欧盟东扩对我国制造业影响的实证分析

欧盟东扩后产生了贸易创造和贸易转移效应,其中贸易转移效应将影响我国对欧盟出口。东扩的国家人均GDP显著低于西欧,但也显著高于我国,所以与中国相比对欧盟出口可能拥有不同比较优势,对我国不同技术含量的制造业商品出口欧盟会产生不同程度的影响,本文首先分析了中东欧主要国家和我国制造业的双边贸易以及中国和中东欧国家出口欧盟的制造业商品结构,然后基于制造业相对显示性指数实证分析得出：欧盟东扩后,制造业商品出口结构恶化,特别是中低技能技术的制造业产品在东盟东扩后受到的贸易转移效应影响尤为明显,而对我国劳动和资源密集型产品影响不大,还有最近几年的贸易摩擦使得高技能技术产品的出口欧盟受阻,进一步恶化了我国对欧盟制造业商品出口结构。     

品牌视角下的比较优势原则

强势品牌在国际市场上具有较强的比较优势，但品牌在国际经济学上的研究还是空白。结合比较优势理论进行分析，强势品牌产品在与同类的非强势品牌产品进行竞争时具有成本上的相对优势，还在产品附加值方面胜于后者。那么，在获取出口比较优势方面，出口产品应该根据不同的情况选择品牌差异最小化的成本竞争与品牌差异最大化的附加值竞争。这可以为中国依靠提高出口质量，创建中国品牌来进一步扩大外贸出口奠定理论基础，从而减少甚至是避免低层次的出口数量扩张带来的贸易条件恶化与国际摩擦。     

我国金融服务业国际竞争力的分析

本文应用产业国际竞争力评价体系。对细分的我国金融服务业的国际竞争力现状进行分析,得出我国金融服务业的国际竞争力与发达国家相比劣势明显的结论．并在此基础上提出几点提升我国金融服务业国际竞争力的对策建议。     

欧盟关于市场操纵的定义及其特点

2001年以来,欧盟在市场操纵定义的立法方面取得了较大突破,逐步形成了独具特色的市场操纵定义.本文以欧盟指令为依据,从市场操纵的原则性定义、市场操纵的征兆以及被许可的市场行为等三方面分析欧盟关于市场操纵的定义及其特点,并为我国定义市场操纵提出相关建议.     

Macroeconomic Variables and the Housing Market in Turkey

After important policy changes in 1980, Turkey's trade expanded considerably. Although interindustry trade remained predominant, intraindustry trade (IIT) increased substantially. This paper investigates whether the increase in IIT contributed to reducing adjustment costs due to trade expansion. We undertook an econometric approach and considered three-digit International Standard Industry Classification classified data. We used a model developed by Brülhart and Thorpe (2000) for Malaysia, both in static and dynamic forms. Our static results indicate that, if there is any contribution that IIT makes to adjustments in the manufacturing industries of Turkey, it is either nonexistent, if measured by changes in the Grubel—Lloyd index, or in the opposite direction, if measured by the marginal IIT index (A). The dynamic results are somewhat more encouraging, in that the coefficients of the lagged A and Grubel—Lloyd indexes are negative and significant when three yearly changes are considered, but the overall results are not sufficient to conclude that the structural adjustment hypothesis holds for Turkey.     

基于市场分割的地方政府补贴对地区贸易出口的影响

选取2002年到2015年14年间中国30个省（直辖市、自治区）数据,采用系统GMM模型,考量中国地方政府补贴对中国地方贸易出口量的影响。结果发现：地方政府补贴对地区贸易出口的影响主要是通过市场分割实现,但FDI会弱化地方政府补贴对地区贸易出口的正向效应。     

Future of Turkey-EU relations: a civilisational discourse

Should or can Turkey join the European Union (EU)? This paper argues that there are three alternative scenarios of the EU decision to grant membership to Turkey: ‘privileged relationship offer,’ ‘wait and see attitude,’ and ‘start of full membership negotiations.’ It then gauges each alternative path, and argues that the most likely scenario is a decision to start the negotiations, followed by the scenario of ‘wait and see.’ The EU decision will be conditioned by its future vision of global governance and the role foreseen for Turkey inside, outside or at the margin of it. The paper concludes that the EU decision will have significant implications for the future of relations between Europe and Turkey on the one hand, and Europe and the Islamic world on the other.     

国有商业银行在欧盟市场准入问题上的思考

2004年5月欧盟再次东扩后,欧盟成为世界最大的经济体和中国的最大贸易伙伴,因此进入欧盟市场成为中国国有商业银行实施跨国经营战略中不可或缺的一环。目前,我国国有商业银行主要通过建立分行或子银行的方式进入欧盟市场。本文通过对欧盟及其成员国相关银行法律的介绍,提出针对我国国有商业银行在欧盟市场准入问题中的对策建议,即短期内整合现有机构,通过建立子银行的方式来利用欧盟单一银行执照和全能银行业务两个市场机会;中期目标是拓展北欧、南欧和东欧市场,并将丹麦和波兰作为重点选择国家;另外,还建议将兼并收购作为国有商业银行进入欧盟市场的一项长期战略。     

The future of Turkey in the European Union

Turkey's future in the European Union (EU) is a subject of intense debate both in Europe and in Turkey today. Although Turkey first applied to join the EU 45 years ago, it is the only candidate country, which has not yet started accession negotiations. On the one hand, any future enlargement that includes Turkey is a controversial topic for the EU, since Turkey would be the only Muslim member in the EU, which has accepted 10 new members in May 2004. On the other hand, it is too late to exclude Turkey from the future of the EU since it has put the issue of the EU accession at the top of its national agenda and is the only candidate country that has completed the Customs Union with the EU. This article aims to explore future scenarios regarding Turkey's inclusion to or exclusion from the EU and assess their short and long term implications.     

Pricing to market with trade liberalization: The role of market heterogeneity and product differentiation in India’s exports

This paper studies the links between pricing to market (PTM) and trade liberalization using data for India’s exports (at the 4-digit level of classification) during the economic reforms period (1992–2005). We estimate a PTM model for exports to the G3 and three other emerging markets (Brazil, China and South Africa), distinguishing homogeneous from differentiated goods and correcting for changes in the level of protection faced by India’s exporters (import tariffs in destination markets), inflation and openness in the export destination market, a macroeconomic policy index partly reflecting changes in exporter’s costs, the share of the exporter in the destination market and the share of the product in the exporter’s total exports. We find that market heterogeneity changes the level of PTM, but PTM does not significantly differ between homogeneous and differentiated products. Indian exporters practice PTM by absorbing exchange rate changes into their mark-up in G3 markets, where they face tougher competition, but fully pass-through exchange rate changes in emerging markets. On the contrary, Indian exporters seem to be taking advantage of trade liberalisation in destination markets by marginally increasing exporter currency prices into emerging markets but not into the G3. However, in the case of differentiated goods, we find this effect of trade liberalisation for both G3 and emerging markets.     

Deviations from Fundamentals in US and EU Stock Markets: A Comparative Analysis

Abstract

A ‘two-stage growth’ discounted cash flow (DCF) model is built to test whether changes in the underlying market fundamentals help to explain movements in stock prices. Empirical results on two samples of US and EU stocks show that the ‘fundamental’ earning price ratio (E/P) explains a significant share of cross-sectional variation of the observed E/P, this impact being stronger in the US market. It is also found that: (i) the fundamental component of the E/P has superior explanatory power than simpler measures of expected earnings growth; (ii) ‘non-fundamental’ components, interpreted as signals reducing asymmetric information (such as firm size, the number of forecasts and the chartist momentum), mitigate the role of the fundamentals; (iii) current deviations from the fundamentals are affected by ex post adjustment of publicly available information in the EU sample. It is argued that differences in regulatory environments and in the composition of investors between the US and EU financial systems may help to explain these comparative findings. Results appear consistent with the ‘market integrity hypothesis’ postulating that reliance on publicly observable fundamentals is higher when insider trading is lower.     

Market reactions to a cross-border carbon policy: Evidence from listed Chinese companies

The effects of cross-border carbon policy have attracted increasing attention worldwide. We investigate the reaction of the Chinese stock market to the announcements of 12 legislative events associated with the European Union Carbon Border Adjustment Mechanism (EU CBAM). Our results, based on all industrial companies listed on China's Shenzhen or Shanghai Stock Exchanges, show that Chinese companies that export their products to the EU experience a more negative cumulative abnormal return around EU CBAM events than their counterparts (non-export companies and non-EU export companies). A cross-sectional analysis reveals that negative stock market reactions to the legislative events are greater when companies have greater carbon emissions intensity. Our further analyses show that being listed in both A-share and H-share markets, participating in a carbon emissions trading scheme, and having intensive cross-border collaboration mitigate the adverse market reactions. Our results show that the Chinese market is sensitive to legislative announcements associated with this cross-border carbon policy.     

Market or limit orders?

In this paper we investigate the problem of optimal order placement of an asset listed on an exchange using both market and limit orders in a simple model of market dynamics. We seek to understand under which settings it is optimal to place limit or market orders. Limit orders typically lower transaction costs but increase the risk of incomplete order execution, whereas market orders typically have higher transaction costs but are guaranteed to be executed. Rather than considering order book dynamics to determine if a limit order is executed we rely on price dynamics for this. We look at implementation shortfall in this setup with market impact of trading and propose a dynamic program to find the optimal placement of both market and limit orders for risk-neutral and risk-averse traders. With this we find a bound on the expected cost of trading and show that a trader who behaves optimally should always expect to pay less to trade less. We then solve the dynamic program numerically and examine optimal order placement strategies. We find that the decision between market and limit orders is sensitive to price volatility, risk aversion, and trading costs.     

上海近代标金市场变迁与启示

本文从比较历史制度的视角,分析上海近代标金市场的发展与变迁。20世纪20—30年代,上海不仅是中国的金融中心,也是远东的国际金融中心,其标志是上海标金市场。上海标金市场的交易量巨大,影响到欧美日金融市场,受欧美日金融界所瞩目,位居伦敦、纽约市场之后的第三位。就今天的上海自贸区建设,有如下启示:第一,要明确目标市场的定位;第二,要具有核心竞争力的市场功能;第三,要处理好市场与政府间关系。     

Impact of short selling activity on market dynamics: Evidence from an emerging market

With unique daily short sale data of Borsa Istanbul (stock exchange of Turkey), we investigate the dynamic relationship between short selling activity and volatility, liquidity and market return from January 2005 to December 2012 using a VAR(p)-cDCC-FIEGARCH(1,d,1) approach. Our findings suggest that short sellers are contrarian traders and contribute to efficient stock market in Turkey. We also show that increased short selling activity is associated with higher liquidity and decreased volatility. However this relation weakens during the financial turmoil of 2008. Our results indicate that any ban on short sales may be detrimental for financial stability and market quality in Turkey.     

Liquidity and Return Relationships in an Emerging Market

In this paper, we investigate the relationship between liquidity and stock returns in the Vietnam stock market during the global financial crisis. Vietnam is one of a new group of frontier emerging markets referred to as CIVETS (Colombia, Indonesia, Vietnam, Egypt, Turkey, and South Africa). We use a rich and detailed data set of firm characteristics to identify a positive relationship between liquidity and stock returns. This contradicts the negative correlation typically found in stock returns in developed markets. Our results support the proposition that when a market is not fully integrated with the global economy, a lack of liquidity will be a less important risk factor. Our findings contribute to those studies that highlight the diversification benefits from including frontier markets, which have a lower degree of integration with the global economy, in international portfolios.     

Residential Search and Mobility in a Housing Market Equilibrium Model

In this paper, we propose an equilibrium model for the housing market which provides an explanation for observed housing consumption of households over their lifetimes. The moving behavior of households is described as a stochastic dynamic process in which households moving decisions depend on information which is obtained over time. Households move when the offer exceeds an endogenously determined threshold. On the basis of the households moving behavior, the steady-state distribution of households over the housing stock is obtained. On the supply side of the market, landlords are looking for households to occupy their vacant dwellings. Their strategy is to set rents in a mixed strategy in order to profit from imperfect information. After formulating search behavior of households as well as the behavior of landlords, the market equilibrium is derived. We explore the sensitivity of the equilibrium to changes in the structural parameters.     

The Effects of Liberalisation on Market and Currency Risk in the European Union

This paper investigates the effects of liberalisation on the pricing of market and currency risk for a number of financial markets in the European Union (EU). An International Asset Pricing Model with a multivariate GARCH‐in‐Mean specification and time‐varying prices of risk is used for the four markets with the largest capitalisation in the EU. Only one price of market risk exists and international investors are rewarded for their exposure to currency risk. The evidence shows that all prices of risk are time‐varying and have been decreasing during the process of liberalisation. There is also evidence that markets react to period of uncertainty in the process toward the completion of liberalisation. In addition, the operation of the European Monetary System has generated lower covariances. As a consequence, total risk premia have declined in the last decade.     

The changing and relative efficiency of European emerging stock markets

The martingale hypothesis is tested for 15 European emerging stock markets located in Croatia, the Czech Republic, Estonia, Hungary, Iceland, Latvia, Lithuania, Malta, Poland, Romania, Russia, the Slovak Republic, Slovenia, Turkey and the Ukraine. For comparative purposes, the developed stock markets in Greece, Portugal and the UK are also included. Rolling window variance ratio tests based on returns and signs and with wild bootstrapped p-values are used with daily data over the period beginning in February 2000 and ending in December 2009. The fixed-length rolling sub-period window captures changes in efficiency and is used to identify events which coincide with departures from weak-form efficiency and to rank markets by relative efficiency. Overall, return predictability varies widely. The most efficient are the Turkish, UK, Hungarian and Polish markets; the least efficient are the Ukrainian, Maltese and Estonian stock markets. The global financial market crisis of 2007–2008 coincides with return predictability in the Croatian, Hungarian, Polish, Portuguese, Slovakian and UK stock markets. However, not all markets were affected: the crisis had little effect on weak-form efficiency in stock markets located in Greece, Latvia, Romania, Russia and Turkey.     

国际金融市场与国际原油期货市场溢出效应实证检验——基于VAR-BEKK模型的分析

文章通过构建VAR模型和BEKK模型对道琼斯股票市场、美元/欧元汇率市场与国际原油期货市场的动态关系进行了实证检验。结果表明：道琼斯股票市场与WTI原油期货市场存在双向的价格溢出效应,以及前者向后者的单向波动溢出效应;美元/欧元汇率市场存在向WTI原油期货市场单向的价格溢出效应和波动溢出效应。所以,国际原油期货市场与国际金融市场联系紧密,国际原油的金融属性日益体现,其价格变动更多受外部国际金融市场风险影响。