Evaluating China's Exchange Rate Regime

The U.S.in the last couple of years has been up in arms about China's exchange rate regime. In 1994 China established a de facto currency peg.The dollar-RMB ex- change rate was fixed at 8.28.The People's Bank of China(PBC)al- lowed the rate a narrow band of around .01 to.02 percent in which it could shift daily.The exchange rate program did not become newsworthy until U.S.Treasury Secretary John Snow's visit in 2003.In fact as a study by Frankel and Wei(2007) showed,the RMB's forward was actually selling at a discount against the dollar prior to Secretary Snow's visit to China     

Evaluating China＇s Exchange Rate Regime

The U.S. in the last couple of years has been up in arms about China＇s exchange rate regime.     

Interest Rate Dynamics and Consistent Forward Rate Curves

We consider as given an arbitrage‐free interest rate model M, and a parametrized family of forward rate curves G. We study the question as to when the given family G is consistent with the dynamics of the interest rate model M, in the sense that M actually will produce forward rate curves belonging to G. We allow the interest rate model to be driven by a multidimensional Wiener process, as well as by a marked point process, and we give necessary and sufficient conditions for consistency. As test cases, we study some popular models, obtaining both positive and negative results about consistency. We also introduce a natural exponential‐polynomial family of forward rate curves, and for this family we give necessary and sufficient conditions for the existence of consistent interest rate models with deterministic volatility functions.     

关于人民币双重压力缓解和汇制改革的思考

分别从内外两个角度分析了目前的经济形势,得出了人民币面临着双重压力———既有升值的外在压力又有贬值的内在要求这一结论。根据这一结论,提出了缓解双重压力的措施,即保持人民币汇率稳定的对外缓解升值压力,对内扩大内需;接着,提出了人民币汇率制度改革的方向:短期,继续维持人民币汇率基本稳定;中期,改钉住汇率制度为汇率目标区制度;长期,退出汇率目标区制度,实行浮动汇率制。     

加入世贸组织后我国人民币汇率制度的选择——基于汇率制度变迁理论的思考

我国加入世贸组织后,人民币汇率制度的选择值得思考。通过揭示汇率制度变迁的动力因素,阐释了汇率制度变迁的独特的主导影响因素和直接动力因素,继而借鉴制度变迁划分理论,引入“汇率制度创新均衡价格”概念对汇率制度变迁做出理论上分类。在此基础上,根据汇率制度变迁理论,深入地阐明了我国入世后人民币汇率制度现阶段应重归真正的管理浮动汇率制,提出未来可考虑建立“一国两制”下“中元”共同货币区。     

汇率制度选择问题的理论之争及评析

汇率制度的选择是国际金融领域的重要理论问题一在对“固定”与“浮动”、“两极”与“中间”两种汇率制度选择理论上的争论进行评述的基础上,文章认为,汇率制度的选择是一个受多种因素影响的动态体系,汇率制度选择是一国具体情况的相机抉择,任何一种汇率制度都不可能适合于所有国家和一个国家的所有时期。     

Central Bank Intervention,Exchange Rate Regime and the Purchasing Power Parity

Motivated by the argument that central bank intervention leads to non‐linear exchange rate adjustment processes, we examine purchase power parity (PPP) by applying quantile unit root tests to the exchange rates of the New Taiwan Dollar (NTD) vis‐à‐vis seven Asian currencies. We show that exchange rate regime matters in determining whether PPP holds. While PPP holds overwhelmingly during the period when the NTD is under the fixed exchange rate regime, it is present only for some exchange rates during the managed floating rate regime. For exchange rates exhibiting mean reversion, the reversion occurs mainly when the shocks are large. In contrast to conclusion in the literature, our test results show little evidence of asymmetric mean reversion between positive and negative shocks.     

人民币汇率制度改革初探

随着国内和国际经济的发展,以及中国经济进一步融入世界经济,中国需要更加灵活的汇率制度来应对来自内部和外部的挑战.因此,继续盯住美元的汇率政策已不符合经济发展新形势的要求,应对人民币汇率制度进行改革.改革的思路是:应减少行政机制对人民币汇率的干预、逐步实现由市场规则形成人民币汇率;实施更加灵活的人民币汇率制度;继续深化金融体制的改革;加强人民币汇率政策与货币政策和财政政策的协调配合.     

中国的资本账户开放、汇率制度改革与货币危机风险

在国内金融开放改革面临现实抉择之际,本文采用1970-2011年的102个国家面板数据,构建Logistic计量模型,实证分析中国的资本账户开放程度和汇率制度选择对于货币危机风险的现实影响。实证研究发现,随着资本账户开放程度的提高,选择实施浮动汇率制度或超级固定汇率制有助于降低金融危机风险。利用以上模型,结合中国宏观经济数据可以测算出,在中国当前金融开放改革中,保持有限资本开放,率先实施汇率制度灵活性改革,有利于降低货币危机风险。本研究结论是中国的金融开放改革为优化决策提供了重要的理论依据和实践参考。     

回顾与展望--完善人民币汇率形成机制改革之路

2005年7月人民币汇率改革启航,暂时平息了持续近3年的人民币汇率争论,但是来自国际社会的压力依然不退,国内对改革及其走向也存在认识上的分歧.     

人民币汇率制度改革的动态博弈分析

文章从国内和国际两个层面上建立了人民币汇率改革的完全且完美信息动态博弈模型,采用逆推归纳法归纳总结了各种条件下人民币汇率博弈中构成子博弈完美纳什均衡的策略组合,并在此基础上分析了促成2005年人民币汇率改革的条件.结论是:人民币汇率的调整以及调整的幅度和速度,主要取决于以中国政府为代表的一方与以美国政府为代表的另一方的相互利益博弈的结果.     

The Market Model of Interest Rate Dynamics

A class of term structure models with volatility of lognormal type is analyzed in the general HJM framework. The corresponding market forward rates do not explode, and are positive and mean reverting. Pricing of caps and floors is consistent with the Black formulas used in the market. Swaptions are priced with closed formulas that reduce (with an extra assumption) to exactly the Black swaption formulas when yield and volatility are flat. A two–factor version of the model is calibrated to the U.K. market price of caps and swaptions and to the historically estimated correlation between the forward rates.     

资本项目可兑换与汇率制度的互动协调分析

资本项目可兑换与汇率制度相互作用、相互协调.一方面,市场化汇率制度是资本项目可兑换的前提和基础;另一方面,资本项目可兑换决定均衡汇率,并促进汇率制度弹性化和市场化.随着中国经济不断发展和日益融入国际经济体系,中国应进一步开放资本项目,相应地逐步增大汇率制度的弹性空间,最终实现资本项目可兑换和浮动汇率制度.     

汇率制度改革与资本账户开放的中间路径探讨

本文通过修正的非抛补利率平价模型设立资本流动管理政策指标,建立DSGE模型比较不同汇率制度下的中央银行政策组合及福利损失。研究结果表明:相比资本完全自由流动,对资本流动进行管理有利于央行降低福利损失;同时采用货币政策、汇率政策以及资本流动管理三位一体的政策组合带来的福利效应始终优于其他政策实行方案。因此,存在这样一条中间路径,即同时采用管理浮动汇率制与资本流动管理二者相结合的宏观政策组合,从而在维护经济和金融稳定发展的前提下,有序推进人民币的国际化改革。     

The Effect of Government Ideology on an Exchange Rate Regime: Some International Evidence

This paper comprehensively investigates the effect of government ideology on the type of exchange rate regime that a country implements via multinomial logit and multinomial probit models for 147 countries in the period 1974–2009. Our results clearly indicate that a left‐wing government increases the likelihood that a country implements a flexible regime in the classifications of exchange rate regimes. Nevertheless, evidence is weaker when using the de jure IMF course classification, which is set up by Ilzetzki et al. ( 2008 ). In a deeper investigation, we find that left‐wing governments are more likely to choose a flexible regime relative to a fixed one in our sample of OECD, non‐OECD and non‐Eurozone countries, as the impacts from government ideology on the determinant of the choice of exchange rate regime in Eurozone countries disappear. More importantly, we present many explanations for exchange rate regime choices when macroeconomic conditions, political constraints and institutions impact the choice of exchange rate regime.     

各国持有国际储备的动因与规模--汇率制度视角的分析

本文从汇率制度的视角对半个世纪以来全球国际储备持有的原因与规模进行了分析,解释了浮动汇率制下各国仍然继续持有国际储备的原因,并进一步说明了浮动汇率制下各国持有国际储备的规模与固定汇率制下的规模相比较,以及没有发生根本性变化的原因.     

全球失衡、美元霸权及其对人民币汇改的影响

全球经济失衡持续加深,其根源是新时期的美元霸权与"新特里芬难题".当今的美元霸权是在全球金融自由化不断深入,且美元不再与黄金挂钩的国际浮动汇率制下形成的,这为美国谋取美元霸权的利益带来了更大的便利.美元霸权导致人民币升值绩效的弱化;对人民币汇改的速度也会产生负面影响:导致"浮动恐惧"和美元大权重之刚性.人民币汇率决不是全球失衡的"救命稻草",美国必须为化解全球经济失衡发挥主导作用.     

人民币汇率制度的选择:基于“三元悖论”视角的理论分析

本文从克鲁格曼的“三元悖论”理论视角出发,构建央行成本最小化模型作为汇率制度选择问题的理论分析工具,分析不同资本流动条件下汇率制度的选择,并探讨我国现有金融体制下最优人民币汇率制度以及金融深化进程中人民币汇率制度将向更具弹性的汇率制度方向渐进变迁。     

人民币汇率变动与中国贸易收支的非线性动态效应分析

本文基于1994年1月至2016年10月的月度数据,运用非线性自回归滞后(NARDL)模型,分析了中国与主要贸易伙伴之间汇率变动对贸易收支影响的非线性动态效应(1)。研究结果表明:中国与贸易伙伴在贸易收支与汇率变动之间存在长期均衡关系,但不同经济体的这种长期均衡关系表现不同;中国与7个经济体间在汇率变动和贸易收支关系上存在J曲线效应;当汇率受到负向冲击时中国与6个经济体的贸易收支将受到更大的影响,总体来说近年来人民币升值对中国与贸易伙伴贸易收支的恶化效应逐渐出现。     

The Choice of Exchange Rate Regime and the Volatility of Exchange Rates after the Asian Crisis: A Counterfactual Analysis

The objective of this paper is to carry 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 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 dollar. We find that a UBP would minimise effective exchange rate volatility for all countries 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 the bilateral relationship against the dollar, the gains from a UBP or CBP could be quite significant for the non‐dollar peggers since a fall in effective instability would be accompanied by a fall in bilateral instability.