Dynamic Currency Linkages and Their Determinants: An Empirical Study for East Asian Economic Community Region

In this article, Copula GARCH models have been employed to study the inter-temporal process of currency market co-movements between ASEAN+6 countries (referred to in this study as East Asian Economic Community) and ASEAN+6 currency market index. Empirical results show that the sample countries of the region exhibit varying levels of currency co-movements with the Asian benchmark. Markov regime switching results show that many of the countries which had high dependences with the regional currency index as was found in copula estimations had also overlapping currency market cycles. Using Principal Component Analysis, we find that three statistical factors explain exchange rate co-movements which came out to be trade linkages, economic risk, and currency market openness in our dynamic panel data estimation.     

人民币在东亚区域货币“锚”效应及其影响因素研究

本文运用状态空间模型的时变参数回归,测度2005年7月21日-2018年9月30日不同阶段人民币在东亚区域的货币"锚"效应,并利用变截距固定效应面板模型对人民币在东亚区域内货币"锚"效应的多重影响因素进行分析。研究表明,美元在东亚区域内货币"锚"效应略有下降,但仍然难以取代;欧元和英镑在东亚区域内货币"锚"效应下降很大;而日元近几年在东亚区域内货币"锚"效应显著提升;人民币在东亚区域的货币"锚"效应自2010年以来显著提升,大部分时期已经接近美元的水平,但很容易受国际经济形势和突发事件的影响。东亚其他国家和地区与中国大陆的经济增长率差异、通货膨胀率差异、利率差异,东亚其他国家和地区对中国大陆产品市场依赖程度和人民币国际化程度都对人民币在东亚区域发挥"锚"效应有显著影响。其中,东亚其他国家和地区与中国大陆经济周期同步性、东亚其他国家和地区对中国大陆产品市场依赖程度和人民币国际化程度是推动人民币在东亚区域内货币"锚"效应提升的最主要因素。     

中国货币互换协议的动因分析

本文将我国货币互换协议的历程划分为三个时段,对其背后的动因进行了分析,揭示出:(1)次贷危机前的动因主要是,寻求亚洲区域合作,增强抵御外来冲击的能力,促进区域经济发展;(2)次贷危机中的动因主要是,提供短期流动性,稳定市场预期和信心,促进对外贸易和投资,防止经济增长放缓;(3)次贷危机后的动因侧重于推动人民币国际化、促进经济增长。三个时段的动因带有历史承接性,但又体现出一定的"时变性"。另外,与美国同期对比后发现,我国中央银行对货币互换协议进行了期限上的创新以将其用于对外贸易、投资,并兼顾人民币国际化,从而多元化了其目标。     

新兴市场国家外汇储备适度规模研究

本文基于外汇储备的职能划分外汇储备的需求层次,建立了外汇储备适度规模测算模型,选取了中国、巴西、俄罗斯、印度、南非五个金砖国家作为新兴市场国家的典型代表,力图通过研究这五个金砖国家的外汇储备适度规模问题,从这一新角度界定新兴市场国家外汇储备适度规模区间,为新兴市场国家外汇储备管理提供有益的参考。实证研究中,通过测算金砖国家2000-2010年的外汇储备适度规模区间,我们发现以"金砖国家"中国、俄罗斯、巴西为代表的一些新兴市场国家的外汇储备逐渐偏离适度外汇规模上限;同时以南非为代表的一部分新兴市场国家,外汇储备水平一直处于不足的状态;而印度良好的外汇储备管理政策使得其外汇储备量一直保持在适度规模区间内。最后,针对各个新兴市场国家外汇储备处于的不同状态,我们提出了相应的政策建议。     

中俄两国实现本币结算的影响分析

2010年3月,全国＂两会＂期间公布的＂十二五＂规划纲要明确提出了＂十二五＂期间重点推进长吉图经济区经济发展的要求。长吉图地区毗邻俄罗斯,中国的市场、人力和技术优势与俄罗斯的资源优势相结合,使得两国经济具有很强的互补性,因此,中俄贸易将成为推动长吉图地区发展的重要动力。2010年11月23日,中俄两国总理宣布,双方决定使用本国货币实现双边贸易结算,在这一背景下本文探讨了如何改变两国本币结算额偏低现状、促进两国贸易发展,以及本币结算对两国的影响,并提出了相应建议。     

The scapegoat theory of exchange rates: the first tests

The scapegoat theory of exchange rates (Bacchetta and van Wincoop, 2004, Bacchetta and van Wincoop, 2013) suggests that market participants may attach excessive weight to individual economic fundamentals, which are picked as “scapegoats” to rationalize observed currency fluctuations at times when exchange rates are driven by unobservable shocks. Using novel survey data that directly measure foreign exchange scapegoats for 12 exchange rates, we find empirical evidence that supports the scapegoat theory. The resulting models explain a large fraction of the variation and directional changes in exchange rates in sample, although their out-of-sample forecasting performance is mixed.     

后危机时代全球货币冲突的理论、实践与影响

全球金融危机已使世界经济陷入衰退,为应对危机许多国家都寄希望于通过本币贬值来提振经济。随着美国量化宽松政策的轮番实施,发达国家以及南美和亚洲等新兴经济体相继卷入货币冲突,而中国就处于冲突的中心。全球货币冲突如果进一步演变为全球货币竞争性贬值,对世界经济和中国经济都将产生难以估量的影响,因此,有必要进行深入的研究。为此,本文分析了开放经济条件下全球货币冲突的理论根源、实践及其影响,并由此提出了中国的应对之策。     

货币错配与经济金融稳定:亚太经验比较分析

中国的汇率制度改革使得在盯住汇率制度下积聚的巨大货币错配风险逐渐暴露出来.货币错配是否会影响经济金融稳定,本文通过对亚洲金融危机、日本经济衰退以及本世纪以来亚洲新兴市场国家的累积的新风险进行梳理、比较与分析,得出净外币负债型货币错配与净外币资产型货币错配在一定的条件下都会影响经济金融稳定.     

Google Internet search activity and volatility prediction in the market for foreign currency

I study whether evolution in the number of Google Internet searches for particular keywords can predict volatility in the market for foreign currency. I find that data on Google searches for the keywords economic crisis + financial crisis and recession has incremental predictive power beyond the GARCH(1,1). These results support the mixture of distributions hypothesis in that volatility is linked to the stochastic rate at which information flows into the marketplace. These results also demonstrate the potential for Google to become a storehouse of information for financial markets.     

Foreign investment with inflation-linked securities: A natural hedge under Fisher theory?

All foreign holders of U.S. dollars currencies face significant risk of unfavorable currency exchange movements, proportional to the amounts they hold. Some of these risks can be hedged to an extent, but the costs of doing so can be significant, and errors in execution or maintenance of the hedges can cause serious capital losses. Today the vast holdings of China and others creates currency risk on an unprecedented scale. China alone now has a total in excess of a trillion (1 × 10¹²) U.S. dollars, which makes traditional approaches to hedging problematic at best.¹ This paper analyzes the potential hedging effectiveness of investing foreign dollar holdings in U.S. inflation-indexed securities under Fisher's Identity. To the extent that Fisher's Identity and its derivative theories hold, foreign investors can effectively protect the purchasing power of their dollar balances, and earn an assured rate of return. Investment in inflation-indexed securities does not incur the additional expenses that swaps and currency hedges do.     

Frequency of observation and the estimation of integrated volatility in deep and liquid financial markets

Using two newly available ultrahigh-frequency datasets, we investigate empirically how frequently one can sample certain foreign exchange and U.S. Treasury security returns without contaminating estimates of their integrated volatility with market microstructure noise. Using the standard realized volatility estimator, we find that one can sample dollar/euro returns as frequently as once every 15 to 20 s without contaminating estimates of integrated volatility; 10-year Treasury note returns may be sampled as frequently as once every 2 to 3 min on days without U.S. macroeconomic announcements, and as frequently as once every 40 s on announcement days. Using a simple realized kernel estimator, this sampling frequency can be increased to once every 2 to 5 s for dollar/euro returns and to about once every 30 to 40 s for T-note returns. These sampling frequencies, especially in the case of dollar/euro returns, are much higher than those that are generally recommended in the empirical literature on realized volatility in equity markets. The higher sampling frequencies for dollar/euro and T-note returns likely reflect the superior depth and liquidity of these markets.     

Gaining a competitive edge through acquisitions: Evidence from the telecommunications industry

I study the announcement effects of all acquisitions in the recent telecom wave on both the acquirers and their industry competitors. I find evidence of negative rival returns (? 0.55%, t-stat = 2.47) by focusing on non-horizontal acquisitions where rivals are less susceptible to experience positive returns due to increased market power or expectation that some will become future targets themselves. I find that this effect is worse for closer rivals defined as having similar size and being in the same primary service area as the acquirer. Competitor returns are positively correlated with those of the acquirers suggesting that the negative impact experienced by competitors is driven by acquisitions in which the acquirer itself is earning negative abnormal returns. Results are broadly consistent with the Competitive Advantage Hypothesis that posits acquisitions are a means of corporate restructuring in a changing environment, awarding the acquirer a competitive edge and thereby making these acquisitions costly for their non-merging competitors.     

The Asian Currency Unit (ACU): exploring alternative currency weights

While most observers concur that the time is not ripe for Asia to consider a common currency, there has been some discussion about the possible creation of an Asian Currency Unit (ACU). This paper examines the specific issue of the ACU which, in a general sense, is a weighted average of regional currencies á la the European Currency Unit (ECU) which was created in March 1979 under the European Monetary System (EMS). The paper critically examines the rationale for the ACU proposal and offers an initial attempt at computing optimal currency composition of the ACU. The optimal basket weights computed are aimed at ensuring a regional currency basket that has minimal variance. Hence it will deliver stability in intra-regional exchange rates for alternative configurations of currency baskets in the Asian and Pacific region.     

The effect of Sarbanes-Oxley on the timely disclosure of restricted stock trading

Our paper investigates the effect of the Sarbanes-Oxley Act (SOX) on the disclosure timeliness of restricted stock trading. Insiders selling restricted stock are required to file a Form 144 because the stock is restricted and also a Form 4 because they are an insider. We confirm that mandatory filing requirements under Section 403 of SOX reduced the Form 4 disclosure delay for restricted stock transactions from 24 days in the pre-SOX period to the mandated 2 days in the post-SOX period. Although SOX did not mandate changes to Form 144 filings, we expect that disclosure timeliness of Form 144 filings is likely impacted by SOX. We find that Form 144 filings of restricted stock sales have become less timely. In the post-SOX period, Form 144, the intent to sell restricted stock, is almost always reported after the Form 4 disclosure of the executed trade. Thus, an unintended consequence of SOX is that by making the Form 4 filing more timely than the Form 144, market participants will know about a trade sooner, but have less information about the type of equity traded. An implication of this finding is that Section 403 of SOX may not have unambiguously improved investor protection as intended.     

The Effects of Regional Integration in Central Asia

Since gaining independence, Central Asian countries have created and joined many regional economic organizations. It is not clear whether these organizations, especially the Eurasian Economic Community (EurAsEC), have boosted integration of this region. In this paper, I conclude that exports of Central Asian countries have benefited from integration but EurAsEC has failed to live up to the expectations of its member states. This is due mainly to the different levels of economic development, defective industrial structures, and poor marketization in EurAsEC member states. At present, an initial market-based trade integration network has formed in Central Asia and has had excellent accomplishments, but the governments of Central Asian countries have still not realized the network's function and advantage.     

中国与东南亚国家贸易潜力及影响因素研究——基于随机前沿引力模型

运用时变随机前沿引力模型和贸易非效率模型,以1998-2016年中国及东南亚九个国家面板数据为样本,测度中国对东南亚国家出口贸易潜力,并分析其主要影响因素。结果表明：1998-2016年中国对东南亚国家出口贸易潜力呈现先上升后下降趋势,依然有较大提升空间,中国对东南亚国家出口贸易潜力差异较大。航空运输货运量、货币自由度、财务自由度、商业自由度及世界贸易组织成员国均对出口贸易非效率具有显著的影响。     

人民币汇率波动对我国与东亚地区双边贸易影响的实证研究

国际金融危机过程中,东亚部分国家和地区货币竞相贬值以促进出口的做法使得国内要求人民币贬值的呼声甚高。实证结果表明,中国与东亚地区收入水平差距、市场经济化程度以及商品价格水平拉大将导致双边贸易收支的扩大,而人民币相对汇率的升值将缩小中国与东亚地区的双边贸易收支。与此同时．人民币汇率波动对中国与东亚地区贸易收支的影响还存在着国别（地区）效应。对于中国而言,在努力扩大出口的同时应兼顾国家发展战略,坚持产业升级、慎用货币贬值措施,并应通过多次、小幅升值的方式保持人民币的强势地位。     

Currency momentum,carry trade,and market illiquidity

This study empirically examines the effect of equity market illiquidity on the excess returns of currency momentum and carry trade strategies. Results show that equity market illiquidity explains the evolution of currency momentum strategy payoffs, but not carry trade. Returns on currency momentum are low following months of high equity market illiquidity. However, in the recent decade, illiquidity positively predicts the associated payoffs. The findings withstand various robustness checks and are economically significant, approximating in value to one-third of average monthly profits.     

Time to equilibrium in exchange rates: G-10 and Eastern European economies

This paper reports different times-to-equilibrium for G-10 developed economies and the Eastern European emerging economies. By applying a novel method of value-weighted index to highly-trade-linked economies, we test the purchasing power parity to the full length of time-to-equilibrium. The times-to-equilibrium obtained are: 6 years for developed and 2 years for emerging economies. These results are consistent with the sticky price hypothesis: economies trading in highly aggregated capital goods take longer time to reach price equilibrium in the face of overshooting exchange rates: the opposite is true for primary exporters. This finding is new for these two groups, and could be compared usefully with the earlier reports of long half-life for developed countries. Also, our method of measurement establishes the actual time of the theory prediction on price-to-currency relationship. It is possible to apply this methodology to study more groups of countries.     

Risk management implications of time-inconsistency: Model updating and recalibration of no-arbitrage models

A widespread approach in the implementation of asset pricing models is based on the periodic recalibration of its parameters and initial conditions to eliminate any conflict between model-implied and market prices. Modern no-arbitrage market models facilitate this procedure since their solution can usually be written in terms of the entire initial yield curve. As a result, the model fits (by construction) the interest rate term structure. This procedure is, however, generally time inconsistent since the model at time t = 0 completely specifies the set of possible term structures for any t > 0. In this paper, we analyze the pros and cons of this widespread approach in pricing and hedging, both theoretically and empirically. The theoretical section of the paper shows (a) under which conditions recalibration improves the hedging errors by limiting the propagation of an initial error, (b) that recalibration introduces time-inconsistent errors that violate the self-financing argument of the standard replication strategy. The empirical section of the paper quantifies the trade-off between (a) and (b) under several scenarios. First, we compare this trade-off for two economies with and without model specification error. Then, we discuss the trade-off when the underlying economy is not Markovian.