汇率制度分类理论述评

国际货币基金组织完全依据一国当局宣布的政策、制度对汇率制度进行归类,这是一种名义分类法。名义分类法没有真实反映一国汇率制度的现实运行,因而催生了实际分类法。实际分类法通过对汇率制度运行中可观察变量及相关信息的评估,特别是汇率实际行为的评估来归类汇率制度。各种实际分类方案是沿着三条基本途径归类汇率制度,因这些分类方案有着不同的理论假设,分类程序、分析技术也各不相同,因而,最终的分类结果也会有较大出入。本文介绍并分析了各种分类方案的特点,同时对实际分类法可能存在的问题进行了总结和评论。     

汇率制度与经济绩效关系理论评述

汇率制度选择理论是国际金融领域讨论的焦点问题，而对汇率制度与经济绩效关系问题的理解是一国进行汇率制度选择的重要依据。本文对研究这一问题的有关文献进行了回顾，在结合汇率制度分类方法的基础上考察了相关理论的发展轨迹，认为汇率制度与经济绩效的相关性较弱。     

新兴市场的汇率制度选择、金融约束与经济增长

本文通过构造一个基于金融环境约束的开放经济体跨期模型,对不同汇率制度面临不同名义冲击下的经济绩效进行了比较,结果发现由于浮动汇率对于宏观经济的冲击吸收能力依赖于该国金融环境的发展条件,因此新兴市场的汇率制度退出和转轨决策应当着眼于克服金融约束的关键性门槛.本文的跨国经验分析也进一步证实了模型的结论.     

人民币名义汇率受国际油价影响的实证研究

由于各国的汇率制度越来越趋向于浮动,国际油价波动对一国宏观经济的影响可以从汇率水平的波动上得以体现。本文使用分段实证比较的方法,来研究国际油价对人民币名义汇率的影响,进而对近期中国汇率制度的发展历程进行剖析。     

中间汇率制度的内在不稳定性:对“两极化”的新解释

本文在时间不一致性框架中构建内含中间汇率制度的博弈模型,对“特殊的汇率制度两极化”现象提供新的理论解释。研究的主要结论为:中间汇率制度并不必然导致危机,在一定条件下能够长期存在并维持较高经济绩效;中间汇率制度具有内在不稳定性,内在根源是政策制定者与公众的目标存在差异,外部诱因是经济受到较强冲击;在一国经济成熟过程中,目标差异、经济冲击的性质与强度均在不断发生变化,中间汇率制度的内在不稳定性因而不断增强,出现了“特殊的汇率制度两极化”现象;汇率制度演进并不必然遵循由固定到中间,再到浮动的唯一路径。最后,本文还利用160个国家、1970~2008年的数据,运用面板VAR模型对理论研究的结果进行了经验验证。     

汇率制度与经济绩效——兼论对人民币汇率制度的启示

汇率制度与经济绩效关系研究表明，一是汇率制度与通货膨胀之间呈现出十分复杂的关系，不同的汇率制度表现出的通胀水平存在着明星的基异；三是汇率制度与货币危机之间没有明确的对应关系，何种汇率制度更易促成货币危机，只有结合汇率制度特征和特定的经济环境与金融制度背景才能加以判断，三是汇率制度与经济增长之间不存在显著的因果关系，汇率制度对经济增长的作用取决于特定的经济和金融发展水平。并且，笔者从制度理论角度对汇率制度与经济绩效关系做出进一步阐释。在此基础上，引申出入世后现阶段人民币汇率翻度应是货币当局在实际中重归真正的管理浮动汇率制。     

惯性困局：固定汇率制度改革之难题

历史观察发现,尽管均衡汇率随着宏观经济变量不断变化,汇率制度的演变却是十分缓慢的。本文利用持续期模型研究布雷顿森林体系结束至2004年的跨国数据,发现固定汇率制度具有很强的惯性特征,一国退出固定汇率制度的概率随着时间的推移不断下降。进一步,这种效应对于发展中国家较之发达国家更强。因此,在经济转型过程中,即便灵活的浮动汇率制度具备更高的效率,长期存在的固定汇率安排也不会轻易被放弃。汇率制度改革同其他领域的制度改革一样,只是经济环境成熟还远远不够,更需要一些特别地契机。     

汇率制度选择和宏观经济绩效——基于面板数据的分析:1990～2005

学界曾普遍达成共识,对熨平资本市场波动而言,固定汇率制度表现更优;而浮动汇率制度更有利于商品市场层面的波动调整。然而在亚洲、俄罗斯、巴西及阿根廷经历金融危机后,对不同汇率制度属性的研究重新兴起。伴随着30多年的对外开放,我国汇率制度实质上经历了4个阶段的演变。基于国内外学者的相关研究,作者分别应用面板数据分析和Probit模型对各种汇率制度的表现和我国政府的汇率选择行为展开实证研究。我们认为,对人民币汇率制度选择的研究首先应建立在深入考察中国宏观经济现实的基础之上,中国的汇率制度改革应与宏观经济运行的基本面相契合。     

汇率制度与银行危机成因:基于银行危机爆发和持续时间的研究

汇率制度选择与银行危机成因一直以来是金融领域的研究热点,但对于不同汇率制度与银行危机之间的关系,至今还未得到统一的结论。据此,文章根据1976～2016年IMF对不同国家银行危机爆发的统计数据,并结合相关宏观数据,试图探究银行危机成因、持续时间与汇率制度之间的潜在关系。研究显示,相比于浮动汇率制度,固定汇率制度和中间汇率制度均能降低一国发生银行危机的概率;这一作用就不同收入水平的国家存在差异性,中等收入水平国家采用固定汇率制度更不易于发生银行危机;在银行危机持续时间研究上,固定汇率制度对延长银行危机持续期的作用最大,中间汇率制度次之,浮动汇率制度的作用最小。上述结论在考虑内生性、模型稳健性的情况下仍然成立。本文研究结论意味着汇率制度选择存在"两难境遇","审时度势、顺势而为"才是最优的汇率制度选择方案。     

汇率政治经济学研究:一个文献综述

汇率政治经济学是近年来国际金融学科领域里新兴的一个重要流派,它主张汇率的决定不单是一种经济现象,同时也是一种政治现象。由于微观主体的汇率偏好是汇率政治经济学的理论基础,本文首先从Frieden矩阵入手,系统地介绍了汇率偏好的基本内涵和测度方法,及对汇率偏好理论的经验检验与理论扩展;此外,不同汇率偏好的利益集团对于汇率政策决策的影响、国内汇率博弈如何上升为国家间汇率博弈等问题也是本文关注的重点;最后,本文还探讨了这一理论在中国的研究现状及适用性问题。     

Exchange-Rate Policies in Emerging Countries: Eleven Empirical Regularities From Latin America and East Asia

In this paper I discuss some of the most important lessons on exchange-rate policies in emerging markets during the last 35 years. The analysis is undertaken from the perspective of both the Latin American and East Asian nations. Some of the topics addressed include: the relationship between exchange-rate regimes and growth, the costs of currency crises, the merits of “dollarization,” the relationship between exchange rates and macroeconomic stability, monetary independence under alternative exchange-rate arrangements, and the effects of the recent global “currency wars” on exchange rates in commodity exporters.     

Exchange-rate policy in East Asia after the fall: how much have things changed?

This paper evaluates the changes in the exchange-rate policies of East Asian economies in the aftermath of the currency crisis and the process in which the exchange-market stability was re-established. The empirical analysis evaluates the changing roles of the yen and the US dollar in the currency baskets, the shifts in the volatility of the underlying macroeconomic fundamentals and their implications on exchange-rate management, the exchange-market perception of credibility and risk of the postcrisis exchange-rate regimes, and the process of reversion to fundamental values after the massive currency depreciation.The analysis shows that after the abandonment of the quasi-dollar peg, the yen had gained a greater weight in the currency baskets and the greater flexibility in which the exchange rates are being managed serve to accommodate the greater volatility in the macroeconomic fundamentals. The improvement in the macroeconomic conditions and the greater credibility that has been acquired by the regional monetary authorities had allowed the exchange market to stabilize and enabled the exchange rates to revert back to their fundamental values.     

The Political Economy of Exchange Rate Regimes: Evidence from Hong Kong and Taiwan

This paper investigates whether the macroeconomic performance of a small- open economy depends on the choice of exchange rate regimes. Hong Kong and Taiwan - two economies with many similar macroeconomic characteristics, but different in their choices of exchange rate regimes - provide a good setting to study the relation between the choice of exchange rate regime and macro-economic performance. We examine the basic facts of growth and inflation and the coefficients' stability of their vector autoregression (VAR), as well as cyclical characters of other aggregate variables in Hong Kong and Taiwan. Our empiric finding indicates that macroeconomic performance is not systematically related to exchange rate regimes.     

Comments on S. Edwards: “Monetary unions, external shocks and economic performance: a Latin American perspective”

I discuss Sebastian Edwards’ most recent paper with great pleasure. As so much of the work of this distinguished economist, this paper provides new insights on a burning issue in international economics. Here Edwards provides empirical evidence on the resilience to external shocks of countries that lack a national currency (“monetary-union” or MU countries). The paper starts by reviewing the issues and literature relevant on exchange-rate regimes, dollarization, and MU in Latin America, with an emphasis on the question if countries in the region satisfy key optimal currency area criteria. Then the paper provides extensive new evidence on economic performance in MU countries, in comparison to countries with a national currency, using a large world panel sample. Performance tests are conducted for the comparative likelihood of MU countries of sudden stops in capital flows (SS) and large current (deficit) reversals (CAR), as well as their ability to absorb terms-of-trade shocks, SS, and CAR. The results are generally negative and significant for the comparative performance of MU countries. To set the stage, I start my comments by documenting first how country selection of exchange-rate and monetary regimes is quickly evolving in the world during the last decades, discussing subsequently how economists’ views follow suit (Section 1). Then I discuss some aspects of Edwards’ paper, focusing in particular on the data and model specification (Section 2). I end with brief implications for exchange-rate and monetary regime choice in Latin America.     

Learning the fiscal theory of the price level: Some consequences of debt-management policy

This paper examines the consequences of the scale and composition of the public debt in policy regimes in which monetary policy is ‘passive’ and fiscal policy ‘active’. This configuration of policy is argued to be of both historical and contemporary interest, in economies such as the US and Japan. It is shown that higher average levels and moderate average maturities of debt can induce macroeconomic instability for a range of policies specified as simple rules. However, interest-rate pegs combined with active fiscal policies almost always ensure macroeconomic stability. This suggests that in periods where the zero lower bound on nominal interest rates is a relevant constraint on policy design, a switch in fiscal regime is desirable.     

Hong Kong's exchange rate regime:: Lessons from Singapore

Singapore's managed floating exchange rate regime contrasts with Hong Kong's currency board system featured by the Hong Kong–United States dollars peg. This paper appraises the two different exchange rate regimes by comparing their track records in maintaining macroeconomic stability and trade competitiveness in the 1990s. A review of the two regimes' institutional characteristics and macroeconomic performance reveals the systemic inadequacy of Hong Kong's exchange rate regime under a changing global financial environment. As East Asia emerges from the recent financial crisis, Singapore's experience of successfully moving away from a currency board system to a credible managed floating regime offers a lesson worthy of attention from Hong Kong.     

人民币汇率机制改革对我国货币政策有效性的影响

随着人民币汇率形成机制改革的深入,汇率转型期间及后转型期货币政策效力的变化引起了更多的关注。本文采用SWOT分析,对管理浮动汇率制下货币政策操作做了综合评价,从而整体研判汇率机制改革对货币政策的影响。并进一步建立了开放条件下宏观经济模型,以新古典主义范式为基准,通过引入通货膨胀粘性等参量,将其拓展为新凯恩斯主义范式,具体探讨了存在汇率杠杆影响下的最优货币政策框架制定,最后运用情景分析和SWOT矩阵提出战略选择建议。     

Determinants of exchange-rate regimes for currencies of developing countries: Some preliminary results

The breakdown of the Bretton Woods system gave the LDCs an opportunity to move away from exchange-rate regimes based on pegging to a single currency. Relatively few chose to do so, thus providing some evidence that, from their point of view, the recognized advantages of more flexible exchange-rate arrangements are more than outweighed by the recognized drawbacks.The aim of this article is to set up a suitable econometric model and use it for a preliminary assessment of the quantitative significance of various factors affecting the choice of exchange-rate regimes by the LDCs.     

The dollar-euro exchange rate and macroeconomic fundamentals: a time-varying coefficient approach

This paper investigates the temporal stability of the relationship between the Deutschmark/US dollar exchange rate and macroeconomic fundamentals. We use monthly data from 1975:01 to 2007:12. Applying a novel time-varying coefficient estimation approach, we come up with some interesting properties of our empirical model. Firstly, there is no stable long-run equilibrium relationship among fundamentals and exchange rates, since the breakdown of Bretton Woods. Secondly, there are no recurring regimes, i.e. across different regimes, either the coefficient values for the same fundamentals differ or the significance differs. Thirdly, there is no regime into which no fundamentals enter. Fourthly, the deviations resulting from the stepwise cointegrating relationship act as a significant error-correction mechanism. In other words, we are able to show that fundamentals play an important role in determining the exchange rate, but their impact differs significantly across different subperiods.     

International Monetary Regimes and Incidence and Transmission of Macroeconomic Shocks: Evidence from the Bretton Woods and Modern Floating Periods

This paper investigates the relationship between international monetary regimes and incidence and transmission of macroeconomic shocks within the context of an open-economy macro model. Empirical results confirm monetary interdependence and lower incidence of monetary discretion under fixed exchange rates. The average magnitude and dispersion of supply shocks in Bretton Woods and the subsequent float is comparable; however, the average magnitude and dispersion of real demand shocks under Bretton Woods seems higher. Overall, the international monetary regime may pose important constraints to policymakers in open economies.