汇率水平及其波动性变化对产业结构调整的影响*

在开放经济条件下研究汇率制度调整所引致的汇率水平及其波动性的变化对产业结构变动的复杂影响及其经济结构效应,符合我国推进新一轮改革开放的战略需求和当前世界经济全球化的发展趋势。有鉴于此,本文试图探讨在汇率制度调整和范式改变的条件下汇率变动的改变对我国工业部门产业结构调整的影响。基于2003-2012年的时间序列数据,本研究建立了汇率水平及波动率与工业产业结构的向量自回归模型,通过协整检验和脉冲响应函数考察了各变量间的长期均衡关系和短期冲击影响。实证结果表明,汇率升值并没有促进工业部门内的产业结构升级,但是汇率弹性的增加有利于工业部门内的产业结构向有益的方向发生改变。     

宏观经济政策对人民币汇率变动的影响

本文从影响汇率变动因素的角度出发,着重探讨在不完全资本流动情况下宏观经济政策对一国汇率变动的作用,进而对人民币走势作一利弊分析,指出人民币走向国际可自由兑换货币是中国参与经济全球化的必然趋势。     

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。     

THE EFFECTS OF ALTERNATIVE EXCHANGE RATE REGIMES ON REAL EXCHANGE RATE VOLATILITY: EVIDENCE BASED ON A NEW DATASET

Do alternative exchange rate regimes affect short‐term real exchange rate volatility differently? The existing empirical evidence is quite mixed with slightly more papers supporting that they do. We show that such lack of consensus is mainly due to current literature limitations regarding the measurement of real exchange rates (RERs), the identification of exchange rate regimes (ERRs), and the control for the incidence of real and nominal shocks. To address these limitations, we construct a novel monthly dataset for 63 countries over the period 1946–2007, which includes market‐determined multilateral RER and a proxy for terms of trade. We find that ERRs indeed affect short‐term real exchange rate volatility differently. While the evidence is generally consistent with Mussa's sticky prices argument, we find that for nonadvanced countries in post‐Bretton Woods there exists a “U‐shape nominal flexibility puzzle of RER.” We also find evidence of a “short‐run RER volatility puzzle.” Having controlled for the incidence of real and nominal shocks, nonadvanced countries' RER volatility remains between 25% and 150% greater than that of the advanced economies. Moreover, the key literature finding that short‐term RER volatility is higher in Bretton Woods (BW) than in post‐Bretton Woods (PBW) for industrialized countries vanishes when using market‐determined multilateral RER instead of official bilateral RER. (JEL F31, F33, F41)     

货币政策冲击、外汇干预与汇率变动的同期与动态关联研究

本文采用SVAR模型以及2005年7月至2011年12月的月度数据,研究了2005年的新汇率改革之后,我国货币政策冲击、外汇干预与汇率间的动态关联。主要发现与结论如下：在货币政策冲击、外汇干预与汇率三者的同期博弈中,外汇干预不能即刻影响同期汇率。利率的上升及广义货币供应量的变动均会对同期名义有效汇率造成一定影响,但不太显著。在三者的动态博弈中,外汇干预是非冲销和有效性得到验证,外汇干预信号的假设可以成立。此外,即使利率的变动并不针对汇率,却带来汇率的大幅波动。名义有效汇率的上升可以有效抑制消费价格指数（CPI）的提高,并且数量型货币政策容易造成CPI的反弹。本文针对研究结论提出了一些政策建议。     

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。     

FERTILITY SHOCKS AND EQUILIBRIUM MARRIAGE‐RATE DYNAMICS

Female marriage probabilities were 50% higher in France in the years after World War 1, despite a large drop in the sex ratio. We develop a model of marital matching in which composition effects in the singles pool affect postdisruption matching rates. When calibrated to French data from World War 1, this mechanism explains 2/3 of the postwar rise in female marriage probabilities as the result of better composition of the pool of single men. We conclude that endogeneity issues make the sex ratio a potentially unreliable indicator of female marriage prospects.     

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。     

PRICE DYNAMICS,FOREIGN EXCHANGE AND ANTICIPATED SHOCKS IN A TOURISM ECONOMY

Using a dynamic model of an open monetary economy, this paper examines the effects of tourism‐related anticipated shocks on goods prices and foreign exchange reserves. Foreign tourists consume mainly non‐traded goods in holiday destinations, converting them into exportable goods. This gives rise to a tourism terms‐of‐trade effect that affects the accumulation of foreign exchange. Announcements of anticipated events bring tourist visits forward, resulting in an initial under‐adjustment or an over‐adjustment in the prices of the non‐traded goods when the tourism terms‐of‐trade effect is positive or negative. This leads to an increase or a decrease in foreign reserves in the long run.     

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。     

外部需求冲击对中国出口的影响

中国经济增长的特殊模式使得其容易受到外部经济表现的影响,其中外需冲击是重要的渠道。实证结果表明,中国出口一方面为外部需求所拉动,另一方面其竞争力体现为成本优势。在前期出口成本上升和目前中国的主要出口市场相继进入衰退的情况下,为稳定出口增长,中国应在短期适度回调出口退税率和稳定人民币升值幅度,在长期致力于技术进步。     

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。     

ON THE SOURCES OF UNCERTAINTY IN EXCHANGE RATE PREDICTABILITY

In a unified framework, we examine four sources of uncertainty in exchange rate forecasting models: (i) random variations in the data, (ii) estimation uncertainty, (iii) uncertainty about the degree of time variation in coefficients, and (iv) uncertainty regarding the choice of the predictor. We find that models that embed a high degree of coefficient variability yield forecast improvements at horizons beyond one month. At the one‐month horizon, and apart from the standard variance implied by unpredictable fluctuations in the data, the second and third sources of uncertainty listed above are key obstructions to predictive ability. The uncertainty regarding the choice of the predictors is negligible.     

企业生产率的代际效应和年龄效应

本文利用1998年到2004年中国制造业企业数据,从企业代际和年龄的角度研究了中国制造业企业的生产率变动,得到三个基本发现:(1)新进入企业总是能够将当时先进的技术知识和组织制度"物化"在企业的物质和组织资本中,存续企业也能通过"干中学"而提升其生产效率;而且只有在改革开始以后成立的企业才显现出显著的日益上升的代际优势;(2)中国制造业企业的代际和年龄优势并没有相应反映在外资企业上,外资企业的代际优势几乎没有,正年龄效应在第6年后也几乎消失;(3)尽管国有企业平均来看较其他所有制企业的生产率低,但在1988年之后新成立的国有企业日益增加的代际优势,表现出了明显的"追赶"效应。     

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。     

THE EFFECTS OF FISCAL SHOCKS ON EMPLOYMENT AND THE REAL WAGE*

We study the transmission of fiscal shocks in the labor market. We employ a structural VAR and base identification on the restrictions that shocks to government consumption, investment, and employment must raise output and deficits. These restrictions hold in both prototype Real Business Cycle (RBC) and New Keynesian models. Shocks to government consumption and investment increase real wages and employment contemporaneously, both at state level and in the aggregate. The dynamics in response to employment shocks are mixed: Increases in government employment raise the real wage and total employment in the aggregate. However, in one third of the states they reduce total employment.     

THE EFFECT OF EXCHANGE RATE CHANGES ON CHINA'S LABOUR-INTENSIVE MANUFACTURING EXPORTS

Abstract.  Chinese policy-makers fear that an RMB appreciation will reduce low technology exports. We investigate this issue using data on China's exports to 30 countries. We find that an appreciation of the RMB would substantially reduce China's exports of clothing, furniture and footwear. We also find that an increase in foreign income, an increase in the Chinese capital stock, and an appreciation among China's competitors would raise China's exports. Because Europe is the second leading exporter of labour-intensive manufactures behind China, these results indicate that the appreciation of the euro relative to the RMB since 2001 has crowded out European exports.     

EFFECTS OF ASYMMETRIC INFORMATION WITHIN A FIRM ON OLIGOPOLISTIC MARKET OUTCOMES

I analyze the implications of the Laffont–Tirole type agency problems on oligopolistic market outcomes. In the model, a firm's marginal cost is decreasing in managerial effort and is subject to an additive shock. Both managerial effort and the realization of the shock are a manager's private information. A firm first offers a menu of contract to its manager, and then competes in the product market. As in the model of single principal and single agent, the incentive contracts implement efforts that are distorted downward relative to full information. In this model, with multiple agency relationships, an additional source for upward distortion of effort emerges as a result of the interaction in the product market. The results are robust to whether firms compete in price or quantity.     

FDI,SECTORAL OUTPUT AND REAL EXCHANGE RATE DYNAMICS UNDER FINANCIAL OPENNESS

This paper adopts an alternative approach to the study of the impact of capital inflow on the real exchange rate by foremost, analysing the effect of FDI inflow on the ratio of tradables to nontradables, and then estimating the relationship between the tradable‐nontradable ratio and the real exchange rate, while accounting for the role of financial openness. Based on data for a group of developing countries, the findings show that an increase in FDI inflow is associated with a decrease in the tradable‐nontradable ratio, and that an increase in the tradable‐nontradable ratio leads to a depreciation of the real exchange rate; this effect being greater with an increase in financial openness. This suggests that an increase in FDI inflow could result in an expansion of the nontradable sector, which would be associated with a greater appreciation of the real exchange rate under a higher level of financial openness.     

APPLICATIONS OF REAL EXCHANGE RATE ANALYSIS

This paper presents an approach for analyzing changes in the real exchange rate. It cites three views of the real exchange rate and outlines the complex forces that cause the rate to change. Using data from the International Monetary Fund's International Financial Statistics, the analysis then focuses on selected countries, each chosen because its experience reflects the operation of a principal force affecting the exchange rate. A summary of the experience of several countries during the 1970–1983 period illustrates the importance of the real exchange rate in the wake of inflationary episodes, oil crises, massive capital movements, and debt crises during that period. The analysis directs particular attention toward the central role that real exchange rate movements have played in the international debt crisis.