The Yen,the US dollar,and the trade weighted basket of currencies: Does the choice of anchor currencies matter in identifying incidences of speculative attacks?

Early constructions of a single crisis index known as the exchange market pressure (EMP) index have largely been based on the fluctuations of the real or nominal exchange rate of a currency against the US dollar—the most commonly accepted anchor currency in the global market. Hardly any studies have however tested the sensitivity of this crisis index to the choice of different “anchor” currencies. To address this pertinent issue, our study considers the EMP indices of the Indonesian rupiah, Malaysian ringgit and Thailand baht constructed by adopting three different exchange rates—the real effective rate, the local currency against the US dollar, and the local currency against the Japanese yen for the period of 1985–2003. The test results indicate that the reported incidences of speculative attacks are highly sensitive to the choice of anchor currencies.     

近期我国通货膨胀的原因及应对策略分析

通常情况下，通货通胀由经济过热引起，治理措施重点放在紧缩信贷、减缓经济增速方面。而我国货币发行量已经有所节制，经济增长幅度也在缩小，通胀却在攀升，2008年5月12日，国家统计局发表4月GPI指数上涨8．5％，比3月的83％，环比增长0．1％。此次我国发生的CPI指数上升与以往通胀不同，显然我们还有疏漏。原因是多方面的，本文主要从以下三个方面分析：一是涨价中有合理因素，如农产品涨价；二是进口型通胀；三是与世界经济接轨导致原来的价格体系转化，新的与世界密切联系的价格体系正在形成之中产生的价格波动、拉升，连带滋生出泡沫。在分析原因的基础上，给出一些应对性策略。     

论超主权国际货币的构建对世界经济的影响

金融危机的不断发生暴露出现行的国际货币体系的诸多弊端和不足,构建超主权国际货币则是国际货币制度改革的方向。汇率的稳定以及国际储备资产价值的稳定对于一国国际经济的发展尤为重要,为此世界各国希望有一种有效的国际储备货币以减轻汇率波动所带来的负面影响,这种国际储备货币便是超主权货币。文章从国际货币体系对国际贸易和国际金融的影响方面进行了探讨,进一步分析了超主权国际货币的构建对世界经济的影响。     

Substitution Monétaire dans les Pays Africains

The practice of currency substitution in developing countries in general, and in sub‐Saharan countries in particular, differs from what obtains in industrialized countries. Whereas in developed countries currency substitution is chiefly as a result of diversified port folios, in third world countries, the phenomenon arises from the neglect of the national currency by economic operators. This article aims first to study the various aspects of currency substitution in Africa based on the functions of money and, secondly, to access the consequences of this phenomenon on the economic policies governments intend to implement. After observing that currency substitution exists in Africa for varied reasons, such as paucity of payment instruments, high inflation rates, low effective interest rates, the weakness of a new currency, exchange rate fluctuations and so on, the most serious of which is capital flight, we have come to the conclusion that this practice seriously undermines the success of the envisioned monetary and/or budgetary policies of these countries.     

The Korean stock market volatility during the currency crisis and the credit crisis

This paper studies the volatility of the Korean stock market during the Asian currency crisis of 1997–1998 and the global credit crisis of 2008–2009. We use a fad model with Markov switching heteroskedasticity, which was first proposed by Kim and Kim (1996). Using the monthly data from January 1980 to October 2009, we find that the volatility of the transitory component of the stock return, or fads, increased during the currency crisis, but did not rise much during the credit crisis. It implies that the stock price fluctuations were not driven by irrational sentiments during the recent global crisis as much as during the former crisis. However, when we consider the dollar value of the Korean stock index in order to estimate the volatility that foreign investors confront, we find that the volatility of the transitory component was raised during the credit crisis as well as during the currency crisis. That is, foreign investors experienced greater volatility than domestic investors in the recent financial market turmoil. This asymmetric volatility that domestic and foreign investors face is one of the characteristics of the credit crisis.For more detailed analysis, the same model was applied to the weekly data from January 2005 to October 2009 and provided the result that the data measured by won–dollar exchange rates were more increased than the raw data. It holds that foreign investors confronted much greater volatility than domestic investors while the stock volatility was relatively lower in the credit crisis state than in the currency crisis state.     

美国“本国货币规则”析评

本国货币规则是指法院对诉讼请求为支付外国货币的案件做出判决时,必须将外国货币转换为本国货币予以判决的规则。本国货币规则主要存在于英美法系,大陆法系少有。美国本国货币规则的渊源未形成定论;其转换基准日有多种规则,常根据汇率发生变化。美国本国货币规则中蕴涵了国家货币主权、有利于美元的国际地位等国家利益;但其又存在着歧视外国货币、违背合同的意思自治原则、阻碍国际经济交往的内在缺陷。本国货币规则体现的国家主权理念和对国家利益的捍卫值得我国借鉴。     

The situation in currency markets in the CIS countries in 2009

The situation with currency markets in the CIS countries in 2009 was characterized by considerable fluctuations in national currencies against the background of the major problems in the financial sector, economic recession in most countries, slowing inflation in the consumer market, and deflation in prices of manufactured goods.     

我国货币流通速度的协整和误差校正模型

基于协整和误差校正模型对货币流通速度的实证分析表明,我国M1流通速度与收入、通货膨胀率和货币化变量之间存在长期稳定的协整关系,M2流通速度与收入、价格指数、货币化变量和储蓄率之间存在长期稳定的协整关系,所有符号符合理论预期。M1流通速度的短期动态函数的稳定性比M2的要差一些。这表明目前我国以货币供应量作为货币政策的中介目标是可行的,且应主要以M2为货币政策的中介目标,同时不忽视对M1的监测。     

International trade credit and exchange rates: A survey among dutch firms

Summary This paper reports on a survey among a sample of 72 Dutch exporting and/or importing firms. The purpose of the study was to determine to what extent fluctuations in the timing of exchange transactions (leads and lags) are possible. Among other things, therefore, the firms were asked how much trade credit they give or receive and in which currency payments have to be made. The study also addressed the question of whether `Grassman's rule' - trade in manufactured goods between developed countries is mainly invoiced in the exporter's currency - applies to the Netherlands.The stimulating criticism of Casper G. de Vries and Prof. Jean-Marie Viaene on an earlier version of this paper and the valuable suggestions by a referee are gratefully acknowledged.     

货币政策目标和篮子货币最优权重的选取——基于贸易收支稳定的视角

本文首先建立模型分析在使贸易收支变动方差最小化条件下,汇率指数最优权重的选取,也就是把汇率指数的构建和货币政策的目标结合起来。本文构建了国际收支变动关于篮子货币权重的理论模型,根据贸易收支方差波动最小获得篮子货币的最优权重。进一步,本文对最优权重进行了数值模拟分析,得到出口或进口稳定的最优篮子货币的权重,在此基础上,本文模拟了人民币对美元汇率的走势,并比较了有效汇率稳定目标下篮子货币的权重和人民币对美元汇率的变化。结合宏观经济政策目标重新确定参考篮子货币汇率指数权重,有利于完善和建立参考一篮子货币的汇率制度,为篮子货币制度制定提供理论指导。     

金融危机中拉美新兴市场国家货币错配变动分析

文章通过分析阿根延、巴西和墨西哥三个新兴市场国家1990--2010年间的货币错配指数与经济增长率之间的关系,利用非抛补利率平价理论分析得出:货币错配是引起金融危机的重要因素;货币错配的急剧增加,对拉美新兴市场国家经济增长有负面影响,大规模的货币错配会使拉美新兴市场国家的货币政策失效.     

Should East Asia’s currencies be pegged to the yen? The role of invoice currency

Growing concern that a dollar peg exposes East Asian economies to fluctuations in the dollar–yen exchange rate has stimulated research on currency basket regimes as alternatives for these economies. However, existing studies have mostly ignored an important characteristic of East Asia, i.e., most of its international trade is invoiced in the U.S. dollars. This paper investigates how the preponderance of dollar invoicing affects optimal currency basket regimes for East Asian economies. I develop a three-country center-periphery sticky-price dynamic stochastic general equilibrium model for the analysis. The model is solved numerically by taking second-order approximations to the policy functions with the expected lifetime utility of households chosen as the welfare criterion. Contrary to the conjecture of existing literature, I show that predominance of dollar invoicing implies that the dollar should receive a smaller weight than suggested by bilateral trade shares between emerging markets in East Asia and the United States. The results hinge on the interaction of different degrees of pass-through implied by the choice of invoice currency and endogenous responses of monetary policies in the center countries.     

FOREIGN INVESTMENT AND THE ROLE OF JOINT VENTURES

Foreign investment in developing countries and in economies in transition may be discouraged by fluctuations in the value of local currencies, particularly when risk sharing markets, such as currency future markets are missing. International joint ventures can be regarded as an institution for risk sharing. We demonstrate that a properly designed joint venture between the foreign firm and a local partner makes foreign investment more likely. Furthermore, foreign investment may be increased by a joint venture.     

Do Financial Market Variables Show Indicator Properties Relative to Exchange Rate Returns?

This paper assesses the contemporaneous indicator properties of financial market variables relative to movements in six major developed country currency pairs. As indicator variables changes in various relative asset prices, short-term portfolio flows and currency options data are used. We find that changes in equity index differentials, short-term speculative flows and risk reversals on currency options prices exhibit consistent indicator properties for several currency pairs. Since 1999, changes in short-term interest rate differentials have gained importance as indicators. The best indicator variables explain over 50 per cent of monthly returns of the USD/EUR and GBP/USD exchange rates and over 60 per cent of the appreciation and depreciation episodes of the USD/EUR and JPY/EUR currency pairs. JEL no. F31, F32, G15, C35     

Estimating time-varying currency betas with contagion: New evidence from developed and emerging financial markets

This paper examines the conditional time-varying currency betas from five developed and six emerging financial markets with contagion and spillover effects. We employ a trivariate asymmetric BEKK-type GARCH-in-Mean (MGARCH-M) approach to estimate the time-varying conditional variance and covariance of returns of stock market index, the world market portfolio and bilateral exchange rate between the US dollar and the local currency. The results show that the world market and currency risks are not only priced in the stock markets, but also time-varying. It is found that currency betas are much more volatile than the world market betas, and currency betas in the emerging markets are more volatile than those in the developed markets. We find empirical evidence of contagion effect and spillovers between stock market and foreign exchange market during the recent global financial crisis, and the effect is stronger in the emerging markets than that in the developed markets. Two applications are provided to illustrate the usefulness of time-varying currency betas.     

Renminbi Internationalization： Progress, Prospect and Comparison

Using principal component analyses, this paper constructs two internationalization indices for the renminbi (RMB) and 32 other major currencies. We find that the RMB's currency internationalization degree index (CIDI) is still low, and far behind the 4 most important international currencies. In 2009, it was ranked 18th among all important international currencies. However, in terms of the currency internationalization prospect index (CIPI), the RMB has remained the world's fifth highest since 2006. Although it is still far behind the US dollar and the euro, surpassing the ranking of the yen and the pound is possible in the near future. The dramatic difference in the ranking between the CIDI and the CIPI is a result of China's tight capital account control, the usage continuity of international currency due to network externalities, and the narrow foreign exchange and imperfect financial markets. Hence, to a large degree, the RMB's potential as an international currency depends on China's capital account liberalization.     

Tracking the causes of eurozone external imbalances: new evidence and some policy implications

The paper assesses the contribution of key drivers of external imbalances in the Eurozone through the estimation of a panel-data Vector Autoregressive model over 1975–2011. Growth fluctuations, initially associated with demand booms triggered by unusually low interest rates, and later with demand contractions resulting from the crisis and policy adjustments, have played an important role in current account balance fluctuations. Changes in real exchange rates or unit labor costs have played a less important role. Demand shocks have contributed more to current account balance dynamics in the Eurozone periphery than in the core, whereas competitiveness has been a less prominent factor in the periphery but relatively more important in the core. Some broad policy implications of the findings for demand management in a currency union are discussed, including for fiscal policy coordination and macroprudential policies when union members face asymmetric shocks. The role of internal devaluation policies as a means of correcting external imbalances is also reassessed.     

Real Exchange Rate Fluctuations in East Asia: Generalized Impulse-Response Analysis

Using generalised impulse response analysis, this paper investigates the dynamic adjustment of real exchange rates to real shocks for a group of East Asian currencies. The analysis reveals that the fundamentals, or real factors, explain some, but not all, of the variations of real exchange rates, and that the different disturbances have different degrees of importance for each currency. Therefore, there is no universal panacea for fluctuations in real exchange rates. The findings leave considerable scope for policy intervention to mitigate the unfavourable effects.     

EVIDENCE OF PURCHASING POWER PARITY IN SILVER‐BACKED MEXICO AND INDIA

This paper examines whether the theory of purchasing power parity (PPP) existed between Mexico and India for the period 1886–1910. It finds that despite not having a known trade relationship, PPP did hold. The explanation lies in the fact that these very different countries adhered to the silver standard far longer than most others – India through to 1893 and Mexico until 1905. The economic consequences of this adherence exposed both countries to similar international currency fluctuations that also provoked similar policy reactions within each country.     

Stabilization of effective exchange rates under common currency basket systems

We investigate the extent to which a common currency basket peg would stabilize effective exchange rates of East Asian currencies. We use an AMU (Asian Monetary Unit), which is a weighted average of ASEAN10 plus 3 (Japan, China, and Korea) currencies, as a common currency basket to investigate the stabilization effects. We compare our results with another result on stabilization effects of the common G3 currency (the US dollar, the Japanese yen, and the euro) basket in the East Asian countries [Williamson, J., 2005, A currency basket for East Asia, not just China. In: Policy Briefs in International Economics, No. PB05-1. Institute for International Economics]. We obtained the following results: first, the AMU peg system would be more effective in reducing fluctuations of the effective exchange rates of East Asian currencies as a number of countries applied the AMU peg system increases in East Asia. Second, the AMU peg system would more effectively stabilize the effective exchange rates than a common G3 currency basket peg system for four (Indonesia, the Philippines, South Korea, and Thailand) of the seven countries. The results suggest that the AMU peg system would be useful for the East Asian countries whose trade weights on Japan are relatively higher than others. J. Japanese Int. Economies 20 (4) (2006) 590–611.