International reserves and global interest rates

In this paper we study the relationship between foreign currency international reserve holdings and global interest rates. To guide empirical work we solve a simple, small open-economy model with money, where the central bank manages international reserves to smooth inflation over time. This model shows that changes in interest rates are positively related to the target level of reserves. As a consequence interest rate hikes increase reserve transfers, defined as the change in international reserves net of the interest earned on reserves. Using quarterly data for 75 countries between 2000 and 2013, we document a positive relationship between interest-rate changes and reserve transfers as a share of GDP, that is consistent with the model.     

以新思维审视中国外汇储备风险

外汇储备是一国国际经济活动往来形成的特殊的外币债权,中国经常项目、资本和金融项目的特点以及热钱的大规模流入决定了中国当前的外汇储备存在一定的不稳定因素。过多的外汇储备必将产生较大的机会成本风险,并且面临着较大且频繁的汇率风险以及境外金融机构倒闭和资产价格波动的风险,给国内的流动性控制和金融调控带来诸多的困难,增加了贸易摩擦的频率。要审时度势,通过加快国内经济结构调整、鼓励走出去、多元化运作储备资产等形式规避中国外汇储备所面临的风险。     

电子货币对存款准备金制度的冲击效应研究

本文以电子货币为视角,将电子货币引入存款准备金制度的理论分析框架,在理论分析及对传统货币模型修正的基础上,选择电子货币与存款准备金政策相关的变量,建立数量经济模型。通过统计检验发现：电子货币放大了货币乘数,并使货币乘数变得不稳定,从而加大了中央银行通过存款准备金政策影响货币乘数来调节商业银行信用创造能力的难度,削弱了存款准备金政策的效率。     

Bank behavior and monetary policy

As a rule, economists have studied the interaction between bank behavior and monetary policy in the case of a ‘monetary base’ target. In many countries (among which France), this is not an adequate analysis of monetary policy: rather, the Central Bank pegs the interest rate at a desired level and supplies whatever amount of central money is needed at this rate. This paper presents a model where both the usual and the ‘French’ case can be analysed; both short- and long-run implications of monetary policy are considered in a partial equilibrium framework.     

Current account balance and dollar standard: Exploring the linkages

This paper examines whether the international role of the dollar as main global reserve currency has contributed to persistent current account imbalances. To this end, we analyse how central banks' accumulation of reserve assets affects the current account balance of both reserve-accumulating and reserve-providing countries.Based on a simple portfolio balance model we show theoretically that the global demand for reserve assets by central banks may lower the current account balance of the reserve-issuing country. Our panel data analysis over the period 1970–2009 confirms this hypothesis: Any dollar of provided reserve assets decreases the US current account by more than one dollar. On average, the demand for dollar reserves has lowered the US current account by 1–2 percentage points relative to GDP. The flip side of this effect is a higher current account balance in reserve-accumulating countries. These novel findings show that the worldwide demand for international reserves has contributed to the buildup of global imbalances.     

Getting out from between a rock and a hard place: Can china use its foreign exchange reserves to save its banks?

Recently, the central bank of China lent part of its enormous reserve of foreign exchange to two of its largest banks in difficulty. This seemed to be a very clever policy response since the capital infusion did not affect the money supply nor sacrifice the currency peg as has traditionally been the case. This paper considers the viability of this policy and asks why other Southeast Asian countries with large reserves of foreign exchange did not adopt a similar approach to combat their bank problems in the 1990s.     

存款准备金政策与货币供给

存款准备金政策通常被认为是中央银行调控货币供给的有效工具。但是,从理论和实践可以证明,这一政策工具对货币供给的影响是很有限的。在商业银行有充裕的超额准备金时,法定准备金比率的调整只改变商业银行的准备金构成,而不改变准备金的总额,因而对基础货币和货币乘数都没有影响,或影响都很小;而当商业银行没有超额准备金或只有很少超额准备金时,法定准备金比率的上调将使准备金总额增加,从而使货币乘数缩小,但使基础货币增加。于是,货币乘数缩小对货币供给的影响将被基础货币增加对货币供给的影响所抵消。     

世界储备货币变化趋势及其控制

世界储备货币规模过度增长和欧元逐渐替换美元、英镑赶超日元的结构变化是1999—2007期间世界储备货币变化的两大特征。世界经济一体化程度和国际经济交易规模的不断上升导致国际储备货币规模的上升,储备货币发行国的经济增长、货币政策和汇率水平决定其在世界储备货币中的结构变化。世界储备货币过度增长带来诸多负面后果,短期内控制储备货币发行国经常项目逆差和货币发行规模、非储备货币国家适度持有和合理利用储备货币,长期内构建与经济实力结构相适应的国际货币体系可以有效控制储备货币的过度增长。     

A Model of QE,Reserve Demand,and the Money Multiplier

Quantitative easing (QE) programs have driven unprecedented expansions in the supply of central bank reserves around the world over the past two decades, fundamentally changing the implementation of monetary policy. The collapse in money multipliers following QE episodes has often been interpreted as implying banks are happy to passively hold most of the reserves created by QE. This paper develops a simple microsimulation model of the banking sector that adapts the traditional money multiplier model and allows for bank reserve demand to be inferred from monetary aggregates. The model allows the use of unwanted reserves by banks to play out over time alongside QE purchases and incorporates both significantly higher reserve demand after 2008 and capital constraints. With these additions, the model explains the persistently lower money multipliers seen in the United States following QE, as well as the growth in commercial bank deposits. The model suggests the demand from banks for reserves has increased substantially since the introduction of QE but not to the point where banks are passively absorbing all newly created reserves.     

Central Bank Digital Currency,Credit Supply,and Financial Stability

We examine the implications of central bank digital currency (CBDC) for credit supply and financial stability using a monetary general equilibrium model. The introduction of deposits in CBDC account decreases credit supply by banks, raising the nominal interest rate and lowering a bank's reserve-deposit ratio. This increases the likelihood of bank panic in which banks exhaust cash reserves. However, once the central bank can lend all the deposits in CBDC account to banks, an increase in the quantity of CBDC which does not require reserve holdings can enhance financial stability by increasing credit supply and lowering nominal interest rate.     

Reserve requirements and optimal seigniorage

This note presents a model of optimizing agents who chose to hold deposits at financial intermediaries, which are required to hold fractional reserves of fiat money. When the stock of fiat money is expanded, the reserve requirement functions as a tax on deposits. The combination of reserve requirements and inflation results in a lower steady-state utility than a direct tax on deposits. The optimal monetary policy when reserves are required is to minimize reserve requirements and inflate without limit the stock of fiat money.     

国际储备货币演变的计量分析研究——兼论人民币国际化的可行性

美国次贷危机的爆发及中国经济的迅速崛起引起了世人对国际货币体系前景的重新构思,该过程中人民币国际化问题也越来越成为学术界关注的焦点。本文从实证的角度对目前国际储备币种构成的历史演变(1980-2008年)进行了计量分析,尝试从更加规范的角度探讨货币国际化的内在影响因素,及其影响程度的大小。本文的研究结果表明,一国的经济总量、进出口总量、金融市场是影响该国货币在国际储备中占比的基础性因素,同时还受到通货膨胀率、汇率水平等等因素的影响。本文进一步根据实证分析的结论将中国与国际货币国家(如美国、日本、德国等)的经济状况进行了分析比较,并得出人民币已经初步具备国际化条件的结论。     

Static deviations from purchasing-power parity

The paper examines the ‘real’ effects of monetary policy in a small open economy in full stock-flow equilibrium. In the presence of government debt, an increase in the money supply generally produces deviations from purchasing power parity. Money creation through foreign-exchange purchases results in an overvaluation of the domestic currency. While its short-run effects favor the export industries, its long-run effects are thus in favor of the domestic sector. The same is true for open-market purchases, but the overvaluation is probably smaller in this case.     

新兴市场国家货币国际化实践及启示——以韩国、新加坡为例

20世纪70年代布雷顿森林体系崩溃之后,以美元为中心的国际货币体系发生了变化,经济发达的国家开始尝试本国货币的国际化实践。货币的国际化选择在于权衡实现货币国际化的收益和成本,而经济发展水平的高低、经济规模的大小以及在世界经济中所处的地位等因素都会影响一国货币国际化的选择。     

Quantitative easing in an open economy—Not a liquidity but a reserve trap

Expansionary monetary policy is ineffective in a liquidity trap. In another case, which we call a “reserve trap,” money supply increase is trapped in bank reserves; there is no credit expansion through the banking system. In such case, quantitative easing (QE) will not boost credit to the real sector and revitalize the economy. To analyze a reserve trap, we modify the open economy model to include multiple interest rates. Trade is included since exports can be financed externally even during domestic credit constriction. We show the conditions under which QE can lead to currency depreciation and trigger an export-led recovery.     

基于VAR模型的我国外汇储备、货币供应量与信贷规模关系研究

1994年外汇管理体制改革以来我国外汇储备持续增长,已成为世界上外汇储备最多的国家。巨额外汇储备使得货币供应量增加,银行信贷规模不断扩大。结合2006年至2013年季度数据,基于VAR模型运用协整方法探讨我国外汇储备、货币供应量及银行信贷规模的关系,并通过脉冲响应和方差分解予以进一步分析。结果表明,三变量之间存在长期稳定的均衡关系,外汇储备的增长促进货币供应量的增加,而货币供应量的增加又进一步推动了银行信贷规模的扩张。最后,基于以上分析提出相关对策建议。     

Correlated bank runs,interbank markets and reserve requirements

This article extends the application of global games of Goldstein and Pauzner (2005) in the banking model of Diamond and Dybvig (1983) to account for correlation in the quality of banks’ long term investment, when banks are linked through cross deposits and there is a central bank. The goal is to study how these elements affect the deposit contract that banks offer to depositors and the ex ante probability of a bank run. We show that the coexistence of a central bank, which determines banks’ reserve requirements, and an interbank market, which redistributes reserves, leads to a smaller probability of a bank run and to fewer inefficient bank runs, relative to the case with no central bank and no interbank market. By adequately choosing the level of reserves to store, the central bank can improve the equilibrium outcome and allow banks to offer a higher interim payment to depositors, relative to the situation with no cross deposits.     

A mean-variance framework for analyzing reserve requirements and monetary control

This paper analyzes an ‘almost’ contemporaneous reserve accounting system (ACRA) in which reserve computation and maintenance periods only partially overlap. As a result, banks acquire knowledge of their required reserve obligations prior to the settling period when such reserve requirements become legally binding. Our analysis suggests that the money stock behaves similarly under both ACRA and purely contemporaneous reserve accounting systems as long as banks are risk averse. When banks no longer exhibit risk aversion, the ACRA money stock tends to mimic the behavior of the money stock under a lagged reserve accounting system.     

加拿大数字货币的发展实践与启示

分布式账本技术的应用使数字货币进入了新的发展阶段。中央银行数字货币是中央银行的电子化负债,其对计价、交易、支付以至货币政策传导等都存在深刻影响。以加拿大为例,重点分析加拿大银行数字货币的发展实践,着重讨论加拿大贾斯珀项目如何测试分布式账本技术在银行间大额支付系统的适用性,同时分析如何将数字货币支付结算拓展至证券和外汇领域,并与外部合作进行跨境、跨币种支付试验。加拿大央行数字货币实践取得的积极进展表明,数字货币发行能力是维系央行功能的基础保障,但仍需权衡中心化管理体系与去中心化技术系统的匹配问题,分布式账本技术及其在央行数字货币的应用仍需深入研究与评估。     

International currency substitution and the income velocity of money

This paper presents new empirical evidence on the degree to which international currency substitution destabilizes domestic money demand. It also provides an explanation of some apparent discrepancies among previous empirical studies of currency substitution. This explanation hinges on the distinction between the elasticity of currency substitution and the cross-elasticity of money demand. A large (small) value of one elasticity does not imply a large (small) value of the other. A large cross-elasticity is required for currency substitution to destabilize domestic money demand. The empirical evidence presented here is consistent with the view that these cross-elasticities are typically small.