TAYLOR RULE REACTION COEFFICIENTS AND REAL EXCHANGE RATE PERSISTENCE

Recent literature has established a link between the persistence of real exchange rates and the degree of inertia in Taylor rule monetary policy reactions functions. This paper provides a different view on this link by investigating how the size of Taylor rule reaction coefficients impacts the adjustment dynamics of the real exchange rate. Within a stylized sticky‐price open‐economy macro model, it is demonstrated that a stronger interest rate reaction to inflation in the Taylor rule raises the convergence speed of the real exchange rate. Conversely, raising the coefficient on the output gap or attending to the exchange rate in an open‐economy version of the Taylor rule slows down real exchange rate adjustment. In all cases, more rapid convergence comes at the cost of stronger initial real exchange rate misalignments in the wake of monetary policy shocks.     

UNEMPLOYMENT PERSISTENCE AND THE NAIRU: A BAYESIAN APPROACH

This paper estimates the United States and euro area NAIRU in a Bayesian framework. We set out a simple structural model explaining unemployment by demand and supply factors, which are treated as unobserved variables that have observable effects on measured unemployment, output and inflation. The model allows for unemployment persistence and a time-varying core inflation rate. The results show that although cyclical shocks are very persistent, most of the increase in European unemployment is driven by structural factors. The degree of persistence is lower in the United States but demand shocks seem to be more important in explaining variation in unemployment.     

DELAYED OVERSHOOTING AND REAL EXCHANGE RATE PERSISTENCE IN AN IMPERFECT INFORMATION MODEL

Recent studies have pointed out that monetary shocks in sticky price models cannot generate real exchange rates that exhibit delayed overshooting and are highly persistent. This paper demonstrates that such exchange rate dynamics can be generated by incorporating incomplete information about the true nature of the monetary shock into a standard New Keynesian model of a small open economy.     

实际汇率变动对商品国内价格的影响研究

本文从理论与实证两方面对实际汇率以及汇率波动性的变动对中国出口商品国内价格的影响进行了研究。理论分析强调了汇率对出口商品国内价格的影响方向取决于商品的需求价格弹性。对我国1990—2002年共12种商品平行数据的实证分析说明了汇率波动性增加可能导致部分初级产品国内价格水平的下降。全文分析强调了实际汇率波动性对国内商品价格的影响。     

汇率水平与波动程度对外国直接投资的影响研究

本文首先采用外销比例指标,构建理论模型以研究汇率变动对不同类型FDI的影响,然后使用跨国数据进行实证检验,最后对人民币汇率的波动效应进行经验分析。研究表明,当东道国货币升值时,处于技术优势的跨国公司增加对外直接投资;双边实际汇率的波动程度对FDI的影响很弱,这是由于跨国公司采取了有效的汇率风险管理;由于汇率风险是影响外资企业出口的关键因素,实际有效汇率的波动程度对出口导向型FDI的影响较大;人民币升值和扩大人民币汇率的波动区间对市场导向型FDI的影响较弱,却能够显著促进出口导向型FDI。     

关于汇率理论与汇率政策研究的思考

汇率的决定与外汇市场供求、经常账户平衡、央行货币政策、相关资产价格、经济基本面、国民收入及国际收支账户等有着直接的或间接的关系。完善人民币汇率形成机制,要从外汇市场拓展到本外币政策深层次协调,从涉外经济拓展到内外经济协调发展,同时在新的汇率形成机制下对国际货币体系和主要货币的变化趋势进行系统的监测预测和分析研究。     

THE CHOICE OF EXCHANGE RATE REGIME AND THE VOLATILITY OF EXCHANGE RATES BEFORE AND AFTER THE ASIAN CRISIS: A COUNTERFACTUAL ANALYSIS*

This paper carries out a counterfactual analysis of the impact of alternative exchange rate regimes on the volatility of the nominal effective exchange rate (NEER) and the bilateral rate against the US dollar for nine East Asian countries, both before and after the Asian financial crisis. Our hypothetical regimes include a unilateral basket peg (UBP), a common basket peg (CBP) and a hard peg against the $US, but in contrast to previous counterfactual exercises which compute the weights for effective exchange rates on the basis of simple bloc aggregates, we apply a more disaggregated methodology using a larger number of trade partners and utilise ARCH/GARCH techniques to better capture the time‐varying characteristics of volatility. Our results suggest that a UBP would minimise effective exchange rate volatility for all countries both before and after the crisis and provides the highest regime gains compared to actual. Although the gains for a CBP are always less than those for a UBP the absolute differences between the two regimes appear to be small. In terms of bilateral exchange rates against the dollar the gains from a UBP or CBP could also be quite significant for the non‐dollar peggers, especially post‐crisis, since a fall in effective instability would be accompanied by a fall in bilateral instability.     

真实汇率与真实利率差异-基于人民币真实汇率的实证研究

本文详细考察了人民币对美元、日元、港币和欧元的双边真实汇率、真实利率差异与进出口之间的统计关系,结果发现:(1)人民币真实汇率与真实利率差异间不存在显著且稳定的统计关系;(2)人民币真实汇率具有较强的"自回归"性,并且存在比较明显的非线性动态调整特征。因此,研究人民币真实汇率自身的特定生成机制可能更具有重要意义。     

THE POLITICAL CHOICE OF THE EXCHANGE RATE REGIME*

The purpose of this paper is to present a model in which the choice of the optimal exchange rate regime is envisaged in a political setting. We consider a country whose voting population comprises three types of agents, importers, exporters and speculators, who select their position on exchange rate policy according to welfare maximization. As a result, well-defined interest groups are shown to emerge. Each coalition makes contributions to one of two political candidates running for political office in support for their optimal policy intervention. When policy pronouncements by the two candidates are made in terms of exchange rate volatility, the equilibrium consists of two extremes: a fixed versus flexible exchange regime, the latter with bounded volatility [JEL D72, F31].     

人民币汇率制度选择的政治经济学

本文探究了人民币汇率制度选择的政治经济学。人民币汇率制度的选择首先必须要服务于中国出口导向型的经济增长模式。其次,这种模式推动了中国经济发展的内外部不平衡,但不需要通过汇率来逆向调节或大幅度校正这种不平衡,削弱中国经济的比较优势。再次,人民币汇率制度的选择要有助于人民币国际化。人民币国际化要坚持自我,不搞亚元。对于“汇率操纵”之类的非议,理性对待。未来人民币要继续加大防御性汇率政策的力度,防止汇率出现大幅度的波动。     

EXCHANGE RATE STABILISATION, LEARNING AND THE TAYLOR PRINCIPLE

The paper explores whether central banks can keep their interest rates independent from given foreign rates, and to what extent interest policies designed to stabilise nominal exchange rate changes can be applied instead of, or in addition to, the traditional interest rate response to inflation gaps. This modification of a Taylor Rule is analysed in a simple macro model with some New Keynesian features. Information is imperfect; agents cannot build rational expectations but try to learn 'true' market relations. Results show that the Taylor Principle can be generalised in an open economy with flexible exchange rates.     

THE COMPLEX RESPONSE OF MONETARY POLICY TO THE EXCHANGE RATE

We estimate a flexible non‐linear monetary policy rule for the United Kingdom to examine the response of policymakers to the real exchange rate. We have three main findings. First, policymakers respond to real exchange rate misalignment rather than to the real exchange rate itself. Second, policymakers ignore small deviations of the exchange rate; they only respond to real exchange under‐valuations of more than 4% and over‐valuations of more than 5%. Third, the response of policymakers to inflation is smaller when the exchange rate is over‐valued and larger when it is under‐valued. None of these responses is allowed for in the widely used linear Taylor‐type rules, suggesting that monetary policy is better analysed using a more sophisticated model, such as the one suggested in this paper.     

“外升内贬”背景下的人民币汇率形成机制改革

自2006年底至今,人民币对外升值与对内贬值并存的现象引人关注。本文从购买力平价、巴拉萨-萨缪尔森效应、定量宽松与输入性通胀等角度对人民币"外升内贬"的现象进行了解释。在"外升内贬"与美元汇率持续走低的背景下,中国政府应如何选择人民币汇率形成机制呢?本文在剖析各种机制优缺点的基础上,通过引入一个评估框架,对各种人民币汇率形成机制进行了综合评价。评价结果显示,从当前的汇率机制逐渐过渡至BBC制度,将是中国政府的最优选择。     

人民币汇率形成机制的完善

人民币汇率形成机制实际上就是汇率制度的选择问题。我国现行人民币汇率形成机制存在着众多缺陷,突出表现为汇率形成机制扭曲、汇率缺乏灵活性、汇率调整缺乏准确依据、较高的维持成本。在我国加入WTO后新的开放形势下,完善人民币汇率形成机制的必要性彰明较著。完善人民币汇率形成机制的核心内容至少包括五个方面,即完善汇率的决定基础、矫正汇率形成机制的扭曲、健全和完善外汇市场、增加汇率的灵活性、改进汇率调节机制。完善汇率机制的实质是提高汇率形成的市场化程度,而不是简单调整汇率水平。完善汇率机制是我国自主的选择,必须要充分考虑我国社会、经济的承受能力,避免汇率大幅波动。     

人民币汇率弹性的增大对利率稳定性的影响

汇率改革前后,汇率与利率之间的动态关系发生了系统性的改变。在均值意义上讲,人民币汇率弹性的增大降低了利率波动的幅度,利率对汇率的反馈机制有了一定的加强。实证检验证明,汇率改革后人民币汇率弹性的增大能稳定利率波动的假设只在长期内存在,而短期内人民币弹性的增大实际上加剧了利率的波动。     

汇率风险和中国产业的国际竞争

在新发展格局下,现代产业发展更加注重发展和安全的平衡。本文采用2005—2018年的数据分析了中国各行业面临的汇率风险暴露和国外产业竞争。研究发现：中国有426%的行业面临汇率风险暴露,资源品行业受到汇率冲击的影响最为严重,可贸易品行业受益于人民币兑美元贬值,但汇率的敏感性远低于日美贸易战时期。中国有389%的行业面临来自美国的产业竞争,产业支持政策在一定程度上增强了中国产业的竞争力。除美国外,中国的产业竞争主要来自英国、法国等欧洲发达国家。在此基础上,讨论了后疫情时代企业国际化的困难和应对。本文的研究对于汇率风险管理和产业政策制定有重要的参考价值。     

THE REAL EXCHANGE RATE AND THE BALASSA–SAMUELSON EFFECT: THE ROLE OF THE DISTRIBUTION SECTOR

Abstract. This paper investigates the long‐run impact of the distribution sector on the real exchange rate. The main result is that an increase in the productivity and product market competition of the distribution sector with respect to foreign countries leads to an appreciation of the real exchange rate, similar to what a relative increase in the domestic productivity of tradables does. This contrasts with the result that one would expect by considering the distribution sector as belonging to the non‐tradable sector. One explanation may lie in the use of the services from the distribution sector in the tradable sector.