我国货币政策的资本市场传导机制

我国资本市场经历了多年的快速发展,我国整个金融的大环境也发生了巨大变化,货币政策的传导机制不再呈现出单一的性态,资金流动已经由原来的银行部门与实体经济部门之间扩大到货币市场、资本市场与实体经济部门之间。资本市场对国民经济的稳健运行影响越来越大。本文通过研究我国资本市场对货币政策传导机制的影响,指出资本市场对货币政策传导机制产生的影响,并给出相应的政策建议:转变传统货币政策目标、货币政策操作多关注资本价格、疏通货币政策资本市场的传导机制提高货币政策的传导机制。     

外汇市场压力、国际资本流动与国内货币市场均衡——基于中国数据的实证研究

本文首先建立外汇市场压力、国际资本流动与国内货币市场均衡状况的理论模型,分析了三者之间的理论关系。进而通过LS、ECM、Johansen协整和State-Space等方法估算出1996年1月至2009年9月的外汇市场压力、国内货币市场均衡状况和国际资本净流动,然后采用VAR模型分析了三者之间的动态关系。最后得出结论如下:国际资本净流入时,我国外汇市场压力为正(人民币升值压力),同时我国货币市场会出现短暂的超额供给。     

外汇市场与一般商品市场传导关系的理论探讨

外汇市场与一般商品市场的传导关系基本上表现为本币在这两个市场之间的流动，具体有两方面传导行为：一是一般商品市场物价上涨，拉动本币从一般商品市场向外汇市场流动的行为机制，产生传导效应，出现“本币对外贬值，物价平抑”的现象；二是外汇市场本币贬值，拉动本币从外汇市场向一般商品市场流动的行为机制，产生传导行为，引发“本币对外升值，对内贬值”。１９９４年我国实行以人民币汇率并轨为核心的新的外汇管理制度后，外汇市场与一般商品市场的传导关系表现为外汇市场对一般商品市场的强势、持续传导，因此增加了通胀压力。缓解通胀的主要策略措施为制动策略措施和催动策略措施。     

外汇储备对我国经济的影响

外汇储备是显示一个国家经济货币合国际收支等实力的重要指标一国保持适当的外汇储备,不但可以保持本国经济的稳定,而且对外汇市场与货币市场的稳定甚至本国的经济安全的作用也是巨非常大的。本文对当今我国高额外汇储备的构成、影响进行了剖析,并对在新形势下如何有效地解决高额外汇储备的问题谈些粗浅的看法。     

放松资本控制进程中利率市场化和汇率制度弹性化

（一）放松资本控制、利率市场化和汇率制度弹性化相互制约、相互促进 第一，利率市场化是资本自由流动的基本前提。如果利率不能市场化，则无法通过降低利率抑制大量资本流入，也不能借助利率上升阻止资本外逃。在货币市场上，同业拆借利率是中央银行基准利率和商业银行利率之间最重要的传导机制，中央银行既可以根据同业拆借利率，调整基准利率，引导市场利率又可以通过变动基准利率引导同业拆借利率水平，以此增加和减少对金融机构的资金头寸，调控货币供应量。而同业拆借利率的变动又会直接影响到外汇市场上短期汇率的确定，也会影响到资本市场上资金流动。麦金农（1997）认为，开放资本项目一定要放在利率市场化之后。因为，一是如果先开放资本账户，在存在利率管制的情况下，会出现资本外逃或货币替代；二是如果开放资本账户在先，国内利率政策就不会完全由本国货币政策决定，而要受汇率变动和国外利率的影响，一国货币政策的有效性受到影响，还会在很大程度上削弱一国货币当局对货币供应量的控制力，加大宏观管理的难度；三是如果开放资本账户在先，资本流出、流入量将增大会引起汇率频繁波动。     

试论利率与汇率在开放经济中如何协调

经济全球化拉近了国与国之间的距离,中国与世界经济联系更加密切了。自由流动的资本和可以自由兑换的货币是活跃货币和外汇市场的重要武器,外汇市场会在第一时间受到货币市场调控行为的影响,另外,外汇市场的任何调控信息也会直接影响到货币市场的运转。这就产生了一个新问题:利率和汇率在开放经济中如何协调?这也是维持我国金融市场健康正常运转的必要途径。本文主要从长期协调方案和短期协调方案两个层面分析了利率和汇率在开放经济中的协调措施,以期促进我国金融市场的正常运转。     

我国中央银行货币冲销有效性实证研究

20世纪90年代以来我国国际收支持续双顺差,中国人民银行为了维持人民币名义汇率的稳定和促使宏观经济平稳发展,不断在外汇市场和国内公开市场上进行外汇干预和冲销操作,从而导致了外汇储备持续快速增长、流动性过剩等问题不断出现。通过对我国货币冲销有效性进行实证检验,发现我国外汇冲销效果有限,离完全冲销还有很大差距,分析其中原因,既包括制度、政策因素,也与银行系统内过剩的流动性,存款准备金本身的缺陷有直接关系。为完善我国外汇冲销操作,应增强人民币汇率弹性,促进国债市场发展,完善存款准备金制度。     

金融脆弱性的深层剖析与金融稳定制度的构建

一、我国金融脆弱性的表现形式(一)市场脆弱市场脆弱是金融体系中最常见的风险,主要是由于证券市场不规范和金融市场秩序混乱引发的种种风险。大量银行信贷资金投入股市,加大了股市泡沫成分,危及银行信贷资金安全。不少企业通过资金拆借纷纷进入股市,特     

我国影子银行对房地产板块股票价格的影响机制研究

我国影子银行快速发展,是我国金融体系中非常重要的一部分。而影子银行资金流向对房地产市场和股票市场都有明显的影响,房地产行业上市公司的股价受到影子银行的影响应该会更大。文章运用协整检验方法和交叉影响效应模型,实证研究了影子银行规模对房地产板块股票价格的影响机制,发现影子银行规模增加会显著降低房地产板块股票价格,随着房地产价格和股票市场价格的上升,影子银行对房地产板块股票价格的负面影响变小。监管部门应该实时监控影子银行资金的流向,建立房地产市场和股票市场之间的防火墙,房地产板块股票价格可以作为监管部门监控影子银行的风向指标之一。     

开放经济条件下中央行的冲销性和非冲销性干预分析

一、引语随着金融的对外开放 ,贸易账户和资本账户的余额变动会直接影响到本国的货币供应量目标 ,从而影响中央银行货币政策操作的效果。为了消除这种影响 ,实现外汇市场和货币市场的双重均衡 ,中央银行一般有两种政策选择 :冲销性干预或非冲销性干预。所谓冲销性干预(Sterilized intervention)是指中央银行一方面在外汇市场上从私人部门买进外币资产以降低本币升值的压力 ,维持汇率的稳定 ,从而保护出口部门。这在客观上会造成中央银行的外汇储备增多 ,货币市场上货币供应量扩大 ,另一方面 ,中央银行又通过在货币市场上采取配套的操作措施…     

Foreign Exchange Intervention in Emerging Markets: A Survey of Empirical Studies

Nowadays foreign exchange interventions occur in emerging market economies, whereas empirical studies on interventions mainly refer to advanced economies. However, interventions in emerging markets are different from those in advanced economies: they occur ‘regularly’ and central banks have considerable leverage, derived from relatively high reserves, some non‐sterilisation, the central bank’s information advantage and capital controls. Consequently, these interventions often successfully impact the level and volatility of exchange rates. Nevertheless, more research on interventions in emerging markets is needed analysing the influence of heterogeneous institutional circumstances, examining the role of central bank communication and using high‐frequency data.     

The impact of offshore financial centers on international financial markets

Offshore centers have come to play an important role in the institutional structure of international financial markets. The article identifies two dimensions of dynamic competition that are relevant for an analysis of the offshore center phenomenon. First, there is competition between the offshore centers and one or more domestic financial markets. Second, there is dynamic competition among the offshore centers. The system of offshore centers generates a three-tier structure of international financial markets: domestic, foreign traditional, and offshore markets, both with respect to financial intermediaries as well as securities markets. This structure constitutes the institutional base for trends in the international financial markets which result in a process of increasing globalization.     

Tapering talk: The impact of expectations of reduced Federal Reserve security purchases on emerging markets

In May 2013, Federal Reserve officials first began to talk of the possibility of tapering their security purchases. This “tapering talk” had a large negative impact on the exchange rate and financial markets in emerging markets. In this paper, we analyze who was hit and why. We find that countries with larger and more liquid markets and larger inflows of capital in prior years experienced more pressure on their exchange rate, foreign reserves, and equity prices. We interpret this as investors being able to rebalance their portfolios more easily when the target country has a large and liquid financial market.     

Will the Renminbi Emerge as an International Reserve Currency?

The global reserve system can be strengthened by increasing the role of alternative currencies. A gradual evolution to a multicurrency system reduces pressure on a single reserve currency issuer from an ever‐growing balance‐of‐payments deficit. It also allows countries to better diversify their foreign exchange holdings. Given the continuing strong economic growth in the China and its growing influence on the world economy, the renminbi will likely emerge as a new international currency. However, this is contingent on the China accepting a more convertible capital account and developing an efficient financial system. Internationalising the renminbi will likely be a gradual and drawn‐out process. Simulations show that, with greater convertibility, the renminbi could gradually become an international currency within Asia and beyond – sharing from 3 to 12 per cent of international reserves by 2035.     

Mexican peso crisis and its spillover effects to emerging market debt

This paper examines the spillover effects of the Mexican financial crisis to emerging financial markets. As of November 1994, the financial markets were not anticipating a change in exchange rate regime in Mexico. Coincident with the peso devaluation on 20, December 1994, Mexican Brady bond prices declined significantly and continued to experience significant decline during the subsequent three months. Emerging market assets reacted differently to the Mexican crisis. Latin America as a region was more exposed to the Mexican crisis than emerging markets from other regions. The ratio of liquid monetary assets to international reserves and the ratio of current account to GDP were the most influential variables in explaining variation in CARs across countries. Trade competition with third markets was the most significant transmission channel during the Mexican crisis.     

International financial markets: Control or liberalization?

Exchange rates, interest rates and share prices are subject—at least occasionally—to great fluctuations. Diverse economists regard the volatility of international financial markets as a threat to the goods and labour markets. They blame the price turbulences on the speculative behaviour of a large section of market participants, and claim that the deregulation and liberalization of the international financial markets in the eighties has therefore already gone too far. Under discussion today are approaches to a re-regulation of the money, capital and foreign exchange markets. These proposals are evaluated in the following paper.     

Did foreign exchange holding influence growth performance during the global financial crisis?

In a context of increased foreign exchange reserves holding from emerging and developing countries, this paper investigates the diminishing return of reserves holding assumption over the most severe phase of the global financial crisis (2008Q1–2010Q4). Relying on a Panel Smooth Transition Regression model, we highlight the differential effect of the accumulation of foreign exchange reserves for a set of financial vulnerabilities variables. In a specific manner, although reserves accumulation is effective above a critical threshold to cope with vulnerabilities related to the financial channel, we show that it becomes less effective beyond a certain threshold for domestic bank vulnerabilities. Our results are robust to alternative specifications.     

The arrival of the Euro and its implications for Asia

The third stage of the European Economic and Monetary Union (EMU) commenced on January 1, 1999 with the launch of the European single currency, the euro. The first round of participants comprises 11 of the 15 European Union (EU) nations, dubbed “Euroland.” The potential implications of EMU for Asia are immense. The euro's emergence as an international currency and its impact on Asia can be assessed in 3 different domains: (1) as a medium of exchange for Europe's trade with Asia; (2) as a store of value in stocks and bonds in world capital markets; and (3) as part of official foreign exchange reserves of Asian central banks. Our analysis suggests that there is potential for the euro to play a bigger role in EU-Asia trade links, which will be underpinned by the collective importance of Euroland as a much-enlarged trading and investment partner for Asia. However, in the short term at least, Asian equity markets are unlikely to benefit from significant inflows of capital from the EU as the former have been decimated by the region's financial crisis. As for Asian bond markets, rapid deterioration of sovereign ratings of countries in the region over the past 12 months would make it difficult for Asian companies to raise funds through euro-denominated debt instruments. As for official foreign exchange reserves, the bulk of Asian reserves is currently held in US dollar assets. Judging from Asian trade and debt figures, it seems unlikely that the euro would challenge the US dollar as a reserve currency any time in the near future. Nevertheless, in the longer term, the euro's introduction could make it easier for Asian central banks to diversify their reserves from the greenback to the euro. The internationalization of the euro is likely to happen only gradually, whether in terms of international trade denomination and settlement, denominating international financial assets, or as a reserve currency. Since the magnitude of shock that the single European currency would bring to the international monetary system is still unknown, only very tentative conclusions for the impact on Asian countries can be drawn at this point in time.     

Market integration and contagion: Evidence from Asian emerging stock and foreign exchange markets

This paper examines whether Asian emerging stock markets (India, Korea, Malaysia, Philippines, Taiwan, and Thailand) have become integrated into world capital markets since their official liberalization dates by estimating and testing a dynamic integrated international capital asset pricing model (ICAPM) in the absence of purchasing power parity (PPP) using an asymmetric multivariate GARCH(1,1)-in-Mean approach. Also examined in this paper is whether there are pure contagion effects between stock and foreign exchange markets for each Asian country during the 1997 Asian crisis. The empirical results show that first, both currency and world market risks are priced and time-varying, suggesting that an international asset pricing model under PPP and constant price of risk might give rise to model misspecification. Second, the stock markets for India, Korea, Malaysia, Philippines, and Thailand were segmented from the world capital markets before their liberalization dates, but all six markets have become fully integrated since then. Third, the market liberalization has reduced the cost of capital and price volatility for most of the countries. Finally, as for the contagion effects, strong positive impact of return shocks originating from the domestic stock market to its foreign exchange market during the crisis is found. This dynamic relationship between stock market and foreign exchange market is consistent with stock-oriented exchange rate models.