汇率宏微观属性下的均衡汇率问题反思——兼议人民币汇率稳定性

汇率决定理论大致可分为传统汇率决定理论、现代汇率决定理论和宏观经济均衡汇率理论三个阶段。这三个阶段理论的共同特点是,以均衡汇率为核心标准,评判一国汇率水平的合理性。文章从汇率宏观和微观属性的角度出发,对均衡汇率的理念与现实意义进行了重新审视和分析,并就人民币汇率稳定性提出相关参考意见。     

汇率传导、人民币升值与通货膨胀的关联度

经济开放度在汇率传导过程中起着重要作用,考虑经济开放度后,汇率调整对国内通货膨胀的影响显著增强。研究表明,进口依存度与汇率传导效应正相关,金融开放度与汇率传导效应负相关。通过构建模型,进行实证分析,结果显示,我国的原材料购进价格指数、生产者价格指数和居民消费价格指数与进口依存度、金融开放度和人民币汇率波动关系密切。在现阶段的宏观经济形势下,人民币合理适度的升值有助于缓解国内的通货膨胀压力,促进我国经济内外部均衡发展。     

Price Rigidity and the Selection of the Exchange Rate Regime

We evaluate and qualify Friedman's, 1953, “case for flexible exchange rates” in the presence of sticky prices in a two country model. We find that a flexible regime performs indeed better when the degree of nominal price rigidity is high while a bilateral peg does better when prices are fairly flexible. This result obtains independent of whether monetary policy is activistic or not and is mostly due to the negative relationship between employment and productivity shocks when prices are relatively sluggish (Gali, 1999). A unilateral peg tends to produce the lowest level of world welfare but it sometimes represents the best monetary arrangement for the pegger. JEL Classification Numbers: E32, E52, F33, F42     

The Importance of the Exchange Rate Regime in Limiting Misalignment

This paper explores how the choice of a country’s exchange rate regime may affect exchange rate misalignment for developing and developed countries. A measure of misalignment is obtained by using a panel cointegration vector estimator. This paper finds that for developing countries, an intermediate exchange rate regime (a regime falling somewhere between a pure float and a hard peg) is most effective in preventing exchange rate misalignment. Additionally, the choice of an exchange rate regime as a means to limit misalignment matters for developing countries, but does not seem to matter for developed countries.     

The Exchange Rate and the Monetary Transmission Mechanism in Germany

For the conduct of monetary policy under floating exchange rates it is important to understand the role of the exchange rate in the monetary transmission mechanism (MTM). The timing and the magnitude of the effects of a change in the exchange rate on output and inflation may be quite different from traditional interest rate channels, thereby affecting optimal policy. In this paper we examine the exchange rate channel in the MTM in Germany by estimating an identified VAR model. Two features of the results are highlighted. The effect of a policy shock on the exchange rate accelerates the pass-through of policy into prices and leads to a different response of the various components of GDP. We then show that these qualitative effects can be duplicated in a general equilibrium model for a semi-small open economy with sticky prices and wages that is calibrated to capture the main features of the German economy.     

现期人民币汇率应适度贬值

近期以来,美国以我国保持较长时期的国际收支顺差为由,强烈要求人民币汇率(RMB/^,下同)升值。笔者认为,人民币汇率升值只会使得投机者加剧对人民币汇率的升值预期,形成人民币汇率的不稳定性投机。长期保持人民币汇率稳定,不能刺激用来防范汇率风险的金融工具和相关的金融市场     

人民币汇率升值与资产价格泡沫的传导机制和实证研究

文章旨在研究具有资本流动和较低金融市场组织程度的开放经济体中,如果产生某些外部冲击而使得汇率升值,便会产生资产价格泡沫。在传导机制的理论模型推导中,以凯恩斯宏观经济模型为基础,通过模型推导得出实际汇率升值使得均衡收益率上升,股票资产需求迅速增加,进而导致股票价格的快速上涨,形成泡沫。然后通过对人民币汇率升值和上证A股股指变化进行实证研究,并考虑金融危机的影响因素,结果支持了文章的理论分析。     

新的人民币汇率形成机制下企业规避汇率风险的选择

新的人民币汇率形成机制下,央行继续维护人民币汇率在合理均衡水平上的基本稳定.但可以预见未来我国汇率的变化的频率将会加快、波动幅度将会扩大,进出口企业面临的汇率风险加大,企业应当通过加速出口产品的结构调整、拓展海外投资、充分利用现有的金融工具等几个方面规避日益增大的汇率风险.     

Assessing the Equilibrium Exchange Rate of the Malaysian Ringgit: A Comparison of Alternative Approaches

Drawing on the behavioral equilibrium exchange rate and the fundamental equilibrium exchange rate approaches, this paper assesses the equilibrium value of the real effective exchange rate of the Malaysian ringgit over the past 25 years. For 2005, when the Malaysian authorities exited from the peg with the US dollar, both models determine a slight undervaluation of the currency. Openness and real GDP per capita have been the main drivers of real exchange rate movements in the past, although non-tradable productivity, government consumption, and net foreign assets have also had a sizable impact. The paper also highlights the limitations of applying the two approaches in the context of emerging countries.     

Test of the Response of the Overnight Rate to the Real Exchange Rate: The Case of Korea,Hong Kong,and Singapore

Abstract

For Korea, the overnight rate responds positively to the inflation rate, the output gap, the lagged real exchange rate, and the lagged overnight rate and negatively to the current real exchange rate. For Hong Kong, the overnight rate reacts positively to the inflation rate and the lagged overnight rate and does not react to other variables. For Singapore, the overnight rate is affected positively by the output gap and the lagged overnight rate and is not influenced by other variables. Hence, interest rate rules for some industrialized countries may not apply to Korea, Hong Kong, and Singapore.     

The Effect of Exchange Rate on Bilateral Trade Balance: New Evidence from Malaysia and Thailand

This paper attempts to identify the major economic factors that influence the bilateral trade balances of Malaysia and Thailand with the US and Japan. To this end, an unrestricted VAR model was estimated using quarterly frequency data from 1980: I to 1996: IV. The Johansen results indicate a stable long-run relation between trade and three macro variables: exchange rate, domestic income and foreign income. The main findings of this paper are: (i) the real effective exchange rate is an important variable in the trade balance equation and devaluation improves the trade balances of both economies in the long-run; (ii) the other important variables that determine trade balance include domestic and foreign incomes; (iii) the results indicate no J-curve effect and causal run from exchange rate to trade balance, (iv) the real effects of devaluation are distributed over a period of eight to nine quarters.     

经济均衡视角的人民币利率与汇率联动关系

利率与汇率作为宏观经济调控的重要变量,理论上它们之间存在正反馈的联动关系。通过格兰杰因果关系检验与VEC模型发现,人民币利率与人民币汇率之间存在双向因果关系,但通过脉冲响应模型与方差分解分析发现,长期的联动效应要大于短期的联动效应,人民币利率对汇率的影响要大于人民币汇率对利率的影响。     

Central Bank Autonomy,the Exchange Rate Constraint and Inflation: The Case of Italy, 1970–1992

This paper analyzes the determinants of inflation in Italy over the period 1970–1992. Particular emphasis is placed on the role of central bank independence in influencing monetary growth, and on the role of monetary growth and of the Exchange rate Mechanism (ERM) in affecting inflation. In the 1970s and early 1980s, when the Bank of Italy lacked independence and the ERM was still not credible, monetary growth was highly unstable and was the main determinant of Italian inflation, although oil price and tax shocks also played a role. After the March 1983 general exchange rate realignment and the French U-turn, the ERM became more credible and monetary growth stopped being a significant determinant of inflation; instead, the German inflation became the main variable influencing Italian inflation.     

Singapore's Collective Bargaining in a Game of Wage and Exchange Rate Policies

In Singapore's system of tripartite collective bargaining, does the wage-policy maker consistently react optimally to the best move made by the exchange rate-policy maker (Nash-rule) or only to the state of economy (non-Nash rule)? This paper finds that the Nash-rule equilibrium is unstable and thus the non-Nash rule becomes more meaningful. Under the non-Nash rule, the simulated wage growth exhibits a counter-cyclical pattern and increases with the union of workers' bargaining power. The government's role appears to strike a balance between the interests of the employers' and the employees. Consistent with actual observations, the simulated exchange-rate appreciation has acted as a complement to wage growth from 1987 to 1995.

     

The Behavior of the Real Exchange Rate Under Fixed and Floating Exchange Rate Regimes

This article investigates the behavior of real exchange rates under fixed and flexible exchange rates. Using data from both the Bretton Woods and the modern floating periods, we decompose real exchange rate movements into components attributable to supply shocks, real demand shocks, monetary shocks, capital flows shocks, and real oil price shocks. Empirical results show that real demand shocks are an important source of real exchange rate movements under both fixed and flexible rates, while monetary shocks are negligible. Supply and oil price shocks seem to be more important under Bretton Woods, while capital flows shocks seem to explain a relatively higher proportion of real exchange rate movements under the modern floating period.     

The Determinants of Time‐Varying Exchange Rate Pass‐Through in South Africa

The pass‐through of shifts in the rand exchange rate to consumer price inflation has been well documented for South Africa. Although estimates of the absolute level of pass‐through vary, some studies document a decline in pass‐through over time. In order to better illuminate the policy implications of pass‐through, this paper seeks to add to the literature by decomposing pass‐through into a number of time‐varying impulses. This has the advantage of providing deeper insights of pass‐through over time and across various monetary policy regimes. We then analyse the determinants of time‐varying pass‐through. Our results confirm that pass‐through has declined over time but is subject to a stable and low inflation environment. We also show that a volatile exchange rate leads to higher pass‐through.     

人民币汇率形成机制改革方式研究

文章分析放弃人民币盯住美元汇率制度的理由,阐述人民币汇率制度不具备实行单独浮动的条件,也不宜使人民币完全盯住一篮子货币,中国人民银行公告以市场供求为基础的、参考一篮子货币进行调节、有管理的浮动汇率制度是可行的.