Yield curve in an estimated nonlinear macro model

This paper estimates a sticky price macro model with US macro and term structure data using Bayesian methods. The model is solved by a nonlinear method. The posterior distribution of the parameters in the model is found to be bi-modal. The degree of nominal rigidity is high at one mode (“sticky price mode”) but is low at the other mode (“flexible price mode”). I find that the degree of nominal rigidity is important for identifying macro shocks that affect the yield curve. When prices are more flexible, a slowly varying inflation target of the central bank is the main driver of the overall level of the yield curve by changing long-run inflation expectations. In contrast, when prices are more sticky, a highly persistent markup shock is the main driver. The posterior probability of each mode is sensitive to the use of observed proxies for inflation expectations. Ignoring additional information from survey data on inflation expectations significantly reduces the posterior probability of the flexible price mode. Incorporating this additional information suggests that yield curve fluctuations can be better understood by focusing on the flexible price mode. Considering nonlinearities of the model solution also increases the posterior probability of the flexible price mode, although to a lesser degree than using survey data information.     

New Keynesian dynamics in a low interest rate environment

Recent research has found that the dynamic properties of the New Keynesian model are unorthodox when the nominal interest rate is zero. Improvements in technology and reductions in the labor tax rate lower economic activity and the size of the government purchase output multiplier is very large. This paper provides evidence that these results are not empirically relevant. We show that a prototypical New Keynesian model fit to Japanese data exhibits orthodox dynamics during Japan's episode with zero interest rates. We then demonstrate that this specification is more consistent with outcomes in Japan than alternative specifications that have unorthodox properties.     

农地使用制度不确定性与水库移民安置区利益冲突及整合研究

研究目的:研究农地使用制度不确定性的表现形式及其对水库移民安置区各利益主体的影响。研究方法:理论分析法和文献资料法。研究结果:在现行承包关系与下轮承包关系衔接时,农地使用制度存在着在原承包地基础上单纯延长承包划和打乱再重新分配两种可能性,农地使用制度的不确定性造成安置区居民和移民之间在土地补偿和土地分配等方面存在诸多利益冲突。研究结论:完善农地使用制度方面的法律政策,明确下轮土地发包时采取保留承包地单纯延长承包期的方式,降低农地使用制度的不确定性,同时还应该明确安置区土地流转的性质和补偿标准,搭建安置区居民共享水利水电工程效益的平台,促进移民和安置区居民之间的整合。     

对地质找矿新机制的认识和理解

地质找矿新机制的"新"体现在"基金衔接"和"整装勘查"上,两者体现了国家对地质找矿的干预和调控.公益先行,重在解决地质找矿潜力和找矿空间选择问题,其定位符合地质规律和地质工作规律.地勘基金很大程度上具有暂时替代风险勘查资本市场的作用,要与地勘单位和矿山企业衔接好.商业跟进的核心是要确立企业在地质找矿中的主体地位.整装勘查是地质找矿组织模式的创新,对提高找矿效果,特别是找大矿具有重要意义.要注意防止地方以地勘基金之名掌控矿业权,要通过资源税费制度改革,从根本上解决地方政府掌控和经营矿业权的冲动.新机制要研究通过进一步深化改革,逐步解决勘查资本与技术分离问题,促进两者有机结合.     

当代中国利益集团结构失衡与重构

在社会转型期间,政治生活和经济生活的巨大变化对制度变革和调整提出了新的要求,同时也带来了利益结构的变化。在利益结构中出现了强势利益集团,从而造成利益结构的严重失衡。认识我国目前所存在的利益结构失衡,尤其是对强势利益集团结构的解析,对其形成的原因进行剖析,重构利益结构,可以促进利益结构的均衡,推进和谐社会的发展。     

考虑放弃现金折扣成本和短期投资收益的订货策略

文章针对供应商为及时收回货款,提供给零售商现金折扣的情况,基于传统EOQ模型,引入财务管理上有关＂放弃现金折扣成本＂和贷款利率、短期投资收益率之间的判断依据,研究了不同情况下,零售商可能的订货策略,为零售商确定订货时间提供理论依据。     

Nominal and real volatility as determinants of FDI

This article examines the role of country-specific sources of output and interest rate or exchange rate volatility in driving Foreign Direct Investment (FDI) activities. Building on a dataset with bilateral FDI flows among 24 Organization for Economic Co-operation and Development (OECD) economies over the period 1985–2007, we find that nominal and real volatility strongly deter foreign investments. Output and exchange rate volatility matter in particular for the decision whether to invest in a foreign country in the first place. Interest rate volatility mainly influences the amount of foreign investments.     

How does equity capital cost affect bank performance during a financial crisis?

This article theoretically examines how equity capital cost affects return performance and safety of a bank and how this effect varies across a financial crisis comparing to a normal time when the bank manager’s performance reveals the like of higher equity return and the dislike of higher equity risk. We derive two main results. First, an increase in the bank’s equity capital cost from an increase of the interest rate of the Federal funds results in a reduced loan risk-taking at an increased optimal bank interest margin, implying better bank performance. Second, by ignoring the dislike, we find that the better performance is reinforced during a financial crisis but is reduced during a normal time. Financial crises and the dislike preference as such contribute a relatively low return and the stability of banking activities.     

Asymmetric responses of house prices to changes in the mortgage interest rate: evidence from the Australian capital cities

We examine the dynamic and asymmetric responses of house prices to changes in mortgage interest rates in Australia from January 1995 to November 2017. We propose a threshold intervention model to distinguish between the effects of positive versus negative changes in the standard variable interest rate. The results indicate that rising interest rates decrease house prices more than falling interest rates increase them. For example, a 1% decrease in interest rates increases Sydney’s house prices by 0.7%, whereas a 1% increase leads to a 1.5% fall. The findings also support the view that when interest rates are on the rise, house prices in larger capital cities such as Sydney and Melbourne fall faster than in their smaller counterparts. Our findings imply that a rise in interest rates may thus lead to sharp, fast and significant falls in house prices, a phenomenon which will not simply be a symmetric unwinding of earlier price increases.     

Fiscal adjustment and the costs of public debt service: evidence from OECD countries

We use a panel of 21 OECD countries from 1970 to 2009 to investigate the effects of different fiscal adjustment strategies on long-term interest rates – a key fiscal indicator reflecting the costs of government debt service. As Europe’s sovereign debt crisis has shown, governments confronted with high deficits and rising debt may be forced to enact fiscal adjustments in order to avoid increasing market pressure and solvency problems. Over the last four decades, such measures taken by governments in OECD countries have varied in duration, size, composition and in their success to re-establish fiscal sustainability. We find that large and expenditure-based adjustments lead to substantially lower long-term interest rates. Small and revenue-based measures do not have an effect on interest rates. Financial markets thus only seem to value strict and decisive measures – a clear sign that the government’s pledge to cut the deficit is credible.