我国中央银行外汇市场干预的现状、问题及对策

本文从分析中央银行外汇市场干预的主要渠道入手,总结出我国中央银行外汇市场干预的现状及存在的主要问题,最后结合人民币汇率制度的改革,提出了完善我国中央银行外汇市场干预的若干对策建议。     

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。     

外汇储备增长对我国物价影响的实证分析

2007年以来,我国物价水平出现持续攀升的势头。2008年1～4月份,居民消费价格水平同比上涨8.2%。与物价上涨相对应的是我国外汇储备水平创出了历史新高,截至2008年6月末,我国外汇储备余额达1.8万亿美元。那么,外汇储备增长与物价上涨之间有没有直接的联系?本文从短期和长期两个视角,理论和实证相结合探讨了我国外汇储备增长对物价上涨的影响及其作用机制。     

我国中央银行外汇干预有效性的事件分析研究

文章利用2002年1月-2011年12月期间我国中央银行外汇干预的月度数据,估计出外汇市场压力并采用事件分析法对我国央行外汇干预的有效性进行了研究.结果表明,我国央行的外汇干预是有效的,但干预效果具有不对称性,央行卖出美元支持人民币升值的效果好于买入美元引导人民币贬值的效果;参考一篮子货币的汇率制度下的干预效果好于盯住美元汇率制度下的效果.     

Central Bank Intervention and Heterogeneous Exchange Rate Expectations: Evidence from the Daily DEM/US-Dollar Exchange Rate

In this paper we propose a generalisation of the noise trader transmission mechanism to examine the impact of central bank intervention on exchange rates. Within a heterogeneous expectation exchange rate model intervention operations are supposed to provide support for chartist or fundamentalist forecasts, which forces portfolio managers to adjust their foreign currency positions. The empirical examination of the hypothesis is done by applying a Markov regime-switching approach to daily DEM/US-dollar exchange rates and intervention data of the Deutsche Bundesbank and the Federal Reserve from 1979 to 1992. It is shown that chartists profits rose whenever these central banks intervened on the foreign exchange market. This is not true for those who follow a fundamentalist approach.JEL Classification Numbers: F31, C32, E58, G15     

我国外汇储备规模形成、影响与改进探讨

近年来,我国外汇储备规模稳步上升,储备量一直居高不下。巨额的外汇储备有利于维护国家经济安全,维持汇率稳定。增强国际清偿力,维护国家和企业的对外信用水平,其在给我国经济带来动力的同时,也存在着巨大的负面影响。因此,确定一个合理的外汇储备规模才能保证我国经济持续、稳定、健康的发展。文章针对我国外汇储备规模的现状、成因及其影响进行分析,探讨外汇储备规模合理化方法。     

资本管制、结售制度与资源配置效率:透视中国外汇储备

近年来我国外汇储备的超常规增长对经济发展产生重要影响。对外汇储备形成机理进行研究发现,我国巨额外汇储备是由多种因素交互作用的结果,不完全的市场机制很大程度促进了我国外汇储备的增长。应放松资本管制,逐步施行资本账户开放和人民币自由兑换;改变现有的外汇结售制度,建立主权财富基金;推进汇率制度改革,形成利率-汇率联合机制;发展金融衍生产品市场等。     

加强外汇储备动态管理的对策研究

适度的外汇储备对于保证国家金融与经济安全、维持汇率稳定以及增强我国国际信誉有着重要作用。外汇储备并非越多越好,过多外汇储备会产生诸多问题,积累各种风险。在金融危机影响不断加深的情况下,有必要对我国外汇储备进行动态管理,尽快研究外汇储备的规模管理、结构管理、效率管理与政策管理,以实现外汇储备的安全、保值与增值目的。     

Foreign Exchange Market Contagion in the Asian Crisis: A Regression-Based Approach

This paper investigates whether, during the Asian crisis, contagion occurred from Thailand to the other crisis countries through the foreign exchange market, and, if so, determines the contribution of this contagion to the crisis. More specifically, we examine whether the effect of the exchange market pressure (EMP) of Thailand, the origin of the crisis, on the EMP of four Asian crisis countries increased during the crisis. Instead of measuring contagion by the commonly used correlation coefficients, we apply regression analysis. To control for the impact of macroeconomic fundamentals, we construct a time-varying indicator measuring the fragility of each economy. Additionally, we control for spillovers and common external shocks. We find evidence of contagion from Thailand to Indonesia and Malaysia, with 13 and 21 percent of the pressure on the respective currencies attributable to that contagion. For Korea and the Philippines there is no evidence of contagion from Thailand. JEL no. F30, F31, G15     

The Empirical Analysis of the Reason and the Influence of the Rapid Growth of Foreign Exchange Reserves in China

The fluctuation of Chinese foreign exchange （Forex） reserve is affected by those factors, such as the volume of the Balance of Payments, the M2, the balance of external debts and so on. In this paper, the author establishes a model for the fluctuation of China＇s official foreign exchange reserve with the method of econometrics, finding out that it is the surplus of the balance of payments that results in the rapid growth of foreign exchange reserves. Then, this paper uses substantial data to objectively demonstrate the negative impact of position for Forex purchase and its sterilization operation on monetary policy and the economic development of the diverse sectors and regions.     

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…     

我国外汇储备周期波动与经济周期的实证分析

文章借鉴经济周期的相关理论对外汇储备的波动进行研究,利用H-P滤波法对1979-2009年我国的外汇储备和经济增长的变化进行分析,分别从短周期、中周期和长周期的角度描述了外汇储备增长的周期性波动规律,并总结了外汇储备各周期的特征和外汇储备周期变化与经济周期之间的关系,以方便政策制定者针对不同周期阶段制定科学、合理的应对措施。     

随机性、市场干预与外汇市场有效性——对人民币汇率的动态分析

外汇市场的有效性程度是考察汇率形成机制是否灵活与合理的重要途径。本文运用近似熵的分析方法研究了汇率改革前后人民币外汇市场有效性的动态变化。研究发现,汇改使人民币对日元和欧元间外汇市场的有效性下降,而人民币对美元间外汇市场的有效性在增加。同时,央行对外汇市场干预的强度越大,人民币外汇市场的有效性就越低。经验表明,参考一篮子汇率制度的实施是提高人民币外汇市场有效性的一个重要途径。     

Sociopolitical instability,volatility, and the bid-ask spread: Evidence from the free market for dollars in Poland

This paper provides empirical evidence that the weekly bid-ask spread in the Polish free foreign exchange market is heavily affected by the intensity of sociopolitical unrest in this country. A GARCH model is estimated to study the volatility of the free market for dollars in Poland from the third week of October 1988 to the fourth week of January 1990. This period is interesting and important because it includes social and political events under two different government regimes. Empirical evidence suggests that significant sociopolitical turmoil appears to increase the volatility of the market and consequently create substantial changes in the spread. The results of this paper may represent valuable information for other reforming countries.     

战后中日关系中的民间交流:特征、作用与课题

在特殊的中日关系的社会历史文化背景下，“民间交流（外交）”作为非正式外交渠道在外交中具有特殊的双重意义。但是，民间交流或曰民间外交并不能完全代表中日外交关系的全部过程，它仅仅反映了中日关系发展的一个侧面。对中日关系正常化实现之前，“民间交流”与政府间外交的相互关系如何评价？如何看待“民间交流”在国家关系非正常 时期的地位与作用？两国人民的相互了解和认识的变化曲线，即“民间交流”的涨落轨迹是否与中日两国关系发展的脉络相一致？制约和影响“民间交流”的因素有哪些方面？等等，这都是非常值得探讨的重要问题。     

Central Bank Autonomy,the Exchange Rate Constraint and Inflation: The Case of Italy, 1970–1992

This paper analyzes the determinants of inflation in Italy over the period 1970–1992. Particular emphasis is placed on the role of central bank independence in influencing monetary growth, and on the role of monetary growth and of the Exchange rate Mechanism (ERM) in affecting inflation. In the 1970s and early 1980s, when the Bank of Italy lacked independence and the ERM was still not credible, monetary growth was highly unstable and was the main determinant of Italian inflation, although oil price and tax shocks also played a role. After the March 1983 general exchange rate realignment and the French U-turn, the ERM became more credible and monetary growth stopped being a significant determinant of inflation; instead, the German inflation became the main variable influencing Italian inflation.     

跨境贸易人民币结算试点:态势与前瞻

跨境贸易人民币结算对中国进出口企业和金融机构都有着积极的作用,也有利于巩固我国和周边国家的经贸利益和推动我国金融市场进一步开放发展,同时人民币走出国境会给我国带来新的风险和问题。应尽快配套完善政策措施,适度扩大试点范围,建立人民币跨境回流机制,调整人民币出入境管理政策,规范民间外汇兑换市场。     

Modeling coordinated foreign exchange market interventions: The case of the Japanese and U.S. interventions in the 1990s

During the past thirty years, central banks often intervened in foreign exchange markets. Sometimes they carried out foreign exchange market interventions on a unilateral basis. However, central banks often coordinated their foreign exchange market interventions. We develop a quantitative reaction function model that renders it possible to study the factors that made central banks switch from unilateral to coordinated interventions. We apply our model to the intervention policies of the Japanese monetary authorities and the U.S. Federal Reserve in the yen/U.S. dollar market during the period 1991–2001. To this end, we use recently released official data on the foreign exchange market interventions of the Japanese monetary authorities. JEL no. F31, F33, G14, G15     

Time consistency,asymmetric information and monetary policy design: An overview

Summary This paper surveys the literature on monetary policy in the context of asymmetric information game theory. It distinguishes between the earlier literature focusing on finding reputational equilibria, the literature analyzing the possibilities of using announcements to influence expectations, and the principal-agent approach to the institutional design of monetary policy. The focus is on the institutional implications of the various studies. The conclusion is that institutional reforms directed at independent central banks with a mandate for price stability are not in line with the recommendations from the theory.I would like to thank Willem Boeschoten and an anonymous referee for valuable comments on an earlier version of this paper.     

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.