Speculative behavior of foreign exchange rates during the current float

The current regime of floating exchange rates has been characterized by a number of informed observers as economically unsatisfactory. Use of terms such as “overshooting”, “bandwagon effects”, “destabilizing”, and “insufficient speculation” reflects serious misgivings on the part of many toward the long-run viability of a floating, rather than a fixed or semi-fixed, rate regime. Using fairly standard procedures, the authors have attempted to determine the extent to which the foreign exchange market exhibits the adverse features noted above. The authors conclude that by and large foreign exchange markets have not performed particularly poorly. The foreign exchange markets seem to be efficient at least in the weak form sense. Past exchange rate changes are not useful in predicting future exchange rate changes. This empirical finding contrasts sharply with the view that the markets “overshoot”, or that there are “bandwagon effects”, or that the amount of price stabilizing speculation is inadequate.     

Another case of profitable destabilizing speculation: A comment

This paper examines Williamson's example of destabilizing speculation using an explicit difference equation specification of speculative behavior. The type of nonconvergent cyclical movements of the exchange rate that Williamson describes are found to result from expectations based on a fixed notion of the ‘normal’ rate, together with a specific level of speculation activity. A lower level of speculation results in a divergent system; a higher level in one which is dynamically stable.     

Speculation,rational expectations,and stability of the foreign exchange market

This paper uses Muth's model of rational expectations to analyze foreign exchange speculation under floating exchange rates when a trade balance ‘J-curve effect’ exists. It extends the existing literature by basing speculative behavior explicity on maximizing behavior, by relating expectations to the underlying structure of the model, i.e. by assuming rational expectations, and by explicitly incorporating uncertainty. A surprising result is that, if speculation takes place, decreases in risk aversion increase the variance of the exchange rate.     

我国外汇储备数量管理实证分析

回顾国内外国际外汇储备适度规模相关理论,选择改良的阿格沃尔模型对我国外汇储备规模进行实证分析,分析可知1999—2000年我国外汇储备在合理区间,2001—2008年我国外汇储备开始过量,且增长速率逐渐加快。为完善我国外汇储备数量管理,应严格控制外汇储备增量,改变重出口,限制进口的贸易结构,合理使用外汇储备,提高储备的经济效益,重视金融人才培养,完善汇率制度,保持我国货币政策的独立性。     

我国期货市场投机适度性研究

通过选择期货市场适度性衡量指标对投机是否适度进行基差和换手率的实证分析,基本判断我国期货市场存在操纵市场、多空逼仓等风险事件,投机性风险高于国外成熟市场,存在投机过度。造成投机过度的原因是多方面的．如期货法律不健全,监管存在漏洞,现货市场发展不完善,套期保值者不足等等。解决我国期货市场投机过度要从完善期货市场制度、加强现货市场建设、培育大宗期货品种、完善期货品种结构、大力培育套期保值者等方面入手。     

中国外汇储备增长对CPI指数影响的滞后期研究

本文对我国1995年第一季度至2011年第三季度的外汇储备数据与中国消费者物价指数(consumerpriceindex,以下简称CPI)的相关性进行研究,通过实证检验分析外汇储备和CPI的影响期,结果表明外汇储备的增长与CPI存在长期关系。短期来看,上一期的CPI指数和上一期的外汇储备数额对当期的CPI有影响。通过Granger检验发现外汇储备的增长对CPI影响的滞后期为2年。     

关于完善我国外汇储备管理的对策研究

自从境外要求人民币升值以来,国际投机资本通过贸易、单方面转移等渠道大量进入我国。我国外汇储备的巨大存量和快速增长趋势,一方面提高了我国的信用等级和偿付能力,另一方面也给经济带来了负面影响。我国的外汇储备应采取转变国际储备管理的传统理念、根据外汇储备的需求动机实施多层次管理、加快完善与汇率相关的各种配套制度、转变经济增长方式、分化市场对人民币汇率走势的预期等措施完善外汇储备管理。     

The Relationship between Exchange Rates and Interest Rate Differentials: A Wavelet Approach

This paper uses wavelet analysis to investigate the relationship between the spot exchange rate and interest rate differential for seven pairs of countries, with a small country, Sweden, included in each case. The key empirical results show that there tends to be a negative relationship between the spot exchange rate (domestic‐currency price of foreign currency) and nominal interest rate differential (approximately the domestic interest rate minus the foreign interest rate) at the shortest timescales, while a positive relationship is more frequently found at the longest timescales. This indicates that among models of exchange rate determination using the asset approach, the sticky‐price models are supported in the short run and flexible‐price models in the long run.     

我国外汇储备影响因素的实证研究及其对策

近几年来，我国外汇储备过度增长，过多的外汇储备带来了资源的浪费和持有外汇机会成本的增加，因此引起了国内很多专家学者对此问题的关注。本文利用协整的回归方法对影响我国外汇储备的主要因素进行了实证检验，实证结果表明：外债、汇率、GDP、FDI对外汇储备具有长期的协整均衡关系，而进口倾向对外汇储备的影响不显著；短期误差修正模型中GDP和进口倾向影响不显著。本文根据影响外汇储备的长短期因素对我国外汇储备的管理提出了政策性建议。     

A reexamination of the demand for UK exports: Evidence from an error correction model

This article examines the demand for UK exports and is focused on five issues. It starts by examining the stochastic properties of the relevant time series. Special attention is paid to the model specification, its dynamic structure, and its temporal stability. In addition, the potential effect of exchange rate uncertainty on export demand is considered. The empirical results show that the determinants of the demand for UK exports are foreign economic activity, export price, foreign prices, and exchange rate uncertainty. The results further indicate that exchange rate uncertainty has a negative effect on exports and that the overall export demand equation requires the inclusion of such a variable in order to exhibit structural stability. Trade policy in the UK, therefore must take into account the response of export demand to changes in real exchange rate volatility.     

An economic analysis of the East Asia crisis

Since the summer of 1997, the East Asian “tiger” nations have suffered an unprecedented bout of weakness, plunging what had been vigorously expanding economies into a deep crisis. A number of domestic economic problems joined forces with turbulence on the foreign exchanges to generate a crisis of confidence on a grand scale. The crisis was triggered off by fundamental imbalances, with a key role being played by the “moral hazard” effect: domestic enterprises had been backed by implicit state guarantees, and it was always assumed that the IMF would assist if necessary. Then a destabilizing wave of speculation ran through the financial markets, pushing even countries with sound economic structures into difficulties. This article highlights the sequence of developments in the East Asian crisis, providing an economic explanation of the phenomenon.     

后危机时代人民币实际汇率波动 对我国FDI 流入的影响

汇率波动是影响FDI流入的重要因素。基于1994~2012年的时间序列数据,本文构建带有金融危机变量的模型和利用邹氏检验法对后危机时代人民币实际汇率波动与FDI流入的关系进行实证分析。经过实证检验发现,金融危机改变了人民币实际汇率波动与FDI流入之间原有的负相关关系,中国成为外资的"避风港"和外商规避贸易壁垒是后危机时代人民币实际汇率波动有利于FDI流入的两个主要因素。同时,人民币实际汇率的波动更加贴近市场实际汇率水平,会增加FDI的流入,有利于我国经济的发展与稳定。     

The fear of globalizing capital markets

It is generally accepted that free flow of goods benefits both economies without serious risks. The situation with the free flow of capital is different. Many policy makers and economists are skeptical not only about the benefits of free flow of capital, but also see uncontrolled capital flows as risky and destabilizing. Other economists, however, firmly believe that free capital flows will lead to a more efficient allocation of resources and greater economic growth. Nevertheless, the debate has little empirical evidence to rely on. We hope to fill that gap in this paper. We study the benefits and risks associated with capital flows by examining the experience of emerging economies around the time that foreign investment in stock markets was allowed. We investigate the impact of capital flows on stock returns, stock market efficiency, inflation, and exchange rates. We also examine the effect on different kinds of volatility that might arise as a consequence of capital flows: volatility of stock returns, volatility of inflation rates, and volatility of exchange rates. We find no evidence of an increase in inflation or an appreciation of exchange rates. Stock returns reflect a lower cost of capital after liberalization. There is no increase in stock market volatility and the volatility of inflation and exchange rates actually decreases. Stock markets become more efficient as determined by testing the random walk hypothesis.     

New evidence on the forward unbiasedness hypothesis in the foreign‐exchange market

A large empirical literature has tested the unbiasedness hypothesis in the foreign‐exchange market with the use of forward exchange rates. This article amends the conventional testing framework to exploit the information in currency options, with a newly constructed data set for three major dollar exchange rates. The main results are that (a) tests based on stationary regressions suggest that options provide biased predictions of the future spot exchange rate, and (b) co‐integration–based tests that are robust to several statistical problems afflicting stationary regressions and allow for endogeneity issues arising from a potential omitted risk premium term are supportive of unbiasedness. © 2006 Wiley Periodicals, Inc. Jrl Fut Mark 26:627–656, 2006     

Purchasing power parity: Doctrinal perspective and evidence from the 1920s

The first part of the paper traces the doctrinal origins of the purchasing power parity (PPP) doctrine and reviews the central issues of controversy. The second part is an empirical study covering the flexible exchange rates period of the 1920s. The empirical work examines the efficiency of foreign exchange markets, the absolute and the relative versions of PPP for alternative price indices, the homogeneity postulate, the relation between the short run and the long run, and the patterns of ‘causality’ between prices and exchange rates. The paper concludes with estimations of price equations and a discussion of the proper specification of PPP.     

Relational Norms in Interfirm Exchanges: From Transactional Cost Economics to the Service-Dominant Logic

Purpose: This article investigates the implication and importance of the service-dominant (S-D) logic to the increasingly relevant study and practice of Interorganizational relational exchange. It points out that relational exchange theory (norms) is an earlier reflection of the S-D logic. Recognizing a need for the transactional cost economics (TCE) framework to address bilateral or hybrid types of exchanges, marketing channel researchers have for over twenty years incorporated relational exchange theory (RET) and TCE to investigate problems of formal contract, environmental uncertainty, power/dependency, and opportunism. However, some theoreticians view relational modes of exchange to be broader in scope than that studied within TCE. We propose a conceptual framework that incorporates TCE constructs with S-D logic principles in order to provide a rich contemporary guide for future relational exchange research and practice.

Methodology/Approach: We first expose the essential elements of the S-D logic and describe relational exchange theory and the problems generated by TCE. Database searches reveal a continuous stream of fifty empirical studies between 1988 and 2009 in which Macneil's relational norms were operationalized in the context of interfirm exchanges. The studies are analyzed from the viewpoint of TCE and the emerging S-D logic. The empirical findings were also discussed in terms of their contribution to validating a fundamental premise of the S-D logic. Subsequently, using S-D logic's conception of operant resources, we suggest several avenues for developing questions and conducting future relational norms research.

Empirical Findings: The findings validate the fundamental assumption of S-D logic, that relational exchange is instrumental in the co-creation of value (exchange performance) whether service is rendered directly or indirectly through goods or a combination of both. Exchange performance is better when the formal contract exists within a relational context. Relational exchange is effective in contexts of both high and low environmental uncertainty, may attenuate the negative effects of power/dependency differences and mitigate opportunistic behavior.

Originality/Value/Contribution: This article is a comprehensive review of relational norms research. It links the empirical findings conducted within the combined conceptual approaches of relational exchange theory and the TCE framework. It provides a comprehensive discussion of the essentials of the S-D logic and its compatibility with previous relational norm research. It outlines an S-D logic inspired framework for future research linking operant resources (knowledge, skills, and technology) to relational norms, facilitators of service-for-service, and value co-creation in interorganizational exchange networks.     

我国外汇储备变动对通货膨胀的影响:2006.1-2012.12

使用2006年1月至2012年12月的月度数据研究我国外汇储备变动对我国通货膨胀的影响,运用VAR模型分析得出外汇储备变动对我国物价水平的直接影响很小,但是外汇储备变动可以通过改变货币供应量的变动对我国的物价水平产生间接影响。实证分析的结果表明：从长期来看,外汇储备变动1％将会引起货币供应量变动0．003％。货币供应量变动1％将会引起消费者价格指数变动0．009％。从实证分析的结果中可以看出,我国外汇储备的变动会对通货膨胀产生一定的影响,因此,中央银行在使用货币政策等手段冲销时要考虑其可能带来的负面影响并加以应对。     

Speculative attack against the Hungarian forint

In mid-January 2003 a severe speculative attack was launched against the exchange rate of the Hungarian forint. The attack was very unusual in the history of foreign exchange speculations, since it was aimed at enforcing the appreciation — and not the depreciation — of the currency targeted. The specific nature of this kind of speculation is closely related to Hungary’s accession to the European Union in general and to EMU in particular. Since the other Central and Eastern European acceding countries face similar problems and challenges, the Hungarian experience may involve some instructive lessons on monetary and economic policy for them too.     

Exchange rate policies in Asia in an era of financial globalisation: An empirical assessment

Ebbs and flows of capital have complicated macroeconomic policy management for all emerging market and developing economies (EMDEs) regardless of whether they have adopted flexible or managed exchange rate regimes. In the light of the renewed interest in the trilemma versus dilemma debate, we contribute to the related literature by presenting an empirical analysis of exchange rate flexibility and intervention for selected Asian EMDEs over the time period 2001–2016. In addition to estimating augmented Frankel–Wei regressions, we employ a generalised auto‐regressive conditional heteroscedasticity (GARCH) model to assess the extent of foreign exchange (FX) intervention and whether there exist any asymmetries in the way countries intervene. Our results show that although there is greater flexibility in exchange rates, there is evidence of some countries potentially using FX intervention to manage currency movements. We also find evidence of asymmetry in intervention where exchange rate volatility responds more emphatically to FX sales than purchases.     

Decision rules for an investor in forward exchange markets

This paper obtains decision rules for a risk-averse, expected-utility-maximizing investor in forward exchange markets who may simultaneously combine covered arbitrage, spot and forward speculation. The introduction of margin requirements makes rates of return on all alternatives directly comparable, and causes initial wealth to constrain investment in all alternative. It is shown that combinations involving more than two alternatives need not be considered, and that a comparison of (expected) rates of return alone is sufficient to choose between the relevant combinations. The inadequacy of the ‘functional’ approach for analyzing individual decision-making is demonstrated.