Saving,investment, and capital mobility: A comment on Leachman

In this note we use a consistent long-run data set recently published by Maddison (1991) for 10 countries to examine the long-run relationship between saving and investment. In contrast to recent findings of Leachman (1991) we conclude that saving and investment are cointegrated in many countries. Our results suggest that aggregate demand and supply shocks explain much of the time series correlation between total saving and investment.     

International Capital Mobility in the Short Run and the Long Run: A Daily Data Study for Japan,Singapore and Taiwan*

Using daily data from between 1993 and 2003, covered interest differential and cointegration tests are applied to examine short‐run and long‐run international capital mobility for Japan, Singapore and Taiwan, and, for comparison purposes, the UK. Despite the high short‐run mobility in Japan (Singapore and Taiwan), being slightly (significantly) lower than in the UK, perfect long‐run mobility exists in all three Asian economies, especially when the Asian currency crisis is excluded. Different short‐run and long‐run mobility implies the existence of a response lag in the financial market. As expected, although the impulse response reaches the significant long‐run equilibrium level shortly after the shock in the UK, lagged responses appear in the three Asian economies, particularly in Singapore and Taiwan.     

Anomaly in China＇s Dollar-RMB

Newly-established data on onshore deliverable US dollar-RMB forwards and the Shanghai lnterbank Offered Rate from Oetober 2006 to April 2009 reveal significant violations of covered interest rate parity. This paper explains the cause of this anomaly. Deviations in the forward market are caused by an increase in US dollar-to-RMB conversion restrictions. Given that Chinese monetary authorities want to prevent market participants from taking advantage of the predictable appreciation of the RMB, China＇s State Administration of Foreign Exchange has to tighten up the control on US dollar-to-RMB conversions. Under the tightened conversion restrictions, similar deviations will resurface in the forward market whenever hot money inflow increases. One way to avoid covered interest rate parity violations in the forward market is to decrease hot money inflow into China by maintaining a stable and credible exchange rate policy.     

东亚金融一体化:基于资本流动的实证分析

自1997年亚洲金融危机爆生后,为了避免对外国资金的过分依赖,防止危机的再次发生,东亚各国(地区)陆续开放本国资本账户,加快区域间的资本流动以推进东亚金融一体化。本文从资本流动的角度对东亚的金融一体化程度做出分析,研究发现东亚金融一体化程度并不高,但在金融危机之后有所加强,而其中东盟是东亚各子区域中金融一体化程度最高的区域。     

Capital Inflows Problem in Selected Asian Economies in the 1990s Revisited: The Role of Monetary Sterilization*

This paper develops a simple model to examine the reasons behind the capital inflow surges into selected Asian economies in the 1990s prior to the financial crisis of 1997–98. The analytical model shows that persistent uncovered interest differentials and consequent capital inflows may be a result of complete monetary sterilization, perfect capital mobility, sluggish response of interest rates to domestic monetary disequilibrium, or some combination of all three. Using the model as an organizing framework, the paper undertakes a series of related simple empirical tests of the dynamic links between international capital flows, the extent to which they are sterilized and uncovered interest rate differentials in the five crisis‐hit economies (Indonesia, Korea, Malaysia, the Philippines and Thailand) over the period 1990:1–1997:5.     

东亚区域合作新态势及中国的战略调整

1997年东南亚金融危机使东亚各国认识到域内合作的重要性,东亚区域合作蓬勃发展。十年之后的美国次贷危机演变成全球金融危机,客观上推动东亚区域合作呈现出了一些新态势。与此同时,鉴于中国及东亚各国当前面临的发展问题,东亚区域合作应在遵循东盟主导的基础上开拓互联互通务实合作,增强区域凝聚力和内生发展动力,提升合作的机制化水平,实现区域内经济的可持续发展。     

Substitutes or complements? The interactions between components of capital inflows for Asia

Despite an emerging and interesting literature on the pecking order of capital flows that might arise from asymmetric information and financing constraints, the dynamics of the interactions between the various components of capital flows, namely FDI, portfolio equity, portfolio debt and bank flows appear a little under-researched. This paper presents an empirical examination of this issue for a sample of East Asian countries – looking only at the inflows of capital – by asking the following questions: Are the respective components of capital flows substitutes or complements? Does one type of capital flow enhance or inhibit the others? Is this effect mitigated or exacerbated during crises? What effect does the volatility of each of the components of flows have on the level of each flow? The policy implications of this analysis can be viewed in terms of countries financial liberalisation policies. If two types of flows are substitutes, then a policy of liberalising, or indeed restricting, one type of flow may actually crowd out the other. This may well be an unintended consequence of a country's financial liberalisation policy.     

International Financial Relations Under the Current Float: Evidence from Panel Data

This paper uses multi-country data for the period 1973–1994 to investigate five key equilibrium conditions in international finance—purchasing power parity, the Fisher equation, uncovered interest parity, and the equity-return analogues of the latter two. The results are largely consistent with theoretical expectations. Over the long run, purchasing power parity, uncovered interest parity and the Fisher effect prove to be rather good first approximations. The equity-return relations, though somewhat less so are nevertheless much better behaved than past studies would lead one to expect. Average rates of equity returns keep pace with inflation within countries in almost all instances; across countries, they are positively correlated with average rates of inflation. This is particularly the case when the data period is extended to include earlier decades.     

金融危机中拉美新兴市场国家货币错配变动分析

文章通过分析阿根延、巴西和墨西哥三个新兴市场国家1990--2010年间的货币错配指数与经济增长率之间的关系,利用非抛补利率平价理论分析得出:货币错配是引起金融危机的重要因素;货币错配的急剧增加,对拉美新兴市场国家经济增长有负面影响,大规模的货币错配会使拉美新兴市场国家的货币政策失效.     

东亚经济一体化与合作：朝向共同体

长期以来,东亚地区的经济一体化主要靠市场力量推动,区域经济合作则落后于经济一体化进程。亚洲金融危机证明,仅靠市场推动的经济一体化是脆弱的,只有加强区域经济合作,东亚地区才能增强抵御外部风险的能力,保持经济的持续繁荣。亚洲金融危机后,东亚地区迅速建立起“10 3”的合作机制,在加强金融领域合作的同时,也不断拓展在经贸投资等领域的合作,并逐步确立了以建立东亚自由贸易区和东亚共同体的长远奋斗目标。特别是在中国提出与东盟建立自由贸易区后,东亚地区的合作步伐明显加快。尽管目前离建立东亚共同体的长远目标还很遥远,但东亚地区的合作进程已不可逆转,各种形式的合作努力将最终推动长远目标的实现。     

东亚股票市场的一体化及其趋势——基于股指趋同性的分析

伴随着国际资金的频繁流动,东亚金融市场成为国际证券投资的主要地区。东亚各国和地区为了使其股票市场健康稳定发展,采取了一系列措施增强其区域内股票市场的一体化程度。本文通过Johansen协整,方差分解等方法,分析了当前东亚股票市场的股票指数与两大国际股票市场(美国和日本)股票指数的趋同性,以此为基础讨论东亚股票市场的全球一体化程度与区域一体化程度。本文研究发现,东亚股票市场的一体化程度不高,但其全球化程度高于其区域化程度。     

美国是东亚区域合作的推动者还是阻碍者?

冷战结束至今,东亚区域合作得到了很大发展。地区多边组织、论坛、会议、自由贸易区等区域合作形式在本地区的政治、安全和经济等诸多领域中扮演着日益重要的角色,包括中国在内的东亚国家都已经在不同程度上介入区域多边合作进程之中。东亚区域合作的进程可能对未来美国与东亚的关系产生意义深远的影响。美国主要根据其自身利益的判断来应对东亚区域合作,对于把美国排除在外的区域合作形式可能采取不欢迎的态度,对于把美国包括在内的区域合作形式则可能采取积极推动的立场。     

Exchange-rate policy in East Asia after the fall: how much have things changed?

This paper evaluates the changes in the exchange-rate policies of East Asian economies in the aftermath of the currency crisis and the process in which the exchange-market stability was re-established. The empirical analysis evaluates the changing roles of the yen and the US dollar in the currency baskets, the shifts in the volatility of the underlying macroeconomic fundamentals and their implications on exchange-rate management, the exchange-market perception of credibility and risk of the postcrisis exchange-rate regimes, and the process of reversion to fundamental values after the massive currency depreciation.The analysis shows that after the abandonment of the quasi-dollar peg, the yen had gained a greater weight in the currency baskets and the greater flexibility in which the exchange rates are being managed serve to accommodate the greater volatility in the macroeconomic fundamentals. The improvement in the macroeconomic conditions and the greater credibility that has been acquired by the regional monetary authorities had allowed the exchange market to stabilize and enabled the exchange rates to revert back to their fundamental values.     

Cointegration and the PPP and the UIP hypotheses: An application to the Spanish integration in the EC

The aim of this paper is to find some empirical evidence on Purchasing Power Parity (PPP) and Uncovered Interest Parity (UIP) in the Spanish case vis à vis the European Community for the period 1980–89. The main contribution of the paper is the aggregation of the variables corresponding to the countries that participate in the exchange rate mechanism of the European Monetary System. The results support the importance of the interest differential as an explanatory variable for the short-term adjustment to the PPP. The results follow from powerful estimation techniques, applied in the framework of a multivariate error-correction model using the maximum-likelihood procedure as developed by Johansen and Juselius (1992).     

东亚经济一体化可行性的分析

在全球化和区域化不断发展的国际政治经济环境下,欧盟和北美自由贸易区向东亚各国的一体化提供了示范效应,同时也提出了迫切的要求。因此,要实现东亚经济的长期发展,东亚经济的一体化已经成为关键因素。本文通过对东亚经济一体化可行性的分析,为以后的发展提出了思路,指出了在以后发展中要着重克服的问题。