欧债危机对中国的影响及中国的态度与举措

文章认为,欧洲主权债务危机双重影响着中国:从消极方面来说,它影响中国对欧洲的商品出口,会导致人民币汇率大幅波动,加大了中国对欧洲投资的风险,加剧了中国金融市场的波动,影响中国的汇率机制改革;从积极方面来说,它有利于中国大规模进行海外投资,有利于提高中国的国际地位。面对欧债危机,中国一方面应积极参与解决欧债危机的行动,另一方面必须强调欧债危机的解决关键在欧洲自身的努力。     

Was it really a dollar peg?: The exchange rate policies of East Asian countries, 1980–1997

This paper examines the exchange rate policies of East Asian countries during the period preceding the currency crisis of 1997, in an attempt to ascertain the extent to which they could be considered, as they frequently are, as a dollar peg. We do so by estimating the implicit weights of foreign currencies in the nominal exchange rate determination of East Asian currencies by means of a time-varying parameter model. The crucial element of our approach concerns how the weight of the Japanese yen was altered in response to the movement of the yen–dollar exchange rate. It is found that, while the weight of the U.S. dollar was large and the weight of the Japanese yen was small for the period as a whole, the weight of the yen was raised in some of the countries in the early 1990s. In particular, the Korean and Malaysian authorities raised the weight of the yen when the yen depreciated against the U.S. dollar, while the Singaporean authorities raised the weight of the yen when the yen appreciated against the dollar.     

Examining nonlinear dynamics of exchange rates and forecasting performance based on the exchange rate parity of four Asian economies

This paper employs smooth transition autoregressive (STAR) models to investigate the nonlinear dynamic behavior of exchange rate deviations based on the exchange rate parity (ERP) theory in four Asian economies: Japan, South Korea, Taiwan and Singapore. In this study, quarterly data from 1978 Q1 through 2007 Q4 are analyzed. The empirical results indicate that the deviations in the exchange rate of all four countries reject the null of linearity. The rate deviations in the Japanese and Korean cases exhibit a dynamic and smoothly symmetric ESTAR type process, while those in the Taiwanese and Singaporean cases match the smoothly asymmetric LSTAR type with respect to depreciating and appreciating regimes. These nonlinear characteristics can be explained by the existence of heterogeneous behavior and asymmetric information among economic agents. Furthermore, the estimation results of a nonlinear least squares (NLS) regression indicate that most of the parameter estimates are significant at the 10 percent level. The forecasted Japanese and Korean rate deviations in the ESTAR model are not superior to those from the AR model, possibly because these two countries experienced a serious fluctuation during the Asian financial crisis that occurred in 1997. However, based on the criterion of the RMSE, the forecasted Taiwanese and Singaporean rate deviations in the LSTAR model outperform those in the AR model.     

亚洲四国汇率风险与贸易--远期外汇市场的作用

本文基于对上世纪90年代至2005年的四个亚洲国家与美国间双边出口贸易数据的实证结果比较，采用VAR方法证明了存在一个成熟有效的远期外汇市场可以帮助出口企业规避汇率风险。最后，引用泰国案例，实证说明为了确保远期外汇市场能够提供准确的汇率价格信号，政府不应过度干预该市场。     

Fundamentals and devaluation expectations in target zones: Some new evidence from the ERM

The credibility of exchange rate target zones for four EMS countries for the period March 1979-September 1992 is examined. Existing methods by Svensson, Edin and Vredin, typically applied to data from the Nordic countries, are considered. On balance, the method suggested by Edin and Vredin provides somewhat better estimates of devaluation probabilities than either of Svensson's methods. While all methods produce reasonably good estimates of the expected size of devaluations, they did not predict the September 1992 EMS crisis. However, we find that electoral and other institutional variables improve estimates of devaluation expectations.     

Exchange rate policy in the pacific: an evaluation of currency basket regimes

The Pacific island countries have opted for exchange rate regimes with varying degrees of flexibility. Whereas several microstates have adopted an external currency as their legal tender, others have decided to use a basket currency, and yet others have chosen a managed float. The choice of exchange rate regime can have far reaching economic consequences. In the paper, we study the basket currency arrangements by Fiji, Samoa, the Solomon Islands, and Tonga. We first build a new four‐country exchange rate model that illustrates how monetary authorities should best determine the weights of the basket currencies given certain macroeconomic objective functions. In this model, we explicitly include tourism flows. In the second part of the paper, we estimate the de facto weights of foreign currencies in the currency basket of the four countries. We show how the composition has changed amid the global financial crisis. Finally, we demonstrate that the current weights are not optimal compared with the predictions of our model.     

High‐Frequency Contagion of Currency Crises in Asia*

Using daily data from the Asian currency crisis, the present paper examines high‐frequency contagion effects among six Asian countries. The ‘origin’ (of exchange rate depreciation, or decline in stock prices) and the ‘affected’ (currencies, or stock prices) in the daily spillover relationship were defined and identified. Indonesia is found to be the main origin country, affecting exchange rates of other countries. Contrary to conventional wisdom, evidence of high‐frequency crisis spillover from the Thai exchange rate to other currencies was weak at best. There exists a high‐frequency contagion in stock markets among East Asian countries. Contagion coefficients are positively correlated with trade indices, indicating that investors lower their financial assessment of a country that has trade linkage to a crisis origin country within days, if not hours, of a shock.     

Exchange rates,price levels,and inflation targeting: Evidence from Asian countries

This study examines how the adoption of inflation-targeting influenced exchange rate pass-through and volatility in four Asian countries –Indonesia, South Korea, the Philippines, and Thailand – over the sample period of January 1990 to June 2007. We find that adopting inflation targeting helped reduce pass-through in South Korea, and Thailand, while the results are less clear for Indonesia and the Philippines. Nevertheless, the findings indicate that inflation targeting caused a decline in exchange rate volatility in all four countries. The important lesson from the experiences of these Asian countries is that the adoption of inflation targeting contributes to achieving the ultimate goal of inflation stability through reducing exchange rate pass-through or variability.     

Financial crises,Asian stock indices,and current accounts: An Asian-U.S. comparative study

This paper investigates the effects of financial crises-based exchange rate, real interest rate, and personal consumption expenditure on stock market indices and balances of current account in four Asian countries/areas, and the U.S. from 1997 to 2010. Results obtained from Sims's first-order DSGE representation suggest that two policy variables – changes in the exchange rate and changes in the real interest rate lagged by one quarter – act as stabilizers for contemporaneous changes in stock indices for Thailand, Malaysia, and the U.S., but as destabilizers for Taiwan and Hong Kong. However, changes in personal consumption expenditure lagged by one quarter only play a destabilizing role in Hong Kong. For contemporaneous changes in the current account balance, all three policy variables become destabilizers for all five countries except the one-quarter lagged change in real interest rate, which acts as a stabilizer in Malaysia.     

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     

Why China Should Invest Its Foreign Exchange Reserves in the Major US Banks

The subprime mortgage crisis and the resultant inflationary monetary policy in the USA have left the Chinese economy subject to four risks in particular. First, China＇s exports to the USA might continue to decline. Second in the medium term, the higher US inflation rate will lead to a weak dollar, which will negatively affect China＇s exports. Third in the long term, when the US Federal Reserve decreases money supply to control inflation, the US economy might enter another recession, hurting China ＂s exports further. Fourth, China＇s foreign exchange reserve assets might suffer heavy losses when the US inflation rate rises. Conventional foreign exchange investment strategies are insufficient for dealing with these four risks. Investment by China in the major US banks is suggested in the present paper. This strategy would mitigate if not eliminate all four risks. China could gain considerable financial returns on investments with only moderate risk.     

Keynesian and Austrian Perspectives on Crisis, Shock Adjustment, Exchange Rate Regime and (Long-Term) Growth

The 2010/11 European debt crisis has revived the discussion concerning the optimal adjustment strategy in the face of asymmetric shocks. This paper approaches the question from a theoretical perspective by confronting exchange rate based adjustment with crisis adjustment via price and wage cuts. Econometric estimations yield a negative impact of exchange rate flexibility/volatility on growth, which is found to be particularly strong for countries with asymmetric business cycles and during recessions. Price flexibility is found to have a positive impact on growth. Based on these findings we support a further enlargement of the European Monetary Union and recommend more exchange rate stability for the rest of the world.     

On the feasibility of a regional exchange rate system for East Asia: Lessons of the 1992/1993 EMS crisis

This paper argues that a regional exchange rate system such as the EMS should not be ruled out when discussing monetary options for East Asia. The paper recalls that the 1992/1993 EMS crisis was the crisis of an exchange rate system and not just the collapse of unilateral pegs pursued by individual countries. It discusses distinct features that add to the credibility of regional exchange rate systems and reasons that a system that is built around well-defined rules and which is managed very carefully and cooperatively according to those rules could be both credible and sustainable even in the 21st century.     

香港跨境贸易人民币结算面面观

全球金融危机爆发以来,人民币跨境贸易结算特别是针对港澳跨境贸易人民币结算的政策频繁出台,这是为推动我国与周边国家和地区经贸关系发展、规避汇率风险、改善贸易条件的一大举措。本文以香港跨境贸易人民币结算为分析对象,分别对香港和内地两地将受到的影响进行深入分析。人民币结算将增加香港进出口企业的汇率风险、香港金融业在短期和长期也将会受不同程度的影响;内地外贸企业则能有效规避汇率风险、节约结算成本,人民币结算在长期也将为人民币国际化作出贡献。但是,跨境贸易人民币结算所面临的内外阻力更加不容忽视。     

Monetary policy shocks and exchange rates in Asian countries

In this paper, we empirically investigate the effects of monetary policy shocks on exchange rates in Asian countries. To do so, we use VAR models which impose sign restrictions on impulse responses to identify monetary policy shocks. We find that contractionary monetary policy shocks lead to significant exchange rate appreciation in Malaysia, the People’s Republic of China, and the Republic of Korea. However, in India, Indonesia, the Philippines and Thailand, we find either a significant depreciation or no significant effect. These results suggest that an interest rate increase (or decrease) may not necessarily shield Asian countries from exchange rate depreciation (or appreciation) pressure following a U.S. interest rate increase (or decrease).     

Fundamentals and Technical Trading: Behavior of Exchange Rates in the CEECs

We incorporate technical trading into the monetary approach to exchange rates, and estimate the model for four Central and Eastern European countries that introduced the policy of free floating in the late 1990s; the Czech Republic, Hungary, Poland and Slovakia. We find that past exchange rates contribute significantly to the determination of the spot exchange rate. We also find a feedback behavior driving the exchange rate to its fundamental value although the mean reversion parameter is small. Overall, this means that these currency markets have developed a complex structure of different trader types, which already is documented for developed countries.     

Real Exchange Rates, Valuation Effects and Growth in Emerging Markets

We compare the relationship between net capital inflows, real exchange rate movements and growth for twenty emerging markets and twelve developed countries over the period 1985–2004. In developed countries low real exchange rates are associated with faster growth, but in emerging markets depreciations depress growth, even outside crisis periods, and are closely correlated with declines or reversals in net capital inflows. To investigate valuation effects of currency movements, we construct debt-weighted real exchange rate indices for emerging markets, which are more closely correlated with growth than trade-weighted indices.     

Do US macroeconomic conditions affect Asian stock markets?

The aim of this paper is to examine the impact of US macroeconomic conditions—namely, exchange rate and short-term interest rate—on the stock markets of seven Asian countries (China, India, the Philippines, Malaysia, Singapore, Thailand, and South Korea). We use daily data for the period 2000–2010. We divide the sample into a pre-crisis period (pre-August 2007) and a crisis period (post-August 2007). We find that, in the short-run, the interest rate has a statistically insignificant effect on returns for all countries, except for the Philippines in the crisis period. On the other hand, except for China, regardless of the crisis, depreciation has a statistically significant and negative effect on returns. When the long-run relationship among the variables is considered, for five of the seven countries (India, Malaysia, the Philippines, Singapore, and Thailand), while there is cointegration in the pre-crisis period, in the crisis period there is no such relationship, implying that the financial crisis has actually weakened the link between stock prices and economic fundamentals.     

Optimal Reserves in the Franc Zone: An Empirical Analysis

Abstract: This paper aims at assessing the optimal reserves in franc zone countries (FZC). First, an EMP crisis index of the cross exchange rate between the CFAF and the USD is constructed and its frequency is computed in a sample of eleven countries over the period 1980–2003. Subsequently, the estimated crisis probability is fed into a calibrated model economy of FZC to compute the optimal reserves to output ratio. We find that actual reserves are mostly lower than the implied optimal reserves.     

Sources of time-varying trade balance and real exchange rate dynamics in East Asia

A sticky-price model with minimal assumptions for identification is used to motivate a time-varying model that allows for state dependent innovations to explore the trade balance dynamics of a group of East Asian economies. This paper shows that the correlation between the trade balance and the real exchange has historically been highly conditional on the type of macroeconomic shock. Permanent (transitory) shocks have historically produced a positive (negative) correlation between the trade balance and real exchange rate over the last 20 years. Second, since the Asian financial crisis the real exchange rate dynamics of the East Asian countries have been dominated by persistent component(s), while the dynamics of the trade balance have been more influenced by transitory factors.