需求因素对CPI变动影响的实证分析

本文在简要回顾改革开放以来我国历次通货膨胀起因的基础上,认为需求因素对本轮通货膨胀的影响较大。文章从货币供应和宏观经济两个角度实证分析货币供应量、GDP和工业增加值与CPI的关联性和变化规律,并根据上述指标的运行趋势,认为CPI可能呈现前高后稳的态势。     

货币供应量、工业增加值与股票指数的动态关系分析

本文首先运用基于VAR模型的脉冲响应函数(Impulse Function)研究货币供应量、工业增加值与我国股市股指的动态影响关系,然后应用协整理论分析工业增加值、货币供应量与股指之间的长期均衡关系,从短期和长期两方面较系统地把握三者之间的动态影响关系,为投资者投资和决策者制定保持股票市场与宏观经济良性互动的政策提供依据。     

宏观经济变量对股票价格指数影响的实证研究

中国的股票市场自从上世纪80年代诞生以来,便进入了迅猛的发展阶段。如今,股票市场已然成为中国的"经济晴雨表"。可见,股票市场和宏观经济之间有着非常紧密的联系。本文选取货币供应量M2、工业增加值IP、利率R三个宏观经济变量,以及上证综合指数来分析研究宏观经济变量对股价指数的影响。     

我国货币供应量与通货膨胀关系的实证分析

本文利用1986年以来货币供应量与通货膨胀的数据,运用图示法和模型检验,对各层次货币供应量与通货膨胀的相关性、因果关系进行分析检验.结果显示:各层次货币供应量中,M2与CPI存在较强相关性;在各时间阶段中,1997-2008年M2与CPI的相关性较1986-1996年强;CPI与M2存在格兰杰因果关系.文章进一步对检验结果进行了阐释,进而提出政策建议.     

我国广义货币供应量M2的回归模型与预测

货币供应量是货币政策工具重要的中介变量。该文通过分解我国货币供应量的诸多宏观影响因素，尝试建立一个较为完整的货币供应量多变量回归模型，揭示宏观经济变量对货币供应量的影响程度，并运用该模型对货币供应量的短期变化进行预测，以期为把握宏观经济形势、理解货币政策变化及预判金融市场走势提供参考依据。检验结果表明，该模型对货币供应量的预测比较符合实际情况。     

货币供应量与通货膨胀关系的实证分析

本文以1997年到2010年第3季度的广义货币供应量M2以及CPI为样本数据,运用单位根检验、协整检验和格兰杰因果关系检验实证分析货币供应量变动对我国通货膨胀的影响,得出货币供应量对我国通货膨胀的影响程度较小,并在此结论的基础上提出了相应的政策建议.     

中国的货币流动性分析

货币流动性(M1/M2)测度了货币供应内部的活跃程度,是宏观经济分析中普遍关注的重要变量之一。本文着重对中国货币流动性相对稳定期间(1997～2010年)的情形进行分析,探寻货币流动性的影响因素及其经济内涵。文章发现,近年来工业增加值的增加和股指的高企引发了货币活化程度的提高。实际利率对货币活化水平有短期负向作用,但其影响系数和显著性有限,这可能与我国利率尚未完全市场化有关。实际利率与货币活化却存在长期正向关系,这很可能与"金融深化"有关,即长期内实际利率的提升有助于解除资金价格扭曲和金融抑制,增加货币活化程度。随着中国经济金融的不断发展,影响货币活化的因素必将不断演变,时常考察其决定因素,有助于为宏观分析提供有价值的经济信息,并为前瞻性的宏观金融调控提供决策支持。     

影响A股市场估值的因素分析

股票市场如其它很多金融市场一样,其根本特点就是收益与风险并存.各股的涨跌与企业的业绩,基本面有着密切的关系,同时,中国股市,作为一个政策市,与宏观经济因素也有着重大的关联性.影响股票波动的因素非常多,本文主要着重于研究货币供应量M1对个股股价的影响,利用相关性检验,讨论他们之间的相关关系.结果发现86%的股票价格与货币供给量相似度达到0.7以上,与市场均衡理论相符     

政策不确定性与金融市场系统性风险——基于信息溢出的视角

本文从静态和动态两个方面测度了经济政策不确定性与金融市场收益率、波动率间的信息溢出效应,分析了股票市场、外汇市场、债券市场、黄金市场和货币市场五个金融子市场的信息溢出贡献度及其动态特征。研究发现,经济政策不确定性与金融市场间存在显著信息溢出效应,并呈现出时变性和双向性特征。样本期内,存在金融市场收益率对经济政策不确定的正向净溢出,金融市场波动率对经济政策不确定则表现为负向净溢出。从数值上看,政策不确定性与金融市场波动率间信息溢出强于与金融市场收益率间信息溢出。各个金融子市场在方向性溢出效应中贡献率结果显示,不同时期不同金融市场与经济政策不确定性间溢出效应存在差异。     

超额货币供给的通货膨胀效应及对股票市场的影响

本文利用费雪交易方程式,针对90年代以来我国货币(M1)与准货币(M2)供给量,对货币的超额供给进行了验证。并运用VAR模型进一步量度超额货币与通货膨胀的关系,发现M2与通货膨胀存在一定相关性且具有单项的granger原因。用普通最小二乘法(OLS)对货币供应量与股票价格指数的长期均衡做出分析,对比了M1、M2对股票价格指数的影响,M2与股票价格指数之间不存在长期均衡。其意义在于预测我国未来一年的货币政策力度以及股市走向,为中国减缓通货膨胀压力提出了政策参考。     

Impact of financial market uncertainty and macroeconomic factors on stock–bond correlation in emerging markets

This paper examines the impact of global financial market uncertainty and domestic macroeconomic factors on stock–bond correlation in emerging markets. In particular, by applying the wavelet analysis approach, we are able to examine stock–bond correlations over different time horizons in ten emerging markets. We find that stock–bond correlation patterns vary significantly between the time horizons. In particular, the correlation in short horizon changes the sign rapidly showing sustainable negative episodes while the correlation in long horizon stays positive most of the time. The most important factor influencing stock–bond correlation in short horizon is the monetary policy stance, while the factors with the greatest long-term impact are inflation and stock market uncertainty. Finally, global stock market uncertainty plays a more significant role than global bond market uncertainty in explaining stock–bond correlations in emerging markets.     

Risk management,nonlinearity and aggressiveness in monetary policy: The case of the US Fed

We contribute to the empirical literature on the risk-management approach to monetary policy by estimating regime switching models where the strength of the response of monetary policy to macroeconomic conditions depends on the level of risk associated with the inflation outlook and risk in financial markets. Using quarterly data for the Greenspan period we find that: (i) risk in the inflation outlook and in financial markets are a more powerful driver of monetary policy regime changes than variables typically suggested in the literature, such as the level of inflation and the output gap; (ii) estimation of regime switching models shows that the response of the US Fed to the inflation outlook is invariant across policy regimes; (iii) however, in periods of high economic risk monetary policy tends to respond more aggressively to the output gap and the degree of inertia tends to be lower than in normal circumstances; and (iv) the US Fed is estimated to have responded aggressively to the output gap in the late 1980s and beginning of the 1990s, and in the late 1990s and early 2000s. These results are consistent with Mishkin (2008)’s view that in periods of high economic risk monetary authorities should respond aggressively to changes in macroeconomic conditions while the degree of inertia should be lower than in normal circumstances.     

Dynamic interdependencies among the housing market,stock market,policy uncertainty and the macroeconomy in the United Kingdom

In this study, we examine the dynamic interdependencies among the housing market, stock market, policy uncertainty and the macroeconomy in the United Kingdom, over the period 1997 M1–2015 M02. The findings of this study suggest the following empirical regularities. First, the transmission of various types of shocks contributes significantly to economic fluctuations in the United Kingdom. Second, spillovers show large variations over time. Third, in the wake of the global financial crisis, spillovers have reached unprecedented levels. Specifically, we find large spillovers of shocks from the housing market, stock market and economic policy uncertainty to inflation, economic growth and monetary policy stance. These results illustrate the contagion from the housing and financial crisis to the real economy and the policy reaction to stabilize the economy.     

Financial market spillovers and macroeconomic shocks: Evidence from China

With the development of China’s financial reform, Chinese financial markets have become closely linked. The cross-market spillover effect of financial risks is at the core of systemic risks. This paper’s marginal contributions include (1) a new method is proposed based on structure learning for Bayesian networks to measure the multilateral spillover effect of a multiasset financial system. Additionally, this paper discusses (2) the macroeconomic mechanism behind the linkage of financial markets. The empirical results show that (1) the linkages between financial markets significantly exist, (2) uncertainty and negative macroeconomic shocks enhance the spillover effect in financial markets, and (3) the impact of negative macroeconomic shocks on the spillover effect of the financial market is weakened at the high economic growth stage.     

股票、股指期货跨市场信息监管的国际比较及借鉴

股指期货推出后,股票市场和股指期货市场跨市场信息监管成为金融监管机构亟待解决的问题。本文以金融市场微观结构理论和信息经济学为基础,结合股指期货和股票市场的风险关联特性,研究信息在股指期货市场和股票市场传导的一般规律,并分析了跨市场信息监管在信息传导过程中的作用;以此为基础,分析比较了海外证券市场跨市场信息监管具体运作体系,并结合我国证券市场特殊性提出我国股票市场和股指期货市场跨市场信息监管框架、流程和以跨市场信息监管为核心的监管手段。     

Monetary policy for emerging market economies: beyond inflation targeting

Monetary policymakers normally seek to achieve multiple objectives: for prices as well as real economic activity, sometimes for the composition of real activity as well as the aggregate, and often for aspects of the economy's international balance. The fact that monetary policy has only one basic instrument to use therefore creates both complexity and tensions among these objectives. Although inflation targeting represents a way of imposing a logical consistency on monetary policy, in the presence of multiple policy objectives inflation targeting undermines policy transparency and therefore makes accountability more difficult too. Because of the limitation of monetary policy's having only one instrument, but multiple objectives, fiscal policy and prudential supervision and regulation of financial institutions are also important for enabling emerging market economies to achieve their macroeconomic aims.     

Self-oriented monetary policy,global financial markets and excess volatility of international capital flows

This paper explores the nature of macroeconomic spillovers from advanced economies to emerging market economies (EMEs) and the consequences for independent use of monetary policy in EMEs. We first empirically document that a US contractionary monetary policy shock leads a retrenchment in EME capital flows, a fall in EME GDP, and an exchange rate depreciation. We construct a theoretical model that can help to account for these findings. In the model, macroeconomic spillovers may be exacerbated by financial frictions. Absent financial frictions, international spillovers are minor, and an inflation targeting rule represents an effective policy for the EME. With frictions in financial intermediation, however, spillovers are substantially magnified, and an inflation targeting rule has little advantage over an exchange rate peg. However, an optimal monetary policy markedly improves on the performance of naive inflation targeting or an exchange rate peg. Furthermore, optimal policies don't need to be coordinated across countries. A non-cooperative, self-oriented optimal policy gives results very similar to those of a global cooperative optimal policy.     

央行货币政策报告文本信息、宏观经济与股票市场

本文利用金融情感词典和文本分析技术,分析中国人民银行货币政策执行报告的文本情绪、文本相似度和文本可读性等多维文本信息,刻画央行货币政策执行报告的文本特征,探究货币政策报告的文本信息与宏观经济和股票市场的关系。实证研究发现,货币政策报告的文本情绪的改善会引起显著为正的股票市场价格反应,报告文本相似度的增加会引起股票市场波动性的显著降低,报告可读性对公布后股票市场的波动性影响不显著。货币政策报告文本情绪还与诸多宏观经济指标显著相关。进一步研究发现,引起股票市场显著反应的是报告文本情绪中反映货币政策指引的部分,而反映宏观经济历史状态的部分对股票市场的影响不显著。本文从文本大数据分析角度证明了我国央行沟通的有效性,对国内央行沟通相关研究形成了有益补充。     

A Rational Expectations Model of Financial Contagion

We develop a multiple asset rational expectations model of asset prices to explain financial market contagion. Although the model allows contagion through several channels, our focus is on contagion through cross-market rebalancing. Through this channel, investors transmit idiosyncratic shocks from one market to others by adjusting their portfolios' exposures to shared macroeconomic risks. The pattern and severity of financial contagion depends on markets' sensitivities to shared macroeconomic risk factors, and on the amount of information asymmetry in each market. The model can generate contagion in the absence of news, as well as between markets that do not directly share macroeconomic risks.     

货币政策与宏观审慎政策共同支持宏观经济稳定

货币政策是维持宏观经济稳定运行的重要政策工具,但2007—2009年国际金融危机表明,仅仅保持物价水平稳定,忽视金融风险,并不足以维持宏观经济稳定。近年来中国提出双支柱宏观政策框架以支持宏观经济稳定,这一创新具有重要的理论与现实意义。我们首先提出了双支柱宏观调控的框架,强调应该注重两类政策目标的协同与矛盾、政策传导渠道的相互交叉与影响、冲击类型与开放条件的差异等,从而保证双支柱宏观调控对宏观经济的稳定效应。接下来,我们建立了一个DSGE两国模型,作为分析双支柱宏观调控稳定宏观经济的案例研究。研究表明,第一,金融冲击下,货币政策有助于稳定宏观经济,且随着汇率制度从固定转向浮动,货币政策稳定宏观经济的效果会明显加强。第二,在货币政策的基础上,增加以跨境资本流入税为代表的宏观审慎政策工具,可以有效遏制金融市场的顺周期机制,进一步提高宏观经济的稳定性,从而验证了双支柱宏观调控的有效性。第三,双支柱宏观调控的有效性与汇率制度有关,当汇率灵活性水平较低时,双支柱宏观调控对宏观经济的稳定效果更好。