货币局制度货币风险与市场预期——兼谈香港的实践  

Currency Risk and Market Expectation under Currency Board System——A Discussion of Hong Kong's Experience

作　　者：冯邦彦[1] 邹小山[1] 

机构地区：[1]暨南大学经济学院,广东广州510632

出　　处：《财经理论与实践》2004年第1期22-26,共5页The Theory and Practice of Finance and Economics

摘　　要：本文用利率升水和期限升水来衡量货币局制度下的货币风险。通过考察港币近年的走势 ,发现在危机时 ,港币的利率升水严重 ,利率升水表明市场有贬值预期。危机模型表明 ,市场对政府是否坚持货币局制度的预期将影响政府的损失函数 ,从而进一步影响政府的行为 ,货币局是一种信心制度。因此 ,政府可以采取措施 ,改变政府的损失函数 ,更好地坚持货币局制度。This paper uses interest rate premium and term premium to measure currency risk under currency board system. Through reviewing the recent trend of Hongkong dollar, We find that the currency premium is very large when there is a crisis, and currency premium shows a depreciation expectation. The crisis model shows that the market expectation whether government sticks to currency board system will effect the loss function of government, further affect the actions of governmnet. The currency board system is a confident system, so government can take measures to charge the loss function and stick to currency board system better.

关 键 词：货币局制度 货币风险 市场预期 香港 港币 利率 贬值预期 政府 信心制度 汇率制度 

分 类 号：F820.2[经济管理—财政学]