外汇干预与就业、宏观经济增长研究——以1994—2007年中国外汇干预实证研究为例

文章通过构建理论模型对外汇干预与就业、宏观经济增长之间的互动关系进行了研究,认为中央银行应能从外汇干预中获得正收益,同时外汇干预能有效降低就业与经济增长过程中大幅波动的可能性.在理论模型的基础上,文章对1994-2007年间中国外汇干预政策实施效果进行了实证研究,主要结论为与理论模型基本一致:市场化的人民币外汇干预会导致央行正向的干预收益,同时降低就业与经济增长的渡动性.对于目前受到国际次贷危机影响的中国经济来说,采取更为灵活的外汇干预政策应是合理的政策选择.     

日元走势对东亚经济的影响

１９９９年９月中旬 ,美元对日元汇率创下三年半来的新低 ,跌至１∶１０３ ２５,令人联想到从１９９４年持续到１９９５年１０月的所谓新美元危机 ,更曾低至历史记录的１∶８０ ７５。最近的美元对日元汇率波动幅度虽然不及３年前 ,但对美日及亚洲地区的经济仍可能产生较大的影响。一、日元升值对东亚经济的影响１ 从短期内看 ,日元升值对东亚经济有积极作用 ,有利于东亚经济的复苏。首先 ,１９９５～１９９８年间日元贬值引发和加剧了亚洲经济危机 ,而日元反弹对东亚经济的复苏至关重要。１９９３～１９９５年期间 ,日元持续坚挺使日本从亚…     

我国外汇市场波动性的实证研究

运用GARCH类模型对我国外汇市场上的三种外汇汇率收益率的波动性进行研究,主要回答了以下问题：中国的外汇市场是否存在GARCH效应？对于所选的三种外汇的波动率,最适合的GARCH模型是什么？计算结果显示,对日元／人民币汇率收益率的波动而言,EGARCH（2,1）模型的拟合效果较好,而EGARCH（2,2）则能较好地拟合美元／人民币和港元／人民币汇率收益率的波动。同时,还对日元从民币和美元从民币收益率的波动率进行了预测。     

对日元直接交易开闸

人民币国际化进程又向前迈进一步.5月29日,经中国人民银行授权,中国外汇交易中心宣布完善银行间外汇市场人民币对日元交易方式,发展人民币对日元直接交易.自6月1日起,人民币对日元交易实行直接交易做市商制度. 人民币对日元直接交易,对现在正在推进的中日韩自由贸易协定有着不可低估的积极意义.直接交易使得交易成本下降,由此带来的规模经济效应,有利于双方的货币在国际贸易和投资中的推广.     

2009～2011年:全球主要货币汇率趋势评析

一、美元汇率趋势评析(一)美元汇率走势回顾。2009～2010年,美元汇率呈动荡变化的基本态势。席卷全球的国际金融危机爆发之后,从2009年下半年开始主要发达国家出现经济回暖的迹象,经济复苏成为世界经济的主题。世界经济走势的变化,以及美国与各国经济政策的导向都对美元汇率产生了深刻的影响。     

应对美元巨变的外汇理财措施探析

自2001年“9·11”事件以来,美国经济逐步由繁荣转入衰退,美元汇率利率水平发生了巨大的变化。这场巨变对全球资本市场的冲击是史无前例的,它对外汇资金的影响也是深远而实际的。面对这样的形势变化,如何使外汇资产保值、增值,是持有外汇的公司企业和广大外汇储户所契待解决的问题。一、美元近期的现状1.美元汇率变动状况:2002年3月以来,欧元对美元从0.85附近上涨至最高1.1930,涨幅达40.35%,英镑对美元由1.42上涨至最高1.69,涨幅达19%,澳元由0.52上涨至最高0.6915,涨幅32.98%;美元对瑞郎由1.70下跌至最低1.28,跌幅达24.71%,对日圆由134跌至…     

人民币升值对我国进出口的影响及对应措施

根据中国人民银行授权中国外汇交易中心2008年4月10日公布的最新数据,银行间外汇场人民币对美元汇率中间价首度“破7”,为6．9920元人民币兑1美元。目前人民币对美元累计升幅已超过14％,2006年升值幅度约3．2％,2007年升幅提至6．9％,今年前三月升幅已超过4．1％。人民币升值对于中国的经济的影响是错综复杂的。本文就人民币对我国的进出口的影响及对策进行讨论。     

我国央行外汇干预的特征分析

本文结合自1994年1月1日以来我国央行的外汇干预实践,分析了央行外汇干预的特征,并认为2005年7月21日的人民币汇率形成机制改革对央行外汇干预的目标、途径和效率等等提出了新的要求,使之呈现出新的特征.在特征分析的基础上,提出了提高我国央行外汇干预的政策建议.     

改革开放以来中国外汇管理制度演变及其评价

改革开放以来中国外汇管理制度经历了多次演变，每次演变都对中国贸易和投资产生了不同影响。国际和国内环境变化，外汇交易费用、博弈参与者进行的博弈、意识形态是影响中国外汇管理制度演变的因素。中国外汇管理制度演变过程中存在路径依赖，如国家对汇率的干预、中国外汇管理法规“位卑权重”。另外，中国外汇管理制度演变方式具有强制性、渐进性的特点。针对这些问题进一步改革外汇管理制度是必需的，未来将呈现人民币资本项目可兑换和意愿结售制等趋势。     

人民币升值对我国进出口的影响及对应措施

根据中国人民银行授权中国外汇交易中心2008年4月10日公布的最新数据,银行间外汇场人民币对美元汇率中间价首度"破7",为6.9920元人民币兑1美元.目前人民币对美元累计升幅已超过14%,2006年升值幅度约3.2%,2007年升幅提至6.9%,今年前三月升幅已超过4.1%.人民币升值对于中国的经济的影响是错综复杂的.本文就人民币对我国的进出口的影响及对策进行讨论.     

Central bank intervention and foreign exchange volatility

This paper provides additional empirical evidence on the topic of the effectiveness and the impact of Federal Reserve intervention on U.S. exchange rates. Using a daily measure of exchange rate intervention in the yen/dollar and mark/dollar exchange markets for the period January 3, 1985 to March 19, 1997, this paper finds a statistically significant impact of intervention on spot rates. A generalized autoregressive conditional heteroskedasticity exchange rate equation is used to measure the impact of intervention on exchange rate uncertainty. This study finds that intervention is associated with a significant increase in the interday conditional variance (uncertainty) of both bilateral spot exchange rates. This supports the view of Friedman and Schwartz that exchange rate intervention serves to destabilize the foreign exchange market by introducing additional levels of exchange rate uncertainty.     

Overnight exchange rate risk based on multi-quantile and joint-shock CAViaR models

Overnight risk of exchange rate is more and more important because the exchange rate trading time of various countries is inconsistent. Drawing on the multi-quantile CAViaR model for two markets, this study proposes a multi-quantile CAViaR model for three markets and a multi-quantile CAViaR model for joint shock. The two new models are used to measure the impact of the U.S. Dollar index and the Euro on the overnight risk for the exchange rate of the Japanese Yen, Hong Kong Dollar, and Chinese Renminbi. The results show that, first, a lag risk affects the overnight risk of the three exchange rates, of which the Renminbi exchange rate is subject to the largest risk. Second, the U.S. Dollar index and Euro exchange rate risks impact the overnight risk of the three exchange rates and this effect is highest for the overnight risk of the Yen's exchange rate. In addition, the impact of the U.S.Dollar index risk is greater than that of the Euro. Third, the Euro and U.S.Dollar index produce a joint shock on the overnight risk of the three exchange rates, and here, the Yen's exchange rate suffers the biggest shock. Finally, the multi-quantile CAViaR model for joint shock is more accurate than that for three markets, particularly when the Hong Kong Dollar exchange rate has a 5% VaR. These empirical results have meaningful implications for regulatory authorities.     

货币政策冲击、外汇干预与汇率 变动的同期与动态关联研究

本文采用SVAR模型以及2005年7月至2011年12月的月度数据，研究了2005年的新汇率改革之后，我国货币政策冲击、外汇干预与汇率间的动态关联。主要发现与结论如下：在货币政策冲击、外汇干预与汇率三者的同期博弈中，外汇干预不能即刻影响同期汇率。利率的上升及广义货币供应量的变动均会对同期名义有效汇率造成一定影响，但不太显著。在三者的动态博弈中，外汇干预是非冲销和有效性得到验证，外汇干预信号的假设可以成立。此外，即使利率的变动并不针对汇率，却带来汇率的大幅波动。名义有效汇率的上升可以有效抑制消费价格指数（CPI）的提高，并且数量型货币政策容易造成CPI的反弹。本文针对研究结论提出了一些政策建议。     

Central bank intervention,the current account,and exchange rates

This paper seeks to explain exchange rate and current account or net foreign assets behavior under central bank foreign exchange rate intervention. To analyze central bank intervention we use the current account-net foreign assets identity, as well as the long-run monetary exchange rate model. The intervention function is one where exchange rate deviations from equilibrium are governed by nonlinear adjustments. That is, exchange rate deviations from their long-run equilibrium are such that the degree of reversion towards equilibrium increases with the size of the deviation from equilibrium. In this type of nonlinear function exchange rates determine the current account, and the current account in turn determines exchange rates. This iterative duality contrasts with several portfolio balance models where exchange rates are a function of trade, but trade is not a function of exchange rates. This two way causality is slightly more complex, but is also analytically richer than assuming that exchange rates change solely in a one step process as targeted by central banks. Managing exchange rates is posited to be an active iterative feedback process where intervention changes the current account, which may in turn make further intervention necessary.     

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.     

外汇占款与通货膨胀率关系研究

基于货币数量理论研究外汇占款对通货膨胀的影响有重大意义。首先采用VAR模型和Granger因果关系模型研究外汇占款、货币供应量和通货膨胀率之间的相互影响状况,同时运用脉冲响应模型和方差分解技术研究变量受系统内变量冲击的反应和波动情况。其次进行货币冲销有效性检验,结果显示:央行的货币冲销政策完全有效,货币冲销力度大约为-0.6,货币冲销弹性大于1,从整体来看,货币冲销有效性呈现弱递减趋势。     

The coordination channel of foreign exchange intervention: A nonlinear microstructural analysis

Taylor (1994, 1995) [Taylor, M.P., 1994. Exchange rate behaviour under alternative exchange rate regimes. In: Kenen, P. (Ed.), Understanding Interdependence: The Macroeconomics of the Open Economy. Princeton University Press, Princeton; Taylor, M.P., 1995. The economics of exchange rates. Journal of Economic Literature 33, 13-47] has proposed the coordination channel as a means by which foreign exchange market intervention may be effective, in addition to the traditional portfolio balance and signalling channels. If strong and persistent misalignments of the exchange rate are caused by nonfundamental influences, such that a return to equilibrium is hampered by a coordination failure among fundamentals-based traders, then official intervention may act as a coordinating signal, encouraging stabilising speculators to re-enter the market at the same time. We develop this idea in the framework of a simple microstructural model of exchange rate movements, which we then estimate using daily data on the dollar-mark exchange rate and on Federal Reserve and Bundesbank intervention operations. The results are supportive of the existence of a coordination channel of intervention effectiveness.     

RE-EXAMINING THE EFFECTIVENESS OF STABILISATION POLICY

This paper develops an alternative international macroeconomic model for evaluating the effectiveness of fiscal and monetary policy in stabilising national income under fixed and floating exchange rates. It encompasses national output and income, saving, investment, money and capital flows and linkages between the exchange rate, price levels and real interest rates consistent with international parity conditions. It demonstrates that the nature of government spending is pivotal to the effectiveness of fiscal policy, revealing that, ceteris paribus , higher public consumption expenditure contracts national income and depreciates the exchange rate, whereas higher productive public investment spending has opposite effects. The framework also shows that the effectiveness of fiscal and monetary policy as macroeconomic policy instruments is not ultimately dependent on the exchange rate regime.     

THE EXCHANGE RATE IN THE JAPANESE ECONOMY: THE PAST,PUZZLES, AND PROSPECTS*

Selected topics in the literature on the exchange rate, in particular the yen, are reviewed from the viewpoint of some academic/practical puzzles. A survey is provided of past work covering use of the yen on PPP, covered and uncovered interest rate parity, the unbiasedness of expected future exchange rates, volatility spillover across borders and the effectiveness of intervention. The role of the yen in the international financial structure and its future role in global and regional financial markets are discussed.     

Exchange Rate Stability, Inflation, and Growth in (South) Eastern and Central Europe

The authors analyze the impact of the exchange rate regime on inflation and output in (South) Eastern and Central Europe. For the whole observation period the estimations reveal a significant impact of exchange rate stability on low inflation as well as a highly significant positive impact of exchange stability on real growth. When subdividing the period into a "high-inflation" period (1994–97) and a "low-inflation period" (1998–2004), and when removing outliers from the sample, the evidence in favor of a positive association between exchange rate stability and inflation disappears. The association of exchange rate stability with higher real growth remains robust. These findings suggest that membership of the (South) Eastern and Central European countries in the European Monetary Union would have a positive impact on these countries' growth rates.