中国金融学术研究网
CHINA FINANCIAL RESEARCH NETWORK

银行和金融机构--汇率
工作论文
2009-04-23 第2卷 第2期

编: 麻省理工学院斯隆管理学院金融学讲席教授,清华大学经管学院特聘教授。

执行主编: 杨之曙清华大学经济管理学院金融学副教授。


本期目录

Volatility Transmissions between Renminbi and Asia-Pacific On-Shore and Off-Shore U.S. Dollar Futures

Roberta Colavecchio Hamburg UniversityDepartment of Economics
Michael Funke Hamburg UniversityDepartment of Economics

The Renminbi Equilibrium Exchange Rate: An Agnostic View

Henri Sterdyniak Observatoire Francais des Conjonctures Economiques (OFCE)
Antoine Bouveret Observatoire Francais des Conjonctures Economiques (OFCE)

蒙代尔-弗莱明模型的逻辑推演与引申

黄玲 北京大学经济学院

基于VaR-AR-EGARCH-M-GED模型的人民币汇率的波动性分析

朱春明 广东商学院金融学院

Heterogeneous Investor's Reaction to Exchange Rate Movement: New Evidence from a Unique Emerging Market

Sung C. Bae Bowling Green State UniversityBusiness Administration
Mingsheng Li Bowling Green State UniversityBusiness Administration
Jing Shi The Australian National UniversitySchool of Finance & Applied Statistics


论文摘要

Volatility Transmissions between Renminbi and Asia-Pacific On-Shore and Off-Shore U.S. Dollar Futures

Roberta Colavecchio Hamburg UniversityDepartment of Economics
Michael Funke Hamburg UniversityDepartment of Economics

This paper estimates switching autoregressive conditional heteroskedasticity (SWARCH) time series models for weekly returns of nine Asian forward exchange rates. We find two regimes with different volatility levels, whereby each regime displays considerable persistence. Our analysis provides evidence that the knock-on effects from China’s currency forwards markets upon other Asian countries have been modest, in that little evidence exists for co-dependence of volatility regimes.

The Renminbi Equilibrium Exchange Rate: An Agnostic View

Henri Sterdyniak Observatoire Francais des Conjonctures Economiques (OFCE)
Antoine Bouveret Observatoire Francais des Conjonctures Economiques (OFCE)

The supposed undervaluation of the renminbi has been the subject of intensive academic research over the past few years. Using equilibrium exchange rate models (Purchasing Power Parity, BEER and FEER), many authors have concluded that the renminbi is undervalued by 15 to 30% against the dollar. This article shows that the common view is not that obvious. The models used in the estimation (BEER or FEER) assume that the economy is at full-employment, a strong hypothesis for developing economies such as China, whose unemployed amount to 150 million people. On the contrary, we show that China is facing massive unemployment and if investment depends on expected potential demand (from domestic consumption and foreign demand), then an undervalued exchange rate (by traditional standards) is suited for its policy objectives. Therefore the exchange rate can be analyzed as a policy tool used by the Chinese authorities to pursue their objectives. The exchange rate can be undervalued by traditional standards and in equilibrium compared to the government's policy objectives. This article shows that equilibrium exchange rate theories are not suited for developing countries and therefore the concept of equilibrium exchange rate is highly questionable. The final section analyzes the adoption of a managed float regime by the Popular Bank of China and discusses the delicate issue of the best exchange rate regime for China.

蒙代尔-弗莱明模型的逻辑推演与引申

黄玲北京大学经济学院

在新开放经济宏观经济学迅速发展的今天,蒙代尔-弗莱明模型理论和现实意义仍具有 生命力,仍是国际经济学的主力模型之一。一个完整的蒙代尔-弗莱明模型需讨论在固定汇 率制和浮动汇率制下,货币政策和财政政策分别在低、中、高及完全资本流动性等多种情形 下的动态过程,一共需16 个图形来诠释该模型,因情形众多常易引起混淆。本文试将该模 型的基本方程略加改动,从而能根据方程各主要变量的内在逻辑来判定16 种情形下各种政 策的短期效应及新的长期均衡,大大方便了对该模型的正确理解和掌握。通过对模型中货币 方程的简单引申,我们可以方便地将之运用于分析近年中国货币形势的成因及各种对冲手段 的宏观效果。

基于VaR-AR-EGARCH-M-GED模型的人民币汇率的波动性分析

朱春明 广东商学院金融学院

自2005年7月21日起,我国人民币实行有管理的浮动汇率制度。由于各种原因,人民币不断升值,这会给我国的经济带来许多的不确定性。因此,研究汇改以来人民币汇率的走势以及美元头寸的汇率风险有着重要的意义。本文应用AR(1)-EGARCH(1,1)-M-GED模型来计算人民币对美元汇率的日对数收益率的VaR值。研究表明,该模型能够比较好地预测人民币对美元汇率的波动情况,在99%的置信水平下,能够较好地预测VaR,因此可以作为衡量和控制风险的有效方法。

Heterogeneous Investor's Reaction to Exchange Rate Movement: New Evidence from a Unique Emerging Market

Sung C. Bae Bowling Green State UniversityBusiness Administration
Mingsheng Li Bowling Green State UniversityBusiness Administration
Jing Shi The Australian National UniversitySchool of Finance & Applied Statistics

Previous studies find mixed results on the relation between exchange rate movement and stock return. We revisit the issue by exploring the effect of market efficiency and heterogeneous investor’s reaction to exchange rate changes using the recent event of Chinese currency appreciation. Our results show that different investor groups react differently to the exchange rate appreciation and that this can be explained by the differences in information access and demand elasticity. In addition, we find that investors with limited investment opportunities react more positively to exchange rate appreciation. Our results suggest that it is important to consider the issues of market efficiency and the differences among investors when one analyzes the relation between exchange rate movement and stock return.


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