Stock Market‐Induced Currency Crises—A New Type of Twins

This paper explores the link between currency crises and the stock market in emerging economies. By integrating foreign stock market investors in a currency crisis model, we reveal a new fundamental inconsistency as a potential crisis trigger: since emerging economies' stock markets often have high returns, whereas central bank reserves grow slowly or decline, the amount of reserves foreign investors can deplete when selling their stocks and repatriating the proceeds grows over time and is considerably higher than funds that have been invested in the stock market. Capital withdrawals of foreign stock market investors can trigger currency crises by depleting central bank reserves, particularly in successful countries with booming stock markets and large foreign investment.     

The Government's Foreign Debt in the Argentine Crisis

Though the government had adopted a currency board regime since 1991, the Argentine economy suffered a currency crisis in 2002. It is shown that currency crises can arise, even under currency board systems in which the central bank has enough international reserves to respond to arbitrary withdrawals by individuals. The model implies that a government's rapid accumulation of foreign debt should be included as a major predictor of currency crises.     

对当前提高中国黄金储备规模的思考

自20世纪70年代以来,黄金在国际储备中的地位被主权货币所取代。但近年来,随着美元对国际主要货币汇率的频繁下挫和当前为应对金融危机所采取的定量宽松政策,以美元为主要外汇储备形式的国家面临严重的汇率风险损失和实际资产缩水,提高黄金储备规模由此受到广泛关注。对此,在深入分析全球黄金储备变动情况的基础上指出,一国只有根据其外汇储备的管理目标、风险偏好以及对经济发展长期走势的判断等因素来具体选择增持黄金储备资产的规模和时机并采取科学、审慎、灵活的管理策略,才能实现缓解外汇储备风险、维护国民财富安全的目的。     

Liquidity management of foreign exchange reserves in continuous time

In order to cope with daily foreign currency exchange payments or trades and avoid liquidity crisis, central banks need to maintain the liquidity of foreign exchange reserves. In this paper, we develop a Foreign Exchange Reserves Liquidity Management (FERLM) model based on stochastic process by introducing a foreign exchange factor. We also generate a feasible target proportion of the liquidity reserve to total foreign exchange reserves, by seeking the balance between capital gains of holding foreign exchange reserves and losses of liquidity insufficiency.     

Explaining ERM realignments: Insights from optimising models of currency crises

This paper attempts to provide empirical evidence on the determinants of the realignments throughout the European exchange rate mechanism (ERM). Motivated by the implications of optimising currency crisis models, we relate the probability of “crises” to a set of macroeconomic fundamentals. By using a conditional binominal logit model we show that regime switches are strongly influenced by movements in industrial production, foreign interest rates, competitiveness and imports as well as in foreign exchange reserves. These findings are consistent with the general propositions of recent currency crises models.     

我国外汇存款准备金问题研究

2007年美国次贷危机爆发后,全球性的流动性过剩被流动性不足所替代,美国政府采取了扩张性的政策组合,即以降息和提供紧急流动性援助方式为代表的扩张性货币政策、以减税为代表的扩张性财政政策以及纵容美元贬值的汇率政策,以对中国经济政策的调整空间形成制约.我国中央银行上调外汇存款准备金率以及要求用外汇缴存新增人民币存款准备金的做法,并不能从根本上缓解人民币汇率的升值压力,相关的外汇存款准备金制度设计还有待改进.     

A corporate balance-sheet approach to currency crises

This paper presents a general equilibrium currency crisis model of the ‘third generation’, in which the possibility of currency crises is driven by the interplay between private firms’ credit-constraints and nominal price rigidities. Despite our emphasis on microfoundations, the model remains sufficiently simple that the policy analysis can be conducted graphically. The analysis hinges on four main features (i) ex post deviations from purchasing power parity; (ii) credit constraints a la Bernanke-Gertler; (iii) foreign currency borrowing by domestic firms; (iv) a competitive banking sector lending to firms and holding reserves and a monetary policy conducted either through open market operations or short-term lending facilities. We derive sufficient conditions for the existence of a sunspot equilibrium with currency crises. We show that an interest rate increase intended to support the currency in a crisis may not be effective, but that a relaxation of short-term lending facilities can make this policy effective by attenuating the rise in interest rates relevant to firms.     

外汇储备收益率、币种结构和热钱

本文估计了2000—2006年中国外汇储备的收益率、币种结构和2003年后1流入中国的热钱数量。研究发现,2003年前外汇储备年平均收益率分别为4.8%,欧元资产比例大约为7.2%;2003年后欧元资产比例上升至26.7%,收益率在2.3%—2.5%之间。但是欧元比例上升主要原因是欧元升值,而不是由于中国政府大规模增持欧元资产。利用估计得到的收益率和币种结构,我们估算了热钱的数量,发现2006年上半年并没有热钱流入。     

Reserve accumulation and exchange rate policy in China: The authoritarian elite's aim of political survival

Since the Asian financial crisis of 1997–1998, China has significantly increased its foreign exchange reserves. We argue that the resulting abnormal levels of currency reserves accumulated by Chinese authorities are not intended to maximize the citizenry's economic welfare, as in a mercantilist or a precautionary account, but rather to forestall the elite's own political demise. This goal has been pursued mainly by generating large current account surpluses through manipulation of the renminbi exchange rate. The Chinese elite has sought to promote the acceptance of this policy by influencing the costs of collective action taken by winners and losers.     

Exchange Rate Dynamics with Foreign Reserves: Revisiting the Dornbusch Overshooting Model

The purpose of this study is to shed light on the management of foreign reserves that possibly have contradictory policy intentions and impacts, for instance, (1) to defend the domestic currency, (2) to depreciate the domestic currency. With this Möbius's strip‐like nature in mind, we extend the Dornbusch (1976) exchange rate overshooting model with the foreign reserves. Depending on financial vulnerability, the presence of foreign reserves could amplify or alleviate monetary policy shocks on the exchange rate.     

International reserves and swap lines: Substitutes or complements?

Developing Asia experienced a sharp surge in foreign currency reserves prior to the 2008–9 crisis. The global crisis has been associated with an unprecedented rise of swap agreements between central banks of larger economies and their counterparts in smaller economies. We explore whether such swap lines can reduce the need for reserve accumulation. The evidence suggests that there is only a limited scope for swaps to substitute for reserves. The selectivity of the swap lines indicates that only countries with significant trade and financial linkages can expect access to such ad hoc arrangements, on a case by case basis. Moral hazard concerns suggest that the applicability of these arrangements will remain limited. However, deepening swap agreements and regional reserve pooling arrangements may weaken the precautionary motive for reserve accumulation.     

Speculative attacks with unpredictable or unknown foreign exchange reserves

During a currency crisis, speculators usually do not know the value of a central bank's foreign exchange reserves. In this paper I show that modelling speculators as having imperfect knowledge of reserves enriches the predictions of the classical model of speculative attacks. With realistic lags in reserve reporting and costs to unsuccessful speculation, successful speculative attacks will involve a jump depreciation, unsuccessful attacks may occur, attacks may occur when fundamentals are improving, attacks may not be preceded by large increases in interest rates, and fixed exchange rates may be abandoned with no attack and no decline in the money supply. JEL Classification: F31     

对当前我国外汇储备基金实现投资增值的思考

外汇储备必须在满足流动性和安全性前提下,拓展投资渠道,控制投资风险,提高投资收益.近几年来,我国外汇储备持续高企,而外汇储备基金投资却只有3%的营运收益率.本文分析了我国外汇储备基金投资增值的现状,从区分管理功能和投资功能,组建高效基金运营模式;设定投资基准和投资限额,控制和规避投资风险;优化外汇储备的货币结构和资产结构,拓宽投资渠道;加快培养吸纳国际金融市场操作人才,完善有关法规等几个方面提出了改进外汇储备基金投资增值的对策.     

基于区域经济实力的储备货币研究

随着我国外汇储备规模的迅速扩大及年新增储备的急剧增加,我国外汇储备币种结构的管理已成为国内外的热门课题。本文通过分析目前我国外汇储备币种结构现状,指出当前过多的美元储备造成了巨大价值损失和战略风险。在收集大量经济数据的基础上,以全新视角构建了基于区域经济实力的储备结构模型,通过对该模型的价值评估,得出该模型有较大的现实意义,最后提出了基于当前我国外汇规模及年增量水平下的国家外储结构调整方案。     

US Credit Crisis and Spillovers to Asia

We review key highlights of the global credit crisis. We then consider how financial turmoil in the largest advanced economies might be transmitted to East Asia. The focus is on foreign trade links, international capital flows, currency market pressures and mismatches, financial sector fragilities, and countercyclical monetary and fiscal policy actions. We introduce a set of vulnerability indicators and explore whether an ordinal ranking of East Asian economies according to these vulnerability indicators seems to be related to the cross-country differences in estimated slowdowns of economic growth during the crisis. Finally, we discuss how Asian economies might encourage the adoption of a stronger regulatory and supervisory framework in the USA and whether some Asian economies and the USA might pursue a more “balanced” growth strategy after the crisis.     

Currency crises and the stock market: empirical evidence for another type of twin crisis

We explore the dependency between currency crises and the stock market in emerging economies. Our focus is two-fold. First, the risk of a currency crisis rises as the foreign stake in the domestic stock market increases. Successful economies with high capital flows into their booming stock markets especially are prone to stock market-induced currency crises. Second, we apply the dividend growth model to show that stock markets crash in the run-up to a currency crisis. This new type of twin crisis is empirically tested by employing a logit framework using quarterly data for 33 emerging economies for 1994Q1–2007Q4.     

我国外汇储备与对外贸易的关系

我国高额外汇储备主要由多年贸易顺差积累形成,对外贸易地理方向直接影响着我国外汇储备币种结构。高额外汇储备一方面增强国家的国际清偿能力和购买能力,使国家有充足的资金购买先进的技术设备;另一方面也会削弱出口商品的国际竞争力,加大人民币升值压力,引起贸易摩擦等。优化产品结构,分散贸易地理方向,扶持企业发展等措施有助于减轻两者之间的消极影响。     

The macrodynamics of financial fragility within a hard peg arrangement

The paper presents an open-economy macrodynamical growth model with the aim of giving an endogenous characterisation to the process that leads a small country with a currency-board arrangement to accumulate dangerously high levels of external debt and become vulnerable to macroeconomic instability. The macrodynamics of the model results from the combination of the commitment to maintain the peg - that makes liquidity closely dependent on the dynamics of foreign reserves - and the non-linear real and financial interactions that drives the pro-cyclical behaviour of the economy. Within this context, the external financing ease during an economic upswing leads to debt-supported growth and financial fragility; the consequent deterioration of profitability expectations brings about a capital reversal that, in the absence of monetary stabilisation tools, makes the currency arrangement unsustainable. A financial crisis may thus turn into a currency crisis.We run a continuous-time estimation of a non-linear differential equations system for Argentina during the years of the currency-board arrangement. We find that two steady-state solutions exist. The local stability and sensitivity analysis show that both equilibria are unstable and that the qualitative nature of the equilibria depends in particular on lenders' responsiveness to the degree of leverage. We also show that relaxing the assumption on the currency arrangement and allowing for an autonomous monetary policy makes both equilibria stable.     

我国外汇储备急剧增长的原因及实证检验

截至2011年6月,我国外汇储备已高达31 975亿美元。贸易顺差、人民币汇率、外商直接投资和货币供给量被普遍认为是影响我国外汇储备规模的普遍因素。通过实证分析探讨了这些因素与外汇储备急剧增长之间的关系,并给出了相应的政策建议。     

Rational expectations in the foreign exchange market? Some survey evidence

Although many papers have already proposed empirical models of currency crises, the timing of such crises has received relatively little attention so far. Most papers use indeed a static specification and impose the same lag structure across all explanatory variables. This, by construction, prevents from specifically timing the crisis signals sent by the leading indicators. The objective here is to fill this gap by considering a set of dynamic discrete choice models. The first contribution is to identify how early in advance each explanatory variable sends a warning signal. Some indicators are found to signal a crisis in the very short run while others signal a crisis at more distant horizons. The second contribution is to show that state dependence matters, albeit mostly in the short run. The results have important implications for crisis prevention in terms of the timeliness and usefulness of the envisaged policy response.