Monetary Policy and Exchange Rate Volatility in a Small Open Economy

We lay out a small open economy version of the Calvo sticky price model, and show how the equilibrium dynamics can be reduced to a simple representation in domestic inflation and the output gap. We use the resulting framework to analyse the macroeconomic implications of three alternative rule-based policy regimes for the small open economy: domestic inflation and CPI-based Taylor rules, and an exchange rate peg. We show that a key difference among these regimes lies in the relative amount of exchange rate volatility that they entail. We also discuss a special case for which domestic inflation targeting constitutes the optimal policy, and where a simple second order approximation to the utility of the representative consumer can be derived and used to evaluate the welfare losses associated with the suboptimal rules.     

The Effect of Exchange Rate Volatility on Trade in Durables

Because durable goods have the quality of an asset, risk-averse consumers wan to pay a lower price for durable than for nondurable goods so that they are compensated for the risk of price changes; they require risk premium. Since the exchange rate is a strong source of uncertainty in import prices, exchange rate volatility has a negative effect on the demand for imported durables. In an imperfectly competitive market, the volatility of the exchange rate is predicted to reduce the relative price of imported durables. The prediction is supported by an empirical investigation of US imports.     

出口贸易及其名义汇率与实际汇率风险——基于中国对主要贸易伙伴国面板数据的实证研究

本文采用中国对28个主要贸易伙伴国出口的面板数据,对比分析了2005年汇改前后人民币名义汇率波动风险和实际汇率波动风险对中国出口的影响.通过实证研究后发现:无论是汇改前还是汇改后的人民币实际汇率波动风险对中国的出口均未产生显著影响;而汇改后,人民币名义汇率波动风险却对中国的出口产生了显著的负向影响.由此可见,相对于实际汇率波动风险而言,名义汇率波动风险对中国出口的影响更显重要.     

A Tale of Two Currencies: the Asian Crisis and the Exchange Rate Regimes of Hong Kong and Singapore

Hong Kong has maintained a pegged exchange rate since 1983, while Singapore has been on a floating regime since the early 1970s. This paper provides an interpretation of the different performance of the Hong Kong and Singapore economy that could be attributable to the differences in their exchange rate regime. We develop a model that can help to interpret the differences in both the longer run trends in inflation and real exchange rates in Hong Kong and Singapore as well as the short differences in macroeconomic and real exchange rate volatility. The difference in the response of the two economies to the Asian crisis is also consistent with our model.     

Public Information Arrival, Exchange Rate Volatility, and Quote Frequency

The mixture of distributions model motivates the role of public information arrival in foreign exchange market dynamics. Public information arrival is measured using Reuters Money-Market Headline News. The exchange rates are high-frequency mark/dollar and yen/dollar quotes. Estimation results suggest that higher than normal public information brings more than the normal quoting activity and volatility. The results have implications for the debate over regulation of the foreign exchange market. Foreign exchange activity is not largely self-generating. Trading is likely providing the function it is meant to provide-adjusting prices and quantities to achieve an efficient allocation of resources.     

宏观经济波动与人民币汇率政策的影响因素分析

本文通过对当前新一轮宏观经济波动特征的分析,发现随着中国经济对外开放度的日益提高,汇率政策对宏观经济的运行已具有越来越重要的影响.目前中国国际收支顺差过大、外汇储备增长过快已成为加剧宏观经济过热的重要因素之一.通过调整名义汇率来解决顺差过大的思路受制于价格总水平调整幅度的局限,因为在影响我国商品和劳务的价格因素中,劳动力价格水平与发达国家相比悬殊过大既是影响商品价格水平的一个主导性因素又是一个长期性因素,在短期内不可能大幅度的缩小这一差距.由此,决定了目前不可能采取对人民币汇率水平大幅升值的办法来解决国际收支失衡和外汇储备过快增长的问题.解决人民币汇率的市场化形成机制和汇率水平向真实汇率回归问题是一项相对长期的政策选择,因而,短期的汇率政策只能以外汇储备的结构调整为主导.     

理解人民币汇率的均衡、失调、波动与调整

本文区分产品市场和资产市场均衡汇率、失调和波动,得出了人民币实际汇率的短期和长期均衡值,发现人民币不存在严重高估和低估,只是产品市场上近期实际汇率低估且程度在加深,而资产市场上高估;产品市场上实际汇率长期波动主要源自相对供给冲击,资产市场上短期波动则主要来自自身调整机制和相对货币供给冲击。政策含义表明:资本账户保持一定管制降低了风险溢价,允许决策者调整短期实际汇率波动,扩大波动幅度减缓汇率升值预期,消除资产市场上短期失调;长期波动决定因素使得决策者只能以产品市场长期均衡汇率为升值目标汇率,在需求政策效果不明显的情况下,可以考虑供给管理政策实现内外经济均衡。     

人民币汇率水平与波动程度对我国出口的影响

在不存在价格粘性的情况下,汇率贬值促进出口贸易,而汇率波动程度的影响取决于企业的目标选择,即以总收益期望最大化还是以净利润变动最小化为目标.实证发现,我国企业以总收益期望最大化为目标,而忽略汇率风险管理与控制,我国出口增长主要得益于生产成本优势,而汇率水平与波动程度的贡献很小.这解释了为何人民币升值并没有明显阻碍我国出口的增长.     

Endogenous Exchange Rate Volatility, Trading Volume and Interest Rate Differentials in a Model of Portfolio Selection

This paper considers a portfolio model of exchange rate determination and focuses on endogenous sources of exchange rate volatility. It is shown that, in addition to volatility transmitted by conditionally heteroskedastic interest rates, the larger the serial correlation in interest rates the stronger the effect of interest rate differentials on exchange rate volatility. These features are supported by the data. The paper also looks at the volume–volatility relationship implied by the model.     

Exchange Rate Volatility and Exports: Regional Differences between Developing and Industrialized Countries

This study uses a large panel of industrialized and developing countries to investigate the link between exchange rate volatility and exports. Although the empirical literature on this relationship is extensive, a clear consensus about its nature and importance is yet to emerge. Using fixed- and random-effects models to capture cross-country differences, pooled export equations are estimated for the entire panel and various subsets of countries. The results, which are robust across different volatility measures, indicate that negative effects exist for LDC exports, especially from Latin America and Africa, but not for exports from Asian LDCs or industrialized countries.     

Macroeconomic Fragility and Exchange Rate Vulnerability: A Cautionary Record of Transition Economies

The interaction between the exchange rate regime and macroeconomic stabilization in several transition economies during 1990–1996 was influenced by the persistence of high inflation rates and the initial disequilibrium between the highly undervalued nominal exchange rates in relation to their purchasing power parity estimates. Policymakers generally adopted the flexible (nominal) exchange rate regimes for manipulating real exchange rates with a view to correcting the exchange rate disequilibrium and conveying inflation control signals. The rates of real appreciation were higher in the earlier years of high inflation rates. By 1996, lower inflation rates required less currency appreciations thereby reducing the negative impact of the latter on trade competitiveness. However, the persistence of unwarranted interest rate differentials, a consequence of the domination of monetary control over prudent fiscal management, and the associated inflows of foreign funds put an upward pressure on exchange rates exacerbating trade competitiveness. The transition record suggests that innovative exchange rate arrangements can provide only a brief interval during which sound fiscal discipline needs to be put in place for controlling inflation.J. Comp. Econom.,December 1998, 26(4), pp. 621–641. Columbia University, New York, New York 10027.     

Macroeconomic Coordination of Exchange Rate and Wage Movements under Quasi-Sterilization: Singapore Experience

This paper analyzes Singapore's two-pronged macroeconomic strategy of low-inflation characterized by the quasi-sterilization mechanism and the coordination of exchange rate and wage movements. The monetary authority's inflation-averse attitude holds the key to the existence of a stable Nash equilibrium of the exchange rate and wages. During both economic upturns and downturns, the exchange rate moves one for one inversely with the growth of wages in the long run. The required steady monetary growth is underpinned by the quasi-sterilization mechanism whereby every dollar increase in net foreign reserves leads to a decrease of 0.84 dollars in net domestic credit.     

Volatility of fundamental variables under different exchange rate system--a simple test for Hong Kong

This paper presents a comparison in the changes of Hong Kong macroeconomic fundamental variables before and after its currency was ‘pegged’ to the US dollar in October 1983. Using a simple method from Flood and Rose (1995) and Baxter and Stockman (1989), this paper compares the volatilities of all aggregate variables used by those investigators in so far as these data are available for Hong Kong. The results show, contrary to the dominating empirical literature for the G-7 countries, that the volatilities of more than half of the nominal and real variables under the float are significantly higher than those under the link.     

人民币汇率波动对宏观经济运行影响的实证分析

笔者采用SVAR方法实证1995年1月至2011年2月人民币汇率波动对宏观经济运行的影响,并论证了汇率冲击的动态传导机制,得出了如下结论:人民币升值总体上不利于净出口和实际产出的增长,并导致在近期和将来货币供应量的不断增长,人民币的升值总体上有利于控制通货膨胀。     

基于GARCH模型对人民币汇率波动的实证研究

本文建立了人民币汇率波动的GARCH族模型,实证检验了汇率制度改革以来人民币汇率波动的特征。结果显示,2005年7月21日至今,人民币的汇率收益具有显著的左厚尾特征;汇率的波动并不服从正态分布,具有集聚性;并且人民币的波动具有记忆性,随时间变化不会衰减;通过TGARCH模型的实证结果显示,人民币的汇率波动存在一定的杠杆效应,人民币汇率还不具备浮动汇率的特征。根据分析,本文认为杠杆效应的存在源自于汇率升值的单向预期,给出以下建议：通过有节奏的汇率市场化改革,以及改善国际收支双顺差,减少对升值的单向预期;央行对汇率的波动适当控制;培育人民币汇率衍生市场,增加进出口贸易企业规避汇率风险的金融产品;增加对附加值高的出口企业非汇率贸易政策支持。     

The Impact of Exchange Rate Volatility on UK Exports to EU Countries

This paper investigates the impact of exchange rate volatility on UK exports to European Union (EU) countries by means of a newly developed ARDL bounds testing procedure to cointegration. Using monthly data disaggregated by market of destination and sectors for the period 1993ml to 2001m6, our results indicate that UK exports to the EU14, at both aggregate and sectoral level, are generally income elastic, relative price inelastic and largely unaffected by short‐term exchange rate volatility. Re‐estimation of the model using a long‐term measure of volatility, however, provides evidence supporting the hypothesis that exchange rate uncertainty has a negative and significant influence on UK exports to EU countries.     

汇率的非线性波动与巴拉萨--萨缪尔森效应

将非线性平滑转移模型与巴拉萨-萨缪尔森效应相结合,使用实际汇率对相对生产率进行回归,并在回归残差的基础上建立STAR模型。结果显示残差存在非线性波动,并且具有两个转换函数的STAR模型能够较好地反映残差的非线性波动特征。证明交易成本、市场参与者的异质性等因素影响了人民币汇率的形成,同时也说明巴拉萨-萨缪尔森效应影响了人民币实际汇率的均衡值。     

货币替代对香港联系汇率制的影响

随着香港银行对人民币业务的经营和人民币在香港流通的加大,人民币也逐渐替代港币发挥着价值储藏、记账单位和交易媒介的功能。但港币实现人民币化存在许多障碍,最佳的方案是在保持现有的汇率制度下,逐步地展开跟人民币的合作,最终实现人民币替代港币。     

香港联系汇率制度的困境与改革方向

在人民币持续存在升值预期的背景之下,香港联系汇率制度也在经受着考验。香港联系汇率制度的运行存在着几大困境,面对这些困境,港币汇率制度改革的方向应该走人民币化的道路,但改革的路径必须和中国大陆金融市场改革的路径相协调。