从汇率与国际银价关系看清末民国外汇市场整合

Measuring Market Integration through the Exchange Rate Deviations of Mint Parity,Late Qing Dynasty and the Republic of China

清末民国时期的银本位制度下,市场汇率和国际银平价的偏离率显著受两个因素影响:一是外汇市场供求关系;二是国际银价的变化——因为国际银价变化时市场汇率的调整具有滞后性。不过,"银点套利"保证了汇率和国际银价之间的长期稳定关系,即二者偏离率受"银点"约束而不致无限扩大。银点套利还使得偏离率对市场上发生的大的冲击和小的冲击反应模式不同:偏离率大时其向均衡值收敛的速度很快,而偏离率小时收敛的速度则很慢。总体上,经验结果认为银本位下中国的外汇市场是有效的。从汇率与银价偏离率的调整速度看,上海与国际金融市场之间的整合程度接近于同时期欧美金融市场之间的整合程度。

While China was on the silver standard in the early 20 th Century,the deviations of Shanghai exchange rates and silver parity was affected by both the changes in demand or supply forces in Shanghai foreign exchange market and the changes in the international price of silver.However,the efficient silver arbitrage mechanism ensured the long-term stable relationship between the exchange rate and the parity.That's,the cross-border movement of silver will appear when the deviation of exchange rate and silver parity exceeds silver point,a certain threshold determined by transaction costs.We show that the deviation follows a nonlinear process that is mean-reverting,with the speed of adjustment toward equilibrium varying with the extent of the deviations.Our results provides supports on the efficiency of Chinese silver standard regime and a relatively high degree of market integration across Shanghai and international financial center in early 20 th century.