利率市场化及其效应分析

２０００年６月,中国人民银行行长戴相龙宣布,要对中国的利率管理体制进行改革,其改革的最终目标是：建立以市场资金供求为基础,以中央银行基准利率为调控核心,由市场资金供求决定各种利率水平的利率体制。２０００年９月２１日,随着外币存贷款利率的放开,我国便开始了利率市场化改革的进程。 一、开放经济条件下利率市场化的必然性 （一）受国际上金融深化和金融自由化浪潮的影响。 自７０年代以来,致力于经济增长的发展中国家,以“金融深化论”为指导,进行了一系列金融自由化改革,其中尤以利率市场化作为其改革的核心内容,并…     

我国商业银行利率风险分析

利率是金融商品的价格,也是重要的货币政策工具。利率市场化是在中央银行基准利率的前提下,由货币需求与货币供给共同决定的。利率风险是指由利率波动引起金融机构资产、负债以及表外头寸市场价值的变化,而导致金融机构的市场价值和所有者权益损失的可能性。商业银行利率风险来源于市场的不确定性以及自身的管理。我国现行的是管制利率,从管制利率制度走向完全由市场决定的开放的利率制度,从固定的利率水平走向可合理浮动的利率水平,不确定因素的存在无疑会给国内的商业银行带来不可避免的风险。     

区域经济合作理论对发展中国家区域经济合作的影响和启示

20世纪60至70年代以来,发展中国家之间区域经济合作的实践表明,其所依赖的传统激进“中心-外围”理论和“国际依附论”存在内在缺陷,发达国家区域经济一体化理论不完全适用于发展中国家。以产品周期理论为核心的新国际劳动地域分工理论揭示了发展中国家与发达国家的经济联系,新经济地理理论则考虑不完全竞争、规模经济、外部性和运输成本等因素,阐述了区域经济形成和增长的动因。20世纪90年代兴起的开放的地区主义提供了全球化背景下的区域经济合作原则,主导了发展中国家区域经济合作方向和模式选择。     

借鉴国外经验教训,推进我国利率市场化改革

在市场经济条件下,利率作为一个重要的经济杠杆,对国家宏观管理和微观经济运行起着十分重要的调节作用.利率市场化是经济金融发展到一定程度的客观需要.利率市场化是由各个金融机构根据金融市场供求状况和中央银行的指导信号自主地确定利率大小和调整利率的时机,中央银行只是通过预定年度货币政策计划,制定和调整法定准备率,再贷款利率、再贴现率,进行公开市场业务操作及其他指导性窗口等,借助货币市场的内在运行机制,向金融机构传导中央银行的贷款政策、利率政策信号,从而间接影响到金融市场利率.从20世纪70年代起,许多国家放松了利率管制,实行利率市场化.纵观世界各国过去30年的利率市场化进程,既有成功的经验,也有失败的教训.发展中国家的金融体系相对脆弱,经济市场化程度也比较低,利率市场化比发达国家更具艰难性,我国是一个发展中国家,应从发展中国家利率市场化的经历中汲取教训.     

结构变点、时变期限溢价与预期假说——来自国内银行同业拆借利率的证据

在考虑时变期限溢价的基础上,本文采用结构变点方法,对中国银行同业拆借利率进行预期假说检验,并分析宏观经济因素对预期假说检验的影响。经验结果显示,1996年1月至2011年4月,银行同业拆借利率在不同区间存在共同的趋势性,长短期利差对未来短期利率变动的预测存在多个结构变点;不同区间内预期假说基本上被拒绝,时变期限溢价对预期假说检验的影响不大,而宏观因素在不同区间的影响不同。     

浅议人民币利率水平的影响因素

利率对国民经济具有不可忽视的杠杆作用，是最主要的经济指标之一，也是宏观调控最重要的政策工具之一。国内有大量文献对利率水平进行了研究，其中很大一部分是研究利率对各种宏观经济变量（如GDP、储蓄、投资、消费等）的影响，其本质上是把利率看成完全由政府决定的外生变量，把其它宏观经济变量作为内生变量。然而这种研究方法的一个不足之处在于，[第一段]     

影响农村金融市场利率的风险因素及防范对策

由于存贷款利率未能完全放开,利率水平无法反映真实的资金供求,银行间高息揽储已经显现,居民实际存款负利率的格局已经形成,从而导致居民的储蓄财富缩水,迫使资金从银行流入资产市场、商品市场,加剧了通货膨胀的压力。因此,加快利率市场化改革被提到了议事日程。本文对影响农村金融市场利率定价的风险因素进行系统分析,提出了防范风险的对策。     

发展中国家的外资引进分析--以中国与阿根廷的外资政策和对外经济发展战略为视角

随着全球化的深入，发展中国家在资金方面对发达国家日益依赖，国际投资作为发达资本主义国家控制、干涉和影响发展中国家的工具，其作用亦越来越强。然而，发展中国家经济发展中的“资金瓶颈”问题以及处于转型期所亟需的大量资金，都使其不得不持续扩大引入外资的规模。开放促进经济发展，增强国家实力，但同时也使发展中国家面临着因开放度增加而产生的风险，一部分发展中国家陷入了严重依赖外债和外资的恶性循环状态。然而，外资对不同国家有截然不同的作用，甚至于相似的外资政策在不同的发展中国家内也得到了不同的效果。本文将通过二战以来阿根廷和中国经济政策的比较为例，来对比分析发展中国家引进外资的潜在风险，进而给广大发展中国家在处理开放与发展的问题上提供有益的借鉴和启示。     

浅析最新货币政策对中小企业的影响

货币政策的新常态是危机之后全球最重要的金融话题之一。中国货币政策正在从数量型到价格型转变,所以看到现在中小企业融资难、融资贵,新的货币机制没有完成。货币政策面临新的开放的环境,比如汇率越来越自由化,利率越来越低,整体开放环境为下一步货币政策的框定又设定完全不同新的条件,这对中小企业是否带来更大的利好消息,本文将对此进行分析。     

在财务分析中如何引入利息因素

利息费用是企业很大的费用支出 ,在企业理财活动中是一个十分重要的因素 ,利息及利率对企业总资产报酬率、权益利润率、资产负债率等主要财务指标均有很强的影响力。本文试把利息及利率因素引入上述财务指标中予以分析 ,以求获得一些对财务分析有用的结论。１ 利息及利率因素对总资产报酬率的影响把利息及利率因素引入到总资产报酬率中可以得到下面的公式 :　　总资产报酬率 =利息负债 × 利润利息 × 负债总资产 =利率×利息保证倍数×资产负债率①……………………该计算公式说明 ,当企业的利润为正数时 ,总资产报酬率与资产负债率及利率…     

关于在我国现阶段发展利率期货的思考

随着中国利率市场化的推进,利率风险日益显现,推出利率期货是大势所趋。本文立足国情,分析了我国在现阶段发展利率期货的可行性,并提出我国应适时推出利率期货。     

Analysis of asymmetric response of exchange rate to interest rate differentials: The case of African Big 4

Using the case of four leading African economies, namely Algeria, Egypt, Nigeria and South Africa, this paper explores the possibility of asymmetric relationship between exchange rate and interest rate differential. In addition, it also tests whether accounting for structural breaks matters for the nexus. The results vary for the four countries based on the choice of exchange rate regime and countries involved in full-fledged floating or managed floating seem to respond more to variations in interest rate differential. Also, accounting for both asymmetries and structural breaks should not be disregarded when modelling this nexus.     

现行人民币汇率制度的可持续性探析——兼论“中间汇率制度消失论”

近年来兴起的"中间汇率制度消失论"已成为主流经济学界判断发展中国家汇率制度选择的主要理论依据.它建议发展中国家应实行汇率制度的端点解.通过对当前人民币汇率制度可持续性进行分析,证实现阶段中国的货币政策管理水平、经济结构调整、就业压力以及金融市场不完善等现状不允许中国在中短期内实行"端点"汇率制度;现行的人民币"软钉住"美元的汇率政策应是当前以及未来相当长时期内中国的最佳选择.     

Banks' environmental policy and business outcomes: The role of competition

By integrating the two areas of competition–performance and environment–performance, this research explores if competition matters in the relationship between environmental practices and interest margins in the market. A panel of 458 banks from 74 countries for the period of 2006–2016 is used, and the sample is further divided into developed and developing countries. This paper uses the system Generalized Method of Moments estimator to tackle potential omitted variable bias, endogeneity, and simultaneity issues. Without competition, environmental practices only affect banks in developing countries; however, the results show a significant impact for the full sample, including developed countries, when the competition is taken into consideration, suggesting that competition might play a role in the relationship of environmental practices and interest margins. In the full sample, competition impacts the relationship negatively after a moderate level of competition is reached in the market. The environmental practices in developing countries are prone to competition in the market. In developed countries, the competition is found to be lightly positively moderating the impact of environmental practices on interest margins. Based on these findings, it is recommended that developing countries should have a low or moderate level of competition to encourage environmental practices. For developed countries, however, high competition should be preferred to encourage banks to consider environmental practices as one of their core business strategies. These findings are found robust to different statistical estimators.     

Black market exchange rate,currency substitution and the demand for money in LDCs

Mundell's conjecture in 1963 that the demand for money could depend on the exchange rate in addition to income and interest rate has received some attention in the literature by including the official exchange rate and estimating the money demand in a few developed countries. In less developed countries, since there is a black market for foreign exchange, it has been suggested that the black market exchange rate rather than the official rate should be the determinant of the demand for money in LDCs. This proposition is tested by estimating the demand for money for 25 LDCs using the bounds testing approach to cointegration. The main conclusion is that while in some LDCs, the black market rate enters into the formulation of the demand for money, in some others the official rate is the determinant. The black market premium also played a role in some countries.     

Exchange rate misalignments,capital flows and volatility

This study investigates the effect of three dimensions of exchange rate misalignments—(i) distance (absolute misalignments), (ii) direction (overvaluation or undervaluation), and (iii) degree (small or large misalignments)—on the overall as well as short-cycle exchange rate volatility. Using data from 1988 to 2014, we find that relative PPP-based exchange rate misalignments increase exchange rate volatility. For developed and developing countries, this increase in volatility is driven mainly by large undervalued misalignments of the U.S. dollar. This finding might be linked to interventions targeting the loss in domestic producers’ competitiveness in global markets. Interestingly, in the case of developed countries, we find this adverse effect on exchange rate volatility also for small absolute misalignments; exchange rate movements close to equilibrium may be associated with ambiguity with respect to future movements in developed countries, which can result in higher exchange rate volatility. Further, the results suggest that, when the dollar is highly undervalued, capital flows have a stabilizing effect on exchange rate volatility in developed countries but a destabilizing effect in developing countries. The finding is consistent with investors’ strategy of taking exchange rate overvaluation and undervaluation into account when engaging in cross-border investments.     

Statistical learning and exchange rate forecasting

This study uses innovative tools recently proposed in the statistical learning literature to assess the capability of standard exchange rate models to predict the exchange rate in the short and long runs. Our results show that statistical learning methods deliver remarkably good performance, outperforming the random walk in forecasting the exchange rate at different forecasting horizons, with the exception of the very short term (a period of one to two months). These results were robust across countries, time, and models. We then used these tools to compare the predictive capabilities of different exchange rate models and model specifications, and found that sticky price versions of the monetary model with an error correction specification delivered the best performance. We also explain the operation of the statistical learning models by developing measures of variable importance and analyzing the kind of relationship that links each variable with the outcome. This gives us a better understanding of the relationship between the exchange rate and economic fundamentals, which appears complex and characterized by strong non-linearities.     

Impact of Currency Boards on Fiscal Policy in Central and Eastern European Countries

The paper focuses on the impact of currency boards on fiscal policy in transition economies. Starting with an overview of theoretical and empirical studies in the related area, it tests for the interaction between monetary policy regimes and fiscal policy in Central and Eastern European countries who aim for the membership in the European Union. The theoretical background of this study lies in the model of Tornell and Velasco (1998). They demonstrate that fiscal transfers do not ultimately depend on the chosen exchange rate and monetary policy, but only on the worlds real rate of interest and the rate of time preference of the fiscal authority. A sample of 10 accession candidates constitutes a group of countries which go through similar macroeconomic stabilisation processes but have chosen different nominal anchors. The paper investigates whether there are any systematic differences between those countries with a currency board arrangement and those without. The empirical evidence suggests that currency boards enhance fiscal discipline in Central and Eastern European countries.     

汇率制度选择及其通胀绩效的实证考察--以中东欧转轨国家为例

文章对20世纪90年代中东欧转轨国家汇率制度选择及其通胀绩效进行了实证考察。结果表明,这些国家在从计划经济向市场经济转轨的过程中,采取了几乎所有的汇率制度类型。对于转轨国家而言,汇率制度选择与通胀之间存在着非常密切的关系。在转轨的初期,通胀的压力和宏观经济的稳定性是政府主要考虑的因素,这些国家的政府都把稳定货币作为制定政策的出发点,汇率制度的选择也是围绕稳定货币进行的。这些国家的实践表明,钉住汇率制度反通胀的绩效要超过浮动汇率制度。     

危机后发达国家的非传统货币政策研究

次贷危机爆发以后,各国纷纷实行非传统的货币政策来刺激经济。自2009年下半年以来,随着一些国家的经济状况开始恢复,人们开始担心通货膨胀的出现,因此研究非传统货币政策何时退出就成为当前各国宏观经济保持稳定的一个重要任务。发达国家实行非传统货币政策的原因在于传统的货币政策传导机制,即从市场基准利率向短期利率和长期利率的传导受阻。因此非传统货币政策实施的目的在于降低短期利率预期和风险溢价,同时提高通胀预期,降低长期实际利率,最终起到刺激实体经济的作用。文章以美国为例,考察了美国金融指标、通胀指标和宏观经济指标,得出结论:传统的货币政策传导机制的恢复还未得到充分的确认。另外,由于欧洲债务危机的出现给全球经济复苏蒙上阴影,因此全面退出非传统货币政策尚不具备条件。但是在全球化时代,寻求大国之间退出策略的合作和协调是十分必要的。