中国外汇冲销干预和货币政策独立性研究

2002年以来,中国国际收支"双顺差"加剧,外汇储备急剧增长,货币供应量增长,通货膨胀压力凸现。为了稳定人民币汇率和抑制通货膨胀,中央银行采取了一系列外汇冲销干预措施。文章在分析外汇冲销干预有效性理论的基础上,分析外汇储备急剧增长下外汇冲销干预的效力和制约因素,认为外汇冲销干预短期内能抵消外汇占款、控制信贷增长,但效力有限;在长期内,外汇冲销干预不仅会影响货币政策独立性,还可能导致通货膨胀、利率上升、汇率升值乃至经济"滞胀",因而难以具有可持续性,最后,文章提出加强外汇储备管理,增强外汇冲销干预效力和货币政策独立性的政策建议。     

中国资本管制与外汇冲销的有效性——基于抵消系数和冲销系数模型

近来，中国面临的“三元悖论”问题日益突出，如何在大量国际资本持续流入的情况下，兼顾人民币币值稳定和独立货币政策的目标，成为中国货币当局所经受的严峻挑战。基于一个修正的抵消系数和冲销系数模型，论文利用1999年6月至2009年3月的中国宏观经济月度数据，对中国资本管制效率（抵消系数）和外汇冲销有效性（冲销系数）作了估计。研究发现，中国的资本管制虽然仍有效但约束力有所下降；以基础货币为考察对象的外汇冲销程度几乎是完全的，而的外汇冲销有效性程度明显较低。递归估计显示．中国资本管制效率和外汇冲销有效性呈不断下降趋势，从而，货币当局谋求币值稳定和监管货币政策独立性的能力将有所削弱。     

中国国际收支与货币冲销政策的实证研究

中国人民银行为了维持人民币汇率的稳定与宏观经济平稳发展,不断对外汇市场进行冲销操作。本文采用1994-2010的样本验证了我国逆风向的外汇干预目标。在冲销干预的有效性检验中,我国冲销系数范围都在[-1,-0.5]之间,冲销规模适中,不存在过度冲销的情况。分阶段样本分析显示该系数在2003年后上升,即面对不断增长的外汇占款以及人民币升值压力,我国外汇市场冲销的强度有所增加。     

开放经济下的外汇占款问题研究

从1994年我国外汇体制改革后,外汇占款问题就日益突出,对我国货币供应以及经济运行的影响也越来越大。本文首先立足于我国外汇占款的现状,分析高额外汇占款的来源及其成因,在此基础上阐述了如此高额的外汇占款对基础货币的影响,而后说明了巨额外汇占款的风险性,并对外汇占款的管理提出建议。     

资本流入、货币内生增长与物价稳定

20 0 2年以来 ,我国货币供应量增长迅猛 ,其与央行制订的货币供应增长目标偏离较大。货币供应量的快速增长 ,对于金融和经济的运行 ,可能带来若干潜在的不稳定因素。其一 ,如果不能采取有效的冲销政策 ,则货币供应量的迅速增加 ,将引致物价迅速上涨 ,产生通货膨胀。其二 ,有可能影响汇率稳定。对此 ,必须引起高度关注。如何建立有效机制 ,发掘安全且大规模的金融资产 ,用以冲销外汇占款的增加 ,已经成为我国货币政策需要重点解决的重大问题之一。     

汇率价格传导机制下人民币汇率悖论的理论与实证解析

笔者通过建立VAR模型,结合我国实际情况,探讨了人民币"外升内贬"传导机理,实证分析人民币汇率悖论的传导路径。研究结果表明中国汇率升值引起外汇占款增加,外汇占款的增加导致货币供应量的增加,最终引起物价水平上涨。     

“降准”周期已加速启动

以外汇占款作为核心变量的货币供给机制已经不符合国内经济转型增长模式,过高的存款准备金率也难以促进国民经济增长。     

中国国际资本流动与货币政策动态关系:1994—2007——基于BGT模型抵消和冲销系数分析

本文通过修正的BGT模型,重新构造净国外资产变化(△NFA)与净国内资产变化(△NDA)变量,同时使用OLS和联立方程方法估计了中国自1994年汇改以来国际资本流动和货币政策之间的定量关系,并采用递归系数方法估计了其动态变化过程。结果显示:中国国际资本流动与货币政策冲突加重,货币政策虽对资本流动冲销力度充分大,但资本流动的抵消效应也十分大,央行货币政策独立性受到很大挑战,央行冲销工具面临无效性难题,正被迫寻找其他措施化解外汇占款。     

浅谈我国外汇市场现状

外汇占款是央行收购外汇资产而相应投放的本国货币,外汇占款的增多,将直接增加基础货币量,并通过货币乘数效应,使得流通中的人民币迅速增多。经济学家一般以外汇占款与贸易顺差和实际使用外资间的差额作为衡量热钱入境规模的主要参数。     

我国中央银行货币冲销有效性实证研究

上世纪90年代初以来我国国际收支持续双顺差,中国人民银行为了维持人民币名义汇率的稳定和促使宏观经济平稳发展,不断在外汇市场和国内公开市场上进行外汇干预和冲销操作,从而导致了外汇储备持续快速增长、流动性过剩等问题不断显现。如何进行有效的冲销操作,保证货币政策的独立性和维持国民经济的内外均衡,成为货币当局、学术界等各方共同关注的问题。本文对我国货币冲销有效性进行了实证检验,并分析了冲销效果有限的原因,在此基础上提出相关政策建议。     

外汇储备增长的宏观经济影响 及货币冲销政策的有效性研究

为研究中国外汇储备增加的宏观经济影响和货币冲销政策的有效性,本文利用2002年6月-2011年5月的数据,通过建立VAR模型,对外汇储备增加和货币冲销政策对物价水平以及社会产出水平的动态影响进行考察。研究结果表明,我国的外汇储备增加具有明显的通货膨胀效应,而央行的货币冲销政策对物价水平具有显著的平抑作用,同时对社会产出却没有不利影响。最后,本文从实证结果得到几点重要启示。     

Does money have a role in the inflation process? Evidence from Australia

Inflation, defined as a sustained increase in the price level, is considered a monetary phenomenon, as it can be explained within the framework of money‐demand and money‐supply relationships. In the extant literature, money growth is shown to remain causally related to inflation across countries and over time, irrespective of the exchange rate regime and stability of the money‐demand function. Nevertheless, emerging literature suggests a diminishing role of money in the conduct of monetary policy for price stability, especially under inflation targeting. Monetary policy in Australia under inflation targeting since 1993 is an example of policy that denies a relationship between money growth and inflation. The proposition that money does not matter insofar as inflation is concerned seems odd in both theory and the best‐practice monetary policy for price stability. This paper uses annual data for the period 1970–2017 and quarterly data for the period 1970Q1–2015Q1. It deploys both the Johansen cointegration approach and the autoregressive distributed lag (ARDL) cointegration approach to investigate for Australia whether money, real output, prices and the exchange rate (non‐stationary variables) maintain the long‐run price‐level relationship that the classical monetary theory suggests in the presence of such stationary variables as the domestic and foreign interest rates. As expected, the empirical findings for Australia are consistent with the classical long‐run price‐level relationship between money, real output, prices and the exchange rate. The error‐correction model of inflation confirms the presence of a cointegral relationship among these variables; it also provides strong evidence of a short‐run causal relationship between money supply growth and inflation. On the basis of a priori theoretical predictions and empirical findings, the paper draws the conclusion that the monetary aggregate and its growth rate matter insofar as inflation is concerned, irrespective of the strategy of monetary policy for price stability.     

Inflation targeting and exchange rate volatility smoothing: A two-target,two-instrument approach

This paper introduces a strategy to model a small open economy, whose central bank has established two simultaneous policy objectives: an inflation target, and a maximum limit for nominal exchange rate volatility. In line with the Tinbergen–Aoki condition, the monetary authority establishes two policy instruments, one for accomplishing each target: the monetary policy rate, and the stock of foreign exchange reserves. Monetary policy analysis is built around a non-microfounded augmented New Keynesian DSGE model estimated through Bayesian techniques for the Guatemalan economy. It is found that each instrument is efficient in accomplishing its own target. Nevertheless, a coordinated effort is required for central bank policymakers before employing both instruments simultaneously, in order to avoid sending mixed signals to economic agents about its monetary policy stance, and endanger the achievement of its inflation target.     

Domestic and International Sources of Inflation in Developing Countries: Some Evidence from the Monetary Approach

Using the monetary approach, this paper examines empirically the causes of inflation in twenty-five developing countries. In addition to money supply, the underlying money demand function and foreign exchange rates are taken into account in the inflationary process. The lag structures are determined by Akaike's FPE criterion and the exogeneity assumptions are assessed by Granger-type causality tests. The results suggest that the monetary approach provides adequate explanation of inflation across all countries examined. Besides changes in expected inflation and foreign exchange rates, movements in base money in these countries have significantly contributed to their inflationary pressures. [134, 431]     

Macroeconomic impacts of China’s foreign exchange reserve accumulation: a vector autoregression analysis using pure-sign-restriction approach

This study employs pure-sign-restriction approach analysing the macroeconomic impacts of foreign reserve accumulation and discusses the foreign exchange sterilization behaviour of the People’s Bank of China (PBoC). Sign restriction analysis shows that the effects of reserve accumulation shock are initially ambiguous on all variables, but later a positive influence only on base money can be observed. With regard to sterilization intervention, the effect is significant even though it degrades gradually over time. In China, the monetary authority actively undertakes sterilization intervention in order to remove the influence of passive release of base money caused by foreign reserve accumulation.     

Inflation dynamics in a small emerging market

This study investigates the determinants of inflation in the Dominican Republic during 1991 to 2002, a period characterized by remarkable macroeconomic stability and growth. By developing a parsimonious and empirically stable error correction model using quarterly observations, the study finds that inflation is explained by changes in monetary aggregates, real output, foreign inflation and the exchange rate. Long-run relationships in the money and traded goods markets are found to exist, but only the disequilibrium from the money market exerts a significant impact on inflation.     

国际储备积累、实物与资产价格通胀及货币政策独立性

本文理论模型显示,国际储备积累引起的货币增发会导致实物和资产价格上涨,降低货币政策独立性。首先,尽管货币政策工具短期内可以通过冲销和抑制信贷等方法控制通胀,但只要顺差积累足够大,长期无法阻止通胀。其次,如果人们预期央行未来会让物价上升,即使物价当前仍被较好地控制,资产价格也可能出现大幅上涨。最后,在"不可能三角"中,即使放弃资本自由流动,也并不意味着就能同时拥有汇率稳定和独立货币政策。     

Financial market imperfections and monetary policy strategy

In a model with imperfect money, credit and reserve markets, we examine if an inflation-targeting central bank applying the funds rate operating procedure to indirectly control market interest rates also needs a monetary aggregate as policy instrument. We show that if private agents use information extracted from money and financial markets to form inflation expectations and if interest rate pass-through is incomplete, the central bank can use a narrow monetary aggregate and the discount interest rate as independent and complementary policy instruments to reinforce the credibility of its announcements and the role of inflation target as a nominal anchor for inflation expectations. This study shows how a monetary policy strategy combining inflation targeting and monetary targeting can be conceived to guarantee macroeconomic stability and the credibility of monetary policy. Friedman's k-percent money growth rule, which can generate dynamic instability, and two alternative stabilizing feedback monetary targeting rules are examined.     

SEIGNORAGE AND EUROPEAN MONETARY UNION

Inflation differentials in Europe have narrowed substantially since the inception of the European Monetary System in 1979. However, their persistence after more than a decade raises the question of why these differentials are so difficult to eliminate. Some European Community countries systematically use seignorage—financing government expenditures with money creation—while others do not. This increases the difficulty of achieving the convergence of monetary policies and inflation rates required for irrevocably fixed exchange rates in Europe. This paper, utilizing a model of government finance that minimizes the social cost of financing government expenditures, examines monetary finance in the European Community. It rejects soundly the social cost minimization model of seignorage collection.