论“金砖四国”的贸易关系构建

中国经济的持续、高速增长以及贸易规模的迅速扩大,导致中国在"金砖四国"贸易关系中处于重要位置。中国应在构建"金砖四国"贸易关系上发挥更加积极的主导作用,致力于扩大"金砖四国"间的贸易规模并努力消除四国间的贸易摩擦,力求维护并巩固"金砖四国"贸易关系的稳健性,有效提高四国贸易关系中的系统抵御外部风险能力。     

美国量化宽松政策对金砖四国溢出效应的比较研究——基于SVAR模型的跨国分析

本文通过构建SVAR模型,对美国量化宽松政策与金砖四国的汇率、产出和通胀之间的动态关系进行了实证检验。结果表明:量化宽松政策的实施推动了人民币的升值,且较之于巴、俄、印三国,该政策对人民币汇率的正向冲击更加明显;量化宽松政策的实施对巴、印、中三国的产出水平构成了负向冲击,同时该政策对中国产出水平的负向冲击更加持久;量化宽松政策的实施对金砖四国的通胀均构成了正向冲击。文章的实证研究结论表明量化宽松政策对金砖四国的汇率、产出和通胀产生了显著影响,但由于四国在经济结构等方面存在差异,这种影响对四国而言也不尽相同。     

宏观经济与股票价格波动之间的关系研究

利用Copula模型,研究宏观经济变量与上证股指收益率之间的相关关系,在选择合适的边缘分布函数的基础上,分别建立了常相关的二元正态Copula函数、t—Copula函数、FrankCopula函数、ClaytonCopula函数以及Gum—belCopula函数模型,并且利用欧氏距离方法选择出最佳拟合Copula模型。选取2001年1月至2011年12月的月度数据作为处理对象,并利用最佳拟合模型分析宏观经济变量与上证股指收益率间相关关系及相关结构,从而揭示了中国宏观经济与股票市场之间的相关性。     

金砖新兴股票市场国际定位及其溢出效应检验

金砖四国新兴股票市场已不同程度地融入了全球一体化进程之中。从水平溢出效应看,四国股票市场受发展中国家指数收益率的影响都不够发达,只有中国在考虑汇率后对发达国家或全球指数收益率有显著作用;巴西和中国(考虑汇率后)对本地区有显著影响。从波动溢出效应看,除中国外,其他三国均影响发达国家或全球、发展中国家和本地区指数收益。     

美国货币政策 对中国宏观经济的影响

本文研究美国货币政策对我国宏观经济的影响，从存在性检验和强度测算两个方面予以分析，运用虚拟变量刻画量化宽松货币政策的实施情况，并引入Gumbel Copula上尾相依系数来检测其波动效应的存在。实证结果不仅验证了理论分析的合理性，也证明了美国货币政策的负波动效应，以及量化宽松货币政策与传统货币政策间的协同效应。     

“金砖四国”公共债务增长对收入分配的影响分析

公共债务的增长对收入分配差距的恶化有着重要影响。文章通过采用"金砖四国"1995年至2012年的公共债务、基尼系数、人均GDP、失业率等变量的统计数据,建立一个包括收入分配和公共债务的模型,定量分析了公共债务的增长对收入不平等的影响。研究结果表明:1995年至2012年间,"金砖四国"公共债务规模的增加将带来收入不平等程度的上升。因此,"金砖四国"政府应通过控制债务规模、优化公债结构、合理确定公债资金用途等措施来缩小收入分配差距。     

"金砖四国"政治经济合作与发展

近年来,"金砖四国"经济发展和实力增强的速度与时俱增,并且各国在加强经济合作的同时也积极开展内部会晤,使得"金砖四国"在组织机制和政治领域的交流与合作都有了进一步提高.本文通过分析"金砖四国"特点,回顾近些年"全砖四国"发展历程及相互合作.展望"金砖四国"间政治经济合作与发展的前景.     

基于分层条件Copula的金融危机传染路径研究

本文采用分层条件Copula理论来研究次贷危机和欧债危机下的危机传染路径问题。在研究中采用t-GARCH (1,1)模型拟合各个金融市场的股指日收益率,以条件Copula分析两次危机下中国大陆股市与美国股市、英国股市、日本股市、台湾股市、香港股市2005年1月至2012年7月间的风险传染关系。实证研究表明：次贷危机期间美国股票市场将危机传染到香港股票市场,再由香港股票市场传染其他亚洲股票市场。而在欧债危机期间英国股票市场分别直接传染美国股票市场和香港股票市场,再通过香港股票市场对其他亚洲股票市场传染。两次危机下香港股票市场均是亚洲股票市场受到危机传染的媒介,因此我国在制定防范金融危机传染政策时应考虑对香港股票市场的控制,在传播层面上控制金融危机对我国的传染,减少对我国金融系统的冲击。     

金砖四国服务贸易现状及竞争力评析

服务业及服务贸易的发展是金砖四国产业结构调整的重要内容.本文从服务贸易规模和行业结构两方面分析了金砖四国服务贸易现状,并就金砖四国服务贸易综合竞争力水平及行业竞争力水平进行了测度和分析,结果发现金砖四国作为一个整体服务贸易总量不断增长且在国民经济中的地位不断加强,但服务贸易竞争力普遍低于世界平均水平,尤其是现代服务贸易更是滞后于四国经济的发展.因此,金砖四国应当采取有效措施发展服务业,从而提升服务贸易的竞争力水平.     

标准仓单质押组合的价格风险——基于中国农产品期货规范市场的实证研究

利用基于Copula函数的AR(p)-GARCH(p,q)模型计算的VaR能够对农产品标准仓单的价格风险进行准确度量。对大连商品交易所的典型期货交易品种——黄大豆一号、豆油、豆粕的期货合约日结算价进行了实证研究。研究结果显示:从对价格风险预测的盯市频率来看,时变VaR优于静态VaR,因此重视农产品价格风险的频次预测应替代传统风险判断的单次监测;从对风险因子间相依性结构的刻画来看,基于t-Copula函数计算的VaR优于基于正态Copula函数计算的VaR,因此质押物价格波动间的相关系数是度量组合风险时必须考虑的重要变量。     

Modeling the dependence structure between default risk premium,equity return volatility and the jump risk: Evidence from a financial crisis

This paper investigates the dependence structure between default risk premium, equity return volatility and jump risk in the equity market before and during the subprime crisis. Using iTraxx CDS index spreads from Japanese and Australian markets, the paper models the different relationships that can exist in different ranges of behavior. We consider several Archimedean copula models with different tail dependence structures, namely, Gumbel, Clayton, Frank, AMH and Joe copulas. Although the dramatic change in the levels of the iTraxx CDS index, we find strong evidence that the dependence structure between CDS and stock market conditions is asymmetric and orienting toward the upper side. In addition, we find that the Japanese CDS market is more sensitive to the stock return volatility than the jump risk and the magnitude of this sensitivity is related to the market circumstances. However, Australian CDS market is more sensitive to the jump risk than stock return volatility before and during the financial crisis. This result has important implications for both global financial stability and default risk management. Specifically, the heterogeneity of markets, coupled with the diversity in the risk exposures cause the default risk premium and equity markets to exhibit different levels of sensitivity.     

Tail dependence analysis of stock markets using extreme value theory

Financial risk modelling frequently uses the assumption of a normal distribution when considering the return series which is inefficient if the data is not normally distributed or if it exhibits extreme tails. Estimation of tail dependence between financial assets plays a vital role in various aspects of financial risk modelling including portfolio theory and hedging amongst applications. Extreme Value Theory (EVT) provides well established methods for considering univariate and multivariate tail distributions which are useful for forecasting financial risk or modelling the tail dependence of risky assets. The empirical analysis in this article uses nonparametric measures based on bivariate EVT to investigate asymptotic dependence and estimate the degree of tail dependence of the ASX-All Ordinaries daily returns with four other international markets, viz., the S&P-500, Nikkei-225, DAX-30 and Heng-Seng for both extreme right and left tails of the return distribution. It is investigated whether the asymptotic dependence between these markets is related to the heteroscedasticity present in the logarithmic return series using GARCH filters. The empirical evidence shows that the asymptotic extreme tail dependence between stock markets does not necessarily exist and rather can be associated with the heteroscedasticity present in the financial time series of the various stock markets.     

Time-varying dependence structures of equity markets of China,ASEAN and the USA

Popular time-varying Copulas are used to analyse the dependence structure between the CSI 300 index return, the S&P 300 index return and the Association of South East Asian Nations (ASEAN) 80 index return. Results show that these three types of stock index returns have obvious time-varying characteristics. The US sub-prime mortgage crisis has strengthened the correlation among the three-stock index returns, whereas the dependence between China and the ASEAN stock markets is more sensitive to the financial crisis. The time-varying features of the extreme dependence risk between China-ASEAN and China-US are very different.     

How are Africa's emerging stock markets related to advanced markets? Evidence from copulas

The finance literature provides ample evidence that diversification benefits hinges on dependence between assets returns. A notable feature of the recent financial crisis is the extent to which assets that had hitherto moved mostly independently suddenly moved together resulting in joint losses in most advanced markets. This provides grounds to uncover the relative potential of African markets to provide diversification benefits by means of their correlation with advanced markets. Therefore, we examine the dependence structure between advanced and emerging African stock markets using copulas. Several findings are documented. First, dependence is time-varying and weak for most African markets, except South Africa. Second, we find evidence of asymmetric dependence, suggesting that stock return comovement varies in bearish and bullish markets. Third, extreme downward stock price movements in the advanced markets do not have significant spillover effects on Africa’s emerging stock markets. Our results, implying that African markets, with the exception of South Africa, are immune to risk spillover from advanced markets, improves the extant literature and have implications for portfolio diversification and risk management.     

Tail dependence and diversification benefits in emerging market stocks: an extreme value theory approach

This article examines tail dependence, the benefits of diversification and the relation between the two for emerging stock markets. We find most emerging equity markets are independent in limiting joint extremes. However, the dependence in finite levels of extremes is still much stronger than the dependence implied by multivariate normality. Therefore, simple correlation analysis can lead to gross underestimation of the chances of joint crashes in multiple markets. Assuming risk-averse investors guarding against extreme losses, diversification benefits are measured for each two-country optimal portfolio by the reduction in quantile risk measures such as value-at-risk and expected shortfall relative to an undiversified portfolio. It is shown that tail dependence measures developed from multivariate extreme value theory are negatively related to diversification benefits and more importantly can explain diversification benefits better than the correlation coefficient at the most extreme quantiles.     

The impact of subprime mortgage on correlation between stock and FX markets

Our researching period contains the American subprime mortgage crisis, an insignificant financial crisis and the Asian financial crisis periods. We analyse and compare the interrelations between the stock and Foreign Exchange (FX) markets in Taiwan by the daily data of stock prices and NTD/US exchange rates. The empirical results found that there is no effect on the long-term equilibrium between the stock and FX markets during the American subprime mortgage crisis. It also shows that, whether financial crisis occurs or not, there is no cointegration between the stock and FX markets. Furthermore, the results find that there exists bidirectional causality between the stock and FX markets among the American subprime mortgage crisis and the Asian financial crisis period. However, there is only unidirectional relationship from stock prices to exchange rates during insignificant financial crisis period. Such results imply that two financial crises do significantly affect the short-term interrelationships between the stock and FX markets and lead to more importance for the connection between two markets.     

Co-movement in Stock Prices in Emerging Economies: The Case of the Caricom Region

The Grand Anse Declaration of 1989 recognised the need for financial integration within the emerging economies that comprise the CARICOM region, as a way of furthering the wider process of economic integration and, indeed, economic development in that region. Using co-movement as a measure of financial integration, this paper investigates the co-movement in stock prices among the Barbados, the Jamaica and the Trinidad and Tobago Stock Exchanges, the three major exchanges within the CARICOM region. It also examines how integrated these exchanges are with the New York Stock Exchange. The GARCH-Copula methodology and, to a lesser extent, estimated correlation coefficients, are used to attain this objective. There appears to be co-movement in stock prices and returns within the CARICOM stock markets and significant dependence structures between the returns of the three CARICOM stock markets. However, there is considerably less evidence of integration between the CARICOM markets and the New York Stock Exchange.     

P2P网络借贷市场对资本市场的风险溢出效应

构建Copula-GARCH模型,并利用2013—2016年中国P2P网络借贷市场、股票市场和债券市场的日收益率数据,实证研究了P2P网络借贷市场对资本市场的风险溢出效应。结果显示:P2P网络借贷市场与股票市场之间存在"跷跷板"效应,与债券市场之间呈现出较弱的联动效应;P2P网络借贷市场与股票市场和债券市场的上、下尾部相关性均很弱,风险溢出效应不显著。结论表明:在确保金融系统稳定的同时,中国可以适度发展P2P网络借贷行业。     

Global and Extreme Dependence Between Investor Sentiment and Stock Returns in European Markets

The authors investigate the global and extreme dependence structure between investor sentiment and stock returns in 7 European stock markets (Belgium, France, Germany, Greece, the Netherlands, Portugal, and the UK), over the period 1985–2015. Global dependence refers to the correlation of changes in sentiment and stock returns over the whole range of these 2 variables, and extreme dependence refers to the local correlation of high (i.e. asymptotic) changes in sentiment and high stock returns. Using copula models and a bootstrap procedure, 6 statistical tests are performed for this purpose. Among the results of the tests, the authors highlight those that provide evidence of contemporaneous lower extreme dependence and contemporaneous upper extreme independence between sentiment and returns. As policy implications, these results suggest that financial stability can be promoted if regulators consider the impact of their decisions on investor sentiment. Also, the results seem to support the arguments in favor of short selling ban during turmoil periods. Finally, overall, the results are relevant for both investors and regulators and reinforce the importance of considering investor sentiment to better understand the behavior of financial markets.     

Tail risk under price limits

This study investigates tail risk dynamics when price limits exist in stock markets, which have not been examined in the previous literature. We present the expected value of tail risk under price limits and then analyze the extent to which such limits affect Korean stock markets when they are eased gradually. The main results are threefold. First, tail risk is seriously underestimated in stock markets with a price limit system. Second, tail risk is a significant risk factor in determining asset prices if price limits are above a certain level (15%). Lastly, related to the Korean economy, tail risk has predictive power to the future stock returns when the price limit is more than 15%. In particular, tail risk has no predictive power until price limits are relaxed to 15%, implying that caution is needed when the effects of tail risk are analyzed in countries where price limits exist.