The Russian foreign exchange market: Achievements on the path to liberalization

The paper analyzes Russia’s macroeconomic conditions and main trends in its foreign exchange market under financial liberalization. Structural changes in the Russian foreign exchange market are juxtaposed with major trends and proportions in the world’s forex market such as swap and futures operations and the increased role of the single European currency in the economy and finances. In the examination of the initial results of the dual currency basket policy of the Bank of Russia, the accent is on the foreign exchange market infrastructure, i.e., exchange business, clearing and settlements, as a necessary condition for Russia’s integration into the world’s financial system.     

货币互换协议、金融市场与中国对外直接投资

基于2003-2018年169个国家的面板数据,文章利用多期双重差分方法探讨了货币互换协议对我国对外直接投资规模与密集度的影响,并通过PSM-DID方法和证伪检验对模型的稳健性进行验证。在此基础上,运用中介效应和调节效应检验方法对货币互换政策的金融市场作用机制进行分析。研究发现,货币互换协议对我国OFDI规模与密集度均有显著积极影响;预期汇率风险是货币互换协议促进我国OFDI的重要影响机制,中介传导而非调节效应是主要影响渠道,而利率市场的影响机制尚未发挥作用。在经济全球化和复杂的国际形势下,这一研究对我国进一步推动国家间金融领域深化合作和推进人民币国际化以畅通国内国际双循环具有重要参考价值。     

弱势美元背景下的中国资本账户开放

2006年以来,美元对国际主要货币的大幅贬值导致全球金融市场动荡,国际短期资本大量流向中国,威胁中国的金融安全,使中国有步骤推进人民币资本账户可兑换、促进跨境资金双向流动的计划受到挑战。中国需要继续完善市场经济体制,按照市场化原则稳步推进资本账户开放;采取盯住货币汇率制度、完善外汇市场等手段,促进人民币汇率的稳定和灵活;提升人民币的国际影响力,增强中国经济抵抗外部冲击的能力。     

浅析汇率波动下的外贸企业风险防范

自2005年7月21日我国汇率制度改革以来,人民币汇率已累计升幅超过7%。这使得我国出口产品的竞争力减弱,外贸企业的利润减少,抑制了出口积极性,同时也加大了外贸企业的外汇风险。因此,如何正确地认识外汇风险和较好地防范与化解外汇风险,如何保障企业的正常经营成果并赢得未来国际市场、进一步健康发展,是外贸企业一个亟待探讨和解决的问题。     

我国外汇占款影响货币供给的实证研究

近年我国外汇储备的持续增长,造成外汇占款大幅增长,最后引致货币供给增加。本文将对我国外汇占款对货币供给的影响作用进行实证分析,结果表明我国外汇占款和货币供给量M2之间存在稳定的均衡关系,我国外汇占款的巨剧增长,容易导致货币市场失衡。     

我国外汇储备对基础货币影响的实证研究

在我国现行的外汇管理体制下,作为本外币政策的连接点,外汇储备及其变动会改变我国基础货币的投放,增强货币供给的内生性,影响中央银行的调控能力。本文运用协整理论和自向量回归(VAR)模型进行实证研究,证明了外汇储备对基础货币具有显著的正向影响,长期协整关系的约束力较强。需要通过调节国际收支、进一步改革外汇管理体制以及发展公开市场操作等新的冲销手段等方式解决这一问题。     

Influence of macroeconomic factors on the Russian stock market

The article highlights approaches to estimating external factors having an impact on development of the Russian stock market. It contains different standpoints of international and domestic authors on this subject. The authors have tested the econometric EGARCH model in the article in order to evaluate the impact of various factors on the domestic stock market. The factors analyzed include the gross domestic product (GDP), US dollar exchange rate, euro/dollar ratio, net capital movement, and Brent oil free market price. The results of analysis show the heavy reliance of the dynamics of the Russian MICEX stock exchange index primarily on the oil price and US dollar exchange rate.     

国际贸易中计价货币选择的决定因素研究——基于微观视角的局部均衡分析

在既有的基于微观视角的包含两币的局部均衡模型中引入交易货币,发现国际贸易中计价货币选择的决定因素依次为:卖方市场结构、出口品差异化程度、出口国所占目标市场份额、其他出口商的计价策略和汇率的稳定性.在同质性商品的国际贸易中,计价货币的非同质性会导致货币垄断计价.其中,进口方货币的垄断计价地位较为稳定,出口方货币垄断计价情...     

Russia’s economic space: Currencies, oil, investment

An attempt is made to estimate the influence of the currency and oil factors on the volumes and distribution of investment flows to Russian regions. The emphasis is on a correlation analysis of the impact of changes in the values of nominal foreign exchange rates (the US dollar and the Euro) and the world prices of Urals crude oil on the dynamics of Russian and foreign investments in different regions and regional groups of Russia over a ten-year period (1995–2005). Significant intergroup differences in the degree of investment susceptibility to the currency and oil factors are brought to light, resulting from the country’s heterogeneous economic space, its mineral and labor resources, uneven development of its transport infrastructure, the energy spent by local authorities in attracting investments, etc.     

论超主权国际货币的构建对世界经济的影响

金融危机的不断发生暴露出现行的国际货币体系的诸多弊端和不足,构建超主权国际货币则是国际货币制度改革的方向。汇率的稳定以及国际储备资产价值的稳定对于一国国际经济的发展尤为重要,为此世界各国希望有一种有效的国际储备货币以减轻汇率波动所带来的负面影响,这种国际储备货币便是超主权货币。文章从国际货币体系对国际贸易和国际金融的影响方面进行了探讨,进一步分析了超主权国际货币的构建对世界经济的影响。     

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.     

Renminbi Going Global

The present paper evaluates the international status of the Chinese currency, the renminbi (RMB), by examining its use in the global market. Specifically, the discussion focuses on the recent developments of RMB trading in the global foreign exchange market, cross‐border trade settlement in RMB, the Hong Kong offshore market and China's policies relating to the RMB. The evidence suggests that the use of the RMB overseas, especially in trade financing and in the off‐shore market, has increased rapidly in recent years. However, compared with the size of the Chinese economy, the current scale of the use of the RMB is quite small. Although the RMB has great potential to become an international currency, its acceptance in the global economy is affected by both economic and political factors. Attaining a fully fledged international RMB is still a distant goal.     

Export and Strategic Currency Hedging

This paper examines an international Cournot duopoly wherein a home firm and a foreign firm compete in the home market under exchange rate uncertainty. The foreign exporting firm, being risk averse, has incentives to hedge its exchange rate risk exposure. In a two-stage setting, we show that hedging via an unbiased currency futures market acts as a strategic device. In particular, under either constant or decreasing absolute risk aversion, an increase in the hedging volume of the foreign firm promotes its exports and deters the home firm’s output. In contrast to the well-known full-hedging result in a perfectly competitive environment, we find that the foreign firm over-hedges for strategic reasons. Furthermore, the separation result from the hedging literature under perfect competition no longer holds in our duopoly framework, i.e., equilibrium output levels depend on the risk attitude of the foreign firm as well as the probability distribution of the spot exchange rate.     

Real exchange rate appreciation,resource boom,and policy reform in Myanmar

Over the six‐year period 2006‐11, the real exchange rate of the Myanmar kyat appreciated 200 per cent, resulting in the value of the US dollar in Myanmar falling to one‐third of its pre‐2006 level. While the resource boom is suspected to be the source of the real exchange rate appreciation, administrative controls on foreign exchange and imports had much more impact. Foreign exchange controls limited the convertibility of the kyat to foreign currencies and spurred negotiated transactions of foreign exchange outside the banking sector, hampering the foreign exchange market interventions of the government and Central Bank. Import controls repressed imports, aggravating excess supplies of foreign exchange. Relaxation of administrative controls is necessary for moderating currency appreciation.     

人民币国际化的现状、影响及未来货币政策取向

当前人民币国际化具有外汇储备的扩大、币值的稳定、金融市场的完善等许多有利的条件，同时也存在经济发展方式粗放、资本管制、美元惯性等诸多不利的条件。人民币国际化对货币政策可能会产生多方面的影响。由于货币政策具有溢出效应，同时考虑到利率市场化的影响，人民币国际化后货币政策的独立性将受到较大的冲击。人民币国际化对传导机制的影响表现在：由传统的信贷传导机制逐步转换为汇率传导机制，同时传导途径将进一步灵活化。由于存在货币替代，货币需求函数将变复杂且货币流量将更难以监控。在政策传导工具方面，准备金政策和再贴现政策效果将被削弱，而公开市场业务效果将增强。为了应对人民币国际化可能产生的影响，应当从加强对人民币的监督、完善利率与汇率机制、推进资本项目开放和合理搭配政策等方面采取对策来加以解决。     

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。     

An Investigation of the Value Relevance of Alternative Foreign Exchange Disclosures*

We demonstrate analytically and empirically that valuing a firm with foreign operations in the presence of exchange rate uncertainty requires information on the foreign operating cash flows disaggregated by currency and persistence. In particular, given consolidated earnings, investors need information on the exchange gain or loss on permanent foreign operating cash flows. We extend the model to show how the permanent foreign cash flows can be used to condition the change in the translation adjustment to make it value‐relevant; however, using the permanent foreign cash flows directly is superior for valuation purposes. The empirical tests support our hypothesis that the market response to exchange rate movements is sensitive to the relative magnitudes of revenues and costs denominated in each foreign currency in which a firm has transactions. Disclosure of cash flows by currency should enhance the valuation of firms with foreign operations.     

Optimal currency shares in international reserves: The impact of the euro and the prospects for the dollar

Foreign exchange reserve accumulation has risen dramatically in recent years. The introduction of the euro, greater liquidity in other major currencies, and the rising current account deficits and external debt of the United States have increased the pressure on central banks to diversify away from the US dollar. A major portfolio shift would significantly affect exchange rates and the status of the dollar as the dominant international currency. We develop a dynamic mean-variance optimization framework with portfolio rebalancing costs to estimate optimal portfolio weights among the main international currencies. Making various assumptions on expected currency returns and the variance–covariance structure, we assess how the euro has changed this allocation. We then perform simulations for the optimal currency allocations of four large emerging market countries (Brazil, Russia, India and China), adding constraints that reflect a central bank's desire to hold a sizable portion of its portfolio in the currencies of its peg, its foreign debt and its international trade. Our main results are: (i) The optimizer can match the large share of the US dollar in reserves, when the dollar is the reference (risk-free) currency. (ii) The optimum portfolios show a much lower weight for the euro than is observed. This suggests that the euro may already enjoy an enhanced role as an international reserve currency (“punching above its weight”). (iii) Growth in issuance of euro-denominated securities, a rise in euro zone trade with key emerging markets, and increased use of the euro as a currency peg, would all work towards raising the optimal euro shares, with the last factor being quantitatively the most important. J. Japanese Int. Economies 20 (4) (2006) 508–547.     

Multinationals, Hedging, and Capital Structure under Exchange Rate Uncertainty

This paper examines the interplay of the financing and hedging decisions of a risk-averse multinational firm having a wholly-owned foreign subsidiary. Exchange rate risk management of the multinational firm is shown to have direct impacts on its international capital structure decision and on its currency of denomination decision. If a currency forward market exists, the multinational firm will devise its international capital structure so as to minimize the global weighted average cost of capital. Or else the multinational firm has to rely on a money market hedge through issuing more foreign currency denominated debt and less domestic currency denominated debt, thereby resulting in a higher global weighted average cost of capital. JEL Classification Numbers: D81, F23, G32