后危机时期国际金融格局的变动及其对美国经济的影响

2008年金融危机给世界经济带来了重大的影响,国际金融格局也发生了显著变化。本文主要分析了国际汇率体系、国际收支和国际储备体系、国别经济政策与国际间经济政策协调的变化。在后危机时期,美国经济也受国际金融格局变化的影响,包括美元中心地位的问题、“中心一外围”模式可持续性的问题和美国的国际经济领导权问题。本文得出的主要结论是：国际几种主要货币汇率波动增大,国际汇率体系弹性增大,国际收支总体失衡程度下降,美元为主的国际储备体系呈多元化趋势,先进经济体与新兴发展经济体的经济协调在加强,美元的霸权地位面临挑战,美国在国际分工中的中心地位在下降,美国在国际经济的主导地位也在逐渐下降,新兴经济体获得更多的话语权。     

A structural VAR business cycle model for a volatile small open economy

New Zealand is a small economy exposed to a volatile climate, relatively volatile international trade prices, and its exposure to international financial markets has increased markedly since economic reforms in the 1980s. This paper applies identification techniques suggested by Cushman and Zha [Cushman, D.O. and Zha T.A., 1997. Identifying monetary policy in a small open economy under flexible exchange rates, Journal of Monetary Economics, 39, pp. 433–448.], Zha [Zha, T.A., (1999). Block recursion and structural vector autoregression, Journal of Econometrics, 90, pp. 291–316.] and Dungey and Pagan [Dungey, M. and Pagan, A., 2000. A structural VAR model of the Australian economy, The Economic Record, 76, pp. 321–342.] to develop a large four block structural VAR model of the New Zealand business cycle to capture these features. The model reveals that climate and international trade price shocks have been more important sources of business cycles fluctuations than international or domestic financial shocks. Furthermore, the model does not encounter the price and exchange rate puzzles that have bedevilled attempts to identify monetary policy shocks in small open economy SVAR models.     

浅析2008年油价高位震荡对中国经济的影响

：2008年，国际油价出现了罕见的短期巨幅震荡。本文通过分析此轮石油价格震荡的特点和原因，来阐述国际油价波动对我国经济的影响，并就此提出建议。合理及平稳的油价有助于我国国民经济健康发展，缓解通货膨胀压力。我们应抓住契机，健全中国石油安全保障体系，减轻油价暴涨暴跌对中国经济的负面影响，促进经济发展，维持社会稳定。     

Rigid wage-setting and the effect of a supply shock,fiscal and monetary policies on Chinese economy by a CGE analysis

The purpose of this paper is to present a computable general equilibrium (CGE) model of the Chinese economy which includes rigid wage-setting and integration of real and financial sectors, and to apply it to a quantitative evaluation of the oil price changes and the fiscal and monetary policies. The policy simulation shows whether the wage rate is flexible or rigid is crucial for the evaluation of various policy measures. Furthermore, the fields of application of the model are extended from the industry-related problems to the macroscopic ones such as inflation, stabilization policies and so on.     

Currency Internationalization and the International Price System

Although China, now the world’s second largest economy and largest goods trading nation, has rolled out the ambitious currency internationalization protocol while maintaining strict capital controls for nearly a decade, the implications of this unique reform path on the international economy still present uncertainties. In this paper, we fill in this gap by developing a two country, two-goods model to investigate the impacts of currency internationalization on the international price system, which consists of goods market and factor market interactions. We propose a critical condition of sustainable currency internationalization and reveal high international price sensitivity to exchange rate adjustments.     

Exchange market pressure and primary commodity – exporting emerging markets

This paper studies short-term sensitivity between exchange market pressure and various domestic and external factors in primary commodity-exporting emerging markets. The paper focuses on the top country-commodity groups in sugar, cereal, fuels, ores and coffee during the pre-peak and post-peak commodity price periods across floating and pegged exchange rate regimes, using the price of crude oil as a general benchmark. Employing a panel model and panel VAR analysis, the paper finds the heterogeneity of response patterns unique to country-commodity groups and exchange rate regimes. According to the results, in flexible regimes, volatility occurs via the foreign exchange market, interest rates, and domestic credit cycles, feeding into the social costs for structurally weaker economies. Hard exchange-rate pegs often result in a drain on international reserves as the terms of trade deteriorate following post-price peaks, leading to unpopular depreciation. These results accentuate concerns over uneven international trade patterns, an open economy’s short-term foreign exchange policy, and speculative capital flows. Such sensitivity has broad implications for macroeconomic balance and the sustainability of implied exchange rate targets in the presence of a foreign exchange constraint across emerging markets.     

略论中国外汇储备面临的潜在资本损失

本文分析了中国巨额外汇储备面临的由本币升值汇率风险而导致的资本损失。文章从两个角度来研究该项损失:一是从央行资产负债表由于货币错配而招致的现实以及潜在资本损失的角度;二是从以一篮子货币或者一篮子商品来衡量的中国外汇储备国际购买力损失的角度。本文的结论是:中国央行资产负债表面临的资本损失是显著的;中国外汇储备国际购买力的波动显著高于市场价值的波动,尤其是用油价来衡量的外汇储备购买力波动相当剧烈。     

国际石油价格与通货膨胀的溢出效应及动态相关性

国际石油价格大幅波动不可避免地给全球经济带来了一定程度的冲击和影响。文章采用向量自回归、多元GARCH-BEKK和DCC-GARCH模型对中美两国通货膨胀与国际石油价格之间的均值溢出效应、波动溢出效应及动态相关关系进行了实证检验。检验结果表明,国际石油价格与中国通货膨胀不存在任何方向的均值和波动溢出效应,美国通货膨胀与国际油价则存在双向显著的均值和波动溢出效应;中国通货膨胀与国际油价的动态相关关系显著弱于美国,不易受到国际油价的冲击和影响。从整体上看,当前中国通货膨胀与国际石油价格的关联性并不显著,但随着我国石油消费对进口依赖程度的不断提高,石油安全问题在可预见的未来将成为中国需要应对的一个现实挑战。因此,相关部门应及早采取有效措施,应对未来石油冲击对宏观经济的影响。     

International macroeconomic interdependence and imports of oil in a small open economy

To the extent that oil imports may be relevant to the international dimension of policy, we study the transmission of shocks to open economies dependent on oil within a NOEM framework through a DSGE model of a small open economy with flexible prices, staggered price setting and local currency pricing. For this purpose we introduce imports of oil as a new intermediate good needed to produce the final good and, apart from the usual exogenous shocks when a small open economy is being modeled, we consider an uncovered interest-rate parity shock, a technology shock and an oil price shock. A second-order accurate solution method is used to solve numerically a calibrated model for Portugal and Spain and the simulation results are compared with historical data, showing similar volatilities and expected dynamic responses to exogenous shocks. The model is computed with an optimized Taylor-style interest rate rule that includes real exchange targeting, thus arguing in favour of an international dimension of monetary policy.     

外部冲击与我国物价水平的决定——基于结构VAR模型的分析

文章建立结构VAR模型考察了1997年1月至2008年8月期间外部冲击(国际石油价格和人民币名义有效汇率)对我国国内物价水平及其分类价格指数的传递效应.结果表明,价格和汇率传递都是不完全的、滞后的和沿价格链递减的,且对分类价格指数的传递差异较大;相比人民币名义有效汇率,国际石油价格冲击对我国进口价格指数、生产者价格指数和消费者价格指数的传递率更高,影响更大;我国近期消费者价格指数的上扬较多地是受到上游价格链冲击、需求冲击、货币政策冲击和供给冲击的影响,人民币升值的抑制通胀效应较弱.     

国际油价波动对经济增长的影响——基于中国的实证分析

基于1990年1月至2009年3月的月度数据,本文实证分析了我国经济增长与国际石油价格之间的长期变动关系,其特点在于,采用稳健性较强的T-Y因果检验来分析油价与经济增长的Granger因果关系,同时,运用非对称协整技术以考察油价与经济增长之间的非线性关系。研究发现：①长期中油价是我国经济增长的单向Granger原因;②油价与我国经济增长之间存在非对称协整关系,油价上涨对经济活动的负面影响大于油价下跌的积极影响。基于中国经济运行的实际,本文还分析了实证结果背后的原因,并提出当前国际金融危机背景下,油价呈下跌趋势,需抓住有利时机,动用外汇储备,大力购入石油资源,建立起石油战略储备;在经济复苏、油价上涨时,可以启动石油战略储备来减少石油供应冲击,从而有助于及时保证我国经济平稳快速增长的政策建议。     

国际石油价格冲击研究综述

国际石油价格剧烈波动对2007年世界金融危机爆发起到了推波助澜的作用,并直接影响当前全球经济复苏进程。本文从石油价格及其形成机制、石油价格冲击对实体经济和金融市场的影响以及应对策略等多个方面对石油价格冲击研究文献进行梳理。已有文献多以发达国家为研究对象,在当前全球经济复苏的背景下,结合当前国际石油市场状况与我国国情,提出有价值的研究方向,这是本文拟达到的目的。     

China's economic growth and its real exchange rate

The shocks that underlie China's comparatively rapid growth include gains in productivity, factor accumulation and policy reforms that increase allocative efficiency. The well-known Balassa–Samuelson hypothesis links productivity growth in tradable industries with real appreciations. Yet it relies heavily on the law of one price applying for tradable goods, against which there is now considerable evidence. In its absence, other growth shocks also affect the real exchange rate by influencing relative supply or demand for home product varieties. This paper investigates the pre-conditions for the Balassa–Samuelson hypothesis to predict a real appreciation in the Chinese case. It then quantifies the links between all growth shocks and the Chinese real exchange rate using a dynamic model of the global economy with open capital accounts and full demographic underpinnings to labor supply. The results suggest that financial capital inflows most affect the real exchange rate in the short term, while differential productivity is strong in the medium term. Contrary to expectation, in the long term demographic forces prove to be weak relative to changes in the skill composition of the labor force, which enhances services sector performance and depreciates the real exchange rate.     

Capital flows to an emerging financial market in Turkey

Increased globalization in financial markets implies that the percentage of all shares under foreign ownership in domestic stock markets has been rising. Speculative attacks on the foreign exchange market in February 2001 led to deep economic crisis in Turkey. This article will explore various indicators of the financial crisis in Turkey based on a macro-model. The foreign share of the domestic economy is a key variable to establish the degree of vulnerability during a financial crisis. An empirical investigation shows that the percentage of shares owned by foreigners on the Istanbul Stock Exchange (ISE) has been increasing since 1995 and is currently about 50 percent of the total. Furthermore, the general index of stock market prices in 1999 was at its highest level since 1995. This would imply that the general price index of the stock market is another strong indicator of an impending financial crisis. An empirical investigation of Turkish data based on a theoretical model is presented in this paper. An unexpected capital outflow would certainly cause exchange rate fluctuations, balance of payments problems, and international debt crisis. Hot money inflows boost share prices and keep the real exchange rate high. However, short-term stay of capital implies a sudden capital outflow that creates financial crisis, which results in international debt crisis. This in turn leads to a further increase in loans from the International Monetary Fund (IMF). Relatively high stock market prices may suggest an impending financial crisis. Using Turkish stock market price data, an impending financial crisis can be statistically predicted.     

The effect of a Chinese slowdown on inflation in the euro area and the United States

We investigate the effect of a Chinese slowdown on inflation in the euro area and the United States using the NiGEM multi-country model. We construct different scenarios including a fall in Chinese aggregate demand, a commodity price slump, financial market corrections and a devaluation of the renmimbi. While the commodity slump has the strongest impact on inflation, the demand and exchange rate shocks also play a role; on the contrary, financial turbulences have minor effects. Finally, we study the extent to which monetary policy in advanced economies can succeed in reflating the economy following such a Chinese slowdown. The room for central bank interventions is large.     

宏观经济波动与人民币汇率政策的影响因素分析

本文通过对当前新一轮宏观经济波动特征的分析,发现随着中国经济对外开放度的日益提高,汇率政策对宏观经济的运行已具有越来越重要的影响.目前中国国际收支顺差过大、外汇储备增长过快已成为加剧宏观经济过热的重要因素之一.通过调整名义汇率来解决顺差过大的思路受制于价格总水平调整幅度的局限,因为在影响我国商品和劳务的价格因素中,劳动力价格水平与发达国家相比悬殊过大既是影响商品价格水平的一个主导性因素又是一个长期性因素,在短期内不可能大幅度的缩小这一差距.由此,决定了目前不可能采取对人民币汇率水平大幅升值的办法来解决国际收支失衡和外汇储备过快增长的问题.解决人民币汇率的市场化形成机制和汇率水平向真实汇率回归问题是一项相对长期的政策选择,因而,短期的汇率政策只能以外汇储备的结构调整为主导.     

Insulation properties of separating exchange markets

Insulation properties play an important role for countries in favour of separating rates for separating transactions. Such properties insulate the open economy from monetary and real shocks, of domestic and foreign origins. Through theoretical and numerical analyses, we find that in a unified flexible exchange rate system, portfolio holders' expectations drive the price adjustment, leading to expectations of exchange rate changes. In separating exchange markets, the financial rate reflects the instability of portfolio holders' expectations and capital flows; however, the real exchange rate and hence the macroeconomy is stable. Uncertainty of shocks ceases to affect the real sector of the economy.     

Exchange rate and price level determination in a stochastic equilibrium model

This paper analyzes a stochastic general equilibrium model of the open economy under floating exchange rates. It is shown that increased integration of the domestic economy with the rest of the world—whether integration is considered from the viewpoint of financial or commodity markets—has differential impacts upon price and exchange rate variability with the impacts depending further upon the source of variability.     

资本市场开放与经济稳定增长—对东南亚国家的实证分析及其启示

20世纪90年代,国际资本的急剧流动引发了东南亚的金融危机。国际资本的短期性和投机性,以及它对发展中国家的资本市场、汇率、外汇储备和金融体系的强烈冲击,应当引起我们的深思。资本市场的开放,必须建立在国内金融体系的改革和实质经济市场化转型的基础上。     

汇率制度、金融加速器和经济波动

本文建立一个小型开放经济模型,目的之一是探究中国开放经济中金融加速器的存在性;二是针对中国1997—2008年间宏观经济波动特征分析不同汇率制度下金融加速器效应的差异,以验证相对浮动汇率来说,固定汇率是否会加大经济波动。通过使用中国数据和ML方法估计含和不含金融加速器的DSGE模型发现,似然率检验接受前者而拒绝后者。模拟结果显示含金融加速器模型模拟数据与实际数据特征更接近,再次验证了开放经济中金融加速器的存在。固定汇率下金融加速器效应强于浮动汇率,部分解释了1997—2008年间中国经济在不同汇率制度下宏观变量波动的差异。金融加速器主要传播和放大投资效率和货币政策冲击对经济的影响,对货币需求和国外冲击也有一定的放大作用,但对技术和偏好冲击的放大作用不明显。