商业银行必须进行外币利率风险管理

外币利率市场化对商业银行的发展带来了机遇．也增加了风隆。因此．商业银行必须建立起高效的现代利率风险管理机制。要密切关注和监测国内外金融市场利率的汇率动态。对外币走势进行科学预测．建立合理的外币存款定价机制．建立模拟分析模型，建立完善的利率风险内控制度，并加强利率风险管理人才的培养。     

The Behavior of the Real Exchange Rate Under Fixed and Floating Exchange Rate Regimes

This article investigates the behavior of real exchange rates under fixed and flexible exchange rates. Using data from both the Bretton Woods and the modern floating periods, we decompose real exchange rate movements into components attributable to supply shocks, real demand shocks, monetary shocks, capital flows shocks, and real oil price shocks. Empirical results show that real demand shocks are an important source of real exchange rate movements under both fixed and flexible rates, while monetary shocks are negligible. Supply and oil price shocks seem to be more important under Bretton Woods, while capital flows shocks seem to explain a relatively higher proportion of real exchange rate movements under the modern floating period.     

Persistence of Output Fluctuations Under Different Exchange Rate Regimes

In a recent paper, Giugale and Korobow (2000) present evidence that suggests that the time required by output to return to trend following a financial shock is faster under a flexible exchange rate regime than under a fixed exchange rate. In this paper, we use vector autoregression models to measure the persistence properties of output for a number of countries in the Asia–Pacific region. Our results suggest that output persistence is not uniquely related to a country's choice of exchange rate regime. The two countries in our sample with the least persistent output following a financial shock are Australia, where the exchange rate is fully flexible, and Hong Kong, where it is rigidly fixed via a currency board.     

Exchange Rate Risk and Interest Rate: A Case Study for Turkey

This paper examines the effect of exchange rate risk on interest rates within the uncovered interest rate parity condition for Turkey. When the interest rate is measured with the Treasury auction interest rate and the exchange rate risk is measured with the conditional variance of the exchange rate, then we found that there is a positive relation between the exchange rate risk and interest rate with the data from December 1986 to January 2001.     

Macroeconomic Policy, Exchange Rate Regimes and Economic Growth

China has been keeping high economic growth rate since it carried out managed floating exchange rate regimes in 1994, while now begins to face retrenchment pressure brought by the depression of internal and external economy. The establishment of RMB exchange rate regime should take account of the validity of macroeconomic policy, macroeconomic growth and the regional internationalization of RMB.     

Exchange Rate Expectations,the Forward Exchange Rate Bias and Risk Premia in Target Zones

Expected rates of depreciation within the target zone for the exchange rates of four Nordic countries during 1979–1989 are estimated. Combining these with expected rates of devaluation estimated by Edin and Vredin (1993) we obtain time-series of the overall expected exchange rate change. We can thus construct time-series of foreign exchange risk premia and expectational errors, following which we decompose the forward exchange rate bias into portions attributable to expectational errors and/or risk premia. The conclusion is that time-varying risk premia appear to be the dominant cause of deviations from uncovered interest parity while the role of expectational errors is less clear.     

Multinationals, Hedging, and Capital Structure under Exchange Rate Uncertainty

This paper examines the interplay of the financing and hedging decisions of a risk-averse multinational firm having a wholly-owned foreign subsidiary. Exchange rate risk management of the multinational firm is shown to have direct impacts on its international capital structure decision and on its currency of denomination decision. If a currency forward market exists, the multinational firm will devise its international capital structure so as to minimize the global weighted average cost of capital. Or else the multinational firm has to rely on a money market hedge through issuing more foreign currency denominated debt and less domestic currency denominated debt, thereby resulting in a higher global weighted average cost of capital. JEL Classification Numbers: D81, F23, G32     

Risk Sensitivity of Bank Stocks in Malaysia: Empirical Evidence Across the Asian Financial Crisis

The present study examines the sensitivity of commercial banks' stock excess returns to their volatility and financial risk factors, measured by interest rates and exchange rates, across the recent Asian financial crisis. In general, we found that there were no significant differences among Malaysian commercial banks in their risk exposure prior to and during the Asian financial crisis. The introduction of selective capital controls, a fixed exchange rate regime and a forced banking consolidation program, however, had increased the risk exposure of both large and small domestic banks. The effects of these risk factors were significantly detected in both large and small banks.     

黄金期货中的隐含远期人民币汇率及其运用研究

中国黄金市场已高度市场化与国际化,在按人民币即期汇率调整后,境内外黄金市场现货价格之间已没有明显的升贴水。基于黄金期货之间的隐含远期汇率与离岸人民币NDF市场远期汇率到期前的不一致性与临近到期日的一致性,运用黄金期货构建替代性的远期外汇头寸,为投资者提供了现行管制环境下实现外汇投资、跨市场套利以及对真实外汇敞口风险进行套期保值的新渠道。     

Reexamining the Exchange Rate Exposure Puzzle by Classifying Exchange Rate Risks into Two Types

The “exchange rate exposure puzzle” refers to the phenomenon in which the proportion of firms with significant exchange rate exposure tends to be lower than expected figures. Some studies use changes in exchange rate to indicate exchange rate risks relevant to firm value. However, a different measure of exchange rate risks, which is the volatility in exchange rate changes, can also affect the value of firms because exchange rate uncertainty can affect international trade and investments of firms. This study classifies exchange rate risks into two types, namely, changes in exchange rate and the standard deviation of exchange rate changes, and empirically examines exchange rate exposure of firms in 12 countries. The results suggest that the proportion of firms with significant exchange rate exposure increases substantially, and thus, weakens the exchange rate exposure puzzle when we also count the cases in which the standard deviation of exchange rate changes affects stock return significantly.     

新的人民币汇率形成机制下企业规避汇率风险的选择

新的人民币汇率形成机制下,央行继续维护人民币汇率在合理均衡水平上的基本稳定.但可以预见未来我国汇率的变化的频率将会加快、波动幅度将会扩大,进出口企业面临的汇率风险加大,企业应当通过加速出口产品的结构调整、拓展海外投资、充分利用现有的金融工具等几个方面规避日益增大的汇率风险.     

Estimating Korea's Exchange Rate Exposure

This paper conducts an empirical analysis of the exchange rate exposure of 392 Korean firms by employing not only changes in the exchange rate but also the standard deviation of exchange rates as foreign exchange risk. A logit model is also used to identify the major factors in exchange rate exposure. The empirical results in the case of using the standard deviation of exchange rates suggest that: the number of firms showing significant exchange rate exposure has been relatively increasing; exchange rate exposure is more likely for export‐oriented manufacturing industries than for nonmanufacturing industries; and large firms using hedging methods are likely to show a low degree of exchange rate exposure.     

Exchange Rate Regimes: Middling Through

Abstract

The appropriate exchange rate regime, in the context of integration of currency markets with financial markets and of large international capital flows, continues to be a policy dilemma. It is found that the majority of countries are moving towards somewhat higher exchange and lower interest rate volatility. Features of foreign exchange (forex) markets could be partly motivating these choices. A model with noise trading, non-traded goods and price rigidities shows that bounds on the volatility of the exchange rate can lower noise trading in forex markets; decrease fundamental variance and improve real fundamentals in an emerging market economy (EME); and give more monetary policy autonomy. Central banks prefer secret interventions where they have an information advantage or fear destabilizing speculation. But in the model discussed in this article, short-term pre-announced interventions can control exchange rate volatility, pre-empt deviations in prices and real exchange rates, and allow markets to help central banks achieve their targets. The long-term crawl need not be announced. In conclusion, the regime's applicability to an EME is explored.     

Exchange Rate Regimes and Unemployment

Using data on 78 countries over 1980 to 2008 and a host of controls, this paper finds that switching from a floating regime to a pegged or an intermediate regime is likely to substantially reduce unemployment. Using a three-way regime classification, the estimated effect of switching to a pegged (to an intermediate) regime is around two percentage points (around one percentage point) after 2 years. These results are robust to variations in both specification and three-way classification. When using a four-way classification, we find evidence that switching from a float to a hard peg is most likely to reduce unemployment.     

基于汇率错位视角的人民币汇率制度转换概率研究

本文基于汇率错位的视角,运用二元模型对东南亚6国汇率错位幅度与汇率制度转换概率的关系进行实证分析。在此基础上,对人民币汇率制度的转换概率进行研究。得出结论:人民币汇率水平的高低与汇率制度的稳定性有很强的关系,即人民币汇率错位幅度与汇率制度转换概率呈现明显的正相关关系。汇率错位是汇率制度转换的原因,汇率错位幅度越大,汇率制度转换的概率越大。因此,若要维持人民币汇率制度的稳定,保持人民币汇率水平的基本稳定至关重要。就当前来说,人民币汇率制度发生转换的概率不大。     

Foreign Direct Investment and Real Exchange Rate Interlinkages

This paper examines theoretically and empirically the relationship between Foreign Direct Investment and the real exchange rate. It is found that in large countries with freely floating currencies, such as the USA, the UK and Japan, causality runs from the real exchange rate to FDI. These results are consistent with the predictions of models of financial behavior. Causality runs both ways in small countries with fixed or quasi fixed currencies, such as the EU countries. These results are consistent with models, which emphasize on trade integration. It is shown that a weaker euro will not have uniform effects on FDI inflows across the unified Europe.     

Choosing an Appropriate Exchange Rate System for Developing Countries

The developing countries emerging market crisis during the second half of 1990s has had a major impact on changing the views of academicians, policy designers and developing countries＇ authorities with respect to exchange rate policies, particularly after the Asian Financial Crisis in 1997. Although the Asian Financial Crisis has brought enormous damage to those hit countries, it left very precious lessons for the developing countries. Countries have to make a decision under uncertainty - they must choose an exchange-rate system and associated monetary policy without full information on the consequences of that choice. They must weigh the arguments and the costs of errors from adopting different exchange rates. They must evaluate the alleged benefits of each system and the opportunities for achieving those benefits through alternative, substitute means. They must also evaluate methods of reducing the potential costs of each system. It is true that no single exchange rate regime can. be prescribed as best for all, nor is the best choice of exchange rate regime always clears for all places in all times, even in light of their specific circumstances. There are no simple, universal answers. But under most circumstances and for most developing countries, one system of flexible exchange rate is better than others.     

Productivity and the Euro-Dollar Real Exchange Rate

This paper analyses how productivity differentials between the United States and the euro area drive the euro-dollar real exchange rate. We derive impulse responses from a two-sector new open economy macro (NOEM) model. These are used as sign restrictions to identify a structural vector autoregression. Our results show that the Balassa–Samuelson effect, through traded sector productivity shocks, is less important in explaining the variation in the euro-dollar exchange rate than are demand and nominal shocks. In particular, productivity can explain part of the appreciation of the dollar in the late 1990s only to the extent that it created a boost to aggregate demand in the United States. JEL no. F41, F31     

Exchange Rate Instability: Japan''''s Micro-Macro Experiences and Implications for China

I. Introduction Japan’s failure to adjust the undervalued yen in the late 1960s and early 1970s invited a highly unstable yen-dollar exchange rate. The result was the weakening of Japan’s industrial base and decade-long structural stagnation. Japanese industries had to struggle for survival. Based on my experience as financial officer of Itochu Corporation, this paper is organized as follows: Section II explains why and how the yen kept appreciating. Section III studies the responses of…