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
2009-05-31 第2卷 第3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

China's Renminbi Currency Logistics Network: A Brief Introduction

Reginald D. Smith Franklin InstituteBouchet
Nan Zhu Southwestern University of Finance and EconomicsThe MBA Education Centre
Long Wang People's Bank of ChinaChengdu Branch

人民币预期升值率对货币需求影响的实证检验: 1999-2007

易行健 广东外语外贸大学国际经济贸易研究中心
杨碧云 中山大学岭南学院

人民币汇率的波动性和互动性特征研究

于荣 中南财经政法大学信息学院
朱喜安 中南财经政法大学信息学院

我国实际货币缺口与实际利率、实际有效汇率的关系——基于局部调整模型的分析

邓创 吉林大学商学院
石柱鲜 吉林大学数量经济研究中心
孙皓 吉林大学数量经济研究中心

China's Current Account and Exchange Rate

Yin-Wong Cheung University of California, Santa CruzDepartment of Economics
Menzie David Chinn University of WisconsinRobert M. La Follette School / Dpt of Economics
Eiji Fujii University of TsukubaGraduate School of Systems and Information Engineering


论文摘要

China's Renminbi Currency Logistics Network: A Brief Introduction

Reginald D. Smith Franklin InstituteBouchet
Nan Zhu Southwestern University of Finance and EconomicsThe MBA Education Centre
Long Wang People's Bank of ChinaChengdu Branch

Currency logistics is becoming a field of increasing interest and importance both in government and academic circles. In this paper, a basic description of China's nationwide logistics network for the Renminbi is discussed and analyzed. In addition to its basic structure, its key problems such as production costs, inventory levels, and transportation and storage security are discussed.

人民币预期升值率对货币需求影响的实证检验: 1999-2007

易行健 广东外语外贸大学国际经济贸易研究中心
杨碧云 中山大学岭南学院

本文首先详细综述了预期汇率变化对货币需求影响的理论分析与实证检验的国内外文献,然后利用利用中国1999-2007年的月度数据估计了包含人民币预期升值率与国外利率的货币需求函数,结论显示人民币预期升值率的上升将通过货币替代效应与资本流动效应显著增加我国微观经济主体对狭义货币与广义货币的持有。最后本文从理论与实证分析结果出发,为我国开放条件下货币政策的制定与实施提出了相关的政策建议。

人民币汇率的波动性和互动性特征研究

于荣中南财经政法大学信息学院
朱喜安 中南财经政法大学信息学院

人民币汇率的波动问题一直是学术界讨论的焦点,本文选取自汇率制度改革后的826个高频日汇率数据,在使用GARCH(1,1)模型研究美元和港币对人民币汇率波动的基础上,对美元、港币、日元和欧元对人民币汇率的互动性进行了研究,认为港币对人民币汇率波动的持续性强于美元对人民币汇率的波动,在我国的外汇市场上,美元和港币的主导性最强,欧元次之,日元最弱。

我国实际货币缺口与实际利率、实际有效汇率的关系——基于局部调整模型的分析

邓创吉林大学商学院
石柱鲜 吉林大学数量经济研究中心
孙皓吉林大学数量经济研究中心

本文利用局部调整模型对我国的货币需求函数进行了定量估计。估计结果表明,实际产出、名义利率、通货膨胀率、股票市价总值以及货币替代率均对我国的狭义和广义货币需求产生了显著的影响。进一步地,我们计算出我国的实际货币缺口,以此考察我国实际货币供求状况的变动特征及其与实际利率、实际有效汇率之间的影响关系。分析表明,我国近年来的利率和汇率政策仍然是以稳定通货膨胀为主要任务的,但仅仅通过利率调整或者人民币升值均不能有效地改善我国的货币供求状况,并且在稳定通货膨胀方面的效果也不理想。

China's Current Account and Exchange Rate

Yin-Wong Cheung University of California, Santa CruzDepartment of Economics
Menzie David Chinn University of WisconsinRobert M. La Follette School / Dpt of Economics
Eiji Fujii University of TsukubaGraduate School of Systems and Information Engineering

We examine whether the Chinese exchange rate is misaligned and how Chinese trade flows respond to the exchange rate and to economic activity. We find, first, that the Chinese currency, the renminbi (RMB), is substantially below the value predicted by estimates based upon a cross-country sample, when using the 2006 vintage of the World Development Indicators. The economic magnitude of the mis-alignment is substantial -- on the order of 50 percent in log terms. However, the misalignment is typically not statistically significant, in the sense of being more than two standard errors away from the conditional mean. Moreover, this finding disappears completely when using the most recent 2008 vintage of data; then the estimated undervaluation is on the order of 10 percent. Second, we find that Chinese multilateral trade flows respond to relative prices -- as represented by a trade weighted exchange rate -- but the relationship is not always precisely estimated. In addition, the direction of the effects is sometimes different from what is expected a priori. For instance, Chinese ordinary imports actually rise in response to a RMB depreciation; however, Chinese exports appear to respond to RMB depreciation in the expected manner, as long as a supply variable is included. In that sense, Chinese trade is not exceptional. Furthermore, Chinese trade with the United States appears to behave in a standard manner -- especially after the expansion in the Chinese manufacturing capital stock is accounted for. Thus, the China-US trade balance should respond to real exchange rate and relative income movements in the anticipated manner. However, in neither the case of multilateral nor bilateral trade flows should one expect quantitatively large effects arising from exchange rate changes. And, of course, these results are not informative with regard to the question of how a change in the RMB/USD exchange rate would affect the overall US trade deficit.


      中国金融研究学术网(China Financial Research Network)发表金融研究工作论文和已发表论文的摘要。
      
      如果您如希望按期收到最新的金融研究工作论文和已发表论文的摘要,请访问http://www.cfrn.com.cn,注册即可。
      
      您如果想要发表您的工作论文或已发表论文的摘要,请访问http://www.cfrn.com.cn,注册,登录,然后上传。
      
      中国金融研究学术网不拥有所发表的工作论文和已发表论文摘要的版权。读者可以免费浏览和下载。      
	  
      如果您有任何问题,请联系我们。通过E-Mail发送至:cfrn@sem.tsinghua.edu.cn。或者通过邮寄方式,寄送至:清华大学经济管理学院中国金融研究中心。邮编:100084。
      

Copyright @ 2008 China Center for Financial Research,Tsinghua University. All Rights Reserved.
版权所有 清华大学中国金融研究中心