当前国际货币体系新特征与人民币国际化

本文着重探讨了当前牙买加体系的运行状况及新世纪以来表现出的新特征。研究发现,当前国际货币体系除存在软约束的储备货币增长、货币危机的频繁发生和国际收支调节的低效等问题外,还表现出全球通货膨胀不断、美元悖论、新兴市场崛起、外汇储备分配失衡、货币风险高度集中、美元相对地位下降等六大新特征,而这些都源于牙买加体系固有的内在缺陷。因此,本文简要勾勒了当前国际货币体系的发展趋势,并对人民币国际化的现状和路径选择进行了探讨。     

金融危机将加剧全球货币金融体系变革

金融危机的爆发及扩散,使得人们对现行国际货币金融体系的合理性产生怀疑.美元虽然仍将保持主要国际储备货币的地位,但相对地位会下降,这为人民币等其它货币提升国际地位提供了空间.由于经济实力对比发生变化,新兴市场国家将在全球金融体系中发挥更大影响力,金融市场一体化趋势不会逆转.金融危机显示出独立投行模式的缺陷,金融业将更加趋向于综合经营.未来金融监管应与金融创新相适应.公允会计准则、评级体系等也需要进行改革.     

Optimal reserve composition in the presence of sudden stops

We analytically derive optimal central bank portfolios in a minimum variance framework with two assets and transaction demands caused by sudden stops in capital inflows. In this model, transaction demands become less important relative to traditional portfolio objectives as debt to reserve ratios decrease. We empirically estimate optimal dollar and euro shares for 23 emerging market countries and find that optimal reserve portfolios are dominated by anchor currencies and, at current debt-to-reserve ratios, introducing transaction demand has a relatively modest effect for most countries. We find that, in general, the dollar acts as a safe haven currency during sudden stops for country specific and global sudden stops, increasing the optimal share of dollar bonds in central bank portfolios. Correspondingly, our model predicts that dollar shares should decline as debt-to-reserve ratios fall, as observed in recent data. We also find that the denomination of foreign currency debt has little importance for optimal reserve portfolios.     

世界主要货币的国际化经验

2008年爆发的国际金融危机暴露出当前国际货币体系的种种弊端,并为加快推进多元化国际货币制度改革提供契机。该文通过考察美元、欧元、日元的国际化历程,从政策支持、汇率机制稳定和以成熟金融市场为依托等方面总结了世界主要货币的国际化特点及经验,并就进一步促进人民币跨境使用提出相关政策建议。     

三足鼎立:中美贸易摩擦下的国际货币新体系

在中美贸易摩擦的大背景下,全球生产、贸易和金融格局正在发生复杂、深刻且影响深远的新变化。本文基于国际货币体系的现状,尝试对国际货币体系的未来走势进行短期、中期和长期的沙盘推演,从基本形态、触发条件、作用机制和潜在影响等几个方面分析了未来国际货币体系的多重均衡状态。短期来看,美元的主导地位得以延续;中期来看,美元危机及现行体系崩溃的风险上升;长期来看,美元、欧元、人民币三足鼎立的国际货币新体系将最终形成。     

Currency excess returns and global downside market risk

We assess cross-sectional differences in 23 bilateral currency excess returns in an empirical model that distinguishes between US-specific and global risks, conditional on US bull (upside) or bear (downside) markets. Using the US dollar as numeraire currency, our results suggest that global downside risk is compensated in conditional and unconditional, bilateral currency excess returns. This finding is mostly driven by the emerging markets' currencies in our sample. We also find that the link between the global downside risk and risks associated with a typical carry trade strategy is much weaker for emerging markets' currencies than for developed markets' currencies.     

国际储备货币演变的计量分析研究——兼论人民币国际化的可行性

美国次贷危机的爆发及中国经济的迅速崛起引起了世人对国际货币体系前景的重新构思,该过程中人民币国际化问题也越来越成为学术界关注的焦点。本文从实证的角度对目前国际储备币种构成的历史演变(1980-2008年)进行了计量分析,尝试从更加规范的角度探讨货币国际化的内在影响因素,及其影响程度的大小。本文的研究结果表明,一国的经济总量、进出口总量、金融市场是影响该国货币在国际储备中占比的基础性因素,同时还受到通货膨胀率、汇率水平等等因素的影响。本文进一步根据实证分析的结论将中国与国际货币国家(如美国、日本、德国等)的经济状况进行了分析比较,并得出人民币已经初步具备国际化条件的结论。     

Too Big to Change: The Stabilizing Force of Reserve Currency Preferences in the International Monetary System

We empirically investigate whether reserve currency preferences have been a source of stability for the international monetary system. Our findings suggest that reserve-hoarding countries, especially the emerging/developing countries, tend to adopt a stabilizing diversification strategy in their reserve portfolio allocation, buying (selling) assets denominated in depreciated (appreciated) currency. The result is robust to both International Monetary Fund and Bank for International Settlements measures of quantity changes of reserve shares. The stabilizing diversification strategy reveals the fact that reserve-hoarding countries may fall into a "dollar trap," and escaping from it may cause more valuation loss of their existing reserve portfolios.     

谁将挑战美元

1976年以来,美元作为国际货币的作用逐渐减弱,一些新兴市场经济体的货币开始登上历史舞台。而美元作为国际货币的地位并没有发生直线下降,尤其是2010年以来,美元在各国中央银行外汇储备中的占比止跌企稳,在外汇市场交易中的占比也开始回升。目前来看,欧元和人民币均难以替代美元。但未来美元仍存在被其他货币超越和取代的可能。     

全球金融危机下的人民币国际化路径研究

2008年全球金融危机使改革以美元为核心的国际货币体系成为共识,这也为人民币实现区域化、国际化开创了一个历史契机。本文认为,应以人民币债券为突破口,推动香港成为人民币离岸金融中心,推动人民币成为区域储备与投资货币,实现区域化;在此过程中,香港应首先成为人民币国际结算中心,而后建立成清算型的人民币离岸中心,为人民币、港币、澳币事实上的一体化及人民币国际化奠定基础。     

国际货币体系改革方向及其相关机制

当前的国际金融危机促进了改革国际货币体系的讨论,而对超主权国际储备货币与多元化国际货币体系的改革目标的讨论需要深化对相关机制的研究。本文分析了超主权国际储备货币的必要条件和特别提款权的缺陷及改革的复杂性,提出将多元化的国际货币体系作为现实选择,认为美元、欧元与亚洲关键货币将成为多元化国际货币体系的核心;推行多元化的国际货币体系也需完善国际汇率协调机制,对美元发行应建立国际制衡机制。     

Global Currency Hedging

Over the period 1975 to 2005, the U.S. dollar (particularly in relation to the Canadian dollar), the euro, and the Swiss franc (particularly in the second half of the period) moved against world equity markets. Thus, these currencies should be attractive to risk-minimizing global equity investors despite their low average returns. The risk-minimizing currency strategy for a global bond investor is close to a full currency hedge, with a modest long position in the U.S. dollar. There is little evidence that risk-minimizing investors should adjust their currency positions in response to movements in interest differentials.     

Exchange Rates and Monetary Policy Uncertainty

We document that a trading strategy that is short the U.S. dollar and long other currencies exhibits significantly larger excess returns on days with scheduled Federal Open Market Committee (FOMC) announcements. We show that these excess returns (i) are higher for currencies with higher interest rate differentials vis‐à‐vis the United States, (ii) increase with uncertainty about monetary policy, and (iii) increase further when the Federal Reserve adopts a policy of monetary easing. We interpret these excess returns as compensation for monetary policy uncertainty within a parsimonious model of constrained financiers who intermediate global demand for currencies.     

亚洲汇率波动及政策挑战

自东亚危机以来,亚洲各国采取了一系列的措施降低货币危机的风险,包括执行保守的汇率政策,实现经常账户盈余,积累外汇储备,减少外部债务,谨慎开放资本市场和展开地区金融合作,这些改革使亚洲在全球金融危机期间的表现远胜于其他新兴市场经济。但亚洲货币依然受到了严重冲击,而且出现了非常大的差异性。这既是亚洲的开放经济所决定的,同时也在三个方面对下一步的亚洲汇率政策提出了挑战:第一,汇率体系究竟应该浮动还是管制?第二,到底多少外汇储备才是最佳规模?第三,地区金融合作能否增强亚洲汇率的稳定性?     

后危机时代全球货币冲突的理论、实践与影响

全球金融危机已使世界经济陷入衰退,为应对危机许多国家都寄希望于通过本币贬值来提振经济。随着美国量化宽松政策的轮番实施,发达国家以及南美和亚洲等新兴经济体相继卷入货币冲突,而中国就处于冲突的中心。全球货币冲突如果进一步演变为全球货币竞争性贬值,对世界经济和中国经济都将产生难以估量的影响,因此,有必要进行深入的研究。为此,本文分析了开放经济条件下全球货币冲突的理论根源、实践及其影响,并由此提出了中国的应对之策。     

美元霸权体系的中国流动性过剩

随着金融资本全球化,美元霸权在其国际信用货币背景下得以确立。全球经常项目逆差逐渐集中于美国,而经常项目顺差则主要分布于中国、日本、中东、亚洲新兴经济体等国家和地区,全球经济失衡的局面开始形成。这是美元霸权的直接体现,等同于美元绑架了世界。中国、亚洲新兴经济体等被动持有大量美元储备,外汇储备大幅增长使得中国货币政策丧失了部分独立性,造成了中国M2增长过快和以存贷差为指标的流动性过剩,形成了房地产市场和资本市场的双重泡沫。     

新特里芬悖论的逻辑辨析及对中国的启示

本文从特里芬悖论的原意出发提出新特里芬悖论概念,通过协整检验和构建向量误差修正模型（VECM）,建立美元实际有效汇率与货币供应量、国际资本收支之间的长期均衡和短期动态关系,并利用脉冲响应函数和方差分解原理分析变量短期波动给美元实际有效汇率的冲击。本文分析表明,新特里芬悖论产生的问题对实际经济活动影响有限,当世界各国的美元需求增长可持续时,当前以美元为主导的国际货币体系不存在根本性矛盾,新特里芬悖论并不能作为美元贬值政策的理论依据,这也对人民币国际化和外汇政策有长期的借鉴意义。     

多极世界中的美元政策:从“善意忽视”走向“积极管理”

美元作为世界主要储备货币和国际交换媒介,降低了美国消费者和企业的交易成本,减少了美元借款人的融资成本。当前国际货币体系走向多极化,国际经济、政治、社会和科学技术等发生重大变化,美元政策变革势在必行。短期内美元作为世界主要储备货币的地位难以动摇,但关于美元政策应该尽快从"善意忽视"转变为"积极管理"。     

美元大幅贬值的原因及对主要经济体货币政策的挑战

美元自2000年以来对主要货币大幅贬值。美元大幅贬值增加了全球金融的不确定性,易诱发金融风险。而且在美元不断贬值过程中,世界其它主要经济体的货币政策亦陷入困境。本文首先分析美元贬值的原因,然后探讨全球主要经济体在此背景下货币政策选择的难点和挑战。     

The intrinsic value of gold: An exchange rate-free price index

In this paper, we propose a gold price index that enables market participants to separate the change in the ‘intrinsic’ value of gold from changes in global exchange rates. The index is a geometrically weighted average of the price of gold denominated in different currencies, with weights that are proportional to the market power of each country in the global gold market. Market power is defined as the impact that a change in a country’s exchange rate has on the price of gold expressed in other currencies. We use principal components analysis to reduce the set of global exchange rates to four currency ‘blocs’ representing the U.S. dollar, the euro, the commodity currencies and the Asian currencies, respectively. We estimate the weight of each currency bloc in the index in an error correction framework using a broad set of variables to control for the unobserved intrinsic value. We show that the resulting index is less volatile than the USD price of gold and, in contrast with the USD price of gold, has a strong negative relationship with global equities and a strong positive relationship with the VIX index, both of which underline the role of gold as a safe haven asset.