Exchange Rate,Exchange Rate Volatility and Foreign Direct Investment

In the light of the importance of foreign direct investment (FDI) for the promotion of economic development, this paper examines the impact of the changes in the real exchange rate and its volatility on FDI. Examining Japan's FDI by industries, we found that the depreciation of the currency of the host country attracted FDI, while the high volatility of the exchange rate discouraged FDI. Our results suggest the need to avoid over‐valuation of the exchange rate and to maintain stable but flexible exchange rate in order to attract FDI.     

噪声交易、人民币汇率波动与汇率制度选择

本文构建了一个包含宏观经济基本面和外汇市场微观结构的理论模型,将进入外汇市场的噪声交易者数量内生化,合理解释了人民币汇率波动的形成机制。理论分析表明,汇率波动既与宏观经济基本面波动正相关,也与进入外汇市场的噪声交易者数量正相关。在给定宏观经济基本面波动的情况下,人民币汇率波动取决于噪声交易者对人民币风险溢价的预期。当噪声交易者对人民币风险溢价的预期较高时,实行有管理的浮动汇率制度能够有效抑制噪声交易者进入外汇市场,有助于降低人民币汇率波动并提升货币政策效果。基于理论分析结论,本文采用1996年1月至2015年6月的月度数据对中国的无抛补利率平价进行实证检验,间接测度了人民币外汇市场中噪声交易者数量的变化。实证结果显示,人民币外汇市场中噪声交易者的数量较多,且随着2012年4月后人民币汇率浮动区间的扩大,噪声交易者的数量明显增加。     

Mexican Peso Futures and Exchange Rate Volatility

Abstract

The reintroduction of Mexican peso futures contracts in April 1995 resulted from a refocus of governmental policy to the use of market-based mechanisms to stabilize the exchange rate. Interest in the Mexican peso future contracts has been high as investors look to manage their exposure from transactions and investments denominated in pesos. This study utilizes a VAR framework to analyze the relationship between the volatility in the Mexican peso spot market and futures contracts trading activity. Shocks to the exchange rate volatility lead to increased hedg-ing-type activity. Furthermore, an increase in futures contracts trading activity (reflecting additional speculation-type activity) results in a short-run increase in volatility. A Granger Causality test also indicates a statistically significant link between spot price volatility and futures trading activity in the Mexican peso exchange market.

RESUMEN

La reintroducción de los contratos futuros del peso mexicano en abril de 1995, resultó del nuevo enfoque de la política gubernamental de usar los mecanismos de mercado para estabilizar la tasa cambiaria. Ha habido mucho interés en los contratos futuros del peso mexicano, ya que los inversores buscan administrar su exposición a las transacciones e inversiones denominadas en pesos. Este estudio utiliza el marco del VAR para analizar la relación existente entre la volatilidad del peso mexicano en el mercado spot y la actividad de negociación de los contratos futuros. Los choques sufridos por la volatilidad de la tasa cambiaria resultan en un aumento de las actividades del tipo hedging. Además, un aumento en la actividad de negociación de los contratos futuros (que refleja otras actividades de naturaleza especulativa) provoca, a corto plazo, un aumento en la volatilidad. Una prueba Granger Causality también indica un vínculo estadísticamente significativo entre la volatilidad del precio spot y la actividad de negociación del mercado futuro en el mercado cambiario del peso mexicano.

RESUMO

A reintrodução dos contratos futuros em peso mexicano, em abril de 1995, foi o resultado de uma revisão da política governamental, em relação ao uso dos mecanismos baseados no mercado para estabilizar a taxa de câmbio. Os juros dos contratos futuros, em peso mexicano, foram altos, devido ao cuidado dos investidores em administrar o risco das transaç[otilde]es e dos investimentos efetuados em pesos. Este estudo utiliza a estrutura VAR, para analisar o relacionamento entre a volatilidade do mercado local, em peso mexicano, e a atividade comercial de contratos futuros. Choques aplicados à volatilidade da taxa de câmbio contribuíram para o aumento das atividades típicas de hedging. Além disso, um crescimento da atividade comercial de contratos futuros (refletindo uma atividade basicamente especulativa) ocasiona um rápido aumento na volatilidade. O teste Granger Causality indica, também, um vínculo estatístico significativo entre a volatilidade do preço local e a atividade comercial de futuros no mercado cambial do peso mexicano.     

汇率风险与企业出口

为了让人民币成为国际上的重要储备货币和投资贸易上的重要结算货币,增加人民币汇率机制的灵活性并控制由此而增加的汇率风险是人民币国际化中回避不了的问题。很多政策制定者和学者担忧:这是否会损害中国的对外贸易利益?本文在Melitz模型的框架下,在理论上分析了汇率风险对企业出口贸易的影响机理;在实证上使用中国2000—2008年的企业出口贸易和工业统计数据①,在不同的稳健情形下检验的结果表明:汇率风险对出口贸易有着相互冲突的作用力,双边汇率风险抑制了企业的出口行为,与除了出口目的地之外的其他目的地之间的多边汇率波动风险促进了企业的出口贸易;出口企业出口的产品种类和出口目的地越多,企业就会在不同的目的地之间优化分配出口资源,吸收双边汇率风险的负面冲击效应,从总体上推动贸易的发展。该论证为央行进一步放松人民币汇率浮动幅度的改革提供了理论上的支持。     

Volatility in Exchange Rate Components and the Volume of International Trade

By decomposing the changes in the real exchange rate series into fundamental and transitory components (market microstructure and stochastic element) and modeling the volatility in each via a GARCH process, this paper examines how volatility in exchange rate affects the volume of aggregate and disaggregate US trade with Canada, Germany, and Hong Kong during the 1989–2002 period. The results indicate significantly different impacts of volatility due to the fundamental and transitory components of the exchange rate series on US bilateral trade. While the findings suggest heterogeneous responses of traders to volatilities arising from different components of the real exchange rate, the impact of the volatility due to the fundamental component is also found to vary across commodities, implying disparities in the inter- and intra-trading arrangements made by traders of different goods in counteracting foreign exchange risk arising from changes in the economic fundamentals.     

外国经济波动、资本流动与汇率调整

本文在随机一般均衡非对称两国模型中探讨了在外生冲击下,资本流动对欠发达国家汇率波动的影响.本文发现:在浮动汇率制度、资本账户开放、投资者的资产调整存在时滞等假设下,发达国家产出波动冲击所引发的投资者资产调整可引起欠发达国家货币的升值.但如发达国家产出波动冲击也引起了欠发达国家产出波动幅度的提高,则欠发达国家货币是否升值取决于欠发达国家产出波动增大的幅度是否低于发达国家.此外,发达国家居民越重视财富和社会地位,越有可能加深欠发达国家的汇率波动幅度.     

汇率风险如何影响中国对日本的出口

本文研究汇率风险对中国与日本的双边出口是否存在长期和短期的影响。使用多元JO-HANSEN协整检验法来检验汇率波动率与出口之间是否存在长期均衡关系。使用GRANGER非因果检验和脉冲响应函数检验短期影响是否存在。研究结果表明从长期看,汇率风险对出口没有影响,但是短期看,汇率风险确实会影响出口。     

The Effect of Real Exchange Rate Volatility on the Trade of Educational Services

This article finds that high levels of real exchange rate volatility between two trading partners significantly decrease the amount of educational services traded. Many academic institutions are actively looking to expand exports of educational services as a means of increasing revenues. Internal policies that reduce real exchange rate uncertainty may help encourage trade of educational services between countries where volatility is high. The discovery that real exchange rate volatility serves as a significant barrier to attracting educational export opportunities to certain countries underscores an obstacle that should and/or could be addressed as academic institutions strive to expand their international enrollments.     

The Choice of Exchange Rate Regime and the Volatility of Exchange Rates after the Asian Crisis: A Counterfactual Analysis

The objective of this paper is to carry out a counterfactual analysis of the impact of alternative exchange rate regimes on the volatility of the nominal effective exchange rate (NEER) and the bilateral rate against the US dollar for nine East Asian countries after the Asian financial crisis. Our hypothetical regimes include a unilateral basket peg (UBP), a common basket peg (CBP) and a hard peg against the dollar. We find that a UBP would minimise effective exchange rate volatility for all countries and provides the highest regime gains compared to actual. Although the gains for a CBP are always less than those for a UBP, the absolute differences between the two regimes appear to be small. In terms of the bilateral relationship against the dollar, the gains from a UBP or CBP could be quite significant for the non‐dollar peggers since a fall in effective instability would be accompanied by a fall in bilateral instability.     

A Synthesis of the Effects of Exchange Rate Volatility on International Trade: A Meta-Regression Analysis

ABSTRACT

This article surveys literature that investigates the effects of exchange rate volatility on international trade. We perform meta-regression analysis on 41 studies with 807 estimates. We show that the empirical works exhibit substantial publication selection and show a significant genuine exchange rate volatility effect on trade flows after correction of publication bias. In addition, the literature reveals a pronounced heterogeneity with respect to model specifications, samples, time horizons, and countries’ characteristics. These findings are supported by separate assessment of primary studies with, respectively, total exports and sectoral exports as the dependent variable.     

贸易模式、汇率传递与人民币汇率安排

结合中国现行贸易模式的特点,文章从社会福利最大化目标入手,采用了新政治经济学中关于汇率制度战略选择的研究方法,对进一步扩大人民币汇率弹性和汇率升值的影响进行了分析.研究发现,加工贸易和一般贸易对汇率变动的反应弹性差异很大,不同国际贸易模式下的汇率传递系数是不同的.因此如果我国现行对外贸易依然以加工贸易为主,扩大汇率波动幅度在理论上并不会对我国社会福利产生严重影响.研究结果进一步支持加大汇率弹性更有利于丰富货币政策当局的工具选择范围,有助于国内货币政策独立性的保持,也有助于推进出口产业的结构调整和升级.是当前人民币汇率制度改革方向的合理选择.     

人民币实际有效汇率调整及其波动率与中美贸易收支

基于1995年1月至2007年9月的月度数据,分析了人民币实际有效汇率与中美贸易收支的关系。结果显示,人民币汇率波动率增加有助于缩小中美贸易收支顺差,人民币汇率升值无论长期或是短期,都不能解决中美双边贸易收支失衡问题。美国经济增长引致的进口需求是中美贸易顺差和我国收入增长的重要原因,在当前经济形势下,要警惕美国经济下滑导致我国的出口下降,进而使我国经济出现"硬着陆"的风险。     

试析人民币汇率问题

我国的汇率政策长期以来过分强调汇率稳定，过多考虑汇率变动对实体经济的影响和过于注重汇率变动所带来的风险，并长期实行盯住美元的汇率政策。这种低效率的汇率政策．其最大弊端就是损害了中国货币政策的自主性。随着全球经济发展进程的加快．汇率制度改革势在必行。     

Skill Upgrading and the Real Exchange Rate

This paper examines the effect of changes in the real exchange rate on skill upgrading in the case of Chile. Using plant‐level data from the manufacturing sector, we find that a real depreciation increases the share of skilled workers in the total wage bill in exporters but not in non‐exporters. This result suggests that depreciations or, more generally, increases in export profitability, may induce exporters to adopt more skill‐intensive technologies. This finding gives support to recent models of trade that highlight the possible effect of the real exchange rate on skill upgrading and wage inequality. This paper also finds that real depreciations increase plants’ export intensity, suggesting that skill upgrading for firms that are already exporters is the channel through which real exchange depreciations affect wage inequality.     

Stochastic Volatility Corrections for Interest Rate Derivatives

We study simple models of short rates such as the Vasicek or CIR models, and compute corrections that come from the presence of fast mean-reverting stochastic volatility. We show how these small corrections can affect the shape of the term structure of interest rates giving a simple and efficient calibration tool. This is used to price other derivatives such as bond options. The analysis extends the asymptotic method developed for equity derivatives in Fouque, Papanicolaou, and Sircar (2000b) . The assumptions and effectiveness of the theory are tested on yield curve data.     

人民币汇率变动与中国的贸易收支——基于汇率传递视角的实证研究

文章从汇率传递视角探讨了人民币名义有效汇率与贸易收支的关系。结论表明:首先,人民币汇率贬值和升值对贸易收支的影响存在非对称性,人民币升值对初级产品贸易收支、工业制成品贸易收支以及贸易总收支几乎没有影响;人民币贬值对工业制成品贸易收支和贸易总收支均存在显著性的影响,但对初级产品贸易收支没有影响。其次,人民币汇率变动对初级产品的净出口基本没有影响,其主要原因在于中国对金属矿砂、煤、焦炭、石油等主要初级产品的刚性需求以及中国在国际市场上对稀缺资源性产品定价权的缺失与不足。再次,人民币贬值不仅不能增加工业制成品净出口,反而恶化了工业制成品的贸易收支,究其原因,在于占较大比重的机械及运输设备类产品的进出口需求弹性较小。最后,本文在以上结论研究基础之上得到了许多有益启示。     

关于人民币双重压力缓解和汇制改革的思考

分别从内外两个角度分析了目前的经济形势,得出了人民币面临着双重压力———既有升值的外在压力又有贬值的内在要求这一结论。根据这一结论,提出了缓解双重压力的措施,即保持人民币汇率稳定的对外缓解升值压力,对内扩大内需;接着,提出了人民币汇率制度改革的方向:短期,继续维持人民币汇率基本稳定;中期,改钉住汇率制度为汇率目标区制度;长期,退出汇率目标区制度,实行浮动汇率制。     

人民币汇率制度“棱锥”模型的探索

“汇率棱锥”模型以美元、欧元、日元为基础货币,以它们占全球市场外汇交易总量的百分比为权重,计算得到的加权平均值作为比价基准,即汇率中心价值,简称“汇元”。将所有货币的价值用“汇元”表示,建立以基础货币三角形为底的本币“汇率棱锥”,表示货币的价值与汇率的关系,形成钉住“汇元”的“汇率棱锥”模型。以权重削弱基础货币升贬的影响,以三种货币汇率间的抵消作用实现稳定汇率且降低钉住成本的效果。     

中国出口企业的人民币汇率传递效应研究

出口价格汇率传递是汇率影响贸易的中间环节,已成为研究汇率变动经济效应的重要基础。基于2000—2013年企业交易层面的海关数据库,本文从产品异质出发,探索中国出口产品价格的汇率传递率普遍高于发达国家的原因。本文根据出口厂商依市定价理论,从产品质量和产品的核心程度这两个分别代表企业间和企业内产品异质性的维度进行分析,研究结果表明,产品质量越高,产品在企业中的地位就越核心,其人民币汇率传递率也越低。进一步研究发现,人民币汇率下降对产品出口量产生正向的促进作用,尤其是对低价低质量产品更为有利,但这可能恶化本国的贸易条件;人民币汇率上升可能会对产品出口量产生负向的影响,但可以适当促进贸易结构的调整。在汇率波动加大的背景下,本文的结论对推动贸易稳定增长和经济高质量增长具有重要的参考意义。     

不确定性决策与人民币汇率

运用不确定条件下决策的理论和方法,来分析人民币汇率风险评价及管理过程。研究表明,为规避汇率风险,应在完善汇率形成机制的同时,建立健全汇率政策信息的传递与反馈渠道;在微观方面,应积极建立衍生产品市场,为企业的避险行为提供有效的交易平台。