我国通货膨胀过程的社会福利成本度量与经验分析

通过利用1994年至2006年之间的我国GDP、M1和名义利率的季度数据,采用协整检验和回归系数估计方法,获得我国长期货币需求函数,在此基础上对我国通货膨胀的社会福利成本进行了实证分析。实证结果表明,我国较高的通货膨胀率会带来比较大的福利成本,因此,当前通胀压力较大的时期,采取适当的宏观调控措施,将通货膨胀率控制在3%以下的低水平状态。     

国际贸易计价货币的选择——兼论人民币国际化

本文以出口商预期利润最大化为视角,介绍和归纳了出口商计价货币选择的有关模型。得出结论:一国货币作为国际贸易发票货币取决于货币汇率的波动性;该国占据的出口市场份额以及该国出口产品的差异性程度,并利用经验数据检验了以上结论,展望了人民币国际化的前景。     

国际贸易结算货币理论及其对我国的启示

随着多边贸易和国际货币多元化的不断发展,国际贸易结算货币的选择对降低汇率风险和交易成本,提高经济效益显得越来越重要。本文按三个发展阶段对国际贸易结算货币理论进行了述评,在此基础上探讨了目前我国对外贸易结算货币的选择及人民币作为国际贸易结算货币的可能性。认为,当前美元仍应是我国对外贸易首选结算货币,但我国应积极扩大人民币在边境贸易中的计价结算,并努力创造条件促使人民币在远洋贸易中计价结算,以降低国际贸易的汇率风险及促进人民币国际化的发展。     

DIFFUSION MODELS FOR EXCHANGE RATES IN A TARGET ZONE

We present two analytically tractable diffusion models for an exchange rate in a target zone. One model generalizes a model proposed by De Jong, Drost, and Werker (2001) to allow asymmetry between the currencies which is often an important feature of data. Estimation of the model parameters by the method of Kessler and Sørensen (1999) using eigenfunctions of the generator is investigated and shown to give well-behaved estimators that are easy to calculate. The method is well suited to the models because the eigenfunctions are known so that explicit estimating functions are obtained, and because the state space is a finite interval, for which it is known that the method can be made arbitrarily efficient by including sufficiently many eigenfunctions. The model fits data on exchange rates in the European Monetary System well. In particular, the asymmetry parameter is significantly different from zero for three out of four currencies. An alternative diffusion model is presented with similarly nice properties, but with different dynamics that allow constant volatility near the boundaries of the target zone. No-arbitrage pricing of derivative assets is considered, and the effect of realignments is briefly discussed.     

Global monetary policy under a dollar standard

This paper derives an optimal monetary policy in a world with a dollar standard, defined as an environment in which all traded goods prices are set in US dollars, so that exchange rate pass-through into the US price level is zero. We show that the US is essentially indifferent to exchange rate volatility, while the rest of the world places a high weight on exchange rate volatility. In a Nash equilibrium of the monetary policy game, US preferences dominate; the equilibrium is identical to one where the US alone chooses world monetary policy. Despite this, we find surprisingly that the US loses from the dollar's role as an international currency, since the absence of exchange rate pass-through leads to inefficient expenditure allocations within the US. Finally, we derive the conditions for a dollar standard to exist.     

Optimum choice of invoice currency with correlated exchange rates†

In this paper, we revisit optimal choice of invoice currency for an exporting firm in the face of exchange rate uncertainty. We demonstrate that when a vehicle currency is available, the optimum choice depends not only on the volatility of the exchange rates but the covariance between them as well. In particular, we show that when the exchange rates between the exporter and importer currencies on the one hand, and the exporter and the vehicle currency on the other, are positively correlated, vehicle currency becomes an attractive choice. The intuition underlying this novel outcome is that this regime dampens profit variability for the exporter.     

Can Japan or China replace the US as the monetary anchor for Hong Kong and Macau?

This contribution attempts to examine the relative importance of the US, Japan and China to Hong Kong and Macau, two effective dollar-based currency boards today, by evaluating the economic potentiality of Japan or China as an alternative monetary anchor country against the US. The assessment is made according to the criteria prescribed by the optimum currency areas (OCA) theory. In addition to that, a subsidiary analysis is done to evaluate in general the suitability of their fixed exchange rate regimes, regardless of the anchor country. Amidst the existing dollar linked arrangement and the rising dominance of China, significant evidence suggests that Japan, despite its lacklustre domestic conditions, might be at least as good a monetary anchor as the US for Hong Kong. In the meantime, China seems to be a more promising monetary anchor alternative for Macau. The features of Hong Kong and Macau also appear to broadly and endogenously support their fixed exchange rates, but not all the features of Macau, a HK-dollar-based currency board, are consistently symmetrical with those of Hong Kong.     

Mexican Peso Futures and Exchange Rate Volatility

Abstract

The reintroduction of Mexican peso futures contracts in April 1995 resulted from a refocus of governmental policy to the use of market-based mechanisms to stabilize the exchange rate. Interest in the Mexican peso future contracts has been high as investors look to manage their exposure from transactions and investments denominated in pesos. This study utilizes a VAR framework to analyze the relationship between the volatility in the Mexican peso spot market and futures contracts trading activity. Shocks to the exchange rate volatility lead to increased hedg-ing-type activity. Furthermore, an increase in futures contracts trading activity (reflecting additional speculation-type activity) results in a short-run increase in volatility. A Granger Causality test also indicates a statistically significant link between spot price volatility and futures trading activity in the Mexican peso exchange market.

RESUMEN

La reintroducción de los contratos futuros del peso mexicano en abril de 1995, resultó del nuevo enfoque de la política gubernamental de usar los mecanismos de mercado para estabilizar la tasa cambiaria. Ha habido mucho interés en los contratos futuros del peso mexicano, ya que los inversores buscan administrar su exposición a las transacciones e inversiones denominadas en pesos. Este estudio utiliza el marco del VAR para analizar la relación existente entre la volatilidad del peso mexicano en el mercado spot y la actividad de negociación de los contratos futuros. Los choques sufridos por la volatilidad de la tasa cambiaria resultan en un aumento de las actividades del tipo hedging. Además, un aumento en la actividad de negociación de los contratos futuros (que refleja otras actividades de naturaleza especulativa) provoca, a corto plazo, un aumento en la volatilidad. Una prueba Granger Causality también indica un vínculo estadísticamente significativo entre la volatilidad del precio spot y la actividad de negociación del mercado futuro en el mercado cambiario del peso mexicano.

RESUMO

A reintrodução dos contratos futuros em peso mexicano, em abril de 1995, foi o resultado de uma revisão da política governamental, em relação ao uso dos mecanismos baseados no mercado para estabilizar a taxa de câmbio. Os juros dos contratos futuros, em peso mexicano, foram altos, devido ao cuidado dos investidores em administrar o risco das transaç[otilde]es e dos investimentos efetuados em pesos. Este estudo utiliza a estrutura VAR, para analisar o relacionamento entre a volatilidade do mercado local, em peso mexicano, e a atividade comercial de contratos futuros. Choques aplicados à volatilidade da taxa de câmbio contribuíram para o aumento das atividades típicas de hedging. Além disso, um crescimento da atividade comercial de contratos futuros (refletindo uma atividade basicamente especulativa) ocasiona um rápido aumento na volatilidade. O teste Granger Causality indica, também, um vínculo estatístico significativo entre a volatilidade do preço local e a atividade comercial de futuros no mercado cambial do peso mexicano.     

Currency Prices, the Nominal Exchange Rate, and Security Prices in a Two‐Country Dynamic Monetary Equilibrium

This paper examines a continuous‐time two‐country dynamic monetary equilibrium in which countries with possibly heterogeneous tastes and endowments hold their own money for the purpose of transaction services formulated via money in the utility function. Given a price system, no‐arbitrage pricing results are provided for the price of each money and the nominal exchange rate. Characterizations are provided for equilibrium prices for general time‐additive preferences and non‐Markovian exogenous processes. Under a Markovian structure of model primitives, the currency prices are shown to solve a bivariate system of partial differential equations. Assuming that each country is endowed with heterogeneous separable power utility and the exogenous quantities all follow geometric Brownian motions, an equilibrium is shown to exist and additional characterization is provided. A further example of nonseparable Cobb–Douglas preferences is investigated. The additional features over the customary environment of homogeneous logarithmic preferences are emphasized.     

Regime switching models for the Mexican peso

The Mexican peso has shown long periods of tranquility that suddenly give rise to short volatile periods. We characterize this exchange rate process by estimating a series of regime switching regressions and comparing the different specifications as pioneered by Meese and Rogoff [J. Int. Econ. 14 (1983) 3]. We find evidence for two clearly identified regimes: one with an appreciating trend and low volatility, and another with large depreciations and high volatility. We use the estimated model to explain the bias implied in the peso forward market. Finally, we show that duration dependence or fundamentally driven transition probabilities do not improve the model's forecasting power.