亚太地区股票市场的联动程度——基于次级贷冲击的研究

本文从长期关系、短期作用和方差分解方面,分析了次级贷危机前后亚太股市的联动程度。首先,协整检验表明,亚太股市存在长期均衡关系,但这种关系在次级贷危机前后发生了明显的结构转变。其次,Granger非因果检验表明,亚太股市在次级贷危机后,市场间短期作用大大加强。再次,我们定义了单个市场联动程度判断准则,并且结合方差分解发现,亚太地区股市在次级贷危机后单个市场独立性显著降低。总体而言,亚太地区股市在次级贷危机之后联动程度进一步加强,支持弱分割市场理论;美国股市是地区股市领导者;日本股市变化最大,次级贷危机后,市场独立性变得最弱;中国大陆股市也不断融入区域市场。建议政府和投资者对于本国(本地区)之外的实体经济和股市风险都要密切关注。     

Testing PPP for the South African Rand/US Dollar Real Exchange Rate at Different Data Frequencies

This paper tests the PPP hypothesis for the South African rand/US dollar real exchange rate using a fractional integration framework. The results suggest that the real exchange rate of the South African rand with respect to the US dollar is a highly dependent variable with an order of integration very close to 1. This finding is not affected by the data frequency considered (daily, weekly or monthly). Also, there appears to be a single break in December 2001 (possibly corresponding to a change in the monetary policy framework), with the unit root null being rejected in favour of d > 1 for the periods before the break, but not afterwards. Thus, our results strongly reject the PPP hypothesis for the South African rand/US dollar rate across data frequencies, since shocks are found to affect the exchange rate forever.     

Effect of exchange rate return on volatility spill-over across trading regions

This paper examines the effect of realized exchange rate returns on the volatility spill-over between the euro–US dollar and US dollar–yen currency pairs across the five trading regions: Asia, Asia–Europe overlap, Europe, Europe–America overlap and America. Modelling the interaction between returns and volatility in an autoregressive five-equation system, we find evidence that depreciation of the US dollar against the yen has a greater impact on the US dollar–yen volatility spill-over than appreciation in the subprime crisis period. Appreciation and depreciation of the US dollar against the euro does not appear to have an asymmetric effect on the euro–US dollar volatility spill-over. Our results support the notion that the yen may have been preferred to the euro as a ‘safe-haven’ currency relative to the US dollar during the subprime crisis period.     

EXTREME VALUE AT RISK: A SCENARIO FOR RISK MANAGEMENT

This paper uses the generalised extreme value (GEV) distribution to model the extreme losses that are likely to occur during market crashes, in the case of an investor who has long positions in stocks and currencies. The null hypothesis – which tests for normality of asset returns – is rejected due to asymmetry of these returns. We assume that the asymmetric behaviour and volatility of the returns are captured by the shape and scale parameters, respectively, of a GEV distribution. The data set includes stock indices for the United States, Japan, the United Kingdom, Germany, France and South Africa, and the South African rand exchange rates against the US dollar observed from 3 January 2005 to 30 December 2009. In addition, we divide this sample period into two periods: the pre‐crisis period, from 3 January 2005 to 31 December 2007 and the crisis period, from 1 January 2008 to 30 December 2009. We compared the estimates of value at risk (VaR) using an extreme value theory (EVT) model, with the estimates derived from the traditional variance–covariance method and found that during the crisis the 99% extreme VaR estimates are more reliable as they lie within the Basel II green zone. These results suggest that, at higher quintiles, the VaR estimates based on EVT are reliable and more accurate than estimates from the traditional method.     

Purchasing Power Parity Between the UK and Germany: The Euro Era

We use the Johansen cointegration approach to assess the empirical validity of the purchasing power parity (PPP) between the UK and Germany since the introduction of the euro. We conduct the empirical analysis in the context of the global financial crisis that began in 2007 and find that it directly affects the cointegration space. We fail to validate the Johansen and Juselius (1992) original hypothesis that nonstationarity of PPP associates with the nonstationarity of interest rate differentials to produce a stationary relation. On the other hand, we do not reject PPP. We find that PPP cointegrates with inflation differentials. We also find, contrary to conventional wisdom, that (i) equilibrium adjustment occurs between the German and UK inflation rates, while weak exogeneity exists for the German and UK interest rates and the PPP condition, and (ii) three common trends associated with the German interest rate the UK interest rate, and the PPP condition “push” the system with the German interest rate and the PPP condition playing dominant roles in affecting inflation in both Germany and the UK. These results cast serious doubt on the presumed independence of the UK monetary policy.     

PURCHASING POWER PARITY IN AFRICAN COUNTRIES: EVIDENCE FROM PANEL SURADF TEST

This study reexamines the validity of long-run purchasing power parity (PPP) hypothesis using a battery of panel unit root tests for 11 developing countries in Africa over the period 1980-2007. Based on the conventional panel unit root tests, we found evidence that the monthly real exchange rates in these countries were mean reverting. By contrast, the series-specific unit root test proposed by Breuer et al. (SURADF) reveals that only six of the 11 RERs series were stationary using the US dollar as reference currency. Additionally, our results reveal that there is stronger evidence of the parity condition with the Rand-based rates than in the other currency-based rates like the US dollar or Euro. We conclude that PPP holds in some, but not all, of the African countries according to the SURADF tests.     

Why China Should Invest Its Foreign Exchange Reserves in the Major US Banks

The subprime mortgage crisis and the resultant inflationary monetary policy in the USA have left the Chinese economy subject to four risks in particular. First, China＇s exports to the USA might continue to decline. Second in the medium term, the higher US inflation rate will lead to a weak dollar, which will negatively affect China＇s exports. Third in the long term, when the US Federal Reserve decreases money supply to control inflation, the US economy might enter another recession, hurting China ＂s exports further. Fourth, China＇s foreign exchange reserve assets might suffer heavy losses when the US inflation rate rises. Conventional foreign exchange investment strategies are insufficient for dealing with these four risks. Investment by China in the major US banks is suggested in the present paper. This strategy would mitigate if not eliminate all four risks. China could gain considerable financial returns on investments with only moderate risk.     

金融危机背景下中国房地产业信贷风险研究

由美国次级住房抵押贷款市场动荡引起的金融危机对全球金融市场产生了巨大的冲击。中国经济与世界经济的关联日益紧密,面对全球性经济金融风暴的到来,中国不可避免的受到影响。本文剖析了美国次贷危机的生成和发展机理,通过深入比较中国和美国的房地产市场特征,同时分析了近十年来中国银行业金融系统的资产及风险状况,最终得出了中国银行业发展基本保持平稳,房地产行业信贷风险可控的研究结论。     

Is the COVID-19 pandemic more contagious for the Asian stock markets? A comparison with the Asian financial,the US subprime and the Eurozone debt crisis

The ongoing COVID-19 pandemic has sent shock waves across the global stock markets. Several financial crises in the past too have had a global impact with their reach extending beyond the country of origin. The current study compares the contagion effect of four such crises viz. the Asian financial crisis, the US subprime crisis, the Eurozone debt crisis, and the currently ongoing Covid-19 crisis on Asian stock markets to understand which of these has had the most severe impact. It finds that among all the four crises, the US subprime crisis has been the most contagious for the Asian stock markets. The study also highlights the difference between severities of a liquidity crisis versus a real crisis and identifies the markets that remained insulated from all these crises, a finding which will be useful for portfolio managers in devising their asset allocation.     

REVISITING THE EFFICIENT MARKET HYPOTHESIS FOR AFRICAN COUNTRIES: PANEL SURKSS TEST WITH A FOURIER FUNCTION

This study applies the panel seeming unrelated regression of the Kapetanios‐Shin‐Snell (SURKSS) test with a Fourier function to investigate the time‐series properties of stock prices in five African countries (i.e. Egypt, Kenya, Morocco, South Africa and Tunisia) over the period of January 2000–April 2011. The empirical results from the univariate unit root and panel‐based unit root tests indicate that unit root hypothesis can not be rejected for these five countries under study. However, results from the panel SURKSS test with a Fourier function indicate that unit root hypothesis can be rejected for Egypt and Morocco, two countries under study. Our results indicate that the weak‐form efficient market hypothesis holds in the other three countries, namely, Kenya, South Africa and Tunisia.     

Analyzing Heterogeneous Stock Price Comovements Through Hybrid Approaches

This paper studies the hypothesis of stock price comovements between the US market and four different regions (the G6, the BRICS, the MENA (Middle East North Africa) during calm and crisis periods. Using different econometric approaches (BEKK-GARCH model, cointegration tests, and panel cointegration tests), we checked the interdependence of these markets in the short and the long term. Our findings point to the importance of heterogeneity linked to the stock price adjustment process, inviting individual analysis to be carried out according to market specificities in the aim of identifying countries that are sources of investment opportunities. We also highlighted the presence of time-varying stock price comovements that significantly increased after the subprime crisis. This enabled us to specify periods and regions that can still provide promising diversification benefits. Investigation of this issue is of interest for investors and bankers in order to improve their portfolio choices, diversification strategies as well as risk management.     

中日两国政府对国际金融危机的对策效应研究

为应对2008年由美国次贷危机引发的世界性金融危机,中日两国政府采取了一系列刺激性政策措施。通过对政策的具体分析并利用潜在变量——危机强度,研究刺激政策对金融危机和宏观经济的效果,结果得出,中日两国均采取了积极的财政政策和适度宽松的货币政策。两国政府采取的经济刺激政策对应对金融危机均有所成效,危机强度的走势日本比中国更理想,中国的危机强度比较随机。中日两国的经济刺激政策都改善了GDP、就业、通货膨胀、贸易差额等主要宏观经济指标,但在中国出现了通货膨胀,在日本产生了经济衰退和通货紧缩等问题。     

Evidence of long-run purchasing power parity: analysis of real asian exchange rates in terms of the Japanese yen

In this paper we find strong new evidence in favour of the long-run purchasing power parity (PPP) hypothesis in the bilateral real exchange rates between the Japanese yen and the currencies of the most important southeast Asian economies only when the presence of several possible structural breaks of the series is taken into account. Such evidence for PPP is weaker for these southeast Asian exchange rates with the US dollar, the German mark and the Australian dollar.     

全球金融危机与欧洲经济的困境

论文探讨了全球金融危机对欧洲的冲击与影响,认为美国次贷危机所引发的全球金融危机对欧洲经济带来的衰退比美国更甚。论文从欧洲经济长期存在的矛盾在危机中集中爆发以及欧盟在国际金融体系中缺乏远见卓识两大方面分析了其中的原因。论文还对欧盟经济的复苏前景及未来经济增长的出路作了分析预测,认为如果欧盟不能在创新以及以更开放的心态来对待发展中国家的崛起上作出努力和调整,欧盟中长期经济发展的前景不容乐观。     

Purchasing Power Parity in High-Inflation Countries: A Cointegration Analysis of Integrated Variables with Trend Breaks

This paper examines the long-run validity of purchasing power parity (PPP) for four high-inflation countries. The method of Zivot and Andrews (1992) is employed to detect the time-series behavior of the exchange rates and consumer price indices of these countries. We find that these variables are integrated with some trend breaks. We then utilize these data to test PPP using Johansen's (1988) multivariate cointegration technique. The cointegration tests are conducted with the correction of the finite sample bias and the adjustment for trend breaks. The results are consistent with the argument that, during the recent floating exchange-rate period, PPP holds well, at least in a weak form, in high-inflation countries where the general price level movement overshadows the factors causing deviations from PPP.     

Purchasing Power Parity under Regime Shifts: An Application to Asian Countries*

This paper re‐examines the long‐run purchasing power parity (PPP) relationship for nine Asian countries relative to the USA and Japan during a period containing significant structural breaks. The relevance of considering structural breaks in PPP tests is demonstrated by utilizing the Johansen et al. (2000) procedure that allows for up to two pre‐determined structural breaks. Using conventional tests without considering breaks, one is able to reject the null of no cointegration for only four countries. The Johansen et al. procedure clearly demonstrates the importance of allowing for structural breaks and provides strong support for long‐run PPP for all the countries, regardless of the base country, except in the case of the Philippines vis‐à‐vis Japan. The Hansen–Johansen parameter constancy test indicates stability for all the countries except the Philippines relative to the USA and Malaysia relative to Japan.     

Real Exchange Rate Dynamics in the Asian Economies: Can Regime Shifts Explain Purchasing Power Parity Puzzles?

Abstract

We show that the strong version of the purchasing power parity (PPP) hypothesis holds in most of the US dollar real exchange rates using cointegration method that accounts for breaks in the models. The break dates in seven of the Asian currencies coincide with the two rounds of currency depreciation recorded during the 1997–1998 financial crises. We obtain a mean half-life estimate of about 10 months for PPP to converge to its long-run equilibrium level. Our confidence intervals based on persistence profile approach for the half-lives is much narrower than previous evidence might indicate. Taken together, these results show that mean reversion is stronger than commonly thought.     

Comparative output and labor productivity in manufacturing between China, Japan, Korea and the United States for ca. 1935 - A production-side PPP approach

Following the standard industry-of-origin methodology to measure production-side purchasing power parities (PPPs), this study for the first time provides a set of unit value ratios (UVRs) of manufacturing products between China, Japan, Korea and the US, based on which it derives PPP estimates for individual manufacturing industries for these East Asian countries with the US as the benchmark for ca. 1935. The estimated PPP for total manufacturing suggests that the relative level of the producer price in China, Japan and Korea was about half to two thirds of the prevailing market exchange rates, respectively. The estimated PPPs are used to calculate comparative output and labor productivity for individual industries of these countries for ca. 1935. It shows that the size of factory manufacturing in Japan was 12 percent of the US level and in China only about one percent of the US level. In terms of comparative labor productivity, measured as PPP$ per hour worked, Japanese and Korean manufacturing was 24 and 23 percent of the US level, whereas Chinese manufacturing was only 7 percent of the US level.     

开放条件下经济周期理论的扩展与应用——换一种思维看待次贷危机

由于次贷危机爆发后造成了巨大的破坏力,因此对其爆发原因和必然性的探讨一直是学术界争论的焦点。本文尝试从全新的角度出发——以经济周期理论为依据,从开放宏观的视角,对次贷危机爆发的原因与必然性做出更合理的新解释。首先,通过对战后美国经济结构演变的分析,探究其经济周期的演化逻辑。其次,分别从短、中、长周期的角度和国际经济格局演变的角度研究次贷危机的爆发原因与必然性。最后,指出美国经济结构的深刻调整和全员劳动生产率的持续提高才是减轻经济危机破坏性与频发性的根本方法。