汇率波动的宏观经济效应分析

2005年中国实行有管理的浮动汇率制度以来,人民币对美元汇率累计升值30％以上,波动性也在不断增大。中国共产党十八次代表大会提出要加快汇率的自由化改革步伐,人民币汇率的波动性将进一步增加,而这将给宏观经济平稳运行产生重要影响。本文从通货膨胀、收入水平和就业三个方面分析汇率波动对经济的影响。     

汇率波动成本与汇率制度选择

研究分析造成汇率波动的原因，分析货币当局在采取具有不同汇率波动幅度特征的汇率制度时所需要承担的成本，并从成本最小化原则出发，提出了货币当局选择最优汇率制度的政策建议。     

汇率波动性、汇率水平与异质性企业出口

汇率是影响企业出口的重要因素。基于微观企业产品层面数据和年度真实汇率数据,系统地考察了汇率波动性、汇率水平对异质性企业产品出口的影响。研究发现:汇率波动性增大显著抑制了企业产品出口,该抑制作用主要通过产品数量实现;汇率波动性的影响明显具有跨期效应,上一期汇率波动性对企业当期出口的影响与当期汇率波动性影响相当;总体而言,汇率波动性对企业出口的影响与汇率水平持平。进一步机制检验表明,汇率波动性所导致交易"块度"变化是汇率波动性影响出口的主要渠道,政府通过汇率快速贬值可能无法有效促进企业出口。     

汇率波动与经济稳定探讨

由于世界经济发展不平衡以及国际经济间的相互依赖,频繁波动的汇率影响到各国经济金融发展的稳定,甚至引发金融危机。资本流动加快、缺乏政策协调等诸多复杂因素让汇率更加的不确定。本文通过日本等国的汇率波动及其对经济发展的影响分析,探讨我国应对汇率波动的政策措施。     

汇率波动影响金融发展的路径机制研究

本文通过研究国内外的相关理论文献,深入探讨了汇率波动对金融发展的影响,主要从三个方面加以研究:进出口贸易机制,资产价格机制和国际资本流动机制。     

变结构Copula模型在金融波动溢出效应中应用研究综述

在经济全球化和金融一体化的推动下,金融市场之间的联动性变得更加紧密,金融市场间的波动溢出效应也更加剧烈,传统的金融波动模型无法精确地描述金融市场间错综复杂的波动溢出特征,因此构建刻画金融市场间的波动溢出机制的模型是众多学者研究的焦点。文章通过查阅国内外学者关于金融波动的相关学术论著,总结了变结构Copula模型在金融波动溢出效应中的优势,发现变结构Copula模型问题的解决将为金融市场的发展作出更大的贡献,提出变结构Copula模型在金融波动溢出效应方面未来的可能发展方向。     

噪声交易、人民币汇率波动与汇率制度选择

本文构建了一个包含宏观经济基本面和外汇市场微观结构的理论模型,将进入外汇市场的噪声交易者数量内生化,合理解释了人民币汇率波动的形成机制。理论分析表明,汇率波动既与宏观经济基本面波动正相关,也与进入外汇市场的噪声交易者数量正相关。在给定宏观经济基本面波动的情况下,人民币汇率波动取决于噪声交易者对人民币风险溢价的预期。当噪声交易者对人民币风险溢价的预期较高时,实行有管理的浮动汇率制度能够有效抑制噪声交易者进入外汇市场,有助于降低人民币汇率波动并提升货币政策效果。基于理论分析结论,本文采用1996年1月至2015年6月的月度数据对中国的无抛补利率平价进行实证检验,间接测度了人民币外汇市场中噪声交易者数量的变化。实证结果显示,人民币外汇市场中噪声交易者的数量较多,且随着2012年4月后人民币汇率浮动区间的扩大,噪声交易者的数量明显增加。     

基于门限自回归模型的汇率异常波动分析

汇率的波动受诸多因素的影响,且随着时间的推移图象呈现非线性,一般的研究方法很难对此进行研究分析,于是本文提出了一种分段线性的非线性时间序列模型——门限自回归模型(TAR)。本文首先以美元/人民币即期汇率和远期汇率为例,利用门限自回归模型(TAR)对即期汇率和远期汇率对数收益率的异常波动进行分析;然后将异常波动与宏观经济形势和宏观事件相对照,进一步解释宏观因素对汇率波动的影响;最后根据TAR模型得出的数据图形,说明汇率期限越长存在的不确定因素越多且汇率波动越大。结果表明,该方法是合理可行的,为其他相关波动分析提供了理论依据。     

Exchange Rate,Exchange Rate Volatility and Foreign Direct Investment

In the light of the importance of foreign direct investment (FDI) for the promotion of economic development, this paper examines the impact of the changes in the real exchange rate and its volatility on FDI. Examining Japan's FDI by industries, we found that the depreciation of the currency of the host country attracted FDI, while the high volatility of the exchange rate discouraged FDI. Our results suggest the need to avoid over‐valuation of the exchange rate and to maintain stable but flexible exchange rate in order to attract FDI.     

Foreign Exchange Intervention and Exchange Rate Volatility in Zambia

The study analyzes the impact of central bank intervention on the volatility of the exchange rate in Zambia during the period of 1996–2013 Bank of Zambia (BoZ). (1996–2013). Annual Reports . Lusaka , Zambia : Author. [Google Scholar]. The empirical findings reveal a statistically weak negative impact of intervention on exchange rate volatility, suggesting that other policy instruments are required to augment foreign exchange interventions in dampening volatility in the exchange rate.     

Mexican Peso Futures and Exchange Rate Volatility

Abstract

The reintroduction of Mexican peso futures contracts in April 1995 resulted from a refocus of governmental policy to the use of market-based mechanisms to stabilize the exchange rate. Interest in the Mexican peso future contracts has been high as investors look to manage their exposure from transactions and investments denominated in pesos. This study utilizes a VAR framework to analyze the relationship between the volatility in the Mexican peso spot market and futures contracts trading activity. Shocks to the exchange rate volatility lead to increased hedg-ing-type activity. Furthermore, an increase in futures contracts trading activity (reflecting additional speculation-type activity) results in a short-run increase in volatility. A Granger Causality test also indicates a statistically significant link between spot price volatility and futures trading activity in the Mexican peso exchange market.

RESUMEN

La reintroducción de los contratos futuros del peso mexicano en abril de 1995, resultó del nuevo enfoque de la política gubernamental de usar los mecanismos de mercado para estabilizar la tasa cambiaria. Ha habido mucho interés en los contratos futuros del peso mexicano, ya que los inversores buscan administrar su exposición a las transacciones e inversiones denominadas en pesos. Este estudio utiliza el marco del VAR para analizar la relación existente entre la volatilidad del peso mexicano en el mercado spot y la actividad de negociación de los contratos futuros. Los choques sufridos por la volatilidad de la tasa cambiaria resultan en un aumento de las actividades del tipo hedging. Además, un aumento en la actividad de negociación de los contratos futuros (que refleja otras actividades de naturaleza especulativa) provoca, a corto plazo, un aumento en la volatilidad. Una prueba Granger Causality también indica un vínculo estadísticamente significativo entre la volatilidad del precio spot y la actividad de negociación del mercado futuro en el mercado cambiario del peso mexicano.

RESUMO

A reintrodução dos contratos futuros em peso mexicano, em abril de 1995, foi o resultado de uma revisão da política governamental, em relação ao uso dos mecanismos baseados no mercado para estabilizar a taxa de câmbio. Os juros dos contratos futuros, em peso mexicano, foram altos, devido ao cuidado dos investidores em administrar o risco das transaç[otilde]es e dos investimentos efetuados em pesos. Este estudo utiliza a estrutura VAR, para analisar o relacionamento entre a volatilidade do mercado local, em peso mexicano, e a atividade comercial de contratos futuros. Choques aplicados à volatilidade da taxa de câmbio contribuíram para o aumento das atividades típicas de hedging. Além disso, um crescimento da atividade comercial de contratos futuros (refletindo uma atividade basicamente especulativa) ocasiona um rápido aumento na volatilidade. O teste Granger Causality indica, também, um vínculo estatístico significativo entre a volatilidade do preço local e a atividade comercial de futuros no mercado cambial do peso mexicano.     

汇率风险与企业出口

为了让人民币成为国际上的重要储备货币和投资贸易上的重要结算货币,增加人民币汇率机制的灵活性并控制由此而增加的汇率风险是人民币国际化中回避不了的问题。很多政策制定者和学者担忧:这是否会损害中国的对外贸易利益?本文在Melitz模型的框架下,在理论上分析了汇率风险对企业出口贸易的影响机理;在实证上使用中国2000—2008年的企业出口贸易和工业统计数据①,在不同的稳健情形下检验的结果表明:汇率风险对出口贸易有着相互冲突的作用力,双边汇率风险抑制了企业的出口行为,与除了出口目的地之外的其他目的地之间的多边汇率波动风险促进了企业的出口贸易;出口企业出口的产品种类和出口目的地越多,企业就会在不同的目的地之间优化分配出口资源,吸收双边汇率风险的负面冲击效应,从总体上推动贸易的发展。该论证为央行进一步放松人民币汇率浮动幅度的改革提供了理论上的支持。     

Financial Sector Volatility,Banking Market Structure and Exports

This paper assesses the impacts of financial sector volatility and banking market structure on industrial exports. By utilising the specification of Rajan and Zingales (American Economic Review 1998; 88 , 559) on the cross‐country, cross‐industry data from Manova (Journal of International Economics 2008; 76 , 33), we find that financial sector volatility, measured as the standard deviation of the growth of private credit, and banking market structure, measured as the share of the three largest banks’ assets in a country, respectively exert significantly negative and positive impacts on industrial exports, particularly for those industries that are more externally financially dependent. The findings are robust to a variety of kinds of sensitivity analysis and thus lend support to the notion that a more stable and concentrated banking system is important to the exports of those industries that rely more on external finance.     

Exchange Rate Volatility and Economic Activities of Africa's Sub-Groups

Exchange rates have been highly volatile in Africa, especially since the move to a floating exchange rate system beginning in the 1980s. Generally, the pattern of exchange rate changes differs between Africa's two main sub-groups (CFA and non-CFA groups) due to the different monetary/exchange rate systems they adopted. This article therefore examines the effect of exchange rate volatility on the economic activities in Africa and its sub-groups during the period 1986–2011 using a panel data approach.

Rational expectation theory informs the division of exchange rate into anticipated and unanticipated. Both the demand and supply channels are explored to trace the impact of the exchange rate volatility on price as well as aggregate demand and its components. Empirical results reveal differences in the impact of exchange rate volatility on economic activities between Africa's two sub-groups. Exchange rate volatility produced more significant effects in the non-CFA group than in the CFA group.     

Volatility in Exchange Rate Components and the Volume of International Trade

By decomposing the changes in the real exchange rate series into fundamental and transitory components (market microstructure and stochastic element) and modeling the volatility in each via a GARCH process, this paper examines how volatility in exchange rate affects the volume of aggregate and disaggregate US trade with Canada, Germany, and Hong Kong during the 1989–2002 period. The results indicate significantly different impacts of volatility due to the fundamental and transitory components of the exchange rate series on US bilateral trade. While the findings suggest heterogeneous responses of traders to volatilities arising from different components of the real exchange rate, the impact of the volatility due to the fundamental component is also found to vary across commodities, implying disparities in the inter- and intra-trading arrangements made by traders of different goods in counteracting foreign exchange risk arising from changes in the economic fundamentals.     

外国经济波动、资本流动与汇率调整

本文在随机一般均衡非对称两国模型中探讨了在外生冲击下,资本流动对欠发达国家汇率波动的影响.本文发现:在浮动汇率制度、资本账户开放、投资者的资产调整存在时滞等假设下,发达国家产出波动冲击所引发的投资者资产调整可引起欠发达国家货币的升值.但如发达国家产出波动冲击也引起了欠发达国家产出波动幅度的提高,则欠发达国家货币是否升值取决于欠发达国家产出波动增大的幅度是否低于发达国家.此外,发达国家居民越重视财富和社会地位,越有可能加深欠发达国家的汇率波动幅度.