that the European countries are closely interlinked. In that sense, they would constitute an optimal currency area. In this light, recent empirical evidence that external factors such as exchange rates and oil prices are able to explain inflation differentials between EMU countries is surprising. This paper re-examines the evidence using new and revised data and comes to the opposite conclusion.     

汇率制度选择问题的理论之争及评析

汇率制度的选择是国际金融领域的重要理论问题一在对“固定”与“浮动”、“两极”与“中间”两种汇率制度选择理论上的争论进行评述的基础上,文章认为,汇率制度的选择是一个受多种因素影响的动态体系,汇率制度选择是一国具体情况的相机抉择,任何一种汇率制度都不可能适合于所有国家和一个国家的所有时期。     

Cross country effects of sterilization,reserve currencies,and foreign exchange intervention

This study examines the international repercussions of national sterilization policies under fixed exchange rates and managed flexibility. Using a stochastic framework, the study shows how sterilization, or the use of a reserve currency with the automatic sterilization which that implies, modifies the impact of balance of payments disturbances on key financial variables in the domestic and foreign countries. In both exchange rate regimes, sterilization by the foreign country imposes costs on the domestic country by magnifying the impact of balance of payments disturbances on the domestic financial market.     

Currency risk in emerging equity markets

The paper develops an international capital asset-pricing model (ICAPM), which includes foreign currency risk, and examines the impact of capital market liberalisation on the pricing of risks. It applies the model to data from Pacific Basin financial markets and finds substantial evidence that not only currency risk is priced in both pre- and post-liberalisation periods, but the model is superior to one which does not include currency risk. This evidence suggests that an international capital asset-pricing model, which omits currency risk, will be misspecified. Furthermore, the results imply that since currency risk is priced and investors are compensated for bearing such risk they should not be discouraged by more flexible exchange rate regimes from investing in emerging markets.     

The impact of world oil price shocks on the Canada/U.S. real exchange rate

This article investigates whether and how changes in the world oil price affect the Canada/U.S. real exchange rate. We applied vector autoregression and vector error correction models for the real exchange rate, world oil price, monetary differential, government spending, and productivity differential between the two countries. Our results demonstrate that a surge in the world oil price will lead to an appreciation of the Canadian dollar in the short and long term. Product differentials and U.S. government spending have a negative impact on the Canada/U.S. real exchange rate, and Canadian government spending leads to a depreciation of the Canadian dollar.     

INTERNATIONAL PRODUCTION,INVESTMENT AND BORROWING WITH EXCHANGE RATE RISK AND FUTURES MARKETS

In this paper we consider a multinational firm under exchange rate and interest rate risks in a multiperiod model. We analyze the impact of exchange rate uncertainty and the use of currency futures on the risk-averse firm's decisions about home and foreign production. Without any hedging markets exchange rate risk lowers foreign investment and output. However, when futures markets exist, the separation property holds. Introducing another source of uncertainty, such as the interest rate, which is nondiversifiable, affects the production in both countries, i.e., the separation property does not hold. However, we show that the adverse effect of the missing financial market (to hedge against this additional risk) disappears when international borrowing is available.     

Financial integration and the wealth effect of exchange rate fluctuations

Recent years have witnessed a large increase in international financial integration in the form of largely offsetting cross-holdings across countries. We assess how such financial leverage affects the international transmission of monetary shocks, and find that it leads to sizable welfare differentials that far exceed the impact due to nominal rigidities. We document the relevance of the exact nature of holdings, with bond holdings associated with larger effects than equity holdings. The impact of financial leverage on welfare is also sensitive to the extent of exchange rate pass-through and the substitutability between goods produced in different countries.     

巨额贸易逆差下美国经济增长模式及对中国经济的影响

自20世纪90年代以来,美国在巨额贸易逆差下实行了经济持续增长。本文从金融角度详细分析了美国依据美元特殊的国际货币地位和外汇储备特征实行对全球的金融剥削;从产业角度探讨了新一轮全球产业分工重组背景下制造产业的国际转移、跨国公司内部贸易、美国独特的进口商品结构、油价上涨和美国能源产业政策对“悖论”解释的合理性;从宏观政策角度解析了美国“双赤字”并存的必然原因。本文认为,美元地位的不断下降使美国经济增长模式存在潜在危机,而美国对内外经济失衡的调整,势必对中美贸易、人民币汇率、中国外汇储备及内外经济平衡产生深远的影响。     

The arrival of the Euro and its implications for Asia

The third stage of the European Economic and Monetary Union (EMU) commenced on January 1, 1999 with the launch of the European single currency, the euro. The first round of participants comprises 11 of the 15 European Union (EU) nations, dubbed “Euroland.” The potential implications of EMU for Asia are immense. The euro's emergence as an international currency and its impact on Asia can be assessed in 3 different domains: (1) as a medium of exchange for Europe's trade with Asia; (2) as a store of value in stocks and bonds in world capital markets; and (3) as part of official foreign exchange reserves of Asian central banks. Our analysis suggests that there is potential for the euro to play a bigger role in EU-Asia trade links, which will be underpinned by the collective importance of Euroland as a much-enlarged trading and investment partner for Asia. However, in the short term at least, Asian equity markets are unlikely to benefit from significant inflows of capital from the EU as the former have been decimated by the region's financial crisis. As for Asian bond markets, rapid deterioration of sovereign ratings of countries in the region over the past 12 months would make it difficult for Asian companies to raise funds through euro-denominated debt instruments. As for official foreign exchange reserves, the bulk of Asian reserves is currently held in US dollar assets. Judging from Asian trade and debt figures, it seems unlikely that the euro would challenge the US dollar as a reserve currency any time in the near future. Nevertheless, in the longer term, the euro's introduction could make it easier for Asian central banks to diversify their reserves from the greenback to the euro. The internationalization of the euro is likely to happen only gradually, whether in terms of international trade denomination and settlement, denominating international financial assets, or as a reserve currency. Since the magnitude of shock that the single European currency would bring to the international monetary system is still unknown, only very tentative conclusions for the impact on Asian countries can be drawn at this point in time.     

美元周期性波动对我国跨境资本流动的非对称效应研究

有效应对和防范跨境资本流动冲击，维护外汇市场稳定是贯彻落实习总书记“打好防范化解重大风险攻坚战”的重要举措。目前，美元已进入强周期，我国正面临着由强势美元引发的货币贬值、资本外流等风险，当前背景下研究美元周期性波动特征、区制划分及其对跨境资本流动的影响具有重要的理论和现实意义。本文基于2006年10月至2018年6月的月度数据，运用理论模型和MSVAR模型分析美元周期性波动对我国跨境资本流动的非对称效应。研究表明，中美利差对跨境资本流动的影响存在非对称效应，当投资者不存在恐慌避险情绪时，利差的变化将不会引起大规模的跨国资本流动。美元指数对跨境资本流动的冲击效应具有一定的时滞性，美元升值将引发跨境资本流出，且冲击效应持续时间明显长于利差冲击。VIX指数和人民币汇率对跨境资本流动影响较弱，但呈现非对称性特征。加息和缩表后美元升值对资本外流的推动作用明显强于加息和缩表前，表明第三轮强周期下美元升值对我国跨境资本流动的影响更大。     

Boom‐and‐bust Cycles,External Imbalances and the Real Exchange Rate

When the current account balance and net capital outflows do not exactly offset each other, international payment flows arise. Payment flows into a country push the real exchange rate up, payment outflows push it down. This article uses a model of optimal consumption and portfolio choice to determine the factors that drive international payment flows during boom‐and‐bust cycles. It shows that during such episodes, capital inflows first exceed the deficit on current account, strengthening the currency. Later on, when the return on domestic capital reverts to its normal level, the current account recovers, yet the overall decline of the net foreign asset position provokes a fall of the real exchange rate even below its initial level. Case studies of countries experiencing rapid economic expansions followed by economic and financial meltdowns confirm the article's theoretical predictions.     

Asymmetry in quasi-fixed exchange-rate systems

A stochastic model of an international payments system is formulated with the assumptions that: (1) international reserves are held in the form of a key currency; (2) fixed exchange rates are subject to infrequent change; (3) deficit countries depreciate more readily than surplus countries appreciate. The model is implemented with historical data. Time paths for international reserves and prices under alternative assumptions are secured through Monte-Carlo simulation. The paths show that anti-inflationary policy by the key-currency country — viz, the United States — is easily multiplied by exchange-rate changes by other countries.     

丝绸之路经济带建设与人民币区域化的前景——以中亚地区为例的研究

丝绸之路经济带建设是我国扩大对外开放、深化国际经济合作的新举措,这为人民币向丝绸之路经济带沿线国家输出、实现人民币区域化乃至国际化创造了有利条件.本文以中亚地区为例,基于国际货币竞争视角,采用演化博弈模型分析人民币区域化对中国、中亚国家以及区内主要国际货币发行国利益关系的影响,运用局部稳定分析方法测算得出,从长远来看,中国和中亚国家、区内主要国际货币发行国在人民币中亚区域化博弈中倾向于采取合作策略.同时,采用仿真模拟实验,判断各博弈参与主体在既定条件下选择不同策略的可能性,研究得出中国与中亚国家、区内主要国际货币发行国的博弈策略选择会随着时间变化最终收敛于合作的策略集的结论.     

Valuation and Hedging of Differential Swaps

This paper derives a general‐form formula for pricing and hedging differential swaps with the principal denominated either in a domestic, foreign, or third‐country currency. We first derive the formula for differential swaps with the principal in a domestic currency and identify an error in the formula of Wei (1994). We then show the pricing duality between differential swaps with the principal in a domestic currency and differential swaps with the principal in a foreign currency. Finally, we complete the pricing and hedging analysis on differential swaps by deriving a formula for differential swaps with the principal denominated in a third‐country currency. Simulation results indicate that constant margin rates are generally smaller than interest rate differentials and decline with the tenor of swaps. Correlation parameters associated with the exchange rate play a more important role than correlation parameters among interest rates in pricing differential swaps. © 2002 John Wiley & Sons, Inc. Jrl Fut Mark 22:73–94, 2002     

东亚区域货币联盟实践、前景与对策

东亚区域货币联盟得到大多数理论研究的支持,各国政府也表现出较大的兴趣,东盟10+3货币互换安排和亚洲债券基金是东亚货币金融合作的两个标志性事件。在可预见的将来,东亚有可能出现某种松散的货币联盟,以流动性提供机制为核心、建立相对灵活的汇率稳定机制、以其他经济领域一体化为基础、保持“亚洲传统”的特色,是东亚货币联盟的四大特点。中国应该采取积极、灵活的政策,在全面经济金融合作的基础上支持区域货币联盟,并在其中发挥应有的作用。