人民币即期汇率市场与境外衍生市场之间的信息流动关系研究

本文基于格兰杰因果检验方法和MGARCH-BEKK模型,检验人民币即期外汇市场与境外期货市场、境外NDF市场之间的信息流动关系。结果表明:境外期货市场对即期市场不具有任何溢出效应,期货市场的建立并未对即期市场的稳定性产生影响;境外NDF市场对即期市场存在着显著的报酬溢出效应;即期市场对各境外衍生市场仅具有滞后的报酬溢出效应,在价格变动上被境外NDF市场所引导;但在波动溢出效应方面,市场信息则由即期市场向各境外衍生市场单向传递。在三个市场中,境外NDF市场的价格引导力量强于即期市场和期货市场,处于市场价格信息的中心地位。     

人民币离岸市场与境内市场的信息传递研究——基于NDF汇率和即期汇率的实证分析

本文研究人民币即期汇率与NDF之间的关系和信息流的传递.利用MA(1)-GARCH(1,1)模型描述人民币即期汇率与NDF的变动,用GARCH模型检验人民币即期汇率与NDF之间的均值溢出效应和波动溢出效应.得到的主要结论为,人民币NDF市场对人民币即期汇率市场有均值溢出效应,人民币即期汇率和NDF之间有双向波动溢出效应.这表明信息流由境外市场传导至境内市场,人民币即期汇率市场受到境外市场因素的影响,离岸人民币NDF市场是境内即期市场的先导.     

香港和境内人民币远期汇率的溢出效应研究

本文运用平稳性检验、格兰杰因果检验等计量经济学方法,对香港人民币无本金交割远期汇率(NDF)与境内人民币远期汇率之间的报酬溢出效应进行实证分析。研究发现:香港人民币NDF汇率对境内人民币远期汇率存在单向的报酬溢出效应,而不存在反向传导关系。根据研究结论,作者建议我国要进一步增强人民币汇率弹性、完善汇率形成机制,促进市场竞争和提高远期市场定价的效率。     

人民币NDF对境内人民币即期汇率的影响

本文以境外人民币NDF(无本金交割远期)市场和境内人民币即期市场为研究对象,选取2010年8月至2013年11月间1个月、3个月、6个月及1年期人民币NDF汇率和境内即期汇率作为样本数据,通过Granger因果检验分析了两个市场之间的价格引导关系。实证结果表明,境外人民币NDF(无本金交割远期)市场不存在对境内人民币即期市场的价格引导,而境内即期汇率却是人民币NDF汇率变动的先导变量。     

人民币离岸NDF汇率与境内人民币汇率关系的实证

人民币汇改以来,人民币离岸NDF市场的交易日趋活跃,对人民币汇率走势预期的影响也日渐增强.实证结果表明,人民币离岸NDF 市场上存在着不同程度的人民币升值预期,预期升值水平与NDF汇率期限相关;人民币离岸NDF汇率影响着人民币即期汇率,离岸NDF市场对人民币即期市场存在单向波动溢出效应,在信息传递上表现为人民币离岸NDF市场的汇率信息向境内人民币市场传递.     

NDF市场与境内人民币汇率的互动研究

本文具体分析了离岸NDF交易对于境内人民币汇率的影响机制和效应,并对NDF汇率和境内即期和远期汇率之间进行了格兰杰因果检验,结果表明：境内即期汇率与NDF汇率之间有较强的引导作用,且境内即期汇率占主导地位;1年期的NDF汇率与境内远期相互引导,而其他期限品种只存在境内远期汇率对NDF汇率的引导作用。最后提出了若干境内远期外汇市场发展的政策建议。     

人民币国际化进程中不同市场汇率关联性的实证研究——基于CNY、CNH和NDF市场的数据

本文检验了人民币在岸市场(CNY)即期汇率、香港人民币离岸市场(CNH)即期汇率和海外人民币无本金交割市场(NDF)远期汇率之间的交互关系。通过DCC-MVGARCH模型研究CNY、CNH、NDF三个市场汇率之间的动态相关关系,不仅考虑了三个市场汇率波动性的条件异方差性,还考虑了该波动性的相关性。通过计算三个市场的方差方程,得到衡量不同市场波动溢出效应的时变相关系数。研究结果表明,三个市场相关程度较强,信息传递较快;2007年前人民币在岸市场即期汇率与离岸市场即期汇率波动性关系不强,2007年后波动性影响显著,说明人民币国际化影响在加强。     

NDF市场:挑战与应对——各国NDF市场比较与借鉴

以NDF为代表的境外人民币衍生品的发展与影响是目前中国外汇当局最关注的问题之一。本文分析了人民币NDF市场的运行现状及其与人民币即期市场、人民币境内远期市场之间的关系和变迁,在借鉴各国NDF经验的基础上,对NDF运行机制进行了探讨,并提出可采取的应对策略,指出发展在岸NDF是我国目前可行的选择。     

境内外人民币外汇市场价格引导关系的实证研究——基于香港、境内和NDF市场的数据

2010年以来,人民币国际化进程加快,香港人民币可交割外汇市场发展迅速,成为人民币离岸市场的重要组成部分。香港和境内可交割人民币外汇市场以及NDF市场之间是否相互影响,存在什么样的影响路径,是人民币国际化过程中值得研究的一项重要内容。本文采用最新数据,通过构建VAR模型,运用协整检验、格兰杰因果关系检验、脉冲响应函数和方差分解等计量手段,对香港人民币即期价格和境内人民币即期价格之间的关系,香港人民币可交割远期、境内人民币远期和NDF价格之间的引导关系进行了实证分析。结果表明,现阶段境内人民币即期价格引导香港人民币即期价格,而香港的人民币可交割远期价格对境内远期价格开始产生一定的影响,而NDF市场对香港和境内人民币价格存在较强的影响。     

人民币境外NDF汇率、境内远期汇率与即期汇率的关系的实证研究

2005年7月21日汇率形成机制改革以来,人民币即期汇率波动幅度加大,企业和居民面临的汇率风险加大。在远期市场上,套期保值是规避汇率风险的常用办法。当前经营人民币远期产品的市场主要有两类,一类是境外NDF市场,另一类是境内远期外汇市场,包括银行间远期市场和远期结售汇市场。本文检验了境外NDF市场、境内远期外汇市场和即期外汇市场上人民币汇率的协整关系以及两类远期外汇市场的有效性。对各市场汇率时间序列进行的格兰杰因果检验表明国内远期外汇市场是人民币外汇市场的信息中心。最后,文章对当前的外汇管制政策进行了分析评论。     

Merging Markets

We study the causes and effects of the competition for order flow by U.S. regional stock exchanges. We trace the origins of competition for order flow to a change in the role of regional exchanges from being venues for listing local securities to being more direct competitors for the order flow of NYSE listings. We study the way regionals competed for order flow, concentrating on a series of stock-exchange mergers that occurred in the midst of this transition of the regional exchanges. The merging exchanges attracted market share and experienced narrower bid-ask spreads.     

Financial Markets Trends and Studies of Singapore Futures Markets

In this paper we explore some recent trends in the financial market and also report some studies of the Singapore futures markets. A characterization of trends shows that national securities markets are much closer than before. This means the linkages between securities and their derivatives and amongst themselves have be come much stronger. Secondly, the advent of sophisticated risk products and instruments and the knowledge to use them effectively would become a common theme together with the idea of value enhancements. Thirdly, computerizations and the internet will play an increasingly important role. So will empirical financial research become increasingly microscopic. The discussion will be supported by the experiences of the Singapore futures markets and various empirical research evidences. The paper also provides a detailed study of causality-in-variance test of information transmission between SIMEX and Osaka Stock Exchange on the Nikkei 225 stock index futures trading prior to, during, and immediately after the announcement of the collapse of Barings. The results are indicative of very strong international market linkages and a portent of things to come.     

Stimulating Housing Markets

We study temporary fiscal stimulus designed to support distressed housing markets by inducing demand from buyers in the private market. Using difference-in-differences and regression kink research designs, we find that the First-Time Homebuyer Credit increased home sales by 490,000 (9.8%), median home prices by $2,400 (1.1%) per standard deviation increase in program exposure, and the transition rate into homeownership by 53%. The policy response did not reverse immediately. Instead, demand comes from several years in the future: induced buyers were three years younger in 2009 than typical first-time buyers. The program's market-stabilizing benefits likely exceeded its direct stimulus effects.     

Complex Asset Markets

Investors' individual arbitrage models introduce idiosyncratic risk into complex asset strategies, driving up average returns and Sharpe ratios. However, despite the attractive risk-return trade-off, participation is limited. This is because effective Sharpe ratios in complex asset markets vary with investors' expertise. Investors with higher expertise, better models, and lower resulting idiosyncratic risk exposures realize higher Sharpe ratios. Their demand deters entry by less sophisticated investors. As predicted by our model, market dislocations are characterized by an increase in idiosyncratic risk, investor exit, and persistently elevated alphas and Sharpe ratios. The selection effect from higher expertise agents' more favorable Sharpe ratios is unique to our model and key to our main results.     

Renegade Asset Markets

Local markets with tight land use controls result in prices rising relative to wages and affordability. Affordability is eased by unconventional but risky finance. Tight land use and loose financing in these renegade markets concentrates the impact of national or international shocks. A positive demand shock raises prices in these tight markets. If ongoing price momentum is expected, households switch to ownership and landlords reduce the rental stock. House prices, rents and occupancy rise and fall together in these markets. A five-equation sequential structure in land use, financial contracts, house prices, rents and vacancy for 17 United States cities confirms geographical concentration. Coastal California and South Florida are fundamentally risky markets. Discount rates there are three percentage points higher than the sample median. Two percentage points are attributable to land use and the other to unconventional finance. National and international financial crises are highly concentrated regionally.     

Markets versus governments

We provide a simple framework for comparing market allocations with government-regulated allocations. Governments can collect information about individuals’ types and enforce transfers across individuals. Markets (without significant government intervention) have to rely on transactions that are ex post beneficial for individuals. Consequently, governments achieve better risk sharing and consumption smoothing than markets. However, politicians in charge of collective decisions can use the centralized information and the enforcement power of government for their own benefits. This leads to political economy distortions and rents for politicians, making government-operated allocation mechanisms potentially worse than markets. We provide conditions under which it is ex ante beneficial for the society to tolerate the political economy distortions in exchange for the improvement in risk sharing. For example, more effective controls on politicians or higher discount factors of politicians make governments more attractive relative to markets. Moreover, when markets cannot engage in self-enforcing risk-sharing arrangements and income effects are limited, greater risk aversion and greater uncertainty make governments more attractive relative to markets. Nevertheless, we also show theoretically and numerically that the effect of risk aversion on the desirability of markets may be non-monotonic. In particular, when markets can support self-enforcing risk-sharing arrangements, a high degree of risk aversion improves the extent of risk sharing in markets and makes governments less necessary. The same pattern may also arise because of “income effects” on labor supply. Consequently, the welfare gains of governments relative to markets may have an inverse U-shape as a function of the degree of risk aversion of individuals.     

Implied Volatility in Options Markets and Conditional Heteroscedasticity in Stock Markets

This study examines whether or not the volatility of stock index returns forecasted by a GARCH-M specification is consistent with the implied volatility observed in options markets. Recent data for the New York Stock Exchange Composite Index and Standard & Poor's 500 Index and their options are employed. The patterns of the term structure of implied volatility are compared with those of volatility estimates obtained from the GARCH process. The results indicate that the GARCH process appears to partially explain the variation of implied volatilities and the term structure of implied volatilities.