不必担忧人民币对美元大幅贬值

<正>2022年,在美联储陡峭加息、俄乌冲突、能源危机、地缘政治冲突加剧等多重冲击之下,美元持续走高,全球主要国家货币都出现了大幅贬值。未来一段时间,中美货币政策分化将进一步加剧,中美利差倒挂的格局还将持续,人民币汇率依然存在贬值压力,但中国央行有较为充裕的政策工具应对人民币汇率的过快贬值。     

美元贬值的原因及其对中国经济的影响

2002年以来,美国为了抑制经济衰退,刺激经济的复苏,放任甚至推动美元的贬值,至今美元贬值幅度已达到了35%,如果美元贬值幅度过大,贬值速度过快,必然威胁到全球经济,引发国际货币体系的大幅波动。中国经济也必然受到影响,因此,中国需要采取对策积极应对。     

美元贬值:全球经济的“潘多拉”魔盒

美元持续贬值是进入21世纪以来全球经济最引人关注的事件之一。自2001年底到2008年3月,美元指数从116陡降至72,六年多来累计贬值达38％之多。美元作为全球最重要的货币之一,其单向大幅贬值无疑对全球经济及金融体系造成了深刻而长远的影响,也给世界经济带来了重大不确定性风险。美元贬值正在打开全球经济的“潘多拉”魔盒。     

外资倾入的负面影响及监管对策

当前,全球经济进入了后金融危机时期,中国经济经受住了危机的严峻考验,西方国家和发达经济体十分看好我国经济运行发展的良好态势,以美元为代表的西方主流货币为应对危机大幅贬值,而人民币的升值预期,使得境外投机资本大量涌入我国。     

后危机时代的美元贬值效应与对策

美元的大幅贬值引发了非美货币的集体性“被升值”,这种态势虽然有利于美国经济利益诉求的实现,却同时扭曲了世界经济的均衡,并引发非美国家集体采取干预本币的举措。后危机时代美元贬值的全球影响及对策,值得我们深刻思考。     

用辩证法看人民币汇率矛盾

从全球视角用辨证思维审视人民币汇率矛盾,对外升值和对内贬值本质上是世界经济金融结构剧烈震荡和中国金融改革稳健前行在对立统一间的一个时序擦肩,是中国经济内部均衡和外部均衡在共同缺失中的一个货币倒影     

宽松货币政策难振世界经济

世界经济遭受国际金融危机重创并陷入低迷,许多经济体都试图通过持续宽松的货币政策刺激经济增长。美联储自国际金融危机以来已先后多次实施量化宽松货币政策,频繁通过扩大购债规模向市场注入流动性;欧洲中央银行长期维持较低的基准利率,并启动欧洲版量化宽松政策——直接货币交易计划(OMT);日本为应对经济不景气和长期存在的通货紧缩,长期施行"零利率"政策,向市场空投货币,促使货币竞争性贬值,改善国际贸易条件。     

美元贬值对中国经济的影响

自2002年初起．美元就开始贬值出现大幅度下跌现象,最主要的体现在作为国际通用货币美元的统治地位开始动摇．它将对国际政治、经济关系产生巨大的影响。美元贬值对中国经济产生了巨大的影响。积极方面表现在：美元贬值有利于中国扩大利用外资额度、改善我国的对外贸易备件、易于宏观调控、扩大国内外消费和促进出口产品的结构优化;消极方面表现在：它会减缓中国出口贸易、加剧我国与国外之间的贸易摩擦、对中国宏观经济调控带来新的挑战并且加速了中国通货膨胀的步伐。中国如何应对美元贬值可能对我国经济产生的不利影响,确保我国经济持续快速健康的发展是我国急需探究的问题。     

透视国际货币体系改革——以美元为主导的国际货币体系该终结了

3月18日,当美联储宣布将收购至多3000亿美元长期美国国债,并将另购入至多7500亿美元的抵押贷款支持证券这一消息后．全世界都震惊了。无耻,史上最无耻的救市方式!国际社会都表达了对美联储的愤怒。美国为刺激国内经济而不顾全球通胀．滥发美元。导致美元持续贬值,使中国及世界各外币持有国财富缩水,引发了以中国为首的世界各国要求改革国际货币体系的强烈呼声。     

美元大幅贬值的原因及对主要经济体货币政策的挑战

美元自2000年以来对主要货币大幅贬值。美元大幅贬值增加了全球金融的不确定性,易诱发金融风险。而且在美元不断贬值过程中,世界其它主要经济体的货币政策亦陷入困境。本文首先分析美元贬值的原因,然后探讨全球主要经济体在此背景下货币政策选择的难点和挑战。     

Currency excess returns and global downside market risk

We assess cross-sectional differences in 23 bilateral currency excess returns in an empirical model that distinguishes between US-specific and global risks, conditional on US bull (upside) or bear (downside) markets. Using the US dollar as numeraire currency, our results suggest that global downside risk is compensated in conditional and unconditional, bilateral currency excess returns. This finding is mostly driven by the emerging markets' currencies in our sample. We also find that the link between the global downside risk and risks associated with a typical carry trade strategy is much weaker for emerging markets' currencies than for developed markets' currencies.     

Safehavenness of currencies

This study assesses the ‘safehavenness’ of a number of currencies with a view to providing a better understanding of how capital flow tends to react to a sharp increase in global risk aversion in turbulent times. It focuses on how the currencies are perceived by international investors or, more specifically, whether they are seen as safe-haven or risky currencies. To assess the safehavenness of the currency, we use risk reversal, which is the price difference between the call and put options of a currency, as it reflects how disproportionately market participants are willing to pay to hedge against its appreciation or depreciation. The relationship between the risk reversal of the currency and global risk aversion is estimated by means of parametric and non-parametric regressions that allow us to capture currency behaviour in times of extreme adversity, that is, the tail risk. Our empirical results found the Japanese yen and, to a lesser extent, the Hong Kong dollar to be the only safe havens under stressful conditions among the 34 currencies vis-à-vis the US dollar.     

The intrinsic value of gold: An exchange rate-free price index

In this paper, we propose a gold price index that enables market participants to separate the change in the ‘intrinsic’ value of gold from changes in global exchange rates. The index is a geometrically weighted average of the price of gold denominated in different currencies, with weights that are proportional to the market power of each country in the global gold market. Market power is defined as the impact that a change in a country’s exchange rate has on the price of gold expressed in other currencies. We use principal components analysis to reduce the set of global exchange rates to four currency ‘blocs’ representing the U.S. dollar, the euro, the commodity currencies and the Asian currencies, respectively. We estimate the weight of each currency bloc in the index in an error correction framework using a broad set of variables to control for the unobserved intrinsic value. We show that the resulting index is less volatile than the USD price of gold and, in contrast with the USD price of gold, has a strong negative relationship with global equities and a strong positive relationship with the VIX index, both of which underline the role of gold as a safe haven asset.     

Currency jumps,cojumps and the role of macro news

This study investigates the impact of macro news on currency jumps and cojumps. The analysis uses intra-day data, sampled at 5-min frequency, for four currencies for the period 2005–2010. Results indicate that currency jumps are a good proxy for news arrival. We find 9–15% of currency jumps can be directly linked to U.S. announcements. Notably, news can explain 22–56% of the 5-min jump returns, and there is evidence that better-than-expected news about the U.S. economy has a negative impact on currency jumps. Cojump statistics suggest close dependencies among European currencies, especially between the euro and the Swiss franc. We also provide evidence on the uncertainty resolution to news.     

The Share of Systematic Variation in Bilateral Exchange Rates

Sorting countries by their dollar currency betas produces a novel cross section of average currency excess returns. A slope factor (long in high beta currencies and short in low beta currencies) accounts for this cross section of currency risk premia. This slope factor is orthogonal to the high‐minus‐low carry trade factor built from portfolios of countries sorted by their interest rates. The two high‐minus‐low risk factors account for 18% to 80% of the monthly exchange rate movements. The two risk factors suggest that stochastic discount factors in complete markets' models should feature at least two global shocks to describe exchange rates.     

Systematic consumption risk in currency returns

We sort currencies into portfolios by countries’ past consumption growth. The excess return of the highest- over the lowest-consumption-growth portfolio – our consumption carry factor – compensates for negative returns during world-wide downturns and prices the cross-section of portfolio-sorted and of bilateral currency returns. Empirically, sorting currencies on consumption growth is very similar to sorting currencies on interest rates. We interpret these stylized facts in a habit formation model: sorting currencies on past consumption growth approximates sorting on risk aversion. Low (high) risk-aversion currencies have high (low) interest rates and depreciate (appreciate) in times of global turmoil.     

The existence and severity of the forward premium puzzle during tranquil and turbulent periods: Developed versus developing country currencies

In this paper we investigate the forward premium bias (FPB) puzzle for a number of developed and developing country currencies. Our main objective is to examine the possible variations in the existence and severity of the bias for different currency sets over two sample periods which can be categorized as calm and turbulent periods. We find significant evidence that the FBP tend to vary over time and across currency sets. We also find that the global financial crisis has been a turning point in the variation of the existence and severity of the bias for our currency sets. The results show that different currency sets have been affected by the crisis in different patterns. While the bias disappeared prominently for developed country currencies with the peak of the crisis, it survived and became more pronounced for some high-yielding developing country currencies. The results imply that the FPB is time-varying and its existence and severity vary across and within currency sets depending on the time period under consideration. Overall, the findings of the paper suggest that both time period-specific characteristics as well as currency-specific factors play a vital role for the existence and severity of the FPB.     

人民币国际化：计量研究及政策分析

中国经济的迅速发展唤起了人们对世界经济前景的重新思索,而人民币作为国际化货币崛起的可能性则是这其中最引人注目的话题之一。本文通过对各国央行国际储备、贸易结算、以及国际债券中的各国货币比重进行计量分析,意图挖掘影响一国货币国际化水平的内在因素,文章研究得出的显著因素包括:一国的经济发展总量、通货膨胀率、真实利率水平、汇率升(贬)值及波动幅度等。在回归结果上,本文进一步模拟了未来2020年主要国际货币在国际储备、贸易结算及国际债券中的比重,特别是在假设人民币可自由兑换的前提下,人民币在国际货币中可能占据的比重。在完全可兑换假设和最乐观的预测下,到2020年人民币在国际储备和国际债券中的比例可能达到近20%。我们认为完全可以采取一种双轨制的步骤,充分发挥境内、境外两个市场的作用,包括在境内实行有步骤、渐进式的资本账户下可兑换,逐步改善金融市场的运作效率;在境外充分运用香港的优势,尽快扩大人民币证券市场规模,推进人民币国际化的进程。     

The optimal currency basket under vertical trade

This paper explores the theory of optimal currency basket in a small open economy general equilibrium model with sticky prices. In contrast to existing literature, we focus on an economy with vertical trade, where the currencies in the basket may play different roles in invoicing trade flow. In a simple two-currency basket, one currency is used to invoice imported intermediate goods and is called “import currency”, while the other currency is used to invoice exported finished goods and is called “export currency”. We find that the optimal weights of the import currency and the export currency depends critically on the structure of vertical trade. Moreover, if a country decides to choose a single-currency peg, the choice of pegging currency also depends on how other competing economies respond to external exchange rate fluctuations.     

国际货币体系改革方向及其相关机制

当前的国际金融危机促进了改革国际货币体系的讨论,而对超主权国际储备货币与多元化国际货币体系的改革目标的讨论需要深化对相关机制的研究。本文分析了超主权国际储备货币的必要条件和特别提款权的缺陷及改革的复杂性,提出将多元化的国际货币体系作为现实选择,认为美元、欧元与亚洲关键货币将成为多元化国际货币体系的核心;推行多元化的国际货币体系也需完善国际汇率协调机制,对美元发行应建立国际制衡机制。