Testing for Sunspot in the Foreign Exchange Market

It has been shown that the nonfundamental uncertainty called sunspots matters in many areas of the economy. Noting the fact that nationwide capital movement and the speculative demand for foreign currencies are rapidly increasing, this paper conducts empirical tests on the sunspot exchange rate model. The empirical result shows that the sunspot equilibrium exchange rate deviating from Purchasing Power Parity (PPP) and Interest Rate Parity (IRP) is consistent with the real data. More importantly, the Generalized Method of Moments (GMM) over-identification test is shown to support the evidence that more general Euler equations are in favor of our sunspot equilibrium exchange rate model. [C52, E44]     

Efficiency in the Forward Foreign Exchange Market: Weekly Tests of the Australian/US Dollar Exchange Rate January 1984-March 1987*

This paper examines the relationship which exists between the spot and forward Australian/US Dollar exchange rates for one-, three-and six-month contracts using weekly data over the period January 1984—March 1987. The paper splits the forward premium into a component due to risk and one which is due to a forecasting error, and this analysis is suggestive of a time-varying risk premium.     

Forward Discount Bias: Is it Near-Rationality in the Foreign Exchange Market?*

A risk-averse US investor adjusts the shares of a portfolio of short-term nominal domestic and foreign assets to maximize expected utility. The optimal strategy is to respond immediately to all new information which arrives weekly. We develop a model to estimate the cost of optimizing less frequently and find that it is generally very small. For example, if the investor adjusts portfolio shares every three months, an average expected utility loss of 0.16 per cent p.a. is incurred. Hence, slight opportunity costs of frequent optimization may outweigh the benefits. This result may help explain forward discount bias.     

The Optimal Degree of Exchange Rate Flexibility: a Target Zone Approach*

This paper presents a benchmark model that rationalizes the choice of the degree of exchange rate flexibility. We show that the monetary authority may gain efficiency by reducing volatility of both the exchange rate and the interest rate at the same time. Furthermore, the model is consistent with some known stylized facts in the empirical literature on target zones that previous models were not able to generate jointly—namely, the positive relation between the exchange rate and the interest rate differential, the degree of nonlinearity of the function linking the exchange rate to fundamentals, and the shape of the exchange rate stochastic distribution.     

Exchange Control,Black Market for Foreign Exchange,and Employment in a Model with a Nontraded Good

This paper examines the employment effect of devaluation in a model with a nontraded good and a black market for foreign exchange. The disaggregative approach reveals, in contrast to an earlier one-sector analysis, that overall employment may change even if the exchange control is such that aggregate output remains the same following devaluation. But in such a situation, depending on the state of the market, the change in nontradables demand due to a change in the black market exchange rate constitutes the major source of a contractionary effect, and that too happens when, most desirably, the black market rate appreciates.     

Transparency in the Foreign Exchange Market and the Volume of International Trade

In this paper we study the impact of more transparency in the foreign exchange market on the ex ante expected volume of international trade. Transparency is measured by the informational content of publicly observable signals. These signals convey information about the use of policy instruments which affect the future exchange rate. We find that a higher level of transparency may increase or decrease the volume of international trade. In particular, the impact of greater transparency depends on the curvature of the firms’ marginal cost function. Furthermore, the firms’ex ante expected profits are higher when the foreign exchange market is more transparent.     

证券市场与外汇市场的互动关系及宏观政策选择--从B股向境内居民开放谈起

汇率制度是外汇市场运行的制度基础，在开放条件下不同的汇率制度选择会影响到证券市场和外汇市场之间的互动关系及其具体的互动方式。中国证监会决定对境内居民开放B股市场是中国证券市场开放的重要起步，因而有必要从外汇市场和证券市场协调运行的角度，对B股开放可能带来的经济影响进行分析。在此基础上，需要注重资本管制逐步放松条件下以及在客观把握外汇市场和证券市场互动关系前提下的宏观政策选择。     

墨西哥外汇衍生品市场发展对我国的经验借鉴

墨西哥外汇衍生品市场的发展及汇率制度的变迁和金融危机的发生有着密切的联系.墨西哥金融管理当局积极参与其外汇市场的开放及衍生品市场的发展,并在市场监管、交易所发展和应对离岸市场冲击等方面发挥着主导作用,对我国具有借鉴意义.     

人民币汇率与外商直接投资关系研究——基于上海市的数据

运用Johansen协整检验、Granger因果检验、脉冲响应分析等实证方法研究上海市外商直接投资与人民币实际有效汇率及其波动之间的相关性,研究表明:上海市外商直接投资(FDI)与实际有效汇率(REER)、地区国内生产总值(GDP)和对外依存度(OPEN)显著正相关,与汇率波动(VOL)和平均工资(WAGE)显著负相关;短期内人民币实际有效汇率及其波动对上海市外商直接投资存在影响,且汇率的波动比其实际值的大小更能影响外商直接投资;实际有效汇率及其波动的冲击在零期对外商直接投资均没有影响,响应值在第四期达到最大,实际有效汇率对于外商直接投资的影响主要体现在投资时机的选择上。     

联合外汇干预的实证研究

本文采用干预分析模型来考察日、美两国央行对日元 美元汇率进行的联合干预的效果 ,以得到外汇干预是否对汇率产生影响以及该影响能否持久的结论。研究结果表明 ,1 998年 6月 1 7日 ,美、日联合外汇干预对日元 美元汇率产生了一定的影响 ,但联合干预与非联合干预在效果上没有重大差别 ,其影响很短暂。因此 ,汇率变动的最终决定性因素 ,不是外汇干预 ,而是货币所在国国内经济、国际经济的发展状况和国际资本流动等变量的变动     

Empirical Analysis of Entry in the Local Exchange Market: The Case of Pacific Bell*

This article examines local exchange entry in SBC's California territory. Analysis is conducted based on five‐digit zip code areas. Information on economic, demographic, and regulatory variables, including prices of unbundled loops, is included in the analysis. Results of censored Poisson analysis indicate that these economic, demographic, and regulatory variables play a statistically significant role in leading to higher probabilities of low levels of entry in areas where loop prices are higher, fewer large businesses exist, and costs of self‐provision are higher. (JEL L51, L96)     

A Monetary Approach to Exchange Market Disequilibrium in Australia: 1975–97

Under a managed float, the central bank may respond to an exchange market disequilibrium by changing either the international reserves or the exchange rate or both such that neither the reserve changes nor the exchange rate movements convey an unambiguous indication of the nature or extent of the disequilibrium. Girton and Roper (1977) suggested an index, namely the exchange market pressure, to capture the disequilibrium. This paper utilises a similar framework to study the exchange market pressure in Australia during 1975–1997 and reserve transactions. It is found that there were substantial reserve transactions in the face of exchange market pressure even after the switch to the floating rate system and the deregulation of the financial system. As a result of these transactions, sharp fluctuations in the exchange rate were moderated and the actual exchange rate appeared to broadly follow the market equilibrium rate.     

我国银行间外汇市场交易机制模式探讨

本文结合金融市场微观结构的理论,对我国银行间外汇市场交易机制运作特征进行了独特的归纳分析,在对询价制和做市商制比较的基础上,提出做市商制未来会逐渐取代询价制成为主流的交易机制,并结合国际市场发展的经验,预测我国银行间外汇市场交易机制的发展趋势为:引入电子经纪人制度,由电子经纪人向委托给他的做市商提供"汇集"后的指令流信息.     

中国远期外汇市场的发展:新制度金融学的解释

作者认为,目前我国远期外汇市场难以发展起来的根本原因在于我国现行的产权制度存在缺陷.因此,要创造真正的远期外汇市场,就必须首先进行产权改革,将国有企业和国有银行改造成真正拥有独立财产的产权主体,并创造众多的所有者及市场主体.     

外汇储备的金融稳定效应——基于本外币利差的视角

从金融开放角度出发,通过推导经外汇储备规模调整的非抛补利率平价条件,为外汇储备的金融稳定效应提供了基于本外币利差视角的理论解释.使用1980-2018年的年度数据,通过研究外汇储备应对主要发达经济体货币政策外溢效应,发现非国际货币发行经济体的外汇储备有助于维持本币与美元的利差,外汇储备存在着通过引发本币利率及汇率变动进而影响本币与美元利差的传导途径.外汇储备对本币与美元利差的影响在非金融危机期间增强,对本币与欧元等其他SDR构成货币的利差也有显著的正向影响,对本外币利差的作用在一带一路倡议经济体子样本中统计显著.因此,宜根据经济形势变化及外汇储备作用机制转化,同时考虑银行体系资产风险溢价因素,持续优化外汇储备规模.