新兴市场经济体的汇率制度选择、金融市场开放与宏观经济绩效
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摘要
由于新兴市场国家肩负着振兴当地经济和保持国内经济稳定的核心任务,因此其国内的政策和制度必然要向这两个经济目标倾斜,甚至围绕其展开。从历史上看,新兴市场经济体所采取的不同路径改革实践也伴随着迥异的宏观经济表现,因此,通过对已有文献的搜索和梳理,在金融开放的背景下,对新兴市场国家汇率制度选择与经济绩效进行研究具有理论创新性和现实指导意义。在金融开放不断深入的背景下,稳健而有效地完成由固定汇率向更具弹性汇率制度的转型,无疑是一个值得深入研究的重要命题,也是本文研究的基本出发点。
本文的篇章结构如下：引言部分指出了选题意义、文献综述、研究思路、结构安排与主要创新。第一章首先在理论和实证上,研究了对于不同经济群体,尤其是新兴市场而言,汇率制度选择和宏观经济绩效的关系。其中在做经济绩效分析时尤其注意区分和比较了“名义”和“事实”汇率制度变量的分歧。根据我们的回归结果,钉住汇率制度,特别是硬钉住汇率安排会对一国通胀起到一定抑制作用；而浮动汇率制度下各国的通胀水平普遍较高。汇率制度选择在抑制通货膨胀的效果上对于中国等新兴市场而言尤为明显。同时我们的回归显示,汇率制度选择对经济增长的影响并不明显。值得指出的是,经济基本面对一国的宏观经济绩效影响更为直接。
第二章主要在综合考虑汇率制度选择和金融市场开放交叉联系的基础之上,探查二者对经济波动的影响。本文应用NOEM模型,构建一个包含商品市场和金融市场整合成本的一般均衡模型,把汇率制度选择,金融市场开放,和宏观经济稳定性这三方面的问题放在同一个框架内进行分析,其中主要基于新兴市场的经济特征来进行参数设定和校正,在此基础上进行数值模拟,并以此为依据展开实证分析。结果显示,虽然金融开放的作用是间接的,同时也比较微弱,然而其在一定程度上可以熨平财政冲击带来的经济波动。对于财政层面的内部冲击,两极汇率制度在某种程度上起到了熨平经济波动的效果,而中间态汇率安排则对实际GDP的波动存在一定推波助澜的作用。
第三章里,作者以新兴市场为着眼点,综合金融市场开放、汇率制度选择和金融危机发生概率等几个问题进行综合考察。作者发现,无论是对全体样本还是新兴市场,良好的经济基本面和充足的外汇储备对于抑制一国金融危机的发生都具有重要意义；再次,对我们的样本而言,固定汇率制度更有可能避免金融危机的发生；最后,作者认为金融市场开放对于全体国家而言可能有效地分散风险,强化监管并抑制金融危机的发生。然而我们的研究指出：对于新兴市场国家,推动金融市场开放并不一定降低金融危机发生的概率。
正如前面所指出的,以上几章主要从静态角度考虑,对于汇率制度选择和金融市场开放对宏观经济的影响做出度量。在第四章,作者将不同的贸易战略与金融开放政策同传统的以及现代的汇率制度选择理论相结合,通过实证检验说明,对新兴市场而言,出口拉动程度越高的国家,越倾向于选择较为固定的汇率制度安排,从而保证本国出口的稳定和持续增长。
在厘清汇率政策选择的决定因素因素后,第五章转向了新兴市场的退出策略和货币政策转轨的政策实践。在总结退出时机的理论研究基础上,结合前文的主要结论深入分析了这一整体政策转型期中的主要难点和阶段性特征(外汇市场、爬行钉住控制以及名义锚的转型),并从实证上对影响—国汇率制度动态变化的经济变量进行了剖析。结合上述研究结果,比照某些新兴市场经济体的先行经验,我们提出了同时具备稳健性和可行性的渐进式改革的政策路径。
第六章对中国汇率制度改革和资本帐户开放的历史进行回顾。实证研究的结果表明,中国的汇率制度是遵循相应经济学理论的选择,并没有理由认为中国的汇率制度是政府干预的结果。对“广场协议”后的日本经济绩效和政策效果做了一个简要而清晰的回顾之后,本文认为,由于汇率存在易于“超调”的特性,因此在贸然升值之前,必须确定“合理”的汇率水平究竟是什么,而且在货币政策失效的情况下,这种“超调”究竟在多大程度上可控。
Taking growth and stability as kernel economic goals, emerging markets (EMEs) possess specific domestic policies and regulations as a goup. However, emerging markets with different developing paths have diversified economic performance. Thus, revealing the relationship between exchange rate regimes and economic performance under the context of financial openness, we can shed light on the China and other EMEs' revolution in exchange rate regime, say, the smoothly transformation from fixed exchange rate regimes to a more flexible one.
The dissertation is arranged as follows:Introduction explains the background, motif, methodology, structure and contributions of the study, and reviews the theritical and empirical evolution of studies on the exchange rate regimes and financial integration of different economies, especially the EMEs.
Noticing the difference in de jure and de facto classification systems, Chapter 1 gives out a theoretical framework and examines the performance of growth and inflation under different exchange rate regimes, for advanced economies, EMEs and developing countries respectively. According to our result, peg regimes, especially the hard pegs can significantly reduce inflation. Meanwhile, exchange rate regimes hardly impact the growth in our sample. The economic performance is more directly impacted by the macroeconomic fundamentals.
After concerning the interaction of ERRs (Exchange Rate Regimes) to growth and inflation, Chapter 2 provides a general equilibrium analysis framework, which includes the integration cost of intermediate, final goods and financial markets. Here we analyze the macroeconomic stability under different ERRs and financial openness. Parameters setting and calibration are conducted according to the character of EMEs, to carry out the numerical simulation in MATLAB. Combining the result of empirical regression, we find, although the impact is indirect and feeble, financial openness can release the volatility from fiscal shock. Bipolar exchange rate regimes can reduce the volatility from fiscal shock, while intermediate regime may enlarge it to some extent.
Chapter 3 expands the analysis of Chapter 1 and 2, and emphasizes the coordinated effect of financial openness, exchange rate regimes and the financial crisis. Binary response model was established and we find:firstly, for all the samples, particularly emerging markets, sound fundamentals and sufficient international reserve are significantly important to prevent the crisis; secondly, out results have to some extent supported the "Bipolar View", and fixed exchange rate regime is more likely to prevent the crisis in our sample; last but not the least, opening up in capital market may share risks, strengthen the financial sector and then reduce the probability of financial crisis, however, the relation is weak for EMEs.
Given the above study and character of emerging markets, Chapter 4 combines the trade and financial openness to the theory of exchange rate regime choice and trade. According to the empirical result, we find trade openness significantly influences the choice of ERRs for EMEs, and inflation is another factor these economies concern.
Chapter 5 turns to the exit strategy and monetary policy implement. Following the exit point theories, it points the major obstacles and periodical characters in the reform. Then it compares the alternative nominal anchor choices, and proposes a gradual reform path with feasibility and steadiness.
Chapter 6 focuses on the exchange rate regime modification and financial openness policy of China. Based on the theoretical framework and empirical result, we find the exchange rate regime of China is adapted following the corresponding economic theory, instead of government intervention. Reviewing the economic and policy performance of Japan after Plaza Accord, we think, before the deregulation on exchange rate and financial market, China should confirm what the "reasonable" exchange rate is, and to what extent the possible "overshooting" will be.
本文的篇章结构如下：引言部分指出了选题意义、文献综述、研究思路、结构安排与主要创新。第一章首先在理论和实证上,研究了对于不同经济群体,尤其是新兴市场而言,汇率制度选择和宏观经济绩效的关系。其中在做经济绩效分析时尤其注意区分和比较了“名义”和“事实”汇率制度变量的分歧。根据我们的回归结果,钉住汇率制度,特别是硬钉住汇率安排会对一国通胀起到一定抑制作用；而浮动汇率制度下各国的通胀水平普遍较高。汇率制度选择在抑制通货膨胀的效果上对于中国等新兴市场而言尤为明显。同时我们的回归显示,汇率制度选择对经济增长的影响并不明显。值得指出的是,经济基本面对一国的宏观经济绩效影响更为直接。
第二章主要在综合考虑汇率制度选择和金融市场开放交叉联系的基础之上,探查二者对经济波动的影响。本文应用NOEM模型,构建一个包含商品市场和金融市场整合成本的一般均衡模型,把汇率制度选择,金融市场开放,和宏观经济稳定性这三方面的问题放在同一个框架内进行分析,其中主要基于新兴市场的经济特征来进行参数设定和校正,在此基础上进行数值模拟,并以此为依据展开实证分析。结果显示,虽然金融开放的作用是间接的,同时也比较微弱,然而其在一定程度上可以熨平财政冲击带来的经济波动。对于财政层面的内部冲击,两极汇率制度在某种程度上起到了熨平经济波动的效果,而中间态汇率安排则对实际GDP的波动存在一定推波助澜的作用。
第三章里,作者以新兴市场为着眼点,综合金融市场开放、汇率制度选择和金融危机发生概率等几个问题进行综合考察。作者发现,无论是对全体样本还是新兴市场,良好的经济基本面和充足的外汇储备对于抑制一国金融危机的发生都具有重要意义；再次,对我们的样本而言,固定汇率制度更有可能避免金融危机的发生；最后,作者认为金融市场开放对于全体国家而言可能有效地分散风险,强化监管并抑制金融危机的发生。然而我们的研究指出：对于新兴市场国家,推动金融市场开放并不一定降低金融危机发生的概率。
正如前面所指出的,以上几章主要从静态角度考虑,对于汇率制度选择和金融市场开放对宏观经济的影响做出度量。在第四章,作者将不同的贸易战略与金融开放政策同传统的以及现代的汇率制度选择理论相结合,通过实证检验说明,对新兴市场而言,出口拉动程度越高的国家,越倾向于选择较为固定的汇率制度安排,从而保证本国出口的稳定和持续增长。
在厘清汇率政策选择的决定因素因素后,第五章转向了新兴市场的退出策略和货币政策转轨的政策实践。在总结退出时机的理论研究基础上,结合前文的主要结论深入分析了这一整体政策转型期中的主要难点和阶段性特征(外汇市场、爬行钉住控制以及名义锚的转型),并从实证上对影响—国汇率制度动态变化的经济变量进行了剖析。结合上述研究结果,比照某些新兴市场经济体的先行经验,我们提出了同时具备稳健性和可行性的渐进式改革的政策路径。
第六章对中国汇率制度改革和资本帐户开放的历史进行回顾。实证研究的结果表明,中国的汇率制度是遵循相应经济学理论的选择,并没有理由认为中国的汇率制度是政府干预的结果。对“广场协议”后的日本经济绩效和政策效果做了一个简要而清晰的回顾之后,本文认为,由于汇率存在易于“超调”的特性,因此在贸然升值之前,必须确定“合理”的汇率水平究竟是什么,而且在货币政策失效的情况下,这种“超调”究竟在多大程度上可控。
Taking growth and stability as kernel economic goals, emerging markets (EMEs) possess specific domestic policies and regulations as a goup. However, emerging markets with different developing paths have diversified economic performance. Thus, revealing the relationship between exchange rate regimes and economic performance under the context of financial openness, we can shed light on the China and other EMEs' revolution in exchange rate regime, say, the smoothly transformation from fixed exchange rate regimes to a more flexible one.
The dissertation is arranged as follows:Introduction explains the background, motif, methodology, structure and contributions of the study, and reviews the theritical and empirical evolution of studies on the exchange rate regimes and financial integration of different economies, especially the EMEs.
Noticing the difference in de jure and de facto classification systems, Chapter 1 gives out a theoretical framework and examines the performance of growth and inflation under different exchange rate regimes, for advanced economies, EMEs and developing countries respectively. According to our result, peg regimes, especially the hard pegs can significantly reduce inflation. Meanwhile, exchange rate regimes hardly impact the growth in our sample. The economic performance is more directly impacted by the macroeconomic fundamentals.
After concerning the interaction of ERRs (Exchange Rate Regimes) to growth and inflation, Chapter 2 provides a general equilibrium analysis framework, which includes the integration cost of intermediate, final goods and financial markets. Here we analyze the macroeconomic stability under different ERRs and financial openness. Parameters setting and calibration are conducted according to the character of EMEs, to carry out the numerical simulation in MATLAB. Combining the result of empirical regression, we find, although the impact is indirect and feeble, financial openness can release the volatility from fiscal shock. Bipolar exchange rate regimes can reduce the volatility from fiscal shock, while intermediate regime may enlarge it to some extent.
Chapter 3 expands the analysis of Chapter 1 and 2, and emphasizes the coordinated effect of financial openness, exchange rate regimes and the financial crisis. Binary response model was established and we find:firstly, for all the samples, particularly emerging markets, sound fundamentals and sufficient international reserve are significantly important to prevent the crisis; secondly, out results have to some extent supported the "Bipolar View", and fixed exchange rate regime is more likely to prevent the crisis in our sample; last but not the least, opening up in capital market may share risks, strengthen the financial sector and then reduce the probability of financial crisis, however, the relation is weak for EMEs.
Given the above study and character of emerging markets, Chapter 4 combines the trade and financial openness to the theory of exchange rate regime choice and trade. According to the empirical result, we find trade openness significantly influences the choice of ERRs for EMEs, and inflation is another factor these economies concern.
Chapter 5 turns to the exit strategy and monetary policy implement. Following the exit point theories, it points the major obstacles and periodical characters in the reform. Then it compares the alternative nominal anchor choices, and proposes a gradual reform path with feasibility and steadiness.
Chapter 6 focuses on the exchange rate regime modification and financial openness policy of China. Based on the theoretical framework and empirical result, we find the exchange rate regime of China is adapted following the corresponding economic theory, instead of government intervention. Reviewing the economic and policy performance of Japan after Plaza Accord, we think, before the deregulation on exchange rate and financial market, China should confirm what the "reasonable" exchange rate is, and to what extent the possible "overshooting" will be.
引文
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1两次金融全球化浪潮的定义和评述可参考Bordo. Taylor and Williamson (2003):Obstfeld and Taylor (2004)。
①事实上这也正是大量进行汇率体制绩效研究的文献所容易忽视和混淆的问题。很多研究往往是将汇率制度分类体系孤立进行研究,或者是混合货币当局主体与汇率制度为一个对象。从而导致了分类体系的莫衷一是和相应的绩效研究的巨大分歧。Schuler (2005)曾指出了这一问题。
①前者认为,政府可能会采用固定汇率制度作为名义锚(Nominal Anchor)向国民表明控制通货膨胀的决心;后者则指出,货币美元化的经济体,汇率制度安排很大程度上由国际收支决定。
①A. Husain. A. Mody and K. Rogoff (2004)通过事实汇率分类体系的分析对此给出了坚实的证据。
属性不符
①Ghosh,Gulde,and Wolf(2003)给出了一个对IMF过去名义分类的详细说明,并且提供了历史数据。
②Edwards and Savastano(1999)最早指出了这种偏差的存在。
③实际上汇率的稳定可能并不是政策干涉造成的,因此不应单纯因为汇率稳定即认定是政府操控的结果。
①因此使用R-R数据库进行短期的逐年数据经验分析可能会存在偏颇。
②两极论的代表性观点,如Eichengreen(1994):“(新兴市场)将会被迫在完全浮动和货币统一问二者取一”；Obstfeld and Rogoff(1995):“对于开放资本市场的经济体来说,在浮动和共同货币之间几乎不存在舒适的中间地带。”
①相关分析可以参考Bubula and Otker-Robe (2002), Levy-Yeyati and Sturzenegger (2003)和Francisco and Bleaney (2003)。
②最近几年来的研究结果在这一问题上存在着莫衷一是的现象,具体原因见下义。随后第一章里,本文将对这一论断进行检验。
①沈红兵(2003)指出,原罪论至多只是提供了对现实世界可能的局部解释,可能无法解释在这局部之外的汇率制度的选择。
①但“纪律效应”并不显著,也就是说单纯的固定汇率并没有起到约束发展中国家财政政策从而控制货币供应量的作用。
①如Henry (2000a,2000b)和Stulz (1999)。
②如Borensztein et al. (1998), Grossman and Helpman (1991)。
③参见Levine (2001)。
④分别见Gourinchas and Jeanne (2006)和Bartolini and Drazen (1997)。
①主动退出是指货币在没有收到贬值的投机压力下退出,退出后没有出现大的经济动荡、货币超贬和金融危机；被动退出是指一国货币受到投机压力后,央行干预储备耗尽,被迫退出(如97年的泰国),推出后货币超贬、经济严重下滑,出现金融危机,甚至社会动乱(郑红,2004)。
①此后Bleaney and Francisco (2003)等学者在理论上证明,通胀和汇率制度选择存在着双向作用的关系：钉住汇率制度下通胀水平更低,但是存在高通胀的国家更倾向于选择更为浮动的汇率安排。
①作者在诺丁汉大学进行博士生联合培养学习时,在汇率制度数据搜集和整理方面曾得到了Bleaney教授及其博士生田墨的大力帮助,在此表示由衷感谢。
②学者们通常把40%看做是恶性通货膨胀的临界值(Levy-Yeyati and Sturzenegger,2001,2003), (Bleaney and Francisco,2007),本文沿用上述参照标准。
①其他宏观经济变量依据相关文献选取,包括货币供给增长率、实际GDP增长率、贸易依存度(贸易总量/GDP规模)、贸易条件(出口价格指数／进口价格指数)增长率、实际利率和政府收支余额(占GDP百分比)等。数据来自WDI数据库,对虚拟变量以外的宏观经济数据,作者在回归中均取其对数形式。
②本文考察时期内,发达国家群组的汇率制度选择相对固定。受数据性质所限,我们无法在固定效应面板回归下得到精确结果,特此说明。
①正如前言里所指出,对于这个问题作者在第一章里进行了系统的检验。
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1两次金融全球化浪潮的定义和评述可参考Bordo. Taylor and Williamson (2003):Obstfeld and Taylor (2004)。
①事实上这也正是大量进行汇率体制绩效研究的文献所容易忽视和混淆的问题。很多研究往往是将汇率制度分类体系孤立进行研究,或者是混合货币当局主体与汇率制度为一个对象。从而导致了分类体系的莫衷一是和相应的绩效研究的巨大分歧。Schuler (2005)曾指出了这一问题。
①前者认为,政府可能会采用固定汇率制度作为名义锚(Nominal Anchor)向国民表明控制通货膨胀的决心;后者则指出,货币美元化的经济体,汇率制度安排很大程度上由国际收支决定。
①A. Husain. A. Mody and K. Rogoff (2004)通过事实汇率分类体系的分析对此给出了坚实的证据。
属性不符
①Ghosh,Gulde,and Wolf(2003)给出了一个对IMF过去名义分类的详细说明,并且提供了历史数据。
②Edwards and Savastano(1999)最早指出了这种偏差的存在。
③实际上汇率的稳定可能并不是政策干涉造成的,因此不应单纯因为汇率稳定即认定是政府操控的结果。
①因此使用R-R数据库进行短期的逐年数据经验分析可能会存在偏颇。
②两极论的代表性观点,如Eichengreen(1994):“(新兴市场)将会被迫在完全浮动和货币统一问二者取一”；Obstfeld and Rogoff(1995):“对于开放资本市场的经济体来说,在浮动和共同货币之间几乎不存在舒适的中间地带。”
①相关分析可以参考Bubula and Otker-Robe (2002), Levy-Yeyati and Sturzenegger (2003)和Francisco and Bleaney (2003)。
②最近几年来的研究结果在这一问题上存在着莫衷一是的现象,具体原因见下义。随后第一章里,本文将对这一论断进行检验。
①沈红兵(2003)指出,原罪论至多只是提供了对现实世界可能的局部解释,可能无法解释在这局部之外的汇率制度的选择。
①但“纪律效应”并不显著,也就是说单纯的固定汇率并没有起到约束发展中国家财政政策从而控制货币供应量的作用。
①如Henry (2000a,2000b)和Stulz (1999)。
②如Borensztein et al. (1998), Grossman and Helpman (1991)。
③参见Levine (2001)。
④分别见Gourinchas and Jeanne (2006)和Bartolini and Drazen (1997)。
①主动退出是指货币在没有收到贬值的投机压力下退出,退出后没有出现大的经济动荡、货币超贬和金融危机；被动退出是指一国货币受到投机压力后,央行干预储备耗尽,被迫退出(如97年的泰国),推出后货币超贬、经济严重下滑,出现金融危机,甚至社会动乱(郑红,2004)。
①此后Bleaney and Francisco (2003)等学者在理论上证明,通胀和汇率制度选择存在着双向作用的关系：钉住汇率制度下通胀水平更低,但是存在高通胀的国家更倾向于选择更为浮动的汇率安排。
①作者在诺丁汉大学进行博士生联合培养学习时,在汇率制度数据搜集和整理方面曾得到了Bleaney教授及其博士生田墨的大力帮助,在此表示由衷感谢。
②学者们通常把40%看做是恶性通货膨胀的临界值(Levy-Yeyati and Sturzenegger,2001,2003), (Bleaney and Francisco,2007),本文沿用上述参照标准。
①其他宏观经济变量依据相关文献选取,包括货币供给增长率、实际GDP增长率、贸易依存度(贸易总量/GDP规模)、贸易条件(出口价格指数／进口价格指数)增长率、实际利率和政府收支余额(占GDP百分比)等。数据来自WDI数据库,对虚拟变量以外的宏观经济数据,作者在回归中均取其对数形式。
②本文考察时期内,发达国家群组的汇率制度选择相对固定。受数据性质所限,我们无法在固定效应面板回归下得到精确结果,特此说明。
①正如前言里所指出,对于这个问题作者在第一章里进行了系统的检验。