逆向倾斜下的金融监管研究

随着金融创新和资产证券化的迅速发展,以金融市场为导向的直接金融业务量逐年放大,与此相对应,金融结构偏向逆向倾斜,这已经成为发达国家的普遍趋势。次贷危机充分表现出金融逆向倾斜的特征,风险与损失更多地发生在直接金融领域。金融当局不得不放弃自由市场理念,改革金融监管结构,使之与逆向倾斜的金融结构匹配,金融监管由此进入一个逆向倾斜的时代。在逆向倾斜的金融监管下,直接金融被置于严格监管之下,以达到稳定现代金融体系的目的。     

Are exchange rates interdependent? Evidence using wavelet analysis

We examine the co-movement in daily returns of USD–INR, EUR–INR, GBP–INR, and JPY–INR currency pair futures contracts traded on the National Stock Exchange of India (NSE) using the wavelet cohesion approach. This study contributes to the literature by examining the scantly studied area of co-movement in exchange rates and using the wavelet approach, which allows us to analyse time–frequency-wise co-movement of the time series. The empirical results indicate that the currency futures markets are nearly perfectly integrated in the long run (monthly, quarterly and biannual scales) offering little potential gains from international portfolio diversification. The discrepancies between currency futures markets are small and almost fade away within 3–6 months. Moreover, international currency diversification might offer relatively higher potential gains at intraweek, weekly, and fortnightly time horizons owing to lower correlations among the currencies under consideration. Finally, our multiple-wavelet correlation and cross-correlation analysis shows that GBP acts as a potential leader/follower across scales. The results of our analysis indicate the dynamic pattern of co-movement among the major currency futures contracts, which provides several implications for portfolio managers and international investors participating in the Indian market.     

Keynes at the periphery: Currency hierarchy and challenges for economic policy in emerging economies

While the post Keynesian literature offers a rather clear concept for growth-oriented policies, it is necessary to adapt them for peripheral emerging economies. We base our analysis of an appropriate Keynesian policy mix for these countries on the concept of currency hierarchy, where the currencies of peripheral emerging economies have a lower liquidity premium than the currencies of advanced economies. The international asymmetry related to the currency hierarchy, amplified by financial globalization, imposes major constraints to the adoption of Keynesian policies for these economies. Under these conditions, we argue that domestic economic policy coordination should lay a major focus on a low policy rate and, especially, a competitive exchange rate for obtaining, at least, a balanced current account, in order to prevent capital flows boom-bust-cycles with subsequent financial crises. We conclude that it is a rather ambitious and long-term goal to climb up the currency hierarchy, especially under the current condition of financial globalization.     

中国和东盟人民币贸易结算的经济学分析

本文构建了一个三经济体的贸易模型,从贸易损失的角度分析中国和东盟地区采用人民币进行贸易结算对中国和东盟,以及对世界其他主要经济体的福利影响。分析结果表明:中国和东盟地区结成货币联盟对世界主要经济体都将产生正面效应;由于东盟地区整体技术稍低,中国和东盟结成货币联盟将使东盟贸易损失下降更多和产出增加更大,从而提升东盟地区的整体福利;中国和东盟进行人民币结算对各经济体而言,属于帕累托改进,符合激励相容原则,具备理论上的可行性;中国和东盟进行货币联盟的优势在于两大经济体之间的地缘优势和生产技术类似。     

External Constraint and Financial Crises with Balance Sheet Effects

This article investigates the dynamic implications of Krugman's (1999 Krugman, P. 1999. Balance sheets, the transfer problem, and financial crises. International Tax and Public Finance, 6(4): 459–472. (doi:10.1023/A:1008741113074)[Crossref], [Web of Science ®] , [Google Scholar]) model of financial crises with balance-sheet effects, which has a considerable impact on the literature of international financial crisis. Considering explicitly the wealth-accumulation constraint and the external equilibrium condition, I describe an emerging-market financial crisis as a jump from an unstable dynamic trajectory to a stable one, instead of a jump from a ‘good’ to a ‘bad’ equilibrium with zero investment and zero foreign debt. By discriminating the financial crises according to the severity of the negative impacts of some internal and external factors, this article also adds some insights into the anti-crisis policy.     

关于地方政府融资平台的观察与思考——基于大额资金监测分析视角

相关监督管理部门如何能够迅速洞察地方政府债务的实际情况并考察其风险,如何能在政策制定过程中合理平衡与地方融资平台密切相关的地方政府、银行、金融中介与项目公司等各方的利益,是本文的研究内容。我们认为,通过收集与分析地方政府融资平台的大额资金交易数据,能够以最小成本在最短时间内获得真实的一手数据,完整再现平台公司的资金流全景,有助于我们分析判断平台公司真实的财务与债务状况,能够在一定程度上防范和化解地方政府债务的各种风险。     

Can channel pattern trading be profitably automated?

Financial markets, such as the global foreign exchange (FX) market, often exhibit trending behaviour. Within such trends, the market level oscillates with changes in market consensus. Continued oscillations of this type result in the formation of wave patterns within the underlying trend known as channels, which are used by technical analysts as trade entry signals. A sample space of such channels has been constructed from a set of US dollar/British pound Spot FX tick data from 1989–1997 using pattern recognition algorithms and the profitability of trading using such patterns has been estimated. A number of attributes of the resulting collection of channels has been subjected to statistical analysis with the aim of classifying patterns that can be traded profitably using a number of simple trading rules. Results of this analysis show that there exist statistically significant links between the channels' attributes and profitability.     

Money demand in the czech republic since transition

We analyse the demand for money since the “break up” of the Czech-Slovak Republics at the beginning of 1993 and for the aggregates M0, Ml, and M2 using monthly data. Due to the widespread use of foreign currency in formally centrally planned economies, we also investigate the issue of currency substitution. Because of our relatively small sample period the Johansen cointegration approach is not used and instead we use the general to specific methodology in a single equation framework. Previous empirical evidence on money demand in Eastern Europe, and specifically Czech Republic, has been mixed. Both graphical and empirical results suggest that any currency substitution was a one-off event due to increased uncertainty at the end of 1992 at the time of the monetary dissolution. Certainly, currency substitution in the Czech Republic is not as strong as has been found in other former centrally planned economies. However, our results do indicate that Czech National Bank may have to take account of foreign interest rates when interpreting movements in the monetary aggregates.     

On dollarization and currency boards: Error and deception

A diagnosis of the laws and balance sheets of the monetary authorities in Argentina, Bosnia, Bulgaria, Estonia, Hong Kong and Lithuania is presented. With the exception of Bosnia, all employ active monetary policies and engage in sterilization. Accordingly, they are not currency boards. The methods used to dismantle the Argentine system in 2001, prior to its eventual abandonment, are presented. An evaluation of the Hong Kong system (1997-1998) suggests that its so-called currency board was not a party to counter-speculation in the stock market. Evidence is presented to show how deception was employed by the US and the IMF during the Indonesian currency board debate (1998) as a means to engineer a political regime change.     

An analysis of regime shifts in the Turkish economy

We use a time-varying dynamic factor model with regime switching to construct and estimate the leading indicators of the currency crises in Turkey. After that, we analyze the business cycles of the Turkish economy, by using a three-state univariate Markov-switching model. Both models capture the observed dynamics of the Turkish economy over the period 1987–2002.