Exchange Rates and Capital Flows

This paper explores the ability of portfolio and foreign direct investment flows to track movements in the euro and the yen against the dollar. Net portfolio flows from the euro area into US stocks – possibly reflecting differences in expected productivity growth – track movements in the euro against the dollar closely. Net FDI flows, which capture the recent burst in cross‐border M&A activity, appear less important in tracking movements in the euro‐dollar rate, possibly because many M&A transactions consist of share swaps. Movements in the yen versus the dollar remain more closely tied to conventional variables such as the current account and interest differential.     

Bayesian Estimation of ARMA-GARCH Model of Weekly Foreign Exchange Rates

Three Bayesian methods (Markov chain Monte Carlo, Laplace approximation and quadrature formula) are developed to estimate the parameters of the ARMA-GARCH model. The ARMA-GARCH model is applied to weekly foreign exchange rate data of five major currencies, and their stochastic volatilities are judged by the posterior probabilities of stationarity and other conditions. This revised version was published online in August 2006 with corrections to the Cover Date.     

有管理的浮动汇率制:我国汇率制度改革的科学选择

在浮动汇率制下,各国不再规定汇率上下波动的幅度,中央银行也不再承担维持波动上下限的义务,各国汇率是根据外汇市场中的外汇供求状况,自行浮动和调整的结果.中国汇率制度目前尚不具备自由浮动的条件.我国的有管理的浮动汇率制的选择是符合我国国情的科学的正确的选择.     

Real Exchange Rates and Fundamentals: A Cross‐Country Perspective

This paper employs newly constructed measures for productivity differentials, external imbalances, and commodity terms of trade to estimate a panel cointegrating relationship between real exchange rates and a set of fundamentals for a sample of 48 industrial countries and emerging markets. It finds evidence of a strong positive relation between the consumer price index‐based real exchange rate and commodity terms of trade. The estimated impact of productivity growth differentials between traded and nontraded goods, while statistically significant, is small. Increases in net foreign assets, government consumption, and trade restrictions tend to be associated with appreciating real exchange rates.     

Exchange Rates and Fundamentals: A General Equilibrium Exploration

Engel and West (2005) show that the observed near random‐walk behavior of nominal exchange rates is an equilibrium outcome of a partial equilibrium asset approach when economic fundamentals follow exogenous first‐order integrated processes and the discount factor approaches one. In this paper, I argue that the unit market discount factor creates a theoretical trade‐off within a two‐country general equilibrium model. The unit discount factor generates near random‐walk nominal exchange rates, but it counterfactually implies perfect consumption risk sharing and flat money demand. Bayesian posterior simulation exercises, based on post‐Bretton Woods data from Canada and the United States, reveal difficulties in reconciling the equilibrium random‐walk proposition within the canonical model; in particular, the market discount factor is identified as being much smaller than one. A relative money demand shock is identified as the main driver of nominal exchange rates.     

贸易保护对汇率的影响——基于资本流动性及汇率收敛视角

对资本开放程度及汇率收敛度进行分类的框架下,考察贸易保护对汇率的影响。研究发现：在不同分类的国家,同样提升关税,对名义汇率的影响不尽相同;在汇率收敛的国家,提升关税会伴随资本控制程度降低而会导致名义汇率升值;在汇率不收敛情况下,提升关税会伴随资本控制程度降低而导致名义汇率贬值;从升值角度向绝对收敛状态转移时,低资本控制度及汇率收敛使汇率收敛度越接近于绝对收敛,在关税上升情况下会加剧名义汇率升值。使用动态系统GMM模型对66个国家2000-2014年样本数据进行实证分析,有力支撑了理论分析的结果。同时,对非关税措施进行实证分析,得出一般情况下贸易保护政策的确会造成汇率的升值,该结果在一般情况下是稳健的。     

高利率能否捍卫汇率稳定：基于马尔科夫变换的世代交叠模型的分析

按照传统观点,在本国货币遭受投机攻击时,中央银行的典型做法是提高短期利率来捍卫货币和汇率制度。但批评者认为,提高利率会增加经济发展的成本,容易引发信用恐慌和产出减少。通过建立一个基于马尔科夫变换的世代交叠模型可以发现,利率被提的越高,汇率波动率也会随之相应增加。当高利率的货币政策使经济增长放缓甚至衰退,维持汇率稳定的可信度下降时,投机者就会发动对本币的投机攻击。最后在外汇储备耗尽的情况下,中央银行权衡得失后不得不实行浮动汇率制。     

Exchange Rate Pass-Through and Monetary Policy: A Cross-Commodity Analysis

This paper investigates how a change in monetary policy affects the degree and the speed of exchange rate pass-through to import prices in the emerging market economy, using a newly constructed data set from Taiwan's trading commodities. First, the analytical framework is set up following Goldberg and Knetter (1997) and Campa and Goldberg (2005). Next, the period-by-period and the multiple-period cumulative effects of monetary policy on the degree of exchange rate pass-through can be traced out. The dynamic panel data model is then estimated by Bun and Carree's (2005) bias-corrected approach, which enjoys easy calculation and robust testing performances, leading to more reliable empirical results. Our cross-commodity evidence strongly supports the partial pass-through in the short run and the complete pass-through in the long run. Moreover, following a change in monetary policy, this pass-through effect increases during several initial periods and declines to zero over time.     

A Unifying Microstructure Framework for Modeling Intraday and Interday Asset Pricing Dynamics: the Case of Exchange Rates

A model of the dynamics of intradaily exchange rates is presented. The current Over‐The‐Counter (OTC) exchange rate is the quote of the quoting bank.Two polar cases are considered: (i) If each bank is able to observe the noises relative to the orders of its own clients, then the OTC exchange rate is shown to obey a random walk with a constant conditional variance. (ii) If each bank is not able to observe the noises relative to the orders of its own clients, the OTC exchange rate is no more a random walk and conditional heteroskedasticity appears.
     

改革中汇率对国际贸易作用的机理分析

理论界对人民币汇率水平是否对我国国际贸易发挥关键作用有不同的看法,但在1994年汇率改革后,我国的国际贸易迅速发展却是不争的事实。2005年7月21日我国根据现状,又进行了一次汇率改革。为明确此次改革中汇率对我国国际贸易的传导效应,本文应用计量经济法,比较改革前后进出口额等的变化,对我国汇率与进出口额等之间的影响关系进行实证分析。     

A Multiple and Partial Wavelet Analysis of the Oil Price,Inflation, Exchange Rate,and Economic Growth Nexus in Saudi Arabia

This article provides a fresh insight into the dynamic nexus between oil prices, the Saudi/US dollar exchange rate, inflation, and output growth rate in Saudi Arabia’ economy, using novel Morlet’ wavelet methods. Specifically, it implements various tools of methodology: the continuous wavelet power spectrum, the cross-wavelet power spectrum, the wavelet coherency, the multiple and the partial wavelet coherence to the annual sample period 1969–2014. Our results unveil that the relationships among the variables evolve through time and frequency. From the time-domain view, we show strong but non-homogenous linkages between the four variables. From the frequency-domain view, we uncover significant wavelet coherences and strong lead-lag relationships. From an economic view, the wavelet analysis shows that Saudi economy is still exposed to several global risk factors, which are mainly related to the oil market volatility, and the pegging of the local currency to the US dollar. Such risk factors strongly and negatively affect the real economic growth, exert more pressure on inflation, and substantially limit the freedom to pursue an independent monetary policy.     

Incomplete Exchange Rate Pass-Through: Evidence from Exchange Rate Reform in China

Exchange rate disconnect is one of the central puzzles in international macroeconomics. Recently, there is a growing literature that studies the microeconomic foundations or mechanisms for incomplete exchange rate pass-through. However, the estimations of the exchange rate pass-through vary widely in the existing literature. Our article proposes the use of a policy-based instrumental variable for exchange rate, exploiting the exchange rate reform in China, and finds that 67% of exchange rate pass-through into the FOB export price of Chinese exports. This contrasts to the almost full exchange rate pass-through using OLS estimation. We further find that the export price of homogeneous goods, low-technology goods, and goods supplied by domestic non-SOEs is more sensitive to exchange rate changes.     

人民币汇率及其对日本美国进口价格的传递效应

本文估计了人民币汇率变化对美国和日本从中国进口商品价格的传递效应。实证结果表明,人民币名义升值1%,将导致美国的进口价格短期上涨0.23%,长期上涨0.47%。日本从中国的进口价格对人民币和日元双边汇率的变化更为敏感。如果人民币兑日元名义汇率上升1%,日本的进口价格短期提高0.55%,长期则提高0.99%,具有完全的传递效应。这种高传递效应在食品、原材料、服装、制造和机械等不同类别的进口商品中也存在。但是,进一步分析表明:日本的高传递效应主要归因于中国钉住美元的汇率政策,而美元是中国对日本出口贸易的主要计价货币。在控制了计价货币因素后,自2005年7月以来人民币的累计升值并未传递到日本的总体进口价格或分类商品进口价格上。人民币汇率的这种低传递效应表明,人民币适度升值对中国的贸易顺差影响甚微。     

Structural Changes in Volatility of Foreign Exchange Rates after theAsian Financial Crisis

Regime-shift models of daily returns are estimated for the foreign exchange rates of the Asian currencies that suffered from drastic devaluation during the Asian financial crisis in 1997, and the change points are detectedfor their volatility structures. Furthermore, how the persistence in the volatility of their exchange rates changed after the crisis is examined.     

人民币汇率中美博弈:一个纳什均衡模型分析

后危机时代人民币汇率日益成为中美两国竞争、争夺与博弈的战略性领域之一。本文通过构建一个中美汇率交锋的完全信息且无限次重复博弈模型,认为人民币汇率中美博弈属于子博弈精炼纳什均衡,均衡汇率水平取决于中美双方各自耐心系数的大小。谁的耐心系数大,最终的均衡汇率就对谁有利。因此,面对美国抛出的人民币升值论调,中国除了积极参与国际货币体系改革、提高金融话语权以外,还应坚持"汇率调整以我为主"的原则。     

Effects of Monetary Policy Shocks on Farm Prices and Exchange Rates in Korea

The effects of monetary policy shocks on farm prices and exchange rates in Korea are empirically investigated by using vector auto-regression models with sign restrictions on impulse responses. The main empirical results are as follows. First, (contractionary) monetary policy shocks have significantly negative effects on real farm prices. Second, the SR effect on farm prices is significant but short-lived. The dynamic response of farm prices is consistent with the predictions of the “overshooting” model. Third, the effects of monetary policy shocks on farm prices are more significant than the effects of monetary policy shocks on exchange rates.     

人民币汇率自由化的实现条件和过程分析

汇率理论研究和经济实践表明,中国的人民币汇率必然走向自由化,但是,对于实现自由浮动汇率所需要的条件、时机及方式等,国内学者的学术研究还不充分。本文认为,根据我国经济体制改革的基本经验,人民币汇率体制改革应当是循序渐进的,要同我国的国情相适应。当前,人民币汇率自由化改革的重点是推进国有商业银行体制改革,加快利率市场化进程,提高金融市场监管和抵御金融风险的能力,为最终实现人民币自由兑换创造条件。     

我国外汇储备增长与人民币升值关系的实证分析

本文利用我国2005年7月-2007年6月的月度数据，通过协整分析、误差修正模型和格兰杰因果检验对外汇储备增长与人民币升值之间的关系进行了实证研究。结果表明，汇率形成机制改革对于释放两者之间弹性，维持缓和的、相互促进的长期稳定均衡关系起到显著的效果，继续稳步推进人民币汇率市场化改革将是明智之举。     

The Taylor Rule and Forecast Intervals for Exchange Rates

In this paper, we examine the Meese–Rogoff puzzle from a different perspective: out‐of‐sample interval forecasting. While most studies in the literature focus on point forecasts, we apply semiparametric interval forecasting to a group of exchange rate models. Forecast intervals for 10 OECD exchange rates are generated and the performance of the empirical exchange rate models are compared with the random walk. Our contribution is twofold. First, we find that in general, exchange rate models generate tighter forecast intervals than the random walk, given that their intervals cover out‐of‐sample exchange rate realizations equally well. Our results suggest a connection between exchange rates and economic fundamentals: economic variables contain information useful in forecasting distributions of exchange rates. We also find that the benchmark Taylor rule model performs better than the monetary, PPP and forward premium models, and its advantages are more pronounced at longer horizons. Second, the bootstrap inference framework proposed in this paper for forecast interval evaluation can be applied in a broader context, such as inflation forecasting.