In this article, we explore the determinants of foreign exchange market intervention by the People's Bank of China as well as RMB real exchange rate. Mmonthly data from July 2005 to October 2010 are used. In the foreign exchange market intervention, operating variables and economic variables are studied separately. For the economic variables, we find that economic leading index of China is an important factor to determine whether to intervene or not. In addition, we find that producer price index is better than consumer price index to explain intervention in foreign exchange market. Economic leading index of U.S. is also important to determine the intervention. For the operating variables, we find that intervention by the People's Bank of China has the characteristics of leaning against the wind and deferred intervention. Foreign capital inflows are also the important determinant of the intervention. As for the determinants of RMB real exchange rate, we find that the China-U.S. interest rate differentials and China's business cycles relative to the U.S. are the main factors to determine the RMB real exchange rate. Also, the RMB tends to move with the Euro's in the same direction.

La crise financière de 2008-2009 a conduit à reconsidérer la relation entre politique monétaire et stabilité financière, soulignant la nécessité pour les banques centrales d’être plus attentives aux risques financiers. Cette crise a également mis en évidence les limites du cadre de régulation (micro)prudentielle existant, renforçant ainsi l’importance d’une approche macroprudentielle visant à contenir le risque systémique. La présente thèse s’articule autour de ces questions. L’objectif est d’analyser dans quelle mesure un cadre de politique monétaire avec pour objectif principal la stabilité des prix (tel le ciblage d’inflation), pourrait accentuer le risque d’instabilité financière. Il s’agit en outre de souligner et discuter le rôle que peuvent jouer les politiques monétaire et macroprudentielle pour assurer et renforcer la stabilité du secteur financier (Chapitre I). Les résultats de l’analyse suggèrent que les banques centrales cibleuses d’inflation ont été mieux à même de contenir les conséquences de la récente crise financière (Chapitre II). Cependant, il semble que le risque d’instabilité financière soit plus fort au sein des pays émergents cibleurs d’inflation (comparé aux non-cibleurs), malgré les réponses des banques centrales aux déséquilibres financiers (Chapitre III). Ceci remet en cause l’efficacité de la stratégie du leaning against the wind. Nos conclusions montrent que cette stratégie génère un conflit d’objectif entre stabilité macroéconomique et stabilité financière. La mise en place d’un cadre macroprudentiel efficace, associé à une politique monétaire plus sensible aux risques financiers, permettrait de garantir un environnement économique globalement plus stable (Chapitre IV). Par ailleurs, il apparait que les pays émergents cibleurs d’inflation s’appuient sur le contrôle du taux de change pour faire face à la forte vulnérabilité de leur système financier aux chocs externes; ceci en dépit de l’exigence de flexibilité du change que requiert cette stratégie de politique monétaire (Chapitre V). / The 2008/2009 global financial crisis has revived the debate on the concern for financial stability in themonetary policy-making, stressing the need to reconsider the role of central banks in ensuring financialstability. The crisis has also pointed some flaws in the existing (micro) prudential regulation and therelevance to move toward a broader regulatory framework aiming to prevent systemic risk. This thesis isbuilt upon these issues. It investigates the extent to which financial stability may be of particular concernin a context where the main monetary policy objective is inflation stabilization (typically, in an inflationtargeting regime –IT–). It further assesses how the macroprudential framework and monetary policy canbe articulated to ensure the best outcome in terms of macroeconomic and financial stability (Chapter I).The conclusions derived from this work suggest that, faced with the recent global financial turmoil,inflation targeting central banks have been more able to mitigate the shock, certainly thanks to higherpolicy credibility (Chapter II). However, we evidence that IT countries (especially in EMEs) are morefinancially vulnerable than their non-IT counterparts, despite central banks’ response to financial risks(Chapter III). Following the latter conclusion, we investigate more closely the effectiveness of the leaningagainst the wind strategy. We show that such a policy response generates trade-offs between thefinancial and macroeconomic stability objectives of the monetary authorities. The best stabilizationoutcome is achieved when an effective macroprudential framework is implemented, combined withhigher central bank’s concern with financial risks (Chapter IV). Furthermore, we show that in EMEsITers, foreign exchange interventions are used to mitigate their financial vulnerability to external shocks,although the IT regime requires a fully floating exchange rate regime (Chapter V).

This survey systematizes the rapidly growing literature on the influence of monetary policy and macroprudential policy on the macroeconomy. It examines the impact of monetary policy on the financial cycle and asks how macroprudential instruments influence the efficiency of monetary policy. The questions of whether monetary policy should take account of the financial cycle and lean against the wind is also addressed. The literature review shows that monetary policy is not neutral for financial stability, but should not take into account the financial cycle because the costs probably outweigh the benefits.

La conduite des politiques économiques a été mise en question après le déclenchement de la crise financière en 2007. Cette thèse analyse les faiblesses identifiées dans la réglementation existante avant la crise et propose des pistes d’amélioration. Le premier chapitre s’intéresse à l’existence du canal de la prise de risque en zone euro. Parle biais des mesures de causalité de long terme, nous démontrons que la politique monétaire a une influence sur le niveau de risque financier. Un autre constat tiré de cette analyse concerne l’absence des mesures de risque systémique.Par conséquent, le deuxième chapitre étudie les mesures proposées après la crise pour les institutions financières et les applique aux États membres de la zone euro. A l’aide de ces mesures, les autorités pourront imposer des règles plus strictes aux pays les plus risqués d’un point de vue systémique. Le chapitre trois envisage une première solution visant à atténuer l’effet des décisions monétaires sur le risque. Nous étudions, à travers un modèle DSGE, l’impact de la stratégie de “leaning against the wind” sur les cycles économiques et financiers. Les résultats montrent qu’unetelle approche n’est pas suffisante pour stabiliser l’économie et que des arbitrages entre objectifs apparaissent. Pour cette raison, le dernier chapitre porte plus en détail sur les arbitrages entre objectifs, et propose, comme une deuxième solution, l’intégration des mesures macroprudentielles dans l’analyse. En utilisant un modèle Néo-Keynésien sous forme réduite, nous trouvons que les fonds propres contracycliques aident à réduire la volatilité des cycles, mais que les trade-offs demeurent en cas de chocs financiers. Le rôle de la banque centrale dans le maintien de la stabilité financière s’avère aussi important, puisque l’utilisation du leaning against the wind semble améliorer la volatilité des cycles. / The conduct of economic policy has been called into question after the outbreak of the financial crisis in2007. This thesis analyzes the flaws identified in the regulation enforced before the crisis and offers suggestionsfor improvement. The first chapter focuses on the existence of the risk-taking channel in the Eurozone. Throughmeasures of long-term causality, we demonstrate that monetary policy influences the level of financial risk. Anotherconclusion drawn from this analysis is the absence of systemic risk measures. Therefore, the second chapter analyzesthe measures proposed after the crisis for financial institutions and applies them to members of the Eurozone. Basedon these measures, authorities may impose stricter rules on countries that prove to be systemically risky. Chapterthree considers a first solution to mitigate the effect of monetary policy decisions on risk. We study, through a DSGEmodel, the impact of the "leaning against the wind" strategy on economic and financial cycles. The results show thatthis approach is not sufficient to stabilize the economy and that it gives rise to trade-offs between objectives. For thisreason, the last chapter examines in more detail the trade-offs between objectives, and proposes as second solution,the integration of macroprudential measures in the analysis. Using a reduced form New-Keynesian model, we find thatcountercyclical capital helps to reduce the volatility of cycles, but trade-offs appear in case of financial shocks. Therole of the central bank in maintaining financial stability seems also important, as the use of leaning against the windimproves cycles’ volatility.

The treatment of owner-occupied housing (OOH) is probably the most important unresolved issue in inflation measurement. How -- and whether -- it is included in the Consumer Price Index (CPI) affects inflation expectations, the measured level of real interest rates, and the behavior of governments, central banks and market participants. We show that none of the existing treatments of OOH are fit for purpose. Hence we propose a new simplified user cost method with better properties. Using a micro-level dataset, we then compare the empirical behavior of eight different treatments of OOH. Our preferred user cost approach pushes up the CPI during housing booms (by 2 percentage points or more). Our findings relate to the following important debates in macroeconomics: the behavior of the Phillips curve in the US during the global financial crisis, and the response of monetary policy to housing booms, secular stagnation, and globalization. / Series: Department of Economics Working Paper Series

【第一篇論文中文摘要】 本文使用路透社央行干預匯市的新聞報導，探討哪些因素可以提高亞洲央行成功干預匯市的機率，研究期間為2005年1月至2011年4月。此研究期間涵蓋全球金融風暴和美國採行量化寬鬆政策，因此，亞洲貨幣在逐步對美元升值後發生大幅度的貶值。研究結果顯示印尼、馬來西亞、菲律賓、新加坡、台灣及泰國的央行採取逆風而行的策略是有效的干預方式，而且多個國家在同日干預匯市及第一日的干預會有較高成功的機率。 【第二篇論文中文摘要】 本文透過不同的研究方法針對亞洲國家央行干預匯率市場的有效性再次驗證，研究期間為2005年1月至2011年4月，實證結果顯示亞洲國家在次貸風暴期間面臨美元升值的壓力，央行會採取賣美元的方式來干預匯市，但是這種干預匯市的方式卻僅能減緩美元升值的趨勢，其中以印尼盾、新加坡元、新台幣紛紛對美元貶值較為明顯，而在次貸風暴發生之後，美國實施量化寬鬆政策造成亞洲國家卻面臨美元貶值的壓力，各國央行改採買美元的方式來干預匯市，但是此種干預匯市的方式也只造成美元緩慢貶值的趨勢，其中印尼盾、馬來西亞令吉、新加坡元、韓圜、泰銖分別對美元升值的趨勢較為明顯，此現象反應亞洲央行干預匯市是採取逆風而行的策略，雖然能降低匯率的波動，但無法改變匯率的升貶值趨勢。 【第三篇論文中文摘要】 本研究是在探討印度、印尼、南韓、馬來西亞、新加坡、泰國及台灣央行透過干預匯率市場，對其國家的公司在美國發行存託憑證折溢價的影響，研究期間為2005年1月至2011年4月。研究結果顯示央行對匯市干預造成的變動，確實會影響到該國公司在美國發行的存託憑證產生折價的情形。另外，亞洲央行使用買美元干預匯市的作法會對該國公司在美國發行的存託憑證產生溢價，而央行透過賣美元干預匯市的作法會對該國公司在美國發行的存託憑證產生折價的影響，但是由於樣本資料的限制，其效果在統計上並不顯著。由公司層面的分析可以看出央行透過賣美元來干預匯市對其國家的公司在美國發行的存託憑證會有明顯產生折價的影響。 / 【第一篇論文英文摘要】 Using Reuters’ news reports on central bank interventions, we investigate the factors that increase the odds of intervention success by Asian central banks in the foreign exchange market from January 2005 to April 2011. This period coincides with the global credit crisis and quantitative easing policy, which have engendered a sharp depreciation followed by a gradual appreciation of Asian currencies. The results show that leaning-against-the-wind intervention strategies are effective in Indonesia, Malaysia, Philippines, Singapore, Taiwan, and Thailand. We also find that joint and first day interventions are associated with higher odds of effective intervention. 【第二篇論文英文摘要】 This paper examines the effectiveness of central bank interventions in the foreign exchange market from January 2005 to April 2011 in Asia. The results show that the central banks in Asia intervene in the foreign exchange markets by selling U.S. dollars to prevent severe depreciation of local currencies during the global credit crisis. However, central bankers can only slow down the trend of depreciation of local currencies against U.S. dollar. The currencies apparently depreciate against U.S. dollar in Indonesia, Singapore, and Taiwan. After the global credit crisis, Asian countries confront appreciations of local currencies due to the US quantitative easing policy. The central banks in Asia intervene by purchasing U.S. dollars in the foreign exchange market. Nevertheless, intervention strategies slowly reduce U.S. dollar depreciations. The foreign exchange rate apparently appreciate against U.S. dollar in India, Malaysia, Singapore, South Korea, and Thailand. Results show that Asian central banks adopt leaning-against-the-wind intervention strategies during the sample period. Their interventions in the foreign exchange market can only reduce fluctuations in the foreign exchange rate, but fail to reverse the trend of Asian exchange rates. 【第三篇論文英文摘要】 This paper examines whether Asian central bank interventions in the foreign exchange market affect the discount or premium of American Depositary Receipt (ADR) of Asian companies from January 2005 to April 2011. The sample consists of companies from Indian, Indonesia, South Korea, Malaysia, Singapore. Empirical results show that central bank interventions increase ADR discounts of companies in Asian countries. In addition, interventions by purchasing U.S. dollars result in higher ADR premiums, and the strategies of selling U.S. dollars affect ADR discounts. Though some of the empirical results are not statistically significant due to limited sample size, results based on individual firms show that selling USD interventions by Asian central banks have a significant impact on their ADR discounts.