货币错配与汇率制度选择

【作者】 羌建新；

【导师】 孙杰；

【作者基本信息】 中国社会科学院研究生院 ， 世界经济， 2012， 博士

【摘要】 作为新兴市场国家普遍存在的一种经济金融现象，货币错配的风险往往与汇率的调整、变动交织在一起，而汇率的调整、变动方式又与汇率制度息息相关。因此，在金融全球化和资本大规模跨境流动的条件下，货币错配的存在使得新兴市场国家在汇率制度选择的问题上变得更加困难、复杂。一方面，20世纪90年代以来，新兴市场国家货币错配状况的发展变化呈现出错综复杂的局面，负债型货币错配、资产型货币错配同时并存、交织转化。另一方面，伴随着货币错配状况的发展变化，20世纪90年代以来，多数新兴市场国家汇率制度的弹性尽管有了明显提高，但是它们的汇率制度仍然保持着较多的干预色彩，表现出较为明显的“害怕浮动”特征。新兴市场国家的货币错配与汇率制度弹性之间存在着非单调的关系，二者之间的关系呈现出明显的倒U型变化轨迹。本文利用主流经济学分析方法，从货币错配的视角来探讨新兴市场国家的汇率制度选择问题：在统一、兼容的分析框架下，同时探讨了负债型货币错配、资产型货币错配与新兴市场国家汇率制度选择之间的关系。本文所要回答的核心问题是：首先，货币错配状况为什么会成为新兴市场国家汇率制度选择的重要约束？其次，在货币错配条件下，新兴市场国家将做出怎样的汇率制度选择？本文利用一个小型开放经济模型，分析了为什么货币错配会对新兴市场国家的汇率制度选择构成重要的制约？我们发现，当经济处于一个适度的货币错配水平时，产出对汇率的变动不敏感；当经济中的货币错配状况偏离适度的货币错配水平的幅度较小时，汇率变动引起产出的变动幅度较小；而当经济中的货币错配状况严重偏离适度的货币错配水平时，汇率变动会引起产出的大幅变动。这意味着，产出对汇率的变动敏感程度取决于经济的货币错配状况。由此，货币错配状况——无论负债型货币错配还是资产型货币错配——构成了新兴市场国家汇率制度选择的重要约束。在此基础上，本文通过一个具有微观基础的小型开放经济模型，进一步探讨了货币错配与新兴市场国家汇率制度最优选择之间的关系——新兴市场国家在不同的货币错配条件下将做出怎样的汇率制度选择？我们的分析表明，在理性预期的条件下，新兴市场国家的汇率制度选择依赖于经济中初始的汇率制度安排与货币错配程度。如果经济正在实行浮动汇率制度并且具有与之相适应的货币错配水平，浮动汇率制度是一种均衡的汇率制度。在这种情况下，浮动汇率制度的选择具有路径依赖性，政策当局将会选择继续实行浮动汇率制度。另一方面，如果经济正在实行固定汇率制度同时存在程度严重的货币错配——无论负债型货币错配还是资产型货币错配，固定汇率制度是一种均衡的汇率制度。在这种情况下，固定汇率制度的选择具有路径依赖性，政策当局将会选择继续实行固定汇率制度。反之，如果经济正在实行固定汇率制度同时具有程度较轻的货币错配，固定汇率制度不再是一种均衡的汇率制度。在这种情况下，政策当局将从固定汇率制度会转向浮动汇率制度。同时，我们的分析表明，如果弹性汇率制度与固定汇率制度都是均衡的政策制度，弹性汇率制度能够产生更高的期望福利。因此，在初始的固定汇率制度和程度严重的货币错配条件下，如果决策当局通过某些政策措施对资产组合直接进行规制，以引导代理人持有与浮动汇率制度相容的资产组合，进而降低货币错配程度，从而使得弹性汇率制度成为事后最优的政策制度，那么，政策当局将会从固定汇率制度会转向浮动汇率制度，从而提高经济的福利水平。在前面分析的基础上，我们进一步探讨了21世纪以来东亚新兴市场国家货币错配与汇率制度选择的新特点。进入21世纪以来，多数东亚新兴市场国家实现了从债务型货币错配到资产型货币错配的转变；与此同时，东亚新兴市场国家的汇率制度安排呈现出“反向害怕浮动”或者“害怕升值”的特征。东亚新兴市场国家汇率制度安排的这一特点实际上是对“高储蓄两难”情况下资产型货币错配的内生反应，这种汇率制度选择的背后仍然孕育着极大的风险。从长远来看，对于东亚新兴市场国家而言，实行弹性汇率制度有助于缓解货币错配的风险，而且能够带来更高的福利。为此，东亚新兴市场国家应首先采取措施来降低货币错配程度，创造从从钉住汇率制度向弹性汇率制度转化的必要条件。更多还原

【Abstract】 The risk of currency mismatch, as a type of economic and financial feature universallyexisting in emerging market economies, is typically intermingled with the adjustment andvariation of the exchange rate, which is usually closely associated with the exchange rate regime.For this reason, in the circumstance of financial globalization and mass cross-border flows ofcapital, the currency mismatch makes the emerging market economies met with more difficult andcomplicated problems concerning the choice of the exchange rate regimes.On the one hand, since1990s, the emerging market economies have been undergoingintricate and complex evolution and changes of the currency mismatch, with intertwinedcoexistence and mutual conversion of two types—liability-based currency mismatch andasset-based currency mismatch. On the other hand, since1990s, with the evolving conditions ofcurrency mismatch, notwithstanding the remarkable improvement of the elasticity of the exchangerate regimes in most emerging market economies, their exchange rate regimes remain featured byintervention to a larger extent, taking on obvious fear of floating. And there exists thenon-monotonic relationship between the currency mismatch and the exchange rate regimeflexibility in emerging market economies, which shows a trend of inverted U-shape changes.This paper will focus on the discussion about the exchange-rate regime choice of theemerging market economies from the perspective of the currency mismatch mainly via themainstream macro-economics analysis methods as well as the exploration of the relationshipbetween liability-based currency mismatch, asset-based currency mismatch and the exchange-rateregime choice of the emerging market economies. The core questions to be answered in this textare: First, why can the conditions emerge as the significant restraint of the exchange-rate regimechoice of the emerging market economies? Second, how will these emerging market economiesmake choices of the exchange-rate regime in the context of the currency mismatch?In this paper, a simple model of small open economy is used for the analysis of the reasonwhy the currency mismatch will form the significant restraint on the exchange-rate regime choiceof the emerging market economies. It is discovered that, the output will not be sensitive to theexchange rate variations when the economy is at a moderate currency mismatch level, and theexchange rate variations will cause slight and substantial changes in the output on the occasions of modest and great deviation of the currency mismatch conditions from this moderate mismatchlevel respectively. This means that the sensitivity of the output to the exchange rate variationdepends on the conditions of the currency mismatch in the economy. It follows that the conditionsof the currency mismatch—either liability-based currency mismatch or asset-based currencymismatch, constitutes the significant restraint on the choices of the exchange rate regimes of theemerging market economies.On this basis, this paper also presents a further discussion about the relationship between thecurrency mismatch and the optimum choices of the exchange rate regimes of the emerging marketeconomies by virtue of a model of small open economy with micro basis to the effect what choicesof the exchange rate regimes are made in the context of diverse currency mismatch conditions.And it is indicated in this analysis that, on the prerequisite of rational expectations, the choice ofthe exchange rate regimes of the emerging market economies depends on the choice of originalexchange rate regime and the degree of the currency mismatch in the economy.If the floating exchange rate regime is being implemented in the economy and is featured byits suitable mismatch level, then such exchange rate regime is a balanced one. Such being the case,the choice of the floating exchange rate has the path dependence and the decision makers willcontinue to implement such exchange rate.On the other hand, if the fixed exchange rate regime is being implemented in the economyand is featured by a type of mismatch to a larger extent, then such exchange rate regime, be itliability-based currency mismatch or asset-based currency mismatch, is a balanced one. In thiscase, the choice of the fixed exchange rate has the path dependence and the decision makers willcontinue to implement this exchange rate. On the contrary, if the fixed exchange rate regime isbeing implemented in the economy and is featured by a type of mismatch to a lower degree, thensuch exchange rate regime remains not a balanced one, in which case the decision makers willshift from the fixed exchange rate regime to the floating exchange rate regime.Meanwhile, it is also indicated in this analysis that if the floating exchange rate regime andthe fixed exchange regime are balanced ones, the former can bring higher expected welfare.Therefore, in the context of the original fixed exchange rate regime and serious currency mismatch,if the decision makers conduct direct regulations on the asset portfolio through some policies andmeasures in order to guide the agent-held asset portfolio compatible with the floating exchangerate and lower the degree of the currency mismatch with a view to making the flexible exchange rate regime the optimum policy and regime, the decision makers will shift from the fixedexchange rate regime to the floating exchange rate regime to improve the welfare level of theeconomy.Based on the above analysis, we has further discussed the new features taking on in thecurrency mismatch and the choice of the exchange rate regimes of the emerging market economiesin East Asia since the new millennium. And since the21stcentury, the conversion from theliability-based currency mismatch to the asset-based currency mismatch has been seen in most ofthe emerging market economies in East Asia; simultaneously, the features such as “fear of floatingin reverse” or “fear of appreciation” have also taken on in the exchange rate regimes of theemerging market economies in East Asia. This feature shown in the exchange rate regimearrangements of the emerging market economies in East Asia, as a matter of fact, is an endogenousreflection of the asset-based currency mismatch under the circumstance of conflicted venture. Andsuch an exchange rate regime choice is still carrying potential great risks.Concerning the emerging market economies in East Asia, in the long run, the implementationof the flexible exchange rate regime cannot only facilitate the reduction of the risks from thecurrency mismatch but also bring higher welfare. To this end, it is required that the emergingmarket economies in East Asia give priority to the measures taken to lower the degree of thecurrency mismatch and create the prerequisites for the transformation of the pegged exchange rateregime into the flexible one.更多还原