基于不同汇率制度的货币投机性攻击盈利模型

全球流动性过剩及资产价格膨胀的风险、国际金融市场的动荡,我国经常项目名义上放开实际管制、以及资本项目名义上管制实际放开的现实,使得我们应该在10年之后更多地回顾、关注亚洲金融危机的教训,总结防范国际短期资本冲击的经验.本文通过建立模型,对两种汇率制度下投机性货币攻击的盈利模式进行了比较,验证了一国受到货币的投机性攻击时,浮动汇率制优于固定汇率制的结论.     

固定与浮动汇率制度下货币投机的难度比较分析

在主要经济体货币竞争性贬值风险加大,国内政策对增长减速的容忍度增加的双重背景下,外汇制度的改革将成为今年货币政策的重点。其中很重要的一项政策便是进一步扩大人民币汇率的波动区间。本文通过建立模型,对两种极端汇率制度下投机性货币攻击的盈利模式进行了比较,验证了一国受到货币的投机性攻击时,浮动汇率制优于固定汇率制的结论。     

基于弹性价格货币模型的人民币汇率研究

作为国际金融的核心内容之一,汇率理论历来受到经济学家的关注.货币主义理论作为现代汇率理论的基石,在金融学领域具有崇高的地位.货币主义的汇率理论主要分为弹性价格货币模型、粘性价格货币模型和资产组合平衡模型.本文选取2005年7月到2009年6月的人民币汇率等数据对弹性价格货币模型进行实证分析,以检验人民币/美元汇率是否符合弹性价格货币模型,并对影响人民币汇率的因素进行分析.     

汇率制度选择理论的发展脉络

汇率制度选择理论是国际金融研究的前沿问题。对汇率制度选择理论的发展脉络进行了较为系统的梳理,首先对20世纪60～80年代的理论进行了简要回顾,然后重点阐述了该理论在90年代后的新进展,并进行了简要总结。     

论我国汇率制度的选择——兼论人民币走向浮动并实行自由兑换的最佳时机

本文首先对固定汇率制和浮动汇率制进行了比较,接着论述了汇率制度理论的新发展,最后就我国汇率制度的选择谈了自己的看法:一是汇率制度的选择是一个动态的转换过程;二是认为我国目前采用的是钉住美元的汇率制度,这一汇率制度存在着三点弊端,已不适应我国市场经济发展的需要,我国经济的发展迫切需要人民币汇率由钉住汇率转向真正的管理浮动汇率。并认为,现在起到未来的一两年内,是人民币走向浮动,实行人民币自由兑换的最佳时机。     

经济全球化趋势下的汇率制度创新

经济全球化作为不以人们意志为转移的趋势,必然会对当代世界经济和国际关系产生日益巨大的影响。同样也将带来包括国际汇率制度的新变革。对这一变革中出现或行将出现的新现象、新问题做出有说服力的科学分析,从中探索其适合经济全球化发展的内在必然联系,对迈入新世纪的国际经济稳定可持续发展,以及包括我国在广大发展中国家争取建立公平合理的国际经济新秩序的斗争,显然有着重要的理论和现实意义。正是基于这一目的,本课题主要从理论与实际结合的角度,对经济全球化趋势下当代国际汇率制度的矛盾现状及其改革创新趋向,进行分析研究。     

投机性货币需求的决定

主流经济学关于货币需求的构成至今仍然沿用凯恩斯的观点,认为货币需求由交易性货币需求、预防性货币需求、投机性货币需求构成。但是,这三部分货币需求分别如何决定,凯恩斯的观点分别被鲍莫尔、惠伦、托宾进行了修正,并建立了鲍莫尔模型、惠伦模型、托宾模型。然而,这三种模型仍有不足之处,笔者已分别对鲍莫尔模型、惠伦模型进行了改进,本文试图对托宾模型进行改进,重点对投机性货币需求的决定进行探讨。     

汇率目标区理论与人民币汇率机制的改革思路

本文在对汇率目标区理论的产生与发展加以简介的基础上 ,结合现行人民币汇率机制的特点及其缺陷分析 ,指出了在经济全球化趋势下 ,面临着加入世界贸易组织的挑战和机遇的中国 ,人民币现行的所谓有管理的浮动汇率制度的改革创新 ,已经到了必要、紧迫的时候 ;而汇率目标区的汇率机制是较为适合当代世界经济的现实和我国的具体国情的选择。本文接着从人民币汇率目标区的基础均衡汇率和边界值的测定、中央银行和政府的作用及作用条件等不同方面 ,对人民币汇率目标区制的创新实施 ,进行了论证。     

开放经经济下对我国汇率政策的思考

基于汇率政策在实现宏观实经济均衡中的重要性和有效性本文着重分析我国现行的固定汇率工与内部均衡所要达到的经济目标之间的相关性。通常开放经济下政府将会面临汇率政策与货币政策、资本控制组织的三维选择,中国实行的固定汇率制同样对国内一些重要经济指标的实现有所限制。     

论“中间空洞化”汇率制度假说

就“中间空洞化”汇率制度假说提出了三个观点：第一,中间汇率制度应该有一个一致的内涵界定,这是论证“中间空洞化”汇率制度假说的基础前提;第二,根据IMF对中间汇率制度内涵的科学界定,通过样本检验,认为现阶段“中间空洞化”汇率制度假说难以成立;第三,依据辩证唯物主义和历史唯物主义基本原理,汇率制度的选择是一个动态的历史过程,应从短期、中期和长期来分别考虑,没有单一的汇率制度适合于同一时期所有国家或同一国家所有时期,由此,从理论上进一步否定了“中间空洞化”汇率制度假说。     

Monetary policy, macroeconomic adjustment and currency speculation under floating exchange rates: the case of Bulgaria

This paper deals with the Bulgarian experience with exchange rate policy and the related macroeconomic adjustment in the transition period. It is argued that in the context of the Bulgarian macroeconomic environment, the exchange rate regime and the exchange rate policy (or the lack of such) did play a crucial role in determining the patterns of macroeconomic adjustment in this period. A simple general equilibrium model is suggested that provides some insights into the stylized performance of an economy under certain assumptions, similar to those characterizing the transitional state of the Bulgarian economy. Finally, some aspects of Bulgarian macroeconomic performance in recent years are analysed on the basis of the available empirical information and using the framework of the theoretical model. The paper concludes with the policy lessons of this experience.     

Invoice currency choice,nonlinearities and exchange rate pass-through

ABSTRACT

Estimating time-varying thresholds as a proxy for exporter’s predicted exchange rates, this study proposes a new approach to analyse possible asymmetric behaviour of exchange rate pass-through (ERPT) or pricing-to-market (PTM) in Japanese exports between yen appreciation and depreciation periods. Constructing the industry-specific nominal effective exchange rate on a contract (invoice) currency basis, we perform the multivariate threshold near-vector autoregressive (near-MTVAR) estimation and reveal a strong tendency of symmetric ERPT in the short-run, between yen appreciation and depreciation periods. From the 2000s, however, Japanese machinery exporters increased the degree of PTM even in the long-run, while other industries raised the degree of long-run ERPT, reflecting the difference of product differentiation across industries. This evidence has significant implications for the recent unresponsiveness of the Japanese trade balance to the large depreciation of the yen.     

The impact of output and exchange rate volatility on fixed private investment: evidence from selected G7 countries

This study examines the impact of shocks to exchange rate and output uncertainty (volatility) on real private fixed investment (FI) in Canada, Germany, the United Kingdom and the United States. The analysis is conducted using vector autoregressive models that contain the price level, real output, the volatility of real output, the real exchange rate, the volatility of the real exchange rate, an interest rate and FI. The results yield important public policy implications with regard to the impact of output volatility of FI. Our analysis indicates that volatility shocks, measured as output volatility or exchange rate volatility, do not have a significant impact on FI for any country in our study.     

Real exchange rate and exchange rate policy in Hungary

Five real exchange rate indicators are computed to assess the international competitiveness of Hungarian industry. These indicators are explained in econometric equations by employment, unemployment, productivity, interest spread and real producer wage. Causality tests reveal that external performance has an impact on real exchange rates, and contributes to explaining real exchange rates. There is very limited scope for policy intervention to constrain the negative effects of capital inflows without incurring other costs.     

论我国汇率制度的选择--兼论人民币走向浮动并实行自由兑换的最佳时机

本文首先对固定汇率制和浮动汇率制进行了比较,其次论述了汇率制度理论的新发展,最后就我国汇率制度的选择谈了自己的看法:一是汇率制度的选择是一个动态的转换过程;二是认为我国目前采用的是钉住美元的汇率制度,这一汇率制度存在着三点弊端,已不适应我国市场经济发展的需要,我国经济的发展迫切需要人民币汇率由钉住汇率转向真正的管理浮动汇率.并认为从现在起到未来的一两年内,是人民币走向浮动,实行人民币自由兑换的最佳时机.     

The impact of exchange rate volatility on commodity trade between the US and Thailand

The impact of exchange rate volatility on trade flows continues to occupy the international finance literature. More recent studies have deviated from the traditional approach of using aggregate trade flows and have employed trade data at commodity level. This study investigates the impact of exchange rate uncertainty on the trade flows of 118 US exporting industries to Thailand and 41 US importing industries from Thailand. We find that exchange rate uncertainty has short-run effects on the trade flows of most industries. In the long-run, the main determinants of the trade flows are the level of economic activity in both countries.     

人民币汇率制度的演进过程及改革走势

人民币汇率问题引起海内外广泛的关注，从人民币汇率制度的历史演进和改革方向我们可以推断出重点在于汇率形成机制的市场化过程。2005年的改革是内外因共同作用的结果，形成了基本上是国际上所说的“BBC”型汇率制度。我国近期不应以完全自由浮动为目的，而是重归真正的以市场供求为基础的有管理的浮动汇率制度；长期目标就是实现人民币完全可自由兑换，实行自由浮动汇率制。     

克鲁格曼汇率目标区理论评述

布雷顿森林体系瓦解之后，世界进入了以浮动汇率为主的混合体制时期，但浮动汇率制也带来诸多问题，经济学家和政府官员开始寻求更为合理的汇率制度。汇率目标区正是这种寻求的结果之一。本文采取一种综述的形式，对汇率目标区理论，主要是对克鲁格曼的汇率目标区模型进行了介绍。     

Evidence on the sectoral monetary transmission process under a fixed exchange rate regime

Traditional macroeconomic models suggest that monetary policy changes are largely ineffective in fixed exchange rate economies. However, Edwards and Végh (1997) present a model that shows this might not be the case, as a tightening in monetary policy raises financial costs faced by firms and therefore lowers real wages and, by extension, consumption. This paper empirically tests this hypothesis using data on a country with one of the longest running fixed exchange rate regimes (1975–present). The results of the study confirm the theoretical predictions of Edwards and Végh, but they also show that the propagation of nominal shocks in fixed exchange rate systems is comparatively slower than in countries with a more flexible exchange rate regime.