银点套利与银跨境流动:中国银本位1902-1932  

Silver-point Arbitrage and International Flows of Silver:The Chinese Silver Standard,1902-1933

作　　者：赵岩 董小琦[1,2,3] 赵留彦 ZHAO Yan;DONG Xiaoqi;ZHAO Liuyan(School of Software&Microelectronics,Peking University;Applied Math&Statistics,The State University of New York at Stony Brook;School of Economics,Peking University)

机构地区：[1]北京大学软件与微电子学院,北京102600 [2]纽约州立大学石溪分校,美国纽约NY11794 [3]北京大学经济学院,北京100871

出　　处：《金融研究》2023年第5期189-206,共18页Journal of Financial Research

基　　金：国家社科基金一般项目“汇率不确定性、短期资本流动与金融危机(20BJL120) ”的资助。

摘　　要：本文研究了近代中国银本位制度下外汇市场的运行效率以及国内外金融市场的整合程度。我们从近代上海和伦敦的报纸中手工收集了20世纪前期(1902—1932)外汇市场高频(日度)数据,并基于“银点套利”模型估计了上海和伦敦之间的银套利成本。结果显示,关于银点的估计值与当时两地之间的银贸易成本接近,且当出现银点背反情况时,银跨境流动的方向也与银点套利理论的预测一致。这些结果表明上海与国际市场之间存在有效的银套利机制,为国内外金融市场的高度整合提供了经验支持。不过,第一次世界大战期间以及战后初期,上海与伦敦之间银点的估计值大幅提高,表明中外金融联系受到了战争的严重干扰。In research on the international monetary system,prominence has been given to the international adjustment of gold standard countries between the 19th and 20th centuries.One of the main issues underlying this research theme is the relative efficiency of the gold standard and its role in moderating nominal exchange rates.Tests of its efficiency revolve around consideration of the gold-point arbitrage.Although the market exchange rate fluctuated due to supply and demand shocks in the currency market,its deviation from parity was generally constrained by the so-called gold points,which refer to the cost of cross-border shipments of gold.However,there is a relative paucity of research into the conditions of the silver standard.In the early 20th century,China was the only large country in the world adhering to the silver standard,and the operation of China's foreign exchange market is largely neglected in the literature.Silver was just another commodity in the international monetary system dominated by gold.As the price of silver in the world market was notoriously fickle,it is generally considered that the international adjustment mechanism between China and gold countries was equivalent to the floating exchange rate regime of fiat currencies.However,the Chinese silver standard shared some important characteristics with a fixed exchange rate system.Specifically,the exchange rate was determined by the world price of silver and would not adjust spontaneously according to China's international balance of payments.Thus,in adhering to the silver standard,China lost the buffer function provided by a free-floating exchange rate,which would otherwise insulate it from international shocks.Exchange rate fluctuations and corresponding cross-border silver arbitrage played an important role in determining China's base money supply and balance of payments.They also provided a valuable perspective for measuring the relative efficiency of China's silver standard and the degree of integration in its financial market.Despite political

关 键 词：银本位 银点套利 市场整合 

分 类 号：F832.9[经济管理—金融学] K25[历史地理—历史学]