Trans-Tasman Transmission of Monetary Shocks: Evidence From a VAR Approach

This paper investigates the cross-country transmission mechanisms of monetary shocks between Australia and New Zealand within a VAR framework for the period 1985:1–2003:4. The empirical results indicate that a monetary shock in either Australia or New Zealand has real effects in the short-run in both countries however, an Australian shock generates more significant responses of most variables. Australian output is found to be significantly more sensitive than New Zealand output to monetary innovations in either country. The results also suggest that monetary innovations in a small open economy can also influence its larger trading partner.The authors would like to thank Faik Koray and an anonymous referee for their valuable comments. The usual disclaimer applies.     

外汇储备增量与我国宏观经济的耦合作用探究

由于改革开放以来我国经济的飞速发展,使我国的综合国力、国际经济贸易以及国家外汇储备量显著提升。那么外汇储备量高是否必然就是好事呢?其实也不尽然,外汇储备量大也可能带来很多弊端。外汇储备量与我国的宏观经济存在着密切的关系,二者偶联在一起相互影响。那么外汇储备究竟如何影响我国经济,而我国又应该采取何种货币政策呢?本文就将就这些问题作初步探讨,希望对促进我国经济健康快速发展做出一定贡献。     

Developments in the Political Economy of Policy Coordination

Issues of macroeconomic and exchange rate policy coordination have cycled in and out of the forefront of international policy discussions a number of times over the last several decades, yet little systematic progress has been made in institutionalizing this process and both the potential benefits and costs of cordination strategies remain highly controversial. This essay reviews the recent technical and political economy literature on this subject, highlighting the major areas of consesus and disagreement. It emphasizes the importance of taking uncertainty and political economy considerations into account.     

人民币国际化的现状、影响及未来货币政策取向

当前人民币国际化具有外汇储备的扩大、币值的稳定、金融市场的完善等许多有利的条件,同时也存在经济发展方式粗放、资本管制、美元惯性等诸多不利的条件。人民币国际化对货币政策可能会产生多方面的影响。由于货币政策具有溢出效应,同时考虑到利率市场化的影响,人民币国际化后货币政策的独立性将受到较大的冲击。人民币国际化对传导机制的影响表现在：由传统的信贷传导机制逐步转换为汇率传导机制,同时传导途径将进一步灵活化。由于存在货币替代,货币需求函数将变复杂且货币流量将更难以监控。在政策传导工具方面,准备金政策和再贴现政策效果将被削弱,而公开市场业务效果将增强。为了应对人民币国际化可能产生的影响,应当从加强对人民币的监督、完善利率与汇率机制、推进资本项目开放和合理搭配政策等方面采取对策来加以解决。     

Capital Inflows Problem in Selected Asian Economies in the 1990s Revisited: The Role of Monetary Sterilization*

This paper develops a simple model to examine the reasons behind the capital inflow surges into selected Asian economies in the 1990s prior to the financial crisis of 1997–98. The analytical model shows that persistent uncovered interest differentials and consequent capital inflows may be a result of complete monetary sterilization, perfect capital mobility, sluggish response of interest rates to domestic monetary disequilibrium, or some combination of all three. Using the model as an organizing framework, the paper undertakes a series of related simple empirical tests of the dynamic links between international capital flows, the extent to which they are sterilized and uncovered interest rate differentials in the five crisis‐hit economies (Indonesia, Korea, Malaysia, the Philippines and Thailand) over the period 1990:1–1997:5.     

MONETARY POLICY IN A SMALL OPEN ECONOMY: THE CASE OF MALAYSIA

This paper provides a case study to characterize the monetary policy regime in Malaysia, from a medium‐ and long‐term perspective. Specifically, we ask how the Central Bank of Malaysia, Bank Negara Malaysia (BNM), has structured its monetary policy regime, and how it has conducted monetary and exchange rate policy under the regime. By conducting three empirical analyses, we characterize the monetary and exchange rate policy regime in Malaysia by three intermediate solutions on three vectors: the degree of autonomy in monetary policy, the degree of variability of the exchange rate, and the degree of capital mobility.     

开放经济货币政策动态下人民币汇率问题研究

文章以汇率超调模型及其拓展为基础,突出货币供求(Ms-Md)与宏观经济短期波动的总供求(AS-AD)关联运行的作用机理,结合非线性宏观金融理论在货币供需分析中引入可交易金融资产,在资本管制货币扩张下,对人民币名义汇率动态进行综合判断。在此基础上进行实证研究,突出指示器变量的作用,为人民币汇率动态提供经验支持。通过建立指示器指标之间的线性回归关系,在货币需求方程的协整分析基础上,反解出货币供求均衡条件下所形成与宏观经济总供求相合意的名义汇率,即把反映宏观经济总供求运行的均衡货币因素代入指示器指标之间OLS关系中,反解出均衡水平下的合意名义汇率,结果表明从自身而言,人民币不具备升值诉求。     

Do Monetary Policy Announcements Affect Exchange Rate Returns and Volatility of Returns? Some Evidence from High‐Frequency Intra‐Day South African Data

This paper examines the temporal effect of domestic monetary policy surprises on both returns and volatility of returns of the South African rand/U.S. dollar exchange rate. The analysis in this “event study” proceeds using intra‐day minute‐by‐minute exchange rate data, repo rate data from the South African Reserve Bank's scheduled monetary policy announcements, and market consensus repo rate forecasts. A carefully selected sample over the period August 2003 to November 2017 ensures that the change in monetary policy is exogenous to the exchange rate. We find statistically and economically significant responses in intra‐day high‐frequency South African rand/U.S. dollar exchange rate returns and volatility of exchange rate returns to domestic interest rate surprises, but anticipated changes have no bearing on exchange rate returns and their volatility. The empirical results also indicate that there is an instantaneous response of the rand/dollar exchange rate to monetary policy surprises and that monetary policy news is an important determinant of the exchange rate until at least 42 minutes after the pronouncement – suggesting a high degree of market “efficiency” in its mechanical sense (although not necessarily in the deeper economic‐informational sense) in processing this information. Essentially, the asymmetric GARCH results exhibit no leverage effects – positive and negative information shocks have symmetric effects on conditional variance.     

THE IMPLICATIONS OF OECD GROWTH FOR SOUTH AFRICAN EXPORTS

This paper examines the role of OECD growth on South African exports using a vector error correction model. In the long run both OECD growth and the real effective exchange rate were found to influence South Africa's export performance, while in the short run, the real effective exchange rate was found to be an important driver of export growth. The policy implications that emerge from the study underscore the importance of fully exploiting current trading relationships, diversifying South African export destinations and enhancing competitiveness.     

LOUD AND CLEAR? CAN WE HEAR WHEN THE SARB SPEAKS?

Inflation targeting is a forward‐looking framework for monetary policy that has brought unprecedented transparency to the process of monetary policy. This paper aims to assess the degree to which the South African Reserve Bank's (SARB) Monetary Policy Committee (MPC) has, since the introduction of inflation targeting, successfully communicated to the public its policy analysis, and, in particular, the expected future policy changes. It follows international literature in constructing a numerical index that is used to reflect the information content of the SARB's communications, specifically the monetary policy statements that accompanied each of the MPC meetings since 2000. This method allows us to judge, systematically, the degree to which the MPC has communicated successfully, and the evolution of that success over the past nine years. We find evidence that the MPC has succeeded in signalling their likely future policy decision with consistency over this period.     

资本管制、结售制度与资源配置效率:透视中国外汇储备

近年来我国外汇储备的超常规增长对经济发展产生重要影响。对外汇储备形成机理进行研究发现,我国巨额外汇储备是由多种因素交互作用的结果,不完全的市场机制很大程度促进了我国外汇储备的增长。应放松资本管制,逐步施行资本账户开放和人民币自由兑换;改变现有的外汇结售制度,建立主权财富基金;推进汇率制度改革,形成利率-汇率联合机制;发展金融衍生产品市场等。