人民币隔夜利率互换境内外市场联动效应研究

本文研究了2008年-2010年期间3个月、6个月、9个月和1年期的以隔夜SHIBOR为标的的境外无本金交割人民币隔夜利率互换市场和境内人民币隔夜利率互换市场的联动效应,通过采用Granger因果检验和二元BEKK-GARCH(1,1)模型进行检验分析。研究发现:境内外市场之间无明显的报酬溢出效应;仅3个月期境内外市场存在显著双向波动溢出,其他期限均表现为境内对境外的单向波动溢出;动态相关性分析表明各期限境内外利率互换报价基本保持同向变化,但关系不稳定;央行基准利率的调整事件对相关系数的变化方向有显著影响。     

Demographic Change,International Trade and Capital Flows

Trade in goods that are not perfect substitutes can considerably change the predictions of standard neoclassical models about the effects of demographic developments. This paper considers a relative decrease in the population size of one country, when countries specialize in the production of different intermediate goods. The degree of substitutability is crucial for the direction of capital flows between the countries and for the development of wages. The less those goods are substitutes, the stronger the long-run international spillover effects of a demographic shock will be. For the interest rate effects, also international differences in saving rates due to e.g., different pension schemes have to be taken into account.     

Modelling interest rate volatility: Regime switches and level links

Modelling Interest Rate Volatility: Regime Switches and Level Links.— This paper presents a model encompassing the Markov switching model and the model based on a volatility-level link. This encompassing model allows to test these competing classes of volatility models against each other. If is found that both classes capture essential but different features of the interest rate volatility process. A volatility model incorporating both features, i.e., regime switches and level links, clearly outperforms both alternatives. The consequences of this finding, both for volatility prediction and for the selection of the more appropriate theoretical (continuous time) interest rate model, are discussed.     

The domestic term structure and international interest rate linkages: A cointegration analysis

The Domestic Term Structure and International Interest Rate Linkages. A Cointegration Analysis. -This paper analyzes cointegration relations between domestic interest rates with different maturities and between the US and German interest rates of the same maturity by means of the Johansen procedure and single-equation error correction models. It analyzes also the implied common stochastic trends. The author concludes that in the long run, interest spreads within both countries strongly dominate and linkages between the interest rates of both countries are only important in the short run.     

Parameter instability, superexogeneity, and the monetary model of the exchange rate

Parameter Instability, Superexogeneity and the Monetary Model of the Exchange Rate. — This paper argues that failure to test for parameter time invariance yields misleading results. Time heterogeneity other than unit roots will make the parameters of the unrestricted system unstable and statistical inference invalid. However, if the instability stems from a particular subset of variables (superexogenous with respect to the parameters of interest), conditioning on them results in a partial model with stable parameters, and standard inferential procedures can then be used. We apply this methodology to test the monetary model of the exchange rate and find that both system and single-equation estimates support it in the case of yen-dollar exchange rate.     

The credibility of the European exchange rate mechanism

Using a panel data approach and three different credibilitymeasures, we argue that unemployment, inflation, and budgetdeficits in participating countries have affected the credibilityof the Exchange Rate Mechanism of the EMS. In contrast to mostprevious research, which focuses upon the credibility of exchangerate policies of individual member states, the analysis focusesupon the credibility of the system. The credibility indicatorsused are short- and long-term interest differentials vis-à-visGermany and short-term interest differentials which have beenadjusted for expected exchange rate movements within the band.Both long-term and error-correction models are estimated.     

Uncovered interest rate parity and analysis of monetary convergence of potential EMU accession countries

This paper analyzes deviations from uncovered interest rate parity which are interpreted as indicator of the substitutability of currencies. Backward recursive statistical tests and error correction models are applied to study the co-movement of interest rates, and rolling regressions are used to study size and volatility of country specific risk premiums. In accordance to their degree of monetary integration with the Euro area, new EU members and accession countries are divided into three groups. Estonia and Lithuania seem to exhibit the highest degree of monetary integration with the Euro area.I thank Carsten Trenkler, Jürgen Wolters and two anonymous referees for helpful comments. The paper has also benefited from discussions with participants of the joint econometrics seminar of Humboldt-Universität zu Berlin and Freie Universität Berlin and of the Econometric Society European Meeting 2004 in Madrid. Financial support from the Deutsche Forschungsgemeinschaft (SFB 373, TP C3) is gratefully acknowledged.     

The exchange rate and monetary conditions in the Euro area

The Exchange Rate and Monetary Conditions in the Euro Area. — Using information from a variety of sources, this paper suggests that the exchange rate will play an important role in the transmission of the impact of monetary policy on the real economy and inflation in the euro area. As a first approximation it would be reasonable to assume that an increase in the real 90-day interest rate of 100 basis points would have the same effect on demand two years later as a 3.5 percent fall in the real euro exchange rate. This implies that the euro area will tend to behave like a large open economy rather than a closed economy and hence that it would be helpful in informing monetary policy to construct a Monetary Conditions Index (MCI).     

资产规模、覆盖率与替代率:国际视野的我国企业年金现状

我国的企业年金制度已有10余年历史,但整体水平仍相对滞后。无论是从资产规模、覆盖率和替代率,还是从税收优惠政策来看,我国企业年金的发展与OECD国家相比还存在较大差距。加快建设企业年金,应扩大覆盖面,促进集合年金和职业年金的发展;提高替代率,完善企业年金的税收优惠政策。     

当前我国利率与汇率的相关性分析及政策建议

在经济充分开放的国家,利率、汇率与资本流动之间存在不可忽视的紧密联系。利率变化引发套利资本流动,直接导致汇率的升值或贬值,汇率这种变动进而又反过来影响资本流动,影响利率。利率和汇率之间的这种关系被称为利率平价关系。本文采用利率平价模型分析了当前我国利率与汇率的相关性,并对我国的利率与汇率制度改革提出建议。     

Money,interest rate spreads,and economic activity

Money, Interest Rate Spreads, and Economic Activity. —Numerous empirical studies for industrial countries have shown that the term structure of interest rates is a good indicator for future output growth. This paper analyzes whether the interest rate spread contains any additional predictive power if the model includes the money stock. A multivariate error-correction framework is applied to three European economies — France, Germany, and Italy. Granger causality tests are performed for various monetary aggregates and the term structure. The evidence concerning the marginal information content is mixed: For France and Italy, the term structure does not improve the results of the basic model whereas it is significant for Germany.     

The Impact of Regulation on Input Substitution and Operating Cost

We investigate the impact of rate-of-return regulation on the substitutability between pairs of inputs, where substitutability is measured using Morishima elasticities of substitution (MES), and on operating cost. Theory does not provide a qualitative characterization of the impact of regulation on input substitutability, although it does provide a basis for speculation. We test our speculation using a 1977-87 panel of 20 U.S. interstate natural gas pipelines that were subject to rate-of-return regulation during the period. We find that regulation increased the MES of each rate base input for the non-rate base input and reduced the MES between the two rate base inputs and of the nonrate base input for each rate base input. We also find that the regulatory distortion of input substitutability led to an increase in operating cost of 16%, on average, across all companies and through all years in the sample.     

Rural-led exchange rate appreciation in China

The departure of a factor in excess supply in a non-traded rural sector leads to a Rural-led Exchange Rate Real Appreciation (RERA), in a dual economy setup. The RERA highlights for the first time a potential link between intra-national factor movements and real exchange rates. In China, where there is excess labor employed in the production of (largely) non-traded rural goods, we attribute around one third of the recent appreciation of the real exchange rate – defined as the relative price of nontradables – to a RERA effect.     

A re-examination of the forward exchange rate unbiasedness hypothesis

A Re-Examination of the Forward Exchange Rate Unbiasedness Hypothesis. — This paper applies the Phillips and Hansen estimation and inference procedures to re-examine the hypothesis that the forward exchange rate is an unbiased predictor of the future spot exchange rate. The results indicate that the 90-day forward exchange rate is not an unbiased predictor. However, the 90-day forward and future spot exchange rates are cointegrated. Only for the U.K. pound/U.S. dollar exchange rate is there an error correction representation. Overall, however, the evidence is consistent with the hypothesis that risk-averse agents in the forward foreign exchange market form expectations rationally.     

Divergence indicators and the volatility smoothness in semi-fixed exchange rate regimes

Divergence Indicators and the Volatility Smoothness in Semi-Fixed Exchange Rate Regimes. —Fixed or semi-fixed exchange rate regimes have volatility paths that are in general less smooth than their free floating counterpart. Moreover, there tends to be a correlation between the lack of smoothness and the weakness of the currency. In this article, the effects of divergence from central parity on the smoothness of the volatility are discussed within the framework of a TGARCH model. It is shown that, for various EMS rates, the divergence indicator has a statistically significant effect on the smoothness of the volatility path.     

利率互换与我国商业银行利率风险管理

随着我国金融改革的深化,金融市场的不断开放,市场化利率逐渐形成,利率风险越来越受到金融机构从业者的关注。在我国开展利率互换交易的条件基本成熟的情况下,引入的利率互换为我国商业银行的利率风险管理展开了新的一页。由于仍存在阻碍利率互换交易发展的定价、风险、制度及供需问题,所以需要从加快利率市场化;加快相关制度建设;加快市场培育,增加参与主体;完善信用风险防范等方面来推进商业银行的利率风险管理。     

中国利率与汇率联动机制的制约因素和路径选择研究

在经济全球化的今天,金融及货币政策的全球化趋势也日渐明显,利率和汇率之间国际和国内联动效应非常明显。结合中国实际经济运行状况,剖析我国利率和汇率联动的约束因素,指出我国利率与汇率联动机制的路径选择,将对中国经济乃至世界经济都有重要意义。     

A model of exchange rate determination in a dual exchange rate mechanism

Summary In this paper a theoretical model of exchange rate determination in the dual exchange rate mechanism is established. The role of interest arbitrageurs, speculators and hedgers in the official and the financial markets (both spot and forward) is analysed. For each of the categories of participants excess demand functions for foreign exchange are derived, which lead to the equilibrium condition for the various market segments. Also the main links between the different markets are discussed.This paper is based on chapter II of my Ph. D. dissertation submitted to the John Hopkins University. I am grateful to Professors Bela Balassa and Kirg Niehans for helpful comments. Also Zoran Hodjera (IMF) and Paul De Grauwe (KUL) provided stimulating criticism.     

罗纳德·麦金农的利率理论述评

利率作为资本的价格,是资本市场的重要货币金融工具和衡量指标。罗纳德·麦金农关注的是欠发达经济体的分割经济,而传统的新古典理论认为资本市场在本质上是完美的,通过与分割的资本市场的比较,原本的新古典中的假定将会取消。在被修改的资本市场的假设下,分割经济以及资本市场的参与者的特征得以推出,由此可以阐明政府干预造成的低效率和压抑的影响。     

Exchange rate pass-through and rivalry in the Swiss automobile market

Exchange Rate Pass-Through and Rivalry in the Swiss Automobile Market. —This paper investigates the pricing rivalry among foreign automobile producers in the Swiss market. The main results from the dynamic analysis of two categories of automobiles between 1977 and 1991 are: First, the degree of exchange rate pass-through differs among source-countries despite the absence of quantitative restrictions on imports and of domestic production facilities. However, for some countries, pricing strategies show remarkable consistency across product categories and time spans. Second, the degree of exchange rate pass-through is low, especially in the market for small-size automobiles. Third, this low degree of pass-through may be attributed to a low degree of competition among foreign sellers.