我国外汇储备影响因素分析与汇率制度选择

本文通过误差修正模型分析了我国外汇储备长期和短期的影响因素,认为短期影响因素是进出口额与外商直接投资。根据模型结论,本文认为继续深化汇率体制改革,适度加快人民币升值和扩大波动区间,利用汇率自身与对进出口额的杠杆作用,直接和间接地将外汇储备控制在合理的范围内。     

The Swedish real exchange rate under different currency regimes

This paper presents evidence on the behaviour of the Swedish real exchange rate relative to Germany under different currency regimes during the period 1973:1–2001:4. The results suggest that the real exchange rate is cointegrated with Swedish and German productivity, which is consistent with Balassa (1964) and Samuelson (1964). In the short run, the exchange rate regime has mattered for the dynamics of the real exchange rate. Deviations from long-run equilibrium have been adjusted more quickly when the nominal exchange rate has been allowed to float freely. JEL no. C22, E31, F41     

转轨时期的中国汇率制度选择

在一个开放经济体中,汇率是处于核心地位的经济变量;汇率制度是一国经济实现内外均衡的桥梁。文章通过对各种汇率选择理论的分析,结合转轨时期中国经济的特点,讨论了人民币汇率制度的选择,提出爬行钉住美元制是较为合适的汇率安排。     

An analysis on the relationship between RMB interest rate and exchange rate based on BEER model

The internal money market and international money market will mix together when the finance market is open. Researching on the relationship between interest rate and RMB exchange rate is so meaningful. Based on the reality of market-based reform in our country, the paper employs the BEER model to analyze the interest rate＇s influence to the RMB equilibrium exchange rate, and inspects the realistic performance of the interest rate and exchange rate mechanism. Then it seeks some effective measures to promote the interactive development of the interest rate and exchange rate markets.     

新汇率制度下我国外向型企业汇率风险的防范

2005年我国实行新的汇率制度,人民币汇率的波动和弹性增强,给我国外向型企业的稳健经营带来了冲击。本文在对人民币汇率的未来走势以及由此带来的汇率风险进行分析的基础上,探讨了我国外向型企业应对汇率风险应采取的防范措施。     

人民币汇率制度改革以及汇率波动性研究

自我国1978年改革开放以来,我国汇率制度的改革大体上经过了3个阶段:复汇率制度、单一有管理浮动汇率制度、参考"一篮子货币"有管理浮动汇率制度。本文着重讲述了这三个阶段汇率制度的改革情况,分析了人民币兑美元的汇率走势,并对汇率波动性进行实证研究,然后指出我国汇率制度当前存在的问题,以及针对这些问题提出改革的下一步路径。     

Estimating the equilibrium exchange rate of the Central and Eastern European acceding countries: The challenge of euro adoption

This study estimates the equilibrium real and nominal exchange rates for five Central and Eastern European (CEE) countries. A new approach is adopted, which combines the fundamental equilibrium exchange rate (FEER) with the behavioural equilibrium exchange rate (BEER) methodology. In a VAR-based 3-equation cointegration system, we estimate structural equations for internal and external balances and link them to the real exchange rate. The estimated misalignment is used to derive equilibrium nominal exchange rates. The sustainability of an ERM-II-type exchange rate regime is investigated on ex post data, and the credibility problem of fixing the currencies of CEE countries vis-à-vis the single European currency is analysed. JEL no. E31, F31, O11, P17     

Changes in misalignment of the Korean won: Towards a flexible exchange rate regime

This paper investigates whether the adoption of a more floating exchange rate regime with inflation targeting has improved the vulnerability of the exchange rate, by looking at the Korean case. Using the NATREX model, I estimate the equilibrium real exchange rate of the Won and its misalignment. The unit‐root test for misalignment and the unrestrictive vector autoregressive (VAR) impulse response function test show that under a more flexible exchange rate regime, the vulnerability of the exchange rate regime to external shocks has declined.     

中、美汇率之争的博弈分析

经济全球化时代,两国汇率的形成是两国间博弈的结果。中国是世界上最大的发展中国家,而美国是当今世界上最大的发达国家。从博弈论角度考察,两国在汇率问题上的重复博弈能够达到一个子博弈完美那什均衡。本文对人民币和美元汇率的波动运用了博弈理论分析了双方的得益和支付,并提出了中方在汇率问题上的政策建议。     

An empirical analysis of China's equilibrium exchange rate: A co-integration approach

This paper estimates time specific values for China's long-run equilibrium exchange rate and develops measures of the direction and extent of misalignment based on a reduced-form real effective exchange rate (REER) model. An appropriately specified long-run equilibrium model is estimated and tested following Johansen and Juselius (1990) procedures, which is then used to construct an estimated time path for long-run equilibrium exchange rate values.Unit root tests indicated that each series can be considered as I(1) and that there was one cointegrating relationship linking the RMB series with its “fundamentals” – openness, money supply, productivity and government spending – with long-run elasticities of (0.41), (0.97), (0.51) and (0.75), respectively. The estimated error-correction model of REER determination showed that during China's latest exchange rate regime (from 2005:Q3) the RMB was undervalued by an average of 6.7 percent, which is modest compared to related studies.Estimation of the associated short-run error correction model shows that the error correction term has a statistically significant value of 0.85, implying that the actual real effective exchange rates would converge relatively quickly (just over one quarter, on average) towards their long-run equilibrium level in the absence of central bank intervention.     

Productivity and the Euro-Dollar exchange rate

This article analyses the impact of productivity developments in the United States and the euro area on the euro-dollar exchange rate. The article presents a new measure of relative average labour, productivity (ALP) which does not suffer from the biases implicit in readily available relative ALP data. Importantly, the patterns of these series differ widely. Employing the Johansen cointegration framework, four models are estimated using four different productivity proxies. Our results indicate that the extent to which productivity can explain the euro depreciation varies with the productivity proxy used: readily available measures explain most, our new, preferred measure least. In all models, however, productivity can explain only a fraction of the actual euro depreciation experienced in 1999–2000. JEL no. F31, C32, O47 The views expressed in this study are those of the authors and do not necessarily reflect those of the European Central Bank or its staff.     

人民币汇率与通货膨胀的关系问题思考

2006年国内两大经济现象:物价上涨和人民币汇率的升值成为国内许多学者谈论的主要话题。本文从不同角度来说明这两种现象发生的原因及其关系。对于这种货币对内贬值而对外升值的特殊情况已不能单纯的用传统的“购买力平价理论”来解释了。另外,我国的通货膨胀属于结构性通货膨胀,也不能简单地和汇率问题联系在一起。只有对内疏导通货膨胀压力,削弱长期贬值倾向,对外平衡贸易收支,化解短期升值压力,才能改善人民币现在这种进退两难的困境。     

Application of ANFIS to exchange rate forecasting

The need of exchange rate forecasting in order to preventing its disruptive movements has engrossed many policy-makers and economists for many years. The determinants of exchange rate have grown manifold making its behavior complex, nonlinear and volatile so that nonlinear models have better performance for its forecasting. In this study the accuracy of ANFIS as the nonlinear model and ARIMA as the linear models for forecasting 2, 4 and 8 days ahead of daily Iran Rial/∈ and Rial/US$ was compared. Using forecast evaluation criteria we found that nonlinear model outperforms linear model in all three horizons.     

关于汇率制度的文献综述

目前我们正经历着汇率制度研究多年来最重要的发展时期。自上世纪90年代中期以后,特别是近几年来,国际学术界对汇率制度理论的研究,出现了一个新的高潮。本文分为两部分:第一部分为汇率制度选择的理论综述,总结了经济学家从不同的影响因素出发,对汇率制度的选择得出的不同结论;第二部分为人民币汇率制度选择的文献综述,讨论了人民币应该继续钉住美元还是采取更灵活的汇率制度,以及在中国资本账户开放和加入W TO后人民币汇率制度的变化。     

Renminbi exchange rate exposure: evidence from Chinese industries

This paper investigates sensitivity of stock returns of industry-sorted Chinese firms with respect to renminbi exchange rate movements. Strong evidence of significant exposure is documented for 7 out of 16 Chinese industries. Evidence is also found of the size asymmetry effects. In addition, we explore the characteristics of the exposure, and detect evidence of significant exposure among non-exporters in some of the industries. Special attention is given to examining the time-varying exposure under the impact of the new Chinese exchange rate regime in place since 2005, in which even stronger exchange rate exposure is reported. The conditional exposure estimated in this paper also reveals the close relation between stock returns and changes of the renminbi exchange rate.     

论外贸企业对人民币汇率风险的防范

随着人民币汇率制度进一步改革,人民币汇率更加具有弹性,汇率浮动范围日益扩大,外贸企业面临的汇率风险与日俱增。本文探讨了外贸企业应如何正确认识人民币汇率风险,提高汇率风险防范意识,选择合适措施,化解汇率风险,增强企业竞争力。     

当前我国利率与汇率的相关性分析及政策建议

在经济充分开放的国家,利率、汇率与资本流动之间存在不可忽视的紧密联系。利率变化引发套利资本流动,直接导致汇率的升值或贬值,汇率这种变动进而又反过来影响资本流动,影响利率。利率和汇率之间的这种关系被称为利率平价关系。本文采用利率平价模型分析了当前我国利率与汇率的相关性,并对我国的利率与汇率制度改革提出建议。     

货币政策与汇率关联的实证研究

本文从五个方面对国内外货币政策与汇率关联的实证研究方面的文献进行了回顾。借鉴国外的研究方法,利用较高频、更长、更新的时间序列数据,并考虑变量之间存在的联立关系,对我国情况做进一步的研究。