Uncertainty, Flexible Exchange Rates, and Agglomeration

This paper shows that exchange rate volatility promotes agglomeration of economic activity. Under flexible rates, firms prefer to locate in large countries, where they would enjoy lower variability of sales, thus reinforcing concentration of firms in such locations. Empirical evidence on OECD countries demonstrates that for small (large) countries or currency areas, exchange rate volatility has a long-run negative (positive) effect on net inward FDI flows. Two implications arise: creating a currency area fosters agglomeration towards the area and dispersion within the area. JEL Classification Numbers: F12, F31, F33, F4, L16, R12     

Price Indices and Nonlinear Mean-Reversion of Real Exchange Rates

The purpose of this article is to apply a symmetric band-threshold autoregressive model to investigate several interesting issues regarding purchasing power parity (PPP). We find that the nonlinear adjustment toward PPP is sensitive to price indices and is supported if a traded-goods real exchange rate is applied. Moreover, we also uncover the sources of the real exchange rate adjustments toward PPP. Finally, our evidence points out that the estimated half-life with a large shock, based on a generalized impulse response function, can be explained by nominal rigidities.     

汇率冲击和行业就业调整

根据Campa和Goldberg的贸易结构理论,我们对国内15个行业就业和汇率间的关系进行了实证研究。结果发现大多数行业在汇率冲击后的反应和理论一致,即人民币升值会抑制其就业增长,而贬值有利于其就业扩张,尤其是对高开放度和劳动密集型行业影响显著。但由于其他行业就业汇率弹性并不显著,因此降低了整体就业汇率弹性的显著性。此外,由于我国各行业开放度高于美国,因此就业汇率弹性也较大。     

Exchange Rate Stability and Financial Stability

Historical evidence reveals no monocausal explanation for banking crises, including one which would emphasize the maintenance of a currency peg. To some extent this follows from the standard textbook wisdom: whether fixed or flexible exchange rates are preferable depends on the source of disturbances. If threats to the stability of the banking system come from the “outside,” there is a case for exchange rate flexibility to discourage the banks from relying excessively on external sources of finance and to enhance the capacity of the domestic authorities to act as lenders of last resort. Conversely, if the main threats to the stability of the banking system emanate from “inside” (e.g., erratic monetary policies at home), there is an argument for attempting to peg the exchange rate in order to discipline domestic policymakers and vent shocks via the external sector. From this point of view, it is no surprise that there is no simple correlation between the exchange rate regime and the prevalence of banking crises.     

发展中国家汇率制度的选择

发展中国家汇率安排方式变化,体现了一种从固定汇率到中间汇率,又从中间到两极汇率的发展趋势,但两极汇率制度真的像部分经济学家宣扬的那样适合发展中国家吗？本文在分析中间汇率制度缺陷的同时,阐述了两极汇率制度对发展中国家的不适用性,并最终对发展中国家的汇率制度选择提出建议。     

CEO话杨浦

曾经,很多企业在选择杨浦前抱有疑虑。杨浦区政府利用自身优势与特点,通过与企业数年的磨合与互动,打造了一个相比张江等成熟科技创业基地,更具人性化的孵化环境,得到越来越多企业的认可。     

Testing the Taylor Model Predictability for Exchange Rates in Latin America

Exchange rates forecasting performance is tested by a model which incorporates endogenous monetary policy through a Taylor rule reaction function. Other usual monetary and equilibrium empirical exchange rate models are also evaluated for comparison purposes. Predictability is tested by comparing the models to a benchmark random walk specification. We contribute to the recent literature in many ways. First, we include models of forward-looking endogenous monetary policy to the exchange rate forecasting exercise, the Taylor model. Second, our data, set across countries, is uniform in terms of economies adopting both inflation targeting and a flexible exchange rate. Third, our study sheds light on exchange rate determinants for emerging economies: Brazil, Chile, Colombia, Peru and Mexico. Our results show strong predictability evidence for the Taylor model and indicate that assuming models of endogenous monetary policy and the present value of expected fundamentals is a rewarding strategy to model exchange rate determination.     

“811汇改”前后人民币汇率运行特征的研究

811汇改是人民币汇率市场化改革的重要举措。文章从汇率市场化的波动性、政策敏感度、流动性影响以及在岸和离岸联动性四个方面探究了811汇改前后人民币汇率的运行特征。实证结果显示:汇改前,汇率波动性低,不受政策和流动性影响,且两地市场联动性较低;而汇改后,汇率长期处于高波动状态,受汇率中间价和资本限制政策以及流动性因素的显著影响,两地汇率联动性明显提升。由此得出几点结论和政策启示:第一,汇率波动相对剧烈时,汇率中间价和资本限制的调节作用更加有效。第二,随着汇率市场化改革的逐步推进,应将流动性因素纳入报价模型中,参照其变动拟定汇率调节的方向。第三,不可忽视国际市场风险和汇率预期的作用,应加强市场风险监控和汇率预期引导,防范汇率调整期间出现人民币价格暴涨暴跌现象。     

汇率与日本对华直接投资

本文以日本对华直接投资为背景分析了汇率和外国直接投资 (FDI)之间的关系。通过使用从 1 981年到 2 0 0 0年日本在中国 9个制造业部门的直接投资的数据 ,研究发现 ,日元对人民币的双边真实汇率和日本对华直接投资之间存在显著的正相关关系。具体地说 ,日元的升值显著地刺激了日本对外投资的流量 ,而日元贬值则导致了日本FDI外流的减少。由于人民币的大幅贬值可归因于 90年代初中国刻意采取的人民币贬值并盯住美元的策略 ,中国的汇率机制在加强中国吸引日本FDI的竞争力中起到了极其重要的作用     

人民币汇率货币篮子的动态结构变化研究

文章通过研究人民币与其篮子货币之间的尾部相依关系,分析了人民币与其一篮子货币之间的波动溢出效应,探讨了新汇改后人民币汇率货币篮子的动态结构变化。基于规则藤Copula模型分析发现,欧元在新汇改后处于波动溢出效应的中心地位,且与人民币之间的相依程度最大,应该在人民币汇率货币篮子中占较大权重,而美元所占权重应该有所降低,英镑是在特别提款权货币篮子中所占人民币汇率货币篮子权重最小的货币。文章采用实际有效汇率数据,基于滚动窗口方法分析了人民币与其篮子货币之间动态变化的相依结构。研究表明,人民币汇率货币篮子中的货币所占权重呈现出动态变化的特点。文章还认为,发达国家的货币权重应该逐渐下调,而新兴经济体的货币权重则应该逐渐上调。     

Price Rigidity and the Selection of the Exchange Rate Regime

We evaluate and qualify Friedman's, 1953, “case for flexible exchange rates” in the presence of sticky prices in a two country model. We find that a flexible regime performs indeed better when the degree of nominal price rigidity is high while a bilateral peg does better when prices are fairly flexible. This result obtains independent of whether monetary policy is activistic or not and is mostly due to the negative relationship between employment and productivity shocks when prices are relatively sluggish (Gali, 1999). A unilateral peg tends to produce the lowest level of world welfare but it sometimes represents the best monetary arrangement for the pegger. JEL Classification Numbers: E32, E52, F33, F42     

增长、通胀、汇率与楼价前瞻

中国季度宏观经济模型（CQMM）2011年春季预测报告认为：2011年中国经济将延续2010年态势,GDP将增长10%以上;但是通胀压力较大,CPI指数可能突破5%。2011年中国经济将面临增长与通胀双高的趋势。居高不下的通货膨胀率、起伏不定的国际汇率、保持高位的房价……确实给我国经济的健康发展带来了阻碍。2011年是＂十二五＂规划的开局之年,如何协调好国际经济与国内经济、解决好中央经济与地方经济的关系,走上科学发展的正轨,是我们亟需解决的重中之重。特别是增长率、通胀率、汇率与楼价走势,更是社会各界普遍关注的焦点。为此,我们邀请天津市经济发展研究所所长王天伟撰文,就上述问题进行了精辟深入地分析与论述,现发表出来以飨读者。