货币替代的理论分析及其对中国的影响

一）货币替代的含义货币替代是指经济发展过程中国内居民对本币币值的稳定失去信心或本国货币资产的收益率相对过低时,发生货币兑换、资金外流和外币在境内替代本币执行货币职能的一种现象。如当一国国内的通胀率突然大幅上升时,本国货币的价值贮藏、记账单位和交易媒介...     

美元化的深远影响

美元化实质上是现代信用货币制度下出现的一种货币替代现象。美元化是指在美国以外的外国居民因对该国本币币值的稳定失去信心或本币资产收益率比美元资产收益率低时而发生的大规模货币兑换，进而使美元在交易媒介、价值储藏和计价标准等货币职能方面部分或全部替代本币的现象。美元化意味着一国经济体的外币(主要是美元)对该国的货币政策产生了直接或间接的影响。     

货币错配下的央行行为选择:一个多重均衡模型

根据资产负债表表现形式的不同,货币错配可分为净外币负债形态的货币错配和净外币资产形态的货币错配,研究者大多认为当前我国面临着较为严重的后一种形式的货币错配风险,但现有模型却多数集中在对净外币负债形态的货币错配风险的研究上。文章构建了基于微观经济主体行为的多重均衡模型,试图揭示在本币升值的情况下,净外币资产形态的货币错配如何通过资产负债表渠道对银行和企业进而对宏观经济造成冲击。模型表明本币的大幅升值会恶化微观经济主体的资产负债表,并使经济稳定在"坏"的均衡点上。文章还进一步分析了在"坏"的均衡点上,央行应该采取的对策。     

货币替代理论述评

只有使宏观经济政策连续实施,使居民充满信心的面对货币收益率和人民币的币值,才能降低公众对本币价值的疑虑,防范大规模地投机性货币替代现象产生。我国政府应施行反通胀政策,并提高本币的可信度,完善人民币远期外汇交易市场,减少本币的预期贬值率,从而保持人民币汇率水平的相对稳定。     

美元化的宏观经济政策效应分析和我国政府的防范措施

美元化是一种强势货币驱逐弱势货币的货币替代现象,本币的可兑换程度、国内金融市场的完善程度、本国的国民收入水平和财富水平、本外币真实收益率的差异及本币汇率是否高估等因素,都影响着美元化程度;美元化不仅弱化一国的财政政策的收入效应,还影响一国的货币政策的独立性及货币政策与汇率政策的协调性;在当前的经济环境下,我国美元化的趋势日益明显,为避免美元化对国内经济的冲击,我国必须在保持宏观经济稳定的基础上,进一步深化金融体系改革,并试行"目标区"的汇率形成机制。     

本币升值冲击与银行业危机——基于货币错配视角的中国经验

本文通过资产负债表分析框架构建了本币升值通过银行的资产负债表渠道引起银行危机的模型.结论认为本币升值与银行及其客户存在相当多的净外币资产型货币错配的情况下,如果本币升值幅度很大,则可能引起银行部门的危机.实证检验表明在人民币升值背景下我国商业银行因债权型货币错配造成的净值损失与银行无清偿能力风险指数呈正相关关系,这表明货币错配风险对我国商业银行的稳定性有不利影响.     

浅议银行汇率风险及其防范

一、汇率及汇率风险的成因汇率又称汇价、外汇牌价或外汇行市 ,即外汇买卖的价格。简单地说它是两国货币之间的相对比价 ,或者说是一国货币以另一国货币表示的价格。汇率是一个重要的经济变量 ,它是国与国经济之间最重要和最明显的联系中枢 ,同时也是各国政策制定者都非常关注的一个政策中介目标。而汇率风险 (又称外汇风险 )即指在一定时期内由于汇率的变化导致的银行资产、负债或收益的不确定性 ,一般指资产、收益的减少和负债、支出的增加。汇率风险产生的前提是持有或运用外汇 ,只有持有或运用外汇 ,才会发生本币与外币、外币与外币之间…     

货币替代理论研究述评

货币替代是开放经济中所特有的一种货币性扰动,它会对一国的经济金融形势产生严重影响,如货币政策的独立性和有效性受到影响、政府的财政税基遭到削弱、汇率波动频繁、国际收支失衡、减缓甚至阻碍该国货币的自由兑换进程等。随着中国经济高速增长以及人民币的强烈升值预期,我国出现了人民币正在逐步替代外币美元的反向货币替代现象,同样对我国经济造成了一系列的冲击。本文首先从货币替代的定义、形成机制、经济影响、防范风险的对策等方面对国外文献进行了理论综述;然后,分析了国内学者对货币替代理论的研究,特别研究了我国在目前背景下出现的反向货币替代现象;最后在对国内外货币替代理论文献综述的基础上,对将来的研究方向进行了展望。     

反向货币替代——人民币国际化进程中的考验与政策选择

同货币替代一样,反向货币替代也是开放经济下的一种货币性扰动,随着我国经济的高速增长以及人民币强烈的升值预期,中国出现了本币替代外币的反向货币替代现象.考察我国的反向货币替代现象,除了可以从货币替代的变化程度来看以外,还可以从我国企业和家庭的外币存款、央行的外汇占款、银行代客结售汇以及人民币周边化等方面进行分析.反向货币替代现象对中国经济的影响有其有利的一面,同时也有对中国目前的汇率制度和汇率水平带来冲击、妨碍货币政策的独立性并影响货币政策对宏观经济的效用等不利的一面.这就需要我国在推进人民币国际化的进程中,积极利用其促进人民币国际化的积极因素,同时又要防范反向货币替代的负面效应,以最大化人民币国际化的利益.     

货币错配与银行危机和货币危机

货币错配是新兴市场在经济全球化过程中所无法避免的问题,它具有净外币负债和净外币资产两种表现形式.在新兴市场中,只要其银行体系存在大规模的货币错配,不管表现为哪一种形式,都会增加其金融体系的脆弱性;而且在宏观或微观经济基本面恶化的情况下,可能引发银行危机甚至是货币危机.此外,当出现不利冲击时,银行体系中存在货币错配将会导致其资产和负债的期限错配进一步恶化.     

外汇储备收益率、币种结构和热钱

本文估计了2000—2006年中国外汇储备的收益率、币种结构和2003年后1流入中国的热钱数量。研究发现,2003年前外汇储备年平均收益率分别为4.8%,欧元资产比例大约为7.2%;2003年后欧元资产比例上升至26.7%,收益率在2.3%—2.5%之间。但是欧元比例上升主要原因是欧元升值,而不是由于中国政府大规模增持欧元资产。利用估计得到的收益率和币种结构,我们估算了热钱的数量,发现2006年上半年并没有热钱流入。     

Shortage and currency substitution in transition economies: Bulgaria, Hungary, Poland, and Romania

This paper examines currency substitution in Bulgaria, Hungary, Poland, and Romania during the end of central planning and transition to market economies. Before liberalization, central European economies faced increasing shortage and repressed inflation in the official sector. Households held substantial wealth in real assets and foreign currency. Furthermore, part of their savings was held as hunting money against potential opportunities to buy in bulk at bargain prices in official stores or pay a premium price on the black market. The shift from centrally-planned to market economies is modeled with a shortage variable. Foreign currency demand and consumption functions are estimated by the Johansen procedure. Environmental constraints play a key role in interpreting estimates. The official sector shortage is an important determinant of foreign currency demand in each country.     

Foreign currency debt, risk premia and macroeconomic volatility

This paper studies the relationships between foreign currency debt, macroeconomic volatility, and risk premia in a model of a small open emerging market economy. The external value of the local currency is counter-cyclical, so that foreign currency debt requires larger repayments than local currency debt in bad states of nature. The level of foreign currency-denominated debts, therefore, affects the volatility of aggregate demand and by extension of the exchange rate. Exchange rate volatility is in turn an important determinant of the risk premium on local currency debt. Finally, this risk premium is a major factor in the choice of local versus foreign currency for emerging market borrowers. The mutual endogeneity of foreign currency debt, risk premia, and macroeconomic volatility creates important feedback effects in the economy: small increases in international risk aversion may entail large amplification effects on macroeconomic volatility since domestic borrowers substitute towards cheaper but riskier foreign currency debt finance.     

An analysis of accounting measures on the performance of U.S. international corporations

Accounting measures (earnings and cash flow) have been shown to affect market performance (stock price) in U.S. firms operating domestically. In general, earnings have statistically significant explanatory power of stock price movement, albeit superior to cash flow. However, U.S.-based international corporations consolidate earnings from foreign operations. Consolidation can report significant gains (losses) from foreign transactions, as well as from the translation of foreign assets and liabilities, as currency exchange rates flucturate. Researchers are divided over the impact, if any, that such gains (losses) have on stock price. Indeed, gain (loss) is not realized until foreign currency is converted into the parent firm's functional currency. Foreign operations may accumulate assets and foreign currency even while U.S. exchange rates decline. Stock analysts may consider all currencyadjusted data to be unreliable and prefer simple data such as sales. Currency-adjusted accounting measures may or may not influence market performance.     

Extracting shadow exchange rates and foreign exchange premia during currency crises: an example from Egypt

We utilize high-frequency data and a novel synchronous trade-matching algorithm to show that shadow exchange rates could be estimated from price spreads between depositary receipts and their underlying local stocks using an example of the recent Egyptian currency crisis. These shadow rates reflect the local black market foreign exchange rates in addition to a foreign exchange premium, which we attribute to the cost of expatriating capital during currency and capital control periods.     

Internationalisation of the Renminbi as an Investing and a Funding Currency: Analytics and Prospects

This paper develops a three‐currency model to study the determinants of the demand for assets and liabilites denominated in an international currency and to shed light on the prospects for the renminbi as a budding international currency. We show that interest rate differentials would be only one of the factors shaping the renminbi's position, while other factors, including the correlation between foreign countries' economic growth and their bilateral exchange rates against the renminbi, and the correlation between exchange rates of the renminbi with other international currencies, would also be important. A broad interpretation of these findings is that the renminbi will likely be attractive to investors from high‐income economies and fund‐raisers from emerging market economies.     

中国外汇储备风险及优化管理探讨

高额外汇储备存在极大机会成本和潜在风险。后危机时代中国应借鉴国外多层次储备管理模式,合理控制外汇储备规模增长,优化储备资产及币种结构,注重外汇储备管理的风险控制。     

Exports and Indirect Hedging of Foreign Currency Risk

We present a model of a risk-averse competitive exporting firm under exchange rate risk. Direct hedging instruments are not available. However, there are domestic assets whose prices are correlated to the foreign currency. We consider a market for futures contracts in these domestic assets and investigate the firm's indirect hedging and export policy. It is shown that the availability of many financial instruments correlated with foreign exchange may, under some circumstances, provide the same results as a perfect hedge.
JEL Classification Numbers: F21, F31.     

美元短期走势分析

目前美元仍是各国外汇储备持有的主要资产,美国的货币和资本市场是世界上最具广度和深度的成熟市场之一,在未来相当长的时期里,美元资产仍将是包括中国在内的各国政府和民间对外投资的主要组成部分。美元贬值与世界经济走势并非经济基本面因素所致,美元走弱还属于货币当局“可控制的贬值”。高油价及通货膨胀的困扰,次级债危机的冲击使本来就不明朗的美国经济前景更加暗淡,无论是从美国的国内经济还是国际经济的基本面来分析,美元短期贬值已是大势所趋,无可挽回了。     

Currency Exposure to Downside Risk: Which Fundamentals Matter?

I study whether or not countries' macroeconomic characteristics are systematically related to their currencies' exposure to the downside market risk. I find that the currency downside risk is strongly associated with the local inflation rate, real interest rate and net foreign asset position. Currencies of countries with high inflation and real interest rates and negative net foreign asset position (debtor countries) are more exposed to the downside risk whereas currencies of countries with low inflation and real interest rates and positive net foreign asset position (creditor countries) exhibit “safe haven” properties. The local real interest rate has the highest explanatory power in accounting for the cross‐section of currency exposure to the downside risk. This suggests that the high currency exposure to the downside risk is a consequence of investments in high‐yield risky countries and flight from them in “hard times”.