日本银行对外汇市场的介入

一、日本的外汇储备 根据国际货币基金组织(IMF)的统计,至2003年4月30日止,世界外汇储备最多的国家和地区依次为:第一位是日本,4923亿美元;第二位是中国大陆,3217亿美元(2003年3月末);第三位是欧共体十二国,2552亿美元;第四位是中国台湾,1712亿美元.     

Efficient market implications for foreign exchange exposure management

Summary Under the hypothesis of efficient foreign exchange markets, the validity of the Purchasing Power Parity theorem may take care of the company’s uncertainty with respect to the mean value of its foreign currency portfolio. The remaining uncertainty, i.e. the variance of the value of the foreign currency portfolio around its mean, can be reduced by hedging. Assuming efficient markets, the expected cost of hedging is equal to the transaction costs incurred. Taking into account the low cost of hedging, one can substantially reduce the foreign exchange risk at a relatively low cost. Hedging should be used more extensively than is common practice.     

Pricing of foreign exchange risk and market segmentation: Evidence from Pakistan's equity market

This paper undertakes empirical analysis to investigate whether foreign exchange rate risk is priced, and the extent to which the Pakistani equity market is integrated into world equity markets. For the period January 1993–January 2013, we investigate unconditional pricing using the iterated generalized method of moments, employing industry and size portfolios formed from 180 firms traded on the Karachi Stock Exchange. Using the multi beta asset pricing model, we find that exchange risk is priced into the Pakistani equity market over the full sample period. Moreover, we find strong evidence that the Pakistani equity market is segmented from world markets, especially in the post 9/11 period.     

Empirical evidence on foreign exchange market intervention: Where do we stand?

Zusammenfassung Empirische Befunde zur Intervention auf den Devisenm?rkten. Wie ist der Stand der Dinge? — Die Autoren geben einen überblick über 15 empirische Studien, in denen die Ziele untersucht werden, die die Zentralbanken bei ihren Interventionen auf den Devisenm?rkten verfolgen. Die neueren Studien gehen über die übliche Verifikation des “leaning against the wind”-Verhaltens hinaus. Es zeigt sich, da\ die interventionistischen Reaktionen davon abh?ngen, ob sich eine W?hrung aufoder abwertet und ob sie im Vergleich zur Kaufkraftparit?t überoder unterbewertet ist. Au\erdem werden zehn empirische Studien, die die Wirksamkeit von Interventionen untersuchen, betrachtet. Anscheinend haben nur Interventionen mit einem ausreichenden Informationsgehalt eine Chance, den Wechselkurs zu beeinflussen.

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Résumé Des preuves empiriques sur l'intervention au marché des changes: où est-ce que nous nous trouvons? — Dans cette étude les auteurs font un aper?u de 15 études empiriques exécutées pour déterminer quels buts les banques centrales ont poursuivi avec leurs interventions au marché des changes. Les études les plus récentes ont réalisé plus que la vérification du comportement ?leaning against the wind?. On trouve que les réactions des banques centrales en fa?on d'une intervention dépendent de la direction que le cours du change va prendre (réévaluation ou déévaluation) et de la disparité entre le cours du change et la parité du pouvoir d'achat. En plus on a réexaminé 10 analyses empiriques concernant l'efficacité de l’intervention. Seulement les interventions qui contiennent beaucoup de nouvelles semblent avoir une chance d'influencer le taux de change.

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Resumen Evidencia empirica de la intervención en el mercado de cambios: ?dónde estamos parados? — Este trabajo pasa revista a quince estudios empiricos que han sido llevados a cabo con el fin de determinar qué objetivos persiguem los bancos centrales con sus intervenciones en el mercado de cambios. Los estudios mas recientes van más alla de la usual verificación de un actividad “en contra del viento”. La respuesta en forma de intervención resullta depender de si una moneda se encuentra en una revaluation o en una devaluación y de si esta subo sobrevaluada con respecto a la paridad del poder de compra. Además, se revisan diez investigaciones empiricas sobre la efectividad de la intervención. Sólo intervenciones que incorporan un contenido de informaciones suficiente parecen tener una oportunidad de afectar a la tasa de cambio.

     

Elasticity pessimism,expectations, and stability of the foreign exchange market

Conclusions This note has shown that, when trade volumes do not respond sufficiently to deviations from equilibrium of the exchange rate, and when speculative demand for foreign currency is assumed to be a stock demand, the dynamic stability of the foreign exchange market depends crucially on expectational assumptions. Of the expectational assumptions investigated here, only perfect myopic foresight is capable of providing dynamic stability, and then only when the sensitivity of speculators to capital gains is larger than a threshold value determined by other parameter values in the system.     

What has foreign exchange market intervention since the Plaza Agreement accomplished?

We review the conduct and scale of official intervention by monetary authorities in the U.S.A., Japan, and West Germany since the Plaza Agreement. Relative to trading volume and the stock of internatonally traded assets denominated in foreign currencies, intervention is small-scale and sporadic, hence at best limited to transitory effects. It does not appear to reduce volatility of daily exchange rates. Monetary authorities gamble that they will not suffer losses on their foreign currency holdings. Evidence in favor of sterilized foreign exchange market intervention as a way of conveying information to the private sector is far from convincing. Since changes in relative monetary growth rates are sufficient to alter bilateral exchange rates, monetary authorities can achieve their exchange rate preferences with domestic monetary policy, but at the cost of possible distortionary effects on monetary growth rates, domestic interest rates, and international capital flows.     

Exchange rate uncertainty and the efficiency of the forward market for foreign exchange

Exchange Rate Uncertainty and the Efficiency of the Forward Market for Foreign Exchange. — The paper investigates to what extent exchange rate uncertainty can account for the observed deviations from the forward market efficiency hypothesis (FMEH). The empirical analysis employs a simple varying parameter regression to allow uncertainty to modify the central parameters of the FMEH in a direct way. Uncertainty is proxied by significant exchange rate changes. The results indicate that there is considerable support for the FMEH if one allows the intercept term to vary over time.     

The Russian forex market: Moving toward world standards

Russian foreign exchange statistics have some unique features regarding the calculation of metrics describing market size and structure. Every three years, there is an opportunity for comparing forex markets in different countries, when the Bank for International Settlements (further, BIS) issues a report, “Foreign Exchange and Derivatives Market Activity,” which describes key indicators and trends of the global forex market. Thanks to its latest report, published in September 2007 [1], one can assess the consequences of liberalization of the Russian foreign market and to determine the extent to which its trends match global ones. Comparisons with BIS statistics as a whole and with individual countries will show how close Russia, aspiring to the full convertibility of the ruble, has come to world standards not only in terms of liberalization of capital movements but the forex market size, structure, and technologies.     

外汇储备对我国经济发展的影响

近年来,中国的国际收支连年保持巨额顺差态势,外汇储备额也随之大幅度增长.我国是一个处于经济高速增长和体制转轨时期的发展中大国,面对外汇储备的高速增长形势,高额的外汇储备对中国经济的发展引起人们的关注.高额外汇储备对我国经济发展的影响,可从两方面来认识.积极的有益处的:外汇储备充足,有利于人民币汇率稳定,增强国际清偿能力;有利于应对突发事件,防范金融风险.负面的影响是:高额外汇储备,有较高的汇率风险;高额外汇储备,使我国承担着高额的机会成本损失等.     

Application of the Tobit model with autoregressive conditional heteroscedasticity for foreign exchange market interventions

In this empirical study, we apply the Tobit-GARCH model to investigate the intervention function of the Bank of Japan (BoJ) in the JPY/USD exchange market. The proposed model has the advantage of handling intervention data with both a majority of zero observations and conditional heteroscedasticity. Thus, the model provides better estimates of the intervention function than such conventional models as the standard Tobit, OLS, Probit, and traditional GARCH models. Results show that the intervention behavior of the BoJ is affected more by its half-year long-term target than its previous-day short-term target, and the BoJ generally follows the policy of “leaning against the wind”. The US-JP interest rate spread was never a trigger of BoJ's interventions during the sample period. The BoJ did not respond to the domestic stock index by the sales-intervention of the JPY, even when the economy was sluggish during the lost decade (1992–2004). However, its intervention behavior was significantly affected by U.S. interventions and was significantly persistent across some of the periods.     

Risk,efficiency and speculation in the 1920s foreign exchange market: An overlapping data analysis

Zusammenfassung Risiko, Effizienz und Spekulation auf dem Devisenmarkt der 20er Jahre: Eine Analyse mit überlappenden Daten. — Die Autoren überprüfen die Hypothese der effizienten M?rkte für die Zwischenkriegszeit mit ihren floatenden Wechselkursen und benutzen dabei w?chentliche Daten für Kassakurse sowie Terminkurse der Ein-Monats- und Drei-Monats-Frist. Im Gegensatz zu einer Anzahl anderer Forscher zeigen sie unter Verwendung sowohl von Standard-Orthogonalit?ts-Tests als auch einer Vektor-Autoregressionstechnik, da\ die Hypothese effizienter M?rkte für die betrachtete Periode strikt zurückzuweisen ist. Da diese Hypothese auf die Hypothese der Risiko-Neutralit?t und der Rationalit?t zurückgeht, versuchen die Autoren zu ermitteln, ob die Hypothese deshalb zurückgewiesen werden mu\te, weil die Akteure auf den Devisenm?rkten eine Risikoscheu zeigten. Dabei verwenden sie ein spezielles Risikopr?mien-Modell.

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Résumé Risque, efficience et spéculation au marché des changes dans les années {dy1920}: Une analyse avec des données croisées. — Les auteurs examinent la validité de l’hypothèse des marchés efficients concernant l’expérience avec les cours de change flottants entre les guerres en utilisant des données hebdomadaires du marché au comptant et des marchés à terme (un mois et trois mois). Contrairement à d’autres chercheurs, les auteurs démontrent, en utilisant des tests standardisés d’orthogonalité et une technique d’autoregression de vecteur que l’hypothèse des marchés efficients doit être rejetée pour cette période. Comme cette hypothèse reste sur les hypothèses combinées de la neutralité de risque et de la rationalité, les auteurs essaient de trouver, en utilisant un modèle spécifique pour la prime de risque, si la rejection est due aux transacteurs qui reculent devant le risque au marché des changes.

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Resumen Riesgo, eficiencia y especulación en el mercado de cambios de los anos 20: un análisis de datos sobrepuestos. — En este trabajo se reexamina la validez de la hipótesis de mercados eficientes para la experiencia con tasas de cambio flotantes en el periodo de entreguerra, utilizando datos semanales del mercado spot y de las tasas a término para uno y tres meses. A diferencia de una serie de otros investigadores, se demuestra que la hipótesis de mercados eficientes es rechazada para el periodo estudiado, utilizando tests estándar de ortogonalidad y una técnica de autoregresión vectorial. Como esta hipótesis es una hipótesis conjunta de neutralidad frente al riesgo y de racionalidad, utilizando un modelo especial de sobretasa por riesgo, se intenta determinar si el rechazo se debe a la actitud adversa al riesgo por parte de los participantes en el mercado de cambios.

     

基于外汇储备角度的对外直接投资

国际收支双顺差是我国外汇储备的来源。巨额的外汇储备有很多负面影响，从经济上来看，是极不合算的。按目前的趋势看，我国外汇储备将继续增加。在此情况下。开展我国的对外直接投资无疑是一种较好的选择。     

Preference erosion and market access liberalization: the African dilemma in multilateral negotiations on agriculture

African countries, especially sub-Saharan ones, have conflicting interests in multilateral negotiations on agriculture. On the one hand, their economies may be boosted by the price effect induced by agricultural liberalization. On the other hand, multilateral tariff cuts will result in the erosion of preferential margins. Based on an original methodology, using CGE modeling, detailed tariff calculations and predictive analysis, this paper investigates the potential impact of current multilateral negotiations on the value of preferences for African agriculture. It estimates the preferential value to USD 0.7 billion of welfare and USD 1 billion of exports to the Triad markets. Furthermore, it highlights the “cruel dilemma” African countries face in current negotiations, as they gain from ambitious trade liberalization, despite the large preferential erosion, while they suffer from noticeable trade and welfare losses under conservative scenarios.

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     

The stock market and the ringgit exchange rate: a note

This paper presents and tests an augmented monetary model that includes the effect of stock prices on the bilateral exchange rates. The model is applied to the ringgit/US dollar (RM/US) and ringgit/Japanese yen (RM/JY) exchange rates. The empirical analysis is conducted by the Johansen method of cointegration. Using the data from the recent float that ends with 1996:Q4, the study is motivated, among others, by an interesting preliminary finding that although the augmented monetary model is cointegrated, it is subject to parameter instability and that the parameter time dependency can be attributed at least partly to a particular subset of the variables in the system including stock prices. We find that a restricted VAR model which imposes exogeneity restrictions on I(1) variables, such as stock prices, among others, exhibits both cointegration and parameter stability. In addition, we demonstrate that exchange rate adjusts to clear any disequilibrium in the long-run relationship. The empirical findings tend to suggest that the equity market is significant in affecting the exchange rate and in explaining at least in part the parameter instability evidenced in the cointegrating system. Hence, we conclude that models of equilibrium exchange rate should be extended to include equity markets in addition to bond markets.