汇率决定中的货币替代——以中国相关数据验证

在考虑汇率的影响因素时,传统的汇率决定理论主要是从一国的宏观基本因素进行分析.随着经济全球化的出现,货币的跨国流动规模越来越大,货币替代现象日益严重,对汇率的干扰也越来越强.本文在货币分析法的基础上加入货币替代因素,建立了一个简单的分析框架,并运用我国的相关数据对此进行检验,证实货币替代确实对汇率产生了很大的影响.     

中国工业行业间R&D溢出效应研究

本文根据中国工业行业的特征,从垂直溢出效应和水平溢出效应两个维度研究了本土工业行业间研发资本要素对研发产出的溢出效应,分别以专利申请数和新产品销售收入作为研发产出的代理变量进行检验。本文把垂直溢出效应分为前向溢出和后向溢出,利用投入产出矩阵中感应度系数和影响力系数的内在涵义构造空间权重矩阵,借助空间计量经济学方法,利用中国2003—2011年间33个工业行业的时空数据,寻找行业间两个维度的研发资本要素对研发产出溢出效应的特点。研究发现,无论是采用专利授权数或是新产品销售收入作为研发活动产出的代理变量,研发物质资本投入的水平溢出效应十分显著,而垂直溢出效应呈现前向溢出不显著、后向溢出显著的非对称特征。在同样的模型框架下探索了研发人力资本对研发活动产出溢出效应,同时还考察了运用新产品销售收入作为研发活动产出的代理变量,结果发现研发人力资本投入的水平溢出和垂直溢出效应均显著,显示出一定的对称特征。本文解释了实证结果所对应可能的经济现象并以此得出相应政策建议。     

Individual Stock Returns and Monetary Policy: Evidence from Japanese Data

The present paper uses Japanese firm‐level data to investigate the effects of monetary policy on stock. The main purpose of this paper is to examine whether monetary policy has heterogeneous effects on stock returns and whether such heterogeneity can be explained by existing theories of monetary transmission mechanisms. We find little evidence that the demand sides of the interest rate and balance sheet channels explain the heterogeneous effects of monetary policy. However, there is evidence that the supply sides of the interest rate and balance sheet channels, when measured by capital intensity, financial leverage and interest payment burden, can explain its heterogeneous effects.     

Exchange Rate Regimes and Inflation: Evidence from India

Abstract

Exchange rate stability is crucial for inflation management as a stable rate is expected to reduce domestic inflation pressures through a ‘policy discipline effect’ – restricting money supply growth, and a ‘credibility effect’ – inducing higher money demand and reduced velocity of money. Alternatively, the ‘impossibility trillema’ of Mundell (1961a Mundell, R. A. (1961a). Capital mobility and stabilization policy under fixed and flexible exchange rates. Canadian Journal of Economics and Political Science, 29, 475–485. doi: 10.2307/139336[Crossref], [Web of Science ®] , [Google Scholar], 1961b Mundell, R. A. (1961b). Flexible exchange rates and employment policy. Canadian Journal of Economics and Political Science, 27, 509–517. doi: 10.2307/139437[Crossref], [Web of Science ®] , [Google Scholar]) predicts that in the presence of an open capital account, a stable exchange rate may lead to lack of control on monetary policy and, hence, higher inflation. Using a monetary model of Inflation, this paper investigates the impact of the ‘empirically-claimed’ de facto stable exchange rate regime on inflation in India during different sub-periods of exchange rate stability. The results show that the impact of exchange rate regime on inflation is not visible in the Indian case, which could be because of the offsetting sterilization policy undertaken by the Reserve Bank of India (RBI) during expansionary money supply growth resulting from its large-scale intervention to even out exchange rate volatility.     

涉外企业的汇率风险度量

汇率风险日益成为影响涉外企业价值的重要因素,然而与对利率风险、信用风险的度量研究相比,汇率风险的度量研究相对滞后。本文通过尝试着把主要用来衡量利率风险的VaR方法运用于对涉外企业的汇率风险衡量,以期来推动理论界对汇率风险度量问题的关注。     

新汇率体制下中国上市公司外汇风险暴露研究

本文以沪市180指数样本股作为研究对象,通过测量上市公司经营活动产生的现金流相对贸易加权汇率指数及我国主要贸易伙伴货币汇率变化的敏感度,来考察我国企业的外汇风险暴露问题。研究显示,我国上市公司总体外汇风险暴露程度比较高,公司规模与短期外汇风险成正比关系,外国控股程度的高低对风险暴露则没有明显的影响。     

Increasing Returns,Financial Capital Mobility and Real Exchange Rate Dynamics*

The late 1990s saw a US IT investment boom, large capital flows into the USA and an appreciation of the US$. At the time, this appeared to be driven by expectations of continued IT‐related knowledge spillover externalities and associated productivity and profit growth. Using a two‐region dynamic general equilibrium model with externalities, we find a once‐off productivity shock leads to capital inflow and a real appreciation only in the short term. In the long term, capital flows stabilise and the real exchange rate depreciates. For a single shock to trigger long‐term growth in capital flows requires unrealistically large externalities.     

日本汇率政策的演变及启示

一国汇率政策的选择,最终是为其经济和金融的长远发展服务的.20世纪80年代后期,日本泡沫经济的破灭使得日本经济一直停滞不前,日元升值的负面影响逐渐显露,回顾日本汇率政策的变化历程,对我国人民币汇率制度的完善具有重要的参考价值.     

Forward Speculation, Excess Returns, and Exchange Rate Variability: The Role of Risk Premiums

The paper reconsiders the unbiasedness hypothesis in the foreign exchange market. Within the context of a conventional model of exchange rates, risk premium shocks are constrained to have no permanent effects on the spot rate. Using monthly data from the post-floating period, the paper estimates risk premiums for the dollar rates of the yen, mark, and pound. Risk premium innovations seem to explain a modest proportion of short-term variability of exchange rate changes and excess returns. However, risk premiums may explain serial correlations in excess returns.     

The Real Yen Exchange Rate and Japanese Productivity Growth

This study investigates the time-series properties of five real yen exchange rates by testing for stationarity in the context of a single structural shift. It finds that all but one of the series are stationary in conjunction with a trend- or mean-break in the late 1950s or early 1970s. By comparison, most real rates for five other industrialized countries are stationary around a constant mean. These findings suggest that the behavior of the real yen exchange rate is unique among the six currencies in the sample, a difference that may originate in the exceptional productivity performance of the Japanese traded-goods sector.     

人民币汇率波动对劳动密集型出口行业的积极和消极影响

国际贸易收支和汇率彼此所存在的相关性始终是国内外学术界所探讨与研究的重要问题,尤其是在盛行浮动汇率后,对于汇率波动率与变动情况影响国际贸易收支的相关研究从未间断。文章针对劳动密集型出口行业所存在的问题,对人民币汇率变动所产生的积极影响与消极影响进行分析与对比,从而提出解决劳动密集型行业目前存在的问题、推动变革汇率形成机制的系统性变革、对人民币跨境贸易结算予以不断完善等相关措施及建议。     

German Exchange Rate Exposure at DAX and Aggregate Levels, International Trade and the Role of Exchange Rate Adjustment Costs

Abstract. This article analyses value changes of German stock market companies in response to movements of the US dollar. The approach followed in this work extends the standard means of measuring exchange rate exposure in several ways, e.g. by using multifactor modelling instead of augmented Capital Asset Pricing Model, application of moving window panel regressions and orthogonalization of overall market risk vis-à-vis currency risk. A further innovation lies in testing the theoretical implications of exchange rate adjustment costs (hedging costs) for firm values and economic exposure. Based on time series and panel data of German Deutsche Aktien Xchange companies, Deutsche Mark/dollar rates and macroeconomic factors, we find a rather unstable, time-variant exposure of German stock market companies. Dollar sensitivity is positively affected by the ratio of exports/gross domestic product (GDP) and negatively affected by imports/GDP. Moreover, as expected from theoretical findings, firm values and exchange rate exposure are significantly reduced by adjustment costs depending on the distance of the exchange rate from the expected long-run mean.     

The Sensitivity of U.S. Inpayments and Outpayments to Real Exchange Rate Changes: Asymmetric Evidence From Africa

ABSTRACT

A strand of the literature concentrates on assessing the impact of exchange rate changes on a country’s inpayments from and outpayments to its trading partners. Most studies have considered the U.S. experience with partners from OECD but not for those from Africa. We fill this gap by including 14 African partners in our study. We assess not only the symmetric effects of exchange rate changes on the U.S. inpayments from and outpayments to each African partner, but also the asymmetric effects which requires incorporating nonlinear adjustment of the exchange rate. While we found asymmetric effects in the trade with almost all partners in the short run, in a limited number of cases the short-run effects lasted into long-run asymmetric effects. All in all, our findings are partner specific, but they provide more support for using nonlinear models.     

Speculative Efficiency and the Exchange Rate: Some Evidence Since the Float

This paper considers whether the speculative efficiency hypothesis holds in the foreign exchange market since the floating of the Australian dollar in December 1983. For the post-float period as a whole, the speculative efficiency hypothesis can be rejected in the 30-day market but not in the 15-day or 90-day markets. Evidence of a structural change in the market in February 1985—the time of the first major depreciation - was also found.     

Exchange Rate Policy in China after the Financial Crisis: Evidence from Time‐varying Exchange Rate Basket

We analyze the period of a managed floating exchange rate policy in China between June 2010 and November 2014. We estimate a time‐varying structure of a hypothetical currency basket using the Kalman filter. We show that the exchange rate policy continues to focus on the US dollar. However, its weight has been gradually declining, while this decline has moderated in 2014. The euro played some role before summer 2011, but became negligible after the outbreak of the European sovereign debt crisis. Finally, the Thai baht has positive implicit weights.     

The Impact of Euro on Sectoral Equity Returns and Portfolio Risk

This paper examines the implications of the adoption of the euro and the resulting monetary policy integration for investors in the Euro area in terms of stock market diversification. In particular, we study the difference between investment strategies based on country indices and on sector indices. In addition, we use GARCH-M to model return and volatility for the daily sectoral euro equity indices from 1992 to 2009 to analyze how and to what extent volatility in the sector equity index is driven by shocks occurring in the US, aggregate European equity index, aggregate Euro Zone equity index, and the global equity index. We find strong evidence that diversification over sectors yields more efficient portfolios than diversification over countries and that the volatility spillover of the aggregated Euro zone equity return index on the sectoral equity return index has increased after the launch of the euro.     

Exchange Rate Exposure of Chinese Firms at the Industry and Firm Level

This study investigates the exchange rate exposure of Chinese firms at the industry and firm level based on the conventional capital asset pricing model (CAPM) framework. At the industry level, the dynamic conditional correlation MGARCH (DCC MGARCH) estimates demonstrate that the market model and three‐factor model are appropriate for exposure measurements, and industry returns are more likely to be exposed to unanticipated changes in the real exchange rate and the trade‐weighted effective exchange rate, particularly for manufacturing industries. At the firm level, although the seemingly unrelated regression (SUR) estimates vary across markets, it is apparent that there is a relationship between firm size and exposure effects, which also show that lagged exchange rate changes have significant exposure effects on firm returns. This study finally suggests that non‐financial firms should set up special commissions to hedge currency risks of their future cash flows.     

The Returns to Higher Education in Britain: Evidence From a British Cohort

We use British birth cohort panel data to examine the impact that degree level qualifications and other higher education qualifications have on the earnings of individuals in the medium to longer term. We compare the outcomes of these individuals with those of individuals who had the prospect of undertaking Higher Education but chose not to. Our approach involves 'matching' these individuals according to observed characteristics which we have in the data such as ability, family background and demographics and then comparing outcomes between individuals who proved to HE and otherwise identical individuals who had the opportunity but did not.     

Export-led Growth and Import Compression: Further Time Series Evidence From LDCs

This paper conducts tests of the export-led growth and the import-compression hypotheses for four less developed countries (LDCs) – India, Nigeria, Fiji and Papua New Guinea (PNG). Based on Johansen's multiple cointegration test preceded by unit root tests, we test for cointegration between real output, exports and imports. Non-rejection of cointegration between the variables excludes the possibility of Granger non-causality and suggests at least one way Granger causality. Real output, exports and imports are found to be cointegrated in two of the countries and the resulting error-correction models suggest that Granger causality runs from exports and imports to real output in these cases. Exogeneity tests are conducted for exports with respect to real output. However, while the assumption of weak exogeneity is validated in two of the countries, the null hypothesis of super exogeneity is rejected. The test results therefore cast doubts on policy recommendations for the LDCs based on the export-led growth hypothesis.     

人民币新汇率形成机制下的上市公司外汇风险暴露

本文运用国际金融理论中经典的Augmented Market模型、2005年7月21日人民币汇率形成机制改革之后20个月的汇率变动数据和股票市场收益率数据来分析中国上市公司在新汇率形成机制下的外汇风险暴露问题。实证研究的结果显示,中国A股上市公司的整体股票收益率对汇率波动的敏感程度非常显著,且人民币兑美元汇率的升值推动了A股上市公司平均收益率的上升。