出口退税、汇率调整与出口企业的最优销量——基于相互市场古诺模型的分析

文章利用冰山假说把国内税率、出口退税率以及汇率政策因素纳入存在多个国内与外国企业的相互市场古诺模型,分析了以国内税、出口退税与汇率为核心的策略性贸易政策对出口企业利润最大化的最优出口销量与国内销售的影响,并且以这种比较静态分析为基础,对各种单一政策与多项政策组合的调整效力进行排序。这些分析得出如下的结论:就单一政策的调整效力而言,出口退税优于国内税收与汇率政策;就政策组合的调整效力而言,出口退税与国内税组合优于国内税与汇率的组合。     

Transaction taxes, greed and risk aversion in an agent-based financial market model

Recent agent-based financial market models came to the result that taxing financial transactions does not per se increase financial stability and that the response of volatility and misalignments to rising tax rates seem to be u-shaped. Moreover, greed and the risk appetite of traders are often blamed for financial instability and there is no evidence how greed and risk aversion affect the effectiveness of regulations in financial markets. We aim to add to this gap in the literature by analyzing how the effectiveness of transaction taxes depend on different behavioral patterns within an agent-based framework. Our simulations indicate that a tax rate of 0.1% demarcates the stabilizing tax regime from the destabilizing one. We figure out that transaction taxes are less effective, either when chartists trade more aggressively, fundamentalists trade less aggressively, agents switch more frequently between trading strategies or only have short memory in their fitness measures. Lower risk aversion of agents, however, makes higher tax rates more effective as indicated by a flatter volatility response curve. We conclude that additional regulations should concentrate on the traders’ responsibilities for their risk-exposure.     

Does options trading convey information on futures prices?

This paper studies the presence of informed trading in Taiwan stock index options (TXO) and analyzes the informational role of foreign institutions in incorporating information into Taiwan stock index futures (TX). We have found that only the option-induced part (OOI) of the total TX order imbalance can predict future TX prices, and the OOI calculated from open-buy TXO, defined by Ni et al. (2008), provides incremental predictability. This finding shows that the price predictability stems from the information flow resulting from option transactions rather than from liquidity pressure. We conclude further that option transactions from foreign institutions provide the most significant predictability, out-of-the-money option transactions in particular. These empirical results show that option transactions conducted by foreign institutions have played the primary role in conveying the information inherent in the TXO market to the TX market, foreign institutions being delta-informed traders. Retail investors, the major players in both the TXO and TX markets, have done almost nothing of significance with regard to TXO information transmission into the TX market, with the exception of some near-the-money and out-of-the-money options.     

The merit of a Canada-US monetary union

Institutions of a monetary union are described. The union leaves unchanged countries’ international competitiveness and national real incomes. Static gains arise from lower interest rates in Canada and Mexico because national monetary and exchange rate instability are eliminated. There will be lower costs of foreign exchange transactions. Dynamic gains arise in the form of greater labor market discipline, better signals about developing comparative advantage and higher economic growth. Traditional criteria for the optimality of monetary union are considered irrelevant because they rely on economic characteristics, which are endogenous to the monetary system in operation.     

Trading patterns in the European carbon market: The role of trading intensity and OTC transactions

This paper examines the effect of trading intensity and OTC transactions on expected market conditions in the early development period of the European Carbon futures market. Past duration and trading intensity are used as information related order flow variables in modelling time between transactions in two new specifications of Autocorrelation Conditional Duration (ACD) models. This allows for specific investigation of non-linear asymmetric effects on expected duration and the impact of OTC transactions. Evidence is presented of two main types of trading episodes of increased and decreased trading intensity. Both have a significant impact on price volatility, which increases further if an OTC transaction intrudes. OTC transactions also play a dual role. They slow down trading activity in the short term (over the next five transactions) but increase it substantially in the long term (over ten transactions). Both the liquidity and information price impact components increase following an OTC trade, but the information impact is greater. Price volatility calms down faster than liquidity effects following an OTC trade, and this is more pronounced in ECX and in Phase II. The combined evidence points towards increased market depth, efficiency and maturity of the trading environment.     

Managerial Perceptions of the Net Benefits of Foreign Listing: Canadian Evidence

This study provides some insights into managerial perceptions of the costs, benefits, and net benefits of foreign listing through a survey of Canadian firms that have listed their securities on the foreign exchanges in the U.S. and U.K. Access to foreign capital markets and increased stock marketability are perceived to be the major benefits. The SEC reporting and compliance requirements are cited as the major costs of foreign listings. Overall, benefits are perceived to outweigh costs although not significandy. Managerial perceptions of positive net benefits are strongly linked to the levels of trading volume in their firm's stock on foreign exchanges. This study is useful for managers contemplating foreign listings. Our findings indicate that the listing decision requires careful scrutiny in terms of potential costs and benefits which may depend on many firm specific factors. Firms conducting most of their business abroad and issuing a greater percentage of equity abroad are likely to have a greater appeal for foreign investors irrespective of their size and industry. While multiple listings on foreign exchanges may not imply higher foreign trading volumes, fewer domestic exchange listings are associated with higher foreign trading volumes.     

Feedback trading in exchange-rate markets: Evidence from within and across economic blocks

This paper examines the pattern of autocorrelation of exchange rates in the EU, ASEAN, and NAFTA. We find no feedback trading within blocks among developed financial markets’ currencies, but it exists for less developed financial markets. Across blocks, no feedback trading is found. ASEAN currencies are an exception on both counts. When present, feedback trading is a destabilizing factor, and it takes place during rising volatility. Finally, the prevalence of negative feedback trading suggests that, in spite of the recent addition of new players into the market, such as mutual funds and hedge funds, the foreign exchange market is mainly influenced by informed players and/or central banks which intervene to protect their currencies.     

News will tell: Forecasting foreign exchange rates based on news story events in the economy calendar

The paper proposes a novel approach to predict intraday directional-movements of currency-pairs in the foreign exchange market based on news story events in the economy calendar. Prior work on using textual data for forecasting foreign exchange market developments does not consider economy calendar events. We consider a rich set of text analytics methods to extract information from news story events and propose a novel sentiment dictionary for the foreign exchange market. The paper shows how news events and corresponding news stories provide valuable information to increase forecast accuracy and inform trading decisions. More specifically, using textual data together with technical indicators as inputs to different machine learning models reveals that the accuracy of market predictions shortly after the release of news is substantially higher than in other periods, which suggests the feasibility of news-based trading. Furthermore, empirical results identify a combination of a gradient boosting algorithm, our new sentiment dictionary, and text-features based-on term frequency weighting to offer the most accurate forecasts. These findings are valuable for traders, risk managers and other consumers of foreign exchange market forecasts and offer guidance how to design accurate prediction systems.     

Order flow in the South: Anatomy of the Brazilian FX market

This paper analyses one of the main pillars of Brazil's newly found economic resilience: a maturing FX market providing support to its managed floating exchange rate regime. I develop a microstructure model suitable to describe the Brazilian FX market, an emerging economy frequently subjected to sudden stops in capital flows. The model introduces two major changes relative to previous microstructure models. First, dealers may decide to hold overnight positions in the FX market if they find it profitable to do so. Second, customers’ demand for foreign exchange is a function of macroeconomic fundamentals, including contemporaneous feedback from exchange rate movements. The main predictions of the model are supported by a unique data set, covering all transactions between dealers and customers from the official Brazilian FX market from July 1, 1999 to June 30, 2003 (a time period in which Brazil suffered two severe external liquidity shocks).     

The Economic Determinants of the Home Country Bias in Investors' Portfolios: A Survey

In this article, we survey the international portfolio choice literature to investigate why investors choose to bias their portfolios towards domestic equity, even though there are significant gains to diversifying internationally. We focus on three potential explanations. First, we consider if the high proportion of domestic assets in investors' portfolios can be explained by their desire to hedge home inflation. While the models of Krugman (1981), Sercu (1980), Adler and Dumas (1983), and Stulz (1981a, 1983) suggest that this is the case, the model in Uppal (1993) shows that this is true only when relative risk aversion is less than one. Second, we consider the prevailing institutional barriers to foreign investment to see if they are sufficiently large to explain the bias observed in investors' portfolios. Halliday (1989) reports that there are few constraints on investing in foreign stock markets. This is especially true when investing in the markets of developed countries. Even when restrictions exist, they are usually not binding. Third, we consider the models of Black (1974) and Stulz (1981b) to see if transactions costs for investing abroad and taxes on income from foreign assets can explain the home equity bias. Cooper and Kaplanis (1986, 1991) and French and Porterba (1991) estimate that the taxes required to explain the observed bias are much larger than those investors actually face. We conclude that it is unlikely that these three factors are significant enough to explain the degree of the bias in portfolios that is observed empirically.     

Moneyless exchange: Attitudes of participants in Australian community barter systems

Community-based barter systems, known as LETS, appear to have become in-stitutionalised, that is accepted as an alternative exchange system across Australia and in other Western countries. LETS are non-profit enterprises, which allow members of a community to exchange goods and services without cash. A search of the literature reveals that very little empirical investigation has been conducted on these systems. Hence, the purpose of this study is to provide insight on the motivations for the establishment of these systems and to contribute to the literature on community-based barter. This paper reports the findings of a survey of 371 members of Australian LETS. The findings indicate that LETS are most attractive to the unemployed and those with low household incomes. LETS have been established to empower and build cohesive communities; the benefits of membership are both economic and psycho-social, and include a better quality of life, increased freedom and opportunities for using skills. The disadvantages of membership in LETS include limited trading opportunities and some trading problems. While pricing varies across transactions, most members report that they generally buy and sell within the system at the equivalent of the cash price. The success of LETS is based on the establishment and maintenance of good trading relationships and these systems are expected to continue irrespective of the economic climate.     

Contract Formalization and Governance of Exporter–Importer Relationships

abstract    Exporting relationships between manufacturers and foreign importers pose unique coordination problems because, on the one hand, transactions are recurrent and both firms make non-trivial relationship-specific investments, but at the same time, the exchange partners maintain separate legal entities with individual profit claims. This study examines the role of contracts as a governance mechanism in these relationships that are neither market-based discrete transactions, nor can be governed through ownership-based hierarchies. Drawing upon recent research on contract law and interorganizational relationships, we develop and empirically test a model that incorporates both the antecedents and performance implications of the nature of contract governing exporter–importer relationships.     

汇率预期、外汇供给与外汇储备

基于货币资产组合思想和外汇储备供求理论,本文综合运用理论和实证的研究方法分析了汇率预期、外汇供给和外汇储备三者之间的关系。理论研究发现:直接标价法表示的汇率预期波动对非国际货币发行国的外汇供给具有反向影响,而且这种反向影响随着预期汇率大小的不同具有分段特征;为了维持汇率的相对稳定,外汇供给增加的冲击会导致非国际货币发行国的外汇储备增加,但即期汇率的变化方向并不确定;总体而言,预期汇率波动对非国际货币发行国外汇储备具有反向影响。基于中国数据的实证研究很好地支持了理论分析的结论。     

Does algorithmic trading harm liquidity? Evidence from Brazil

This paper provides the first evidence of algorithmic trading (AT) reducing liquidity in the Brazilian equities market. Our results are contrary to the majority of work which finds a positive relationship between AT and liquidity. Using the adoption of a new data center for the B3 exchange as an exogenous shock, we report evidence that AT increased realized spreads in both firm fixed-effects and vector autoregression estimates for 26 stocks between 2017 and 2018 using high-frequency data. We also provide evidence that AT increases commonality in liquidity, evidencing correlated transactions between automated traders.     

Illusory profitability of technical analysis in emerging foreign exchange markets

We conduct an extensive examination of the profitability of technical analysis in ten emerging foreign exchange markets. Studying 25,988 trading strategies for emerging foreign exchange markets, we find that the best rules can sometimes generate an annual mean excess return of more than 30%. Based on standard tests, we find hundreds to thousands of seemingly significant profitable strategies. However, almost all of these profits vanish once the data snooping bias is taken into account. Overall, we show that the profitability of technical analysis is illusory.     

Currency substitution,risk premia and the Taylor principle

This paper studies the equilibrium determinacy properties of a simple interest rate rule in a small open economy subject to currency substitution (i.e., the use of a foreign currency for domestic transactions) and risk premia on foreign borrowing. It shows that if currencies are substitute in the provision of liquidity services the rule׳s response to inflation has to be sufficiently above unity for the equilibrium to be locally determinate. This reinforced Taylor principle requirement appears to be more binding in economies characterized by a larger elasticity of currency substitution, more debt-elastic country risk premia, and intermediate degrees of dollarization in transactions.     

WHAT DO WE KNOW ABOUT THE PROFITABILITY OF TECHNICAL ANALYSIS?

Abstract.  The purpose of this paper is to review the evidence on the profitability of technical analysis. The empirical literature is categorized into two groups, 'early' and 'modern' studies, according to the characteristics of testing procedures. Early studies indicate that technical trading strategies are profitable in foreign exchange markets and futures markets, but not in stock markets. Modern studies indicate that technical trading strategies consistently generate economic profits in a variety of speculative markets at least until the early 1990s. Among a total of 95 modern studies, 56 studies find positive results regarding technical trading strategies, 20 studies obtain negative results, and 19 studies indicate mixed results. Despite the positive evidence on the profitability of technical trading strategies, most empirical studies are subject to various problems in their testing procedures, e.g. data snooping, ex post selection of trading rules or search technologies, and difficulties in estimation of risk and transaction costs. Future research must address these deficiencies in testing in order to provide conclusive evidence on the profitability of technical trading strategies.     

The future of the dollar–euro exchange rate

Monetary unification in Europe is expected to produce a major new international currency, which may compete with the U.S. dollar as the currency of choice in foreign exchange transactions, financial asset markets and central bank reserves. This study considers two important issues regarding the euro: its global role as medium of exchange, unit of account, and store of value and its position relative to the U.S. dollar. Among the main considerations are differences in cyclical behavior, inflation differentials, trade patterns and capital flows, and risk-return assessments. External diversification of private portfolios and of central banks’ reserve holdings will play a key role in determining the euro’s exchange rate. Overall, despite its rough start, we argue that the euro may emerge as a challenger to the U.S. dollar.     

An investigation of causality between insider transactions and stock returns

Prior research shows that corporate insiders engage in profitable transactions by trading securities of their own firms. The main purpose of this study is to examine whether insider transactions and stock returns have causality relationships at the firm level for a sample of 2,521 firms during the period 1988 to 1998. We find a large impact of stock returns on subsequent insider transactions at both the aggregate and firm levels. The impact appears to be negative which suggests that insiders buy after stock price decreases and sell after stock price increases. Our findings on the predictive content of insider transactions for subsequent stock returns are primarily consistent with prior literature. We observe a positive but weak relationship between insider transactions and future stock returns.     

On exchange rates and economic growth

Extending Ireland's (1994) model, this paper analyzes an international economy where cash or credit can be used for payment. Foreign trade credit is more costly than its domestic analog. A depreciation of the real exchange rate is associated with an external surplus and a reduced share of imports purchased with credit. Economic growth slows when foreign trade credit becomes the predominant means of payment for international transactions. A country with high inflation exports its Tobin effect and thus temporarily increases world growth.