To Accomplish the Unaccomplished Reform： Lessons and Options of RMB Exchange Rate Reform

The exchange rate reform initiated on August 11,2015 is an important attempt by the PBoC to transform China's exchange rate regime from the "crawl-like arrangement" to a floating regime.However,after a three-day experiment,the PBoC abandoned the original goal of the reform.Since then,the central bank has implemented a new exchange rate-setting mechanism.Under this mechanism,the central parity of the renminbi(RMB) against the US dollar is decided by the arithmetic average of the RMB exchange rate that keeps the index of a currency basket unchanged over the past 24 hours and the previous day's closing price of USD/CNY.Due to the introduction of the index of a currency basket,additional uncertainty has been introduced into the determination of the RMB exchange rate,because of the uncertainty of the dollar index(USDX).As a result,to a certain extent,the one-way bet on the RMB expectations is weakened.However,the current exchange rate formation mechanism cannot reverse the trend of devaluation of the RMB,nor can it eliminate depreciation expectations.Meanwhile,it hinders the effectiveness of central bank's independent monetary policy based on the domestic economic fundamentals.And also,the "two-way float" created by the new price-setting mechanism is artificial and has led to significant losses of foreign exchange reserve.The paper explains how the new price-setting mechanism works,and identifies the important features of the mechanism and its pros and cons.The paper argues that despite some advantages,the new exchange rate regime as a soft peg regime is not sustainable and the PBoC should stop foreign exchange market intervention as soon as possible.We hope that the PBoC can learn the lessons from the failure of the "August 11 reform" and accomplish the unaccomplished reform in an urgent manner.

Exchange rate reform:progress,challenges and prospects

For three decades China has followed an incremental approach in renminbi exchange rate reform.During this period,the exchange rate system has gone through five stages of evolution:i) a"basket peg"exchange rate regime;ii) a dual-track system;Hi) exchange rate convergence;iv) a"unitary pegged"exchange rate regime;and v) a managed floating exchange rate regime based on market supply and demand with reference to a basket of currencies. Reforming the exchange rate formation mechanism is a complex engineering project influenced by numerous factors such as the economic development mode,industrial structure,basic economic system,market system condition,financial and macroeconomic policy system as well as the new advantages arising from opening-up initiatives.Since 2005,China has achieved substantial success in reforming the exchange rate formation mechanism but still faces a plethora of issues.To address these issues,China should strengthen the role of the market in the exchange rate formation process and gradually push for the free convertibility of the renminbi under the capital account.Amidst the raging global financial crisis,China should further adapt to the diversification of the international monetary system and aggressively proceed with renminbi regionalization and internationalization.

Weights and Empirical Analysis of RMB Exchange Rate Adjustments with Reference to a Basket of Currencies Following the Exchange Rate System Reform of 2010

This paper constructs an RMB/USD exchange rate index and a basket currency exchange rate index. The correlation maximization of the RMB/USD and the basket currency index may determine the weight and quantity of the basket currency. The currency basket indicates that the weight of the USD is highest, whereas that of the GB Pound is the lowest. Our currency basket has a high linear dependence on that of the central bank. We found that the RMB/USD and currency basket indices have a long-term co-integration relationship according to the optimal currency weights. The results of the error-correcting model manifest as the RMB/USD exchange rate deviates from the long-term equilibrium level, wherein 76.3% will be corrected. This paper checks the prediction capacity, which indicates the good fit of the model. By using the Granger causality test the findings show that the People＇s Bank of China adjusts the RMB/USD exchange rate with reference to the currency basket.

Retrospect of the Chinese Exchange Rate Regime after Reform:Stylized Facts during the Period from 2005 to 2010

In the present paper, we estimate the de facto RMB exchange rate regime, the currency basket, the floating band and the foreign exchange market pressure before and after the reform of the Chinese exchange rate regime in 2005. We find the following stylized facts： the value of the RAIB became stable after the reform; the weight of the US dollar remained high in the basket, while other currencies remained statistically significant; and the floating band gradually increased to lO percent during 2005-2008, and then greatly narrowed from the late summer of 2008 under the assumption of a yearly resetting interval. We find that the foreign exchange market pressure increased from 2005 to 2008. A possible reason is that the weight of the US dollar in the basket was slightly lower than the share of the US dollar in total transactions on the Chinese foreign exchange market. Therefore, it is reasonable for China to adopt a dollar peg exchange rate regime.

Renminbi Exchange Rate： Peg to A Wide Band Currency Basket

Persistent renminbi （RMB） devaluation expectations are one of the greatest threats to China ＂s macroeconomic stability. Market interventions backed by huge foreign exchange reserves and capital controls are not sufficient to eliminate the expectations of devaluation. Creating a market-based and flexible RMB exchange rate regime holds the key to the elimination of devaluation expectations. The present paper compares the pros and cons of severaI policy options, and proposes to introduce, as a transition to free floating, a new exchange rate regime pegged to a currency basket with a wide band. The new regime should be able to give the RMB exchange rate enough flexibility to eliminate devaluation expectations as well as prevent excessive overshooting. To ensure a smooth transition, the new regime needs to be supported by controlling cross-border capital flOWS.

中国OFDI区位分布的东道国汇率因素判断

使用中国对161个国家和地区2003~2014年对外直接投资区位分布的存量数据,实证检验了人民币相对于东道国货币汇率升值、东道国货币相对于人民币汇率波动、东道国货币相对于锚货币汇率稳定以及东道国汇率制度选择四个维度的汇率指标对中国OFDI区位分布的重要影响。研究发现,中国的OFDI存量随人民币相对于东道国货币升值而增加,货币升值的购买力增加正效应大于收益率降低的负效应。东道国货币相对于人民币汇率波动程度越高、相对于锚货币稳定度越低,中国的OFDI存量就越多;对东道国资本自由流动的诉求以及对冲实际汇率波动风险的动因是中国OFDI更加偏好汇率浮动区间更大的东道国的重要原因。在投资—出口权衡、中低收入子样本、金融危机前后子样本。

Valuation and Hedging Strategy of Currency Options under Regime-Switching Jump-Diffusion Model

The main purpose of this thesis is in analyzing and empirically simulating risk minimizing European foreign exchange option pricing and hedging strategy when the spot foreign exchange rate is governed by a Markov-modulated jump-diffusion model. The domestic and foreign money market interest rates, the drift and the volatility of the exchange rate dynamics all depend on a continuous-time hidden Markov chain which can be interpreted as the states of a macro-economy. In this paper, we will provide a practical lognormal diffusion dynamic of the spot foreign exchange rate for market practitioners. We employing the minimal martingale measure to demonstrate a system of coupled partial-differential-integral equations satisfied by the currency option price and attain the corresponding hedging schemes and the residual risk. Numerical simulations of the double exponential jump diffusion regime-switching model are used to illustrate the different effects of the various parameters on currency option prices.

Currency Exposure in China under the New Exchange Rate Regime： National Level Evidence

The present paper studies China＇s national level currency exposure since 2005 when the country adopted a new exchange rate regime allowing the renminbi （RMB） to move towards greater flexibility. Using generalized autoregressive conditional heteroskedastic and constant conditional correlation-generalized autoregressive conditional heteroskedastic methods to estimate the augmented capital asset pricing models with orthogonalized stock returns, we find that China equity indexes are significantly exposed to exchange rate movements. In a static setting, there is strong sensitivity of stock returns to movements of China＇s trade- weighted exchange rate, and to the bilateral exchange rates except the RMB/dollar rate. However, in a dynamic framework, exposure to all the bilateral currency pairs under examination is significant. The results indicate that under the new exchange rate regime, China＇s gradualist approach to moving towards greater exchange rate flexibility has managed to keep exposure to a moderate level. However, we find evidence that in a dynamic setting, the exposure of the RMB to the dollar and other major currencies is significant. For China, the challenge of managing currency risk exposure is looming greater.

Chinese Yuan after Chinese Exchange Rate System Reform

In this paper, the actual exchange rate policy conducted by the Chinese government after the Chinese exchange rate system reform on 21 July 2005 is investigated. Also, the long-run effect is investigated, including the Balassa-Samuelson effect on the Chinese yuan. It was found that the Chinese government generated a statistically significant but small change in exchange rate policy during the sample period until 25 January 2006. It was not identified that the Chinese monetary authority is adopting the currency basket system because the change is too small in the economic sense. It is indicated that the Chinese government should take account of the productivity growth of countries composing the currency basket in order to operate a currency basket regime.

On China’s Exchange Rate Flexibility and Stability: The More Flexible against the U.S. Dollar, the More Stable in Effective Terms

The Chinese authorities have often emphasized the importance of maintaining the renminbi＇s stable exchange rate without stating explicitly how this stability should be measured. This paper argues that the relevant concept for this stability should be in terms of the rnminbi＇s effective exchange rate, rather than its rate against any particular currency, such as the U. S. dollar. Under the current circumstances where key currencies＇ exchange rates fluctuate freely, if the authorities wish to maintain the stability of the renmnibi＇s effective exchange rate, they would want to let the renminbi＇s exchange rate fluctuate much more against the U. S. dollar than in the past because such fluctuations would greatly reduce the magnitude of the renminbi＇s fluctuations against other key currencies and thus its effective exchange rate. This point has been demonstrated by illustrative figures and by comparing the renminbi＇s hypothetical, greater exchange rate fluctuations with its actual fluctuations.

人民币参考一篮子货币机制的实证分析

本文研究2005年7月21日以来新人民币汇率制度的运行状况。回归结果初步表明,汇改后的10个月里,人民币似乎仍然钉住美元。Chow检验表明,自2006年2月起人民币汇率制度已发生结构性变化。子样本回归表明,人民币汇率制度已由钉住美元有序地过渡到参考一篮子货币。人民币汇率制度改革是一个动态的、循序渐进的过程,人民币灵活性不断加强。

人民币参考篮子货币的测定与实证分析

自2005年7月21日起,我国开始实行以市场供求为基础、参考一篮子货币进行调节、有管理的浮动汇率制度。那么,篮子货币的构成如何,已成为国际社会关注的焦点。文章借鉴东南亚发展中国家汇率制度的变迁经验,联系我国的实际情况,采用协整理论以及基于VAR的Granger因果关系检验方法,构造了一种参考货币篮子。建议以美元(USD)、日元(JPY)、欧元(EUR)、港元(HKD)、韩元(KRW)、台湾元(TWD)、英镑(GBP)和澳元(AUD)等8种货币为篮子货币。实证结果显示:篮子货币汇率均为人民币实际有效汇率的Granger原因,它们与人民币实际有效汇率之间存在长期的协整关系。人民币汇率转向参考一篮子货币汇率较单一钉住美元具有很好的弹性。文章还针对稳定贸易为目标的政策选择,计算了篮子货币的最优权重。最后,基于我国的实际汇率数据,构建了人民币参考一篮子汇率模型,分析了参考一篮子汇率制的制度优势。

财政政策与货币政策对国民收入的影响分析

财政政策和货币政策同属政府干预宏观经济最重要、使用最频繁的两大工具,可依宏观经济调控要求进行合理搭配。本文在人民币一篮子货币汇率制度框架下,用修正的M-F模型深入分析我国财政与货币政策对国民经济的综合影响,最后提出相关政策建议。

人民币汇率制度与人民币国际化

本币的国际化不一定与汇率制度的类型有关。本币价值的稳定性和可测性是提高本币需求强度的重要属性之一。本文分析了2005年汇改后人民币汇率制度的主要特征和缺陷。提出在人民币汇率市场化的进程中,人民币汇率需要以新的方式保持稳定,以便为微观经济主体提供更稳定的预期。未来的人民币汇率制度应更好地反映国际收支变化和外汇市场变化,促进人民币汇率对关键货币的综合稳定。目前需要改善外汇市场条件,创造人民币双向波动的条件,这对促进人民币的境外使用和人民币国际化有重要意义。

我国境内银行货币错配比较研究——基于人民币汇率变化不确定性视角

汇率改革后人民币不再'盯住'美元,实行有管理的浮动,使得直接或间接充当'外汇保险公司'角色的金融当局货币错配风险暴露。本文构建时变参数马尔科夫区制转移异方差模型考察汇率变化的不确定性,并根据冲击来源将其分解,实证结果表明,汇改后汇率变化不确定性显著增加,源于外来冲击的不确定性占绝对比重。进一步对我国境内三类银行(人民银行、中资银行和外资银行)货币错配进行比较研究,发现汇率变化不确定性对银行货币错配的冲击作用具有非对称性,在低区制状态不确定性对银行货币错配影响更为显著,并且不同冲击来源的不确定性对不同类银行货币错配的作用机制差别较大。

外汇市场压力问题的研究综述

本文从外汇市场压力的测度、外汇市场压力与货币政策、外汇市场压力与货币危机的识别与测度以及外汇市场压力与汇率制度四个方面总结了国外研究者对此的最新研究成果,从中我们发现外汇市场压力对于一国经济有着重要的影响,特别是在当前通胀预期下,外汇市场压力与我国资产价格波动和货币政策之间的相互作用过程值得我们去进一步研究。

人民币是否已经成为东亚地区的锚货币?

对日度和月度数据的实证分析都表明,2005年7月至2008年8月,人民币已经成为林吉特和新加坡元的锚货币。对日度数据的实证分析发现,2010年6月至2014年9月,人民币的锚货币地位有所提升,印尼盾、林吉特、新加坡元和泰铢的货币篮子中都检测到人民币的存在;而对月度数据的实证分析表明,人民币没有充当东亚地区的锚货币,东亚经济体汇率制度弹性在增大。除此之外,研究还发现,美元在东亚地区的锚货币地位有所下降。中国应充分考虑东亚汇率制度的变化,积极采取措施降低美元对人民币的影响,提高人民币汇率制度弹性。

人民币钉住一篮子货币的最优权重——理论模型与经验估计

人民币汇率制度直接影响着我国的对外贸易,因此,它一直是国内外实务界和研究者关注的重心。而以维持贸易项目平衡为政策目标构建人民币钉住一篮子货币的最优权重模型,可得到如下结论:(1)货币篮中各货币的最优权重取决于我国与各贸易伙伴的进、出口额以及我国与相应贸易伙伴的进、出口弹性共四个变量;(2)在选定样本期内,各种货币的最优权重由高到低依次是港币、美元、加拿大元、欧元、日元等;(3)在确定人民币钉住一篮子货币的最优权重时,除考虑我国与各经济体的贸易比重外,还应充分考虑我国对各经济体的进出口弹性。

新汇改以来人民币汇率参考一篮子货币权重的估计及经验验证

本文首先构建人民币对美元汇率指数和篮子货币汇率指数,根据人民币对美元汇率指数和篮子货币相关性指数最大化可以确定篮子货币的权重和数量,并对新汇改后篮子货币的权重和数量进行测度。我们的研究发现:在参考一篮子货币中,美元的权重最高,英镑的权重最小,但是其他货币权重都占有一定比例,我们的货币篮子和央行的货币篮子线性相关性较高。根据每一种货币的权重大小,我们可以计算出篮子中每一种货币的数量。根据最优货币权重,我们发现人民币对美元汇率和篮子货币之间存在长期协整关系,误差修正模型显示人民币汇率参考篮子货币调整的短期弹性和长期弹性比较接近,说明人民币汇率参考篮子货币调整相对比较稳定。本文检验了模型的预测效果,模型拟合度较高,说明我们选取的货币篮子具有较好的代表性。

人民币有效汇率指数:基于净进口与净出口贸易伙伴货币篮子视角

笔者结合我国对外贸易的具体特点,将传统的人民币有效汇率指数货币篮子细分为净出口货币篮子与净进口货币篮子,从我国净进口贸易伙伴与净出口贸易伙伴视角测度了人民币有效汇率指数的变化情况,对人民币有效汇率指数体系做出了有效补充。在此基础上,笔者对我国长期贸易顺差现象进行了分析,认为人民币升值对改善我国与净出口伙伴国(地区)之间长期大量顺差状况的效果甚微。此外,通过净出口指数、净进口指数以及BIS人民币广义指数的对比分析,笔者发现三者相关性高的主要原因是中国贸易伙伴的货币均受到美元的影响。中国政府应继续推进人民币汇率机制的市场化改革,需要对一揽子货币中的非美元货币赋予更大权重。