基于“二元经济结构”的人民币汇率制度转换研究——运用三元模型

本文以26个具有“二元经济结构”特征的转型经济国家为样本,通过建立三元模型,对这些国家从1995￣2004年期间汇率制度转换情况进行了实证研究。结果表明,模型中的解释变量和反映“二元经济结构”特征的控制变量均具有很强的显著性,模型可靠稳定。最后,将我国的数据代入到模型中进行模拟和预测,得出了人民币汇率制度从1995年以来就应该向更加浮动的方向转换的结论。因此,应该把握当前有利时机,积极地向更加灵活的、有管理的浮动汇率制度的新框架进行转换。     

“碳解锁”缝隙创新研究

对技术种群缝隙竞争演化模型的分析表明,在“碳锁定”背景下,低碳技术在主流市场会遭遇碳基技术体制的排挤,缝隙市场能为低碳技术的发展和应用提供受保护的空间,为实现“碳解锁”创造条件。缝隙创新分为竞争性缝隙创新和互补性缝隙创新两类,相应地,“碳解锁”缝隙创新战略分为替代战略和兼容战略。二者实现“碳解锁”的路径和方式不同,替代战略包括竞争性缝隙形成、缝隙积累与分叉、体制替代3个阶段,兼容战略包括互补性缝隙形成、体制兼容和体制低碳化转型3个阶段。在“碳解锁”路径选择时需权衡这两种战略的利弊。     

可持续转型理论中利基研究新进展

近年来,可持续转型已成为一个新的研究领域,其中利基,尤其是利基与社会—技术体制的相互关系更是研究热点。在可持续转型研究范畴内,依循利基相关思想和观点发展脉络,梳理文献中利基成长条件,以及利基催生体制转变的动态过程、模式、可能的路径选择等理论与实证分析,讨论利基研究对中国能源可持续发展研究的指导意义,为相关学者及政策制定者提供一定借鉴。     

Institutional Resource Regimes: Towards sustainability through the combination of property-rights theory and policy analysis

Although the concept of sustainable development is gaining increasing political acknowledgement, despite the implementation of environmental policies specifically intended to solve problems in this area, environmental degradation resulting from the recurrent problems associated with the over-exploitation of natural resources remains an important concern for most countries. How can this situation be explained? This article postulates that a combination of approaches from the political sciences (in particular policy analysis) and institutional economics would enable the identification of the most relevant regulatory dimensions which can explain the (un)sustainable uses of resources. Based on this starting point, it develops an innovative theoretical framework, i.e. that of the Institutional Resource Regime (IRR).The adopted approach facilitates the analysis of the regulatory measures and resource management practices associated with complex and competitive heterogeneous use situations from a perspective of sustainability. Indeed, the two dimensions of “extent” and “coherence” enable the definition and categorization of the IRR of a given resource. The extent of an IRR refers to the total number of goods and services in use that are actually regulated by the regime at a given time, while the coherence measures the degree of coordination of the various user-actors within the regime. One of the major contributions of the IRR framework is its ability to describe the different configurations of regimes, both theoretically and empirically, and to predict their effect on the sustainability of a resource based on the hypothesis that high levels of regime extent and coherence are necessary preconditions for sustainability.By doing this, the IRR framework also enables the analysis of the actual use rights to the goods and services provided by resources as the result of the political strategies of actors who mobilize different legal provisions, which stem either from formal property rights to resources or from policies that regulate the use and protection of these resources.Having developed the central research hypotheses and the empirical research procedure, we present the lessons drawn from the first campaign of field research which was mainly conducted in Switzerland from 1999. Based on the evidence from these initial findings, it is suggested that the scope of the IRR framework could be far broader than evidenced by its application in the case of Switzerland where it was initially developed.     

发展战略与汇率制度选择

一般而言,一国汇率制度的选择会受该国经济和政治因素的影响,而发展中国家在选择汇率制度时还会受到其发展战略的影响.本文考察了发展战略与汇率制度选择之间的关系,发现实施赶超战略和进口替代战略的国家会选择固定汇率制度并高估本币币值,甚至采用多元汇率制度;实施出口导向战略的国家会选择固定汇率或者钉住汇率制度,一般钉住美元且波幅很小,并低估本币币值;而只有真正实施比较优势战略的国家才选择浮动汇率制度,政府很少干预汇率的变化.现阶段,我国要坚定地实施有管理的浮动汇率.并适当控制人民币的升值速度.     

Do macroeconomic variables have regime-dependent effects on stock return dynamics? Evidence from the Markov regime switching model

The predictability of stock return dynamics is a topic discussed most frequently in empirical studies; however, no unanimous conclusion has yet been reached due to the ignorance of structural changes in stock price dynamics. This study applies various regime switching GJR-GARCH models to analyze the effects of macroeconomic variables (interest rate, dividend yield, and default premium) on stock return movements (including conditional mean, conditional variance, and transition probabilities) in the U.S. stock market, so as to clearly compare the predictive validity of stable and volatile states, as well as compare the in-sample and out-of-sample portfolio performance of regime switching models. The empirical results show that macro factors can affect the stock return dynamics through two different channels, and that the magnitude of their influences on returns and volatility is not constant. The effects of the three economic variables on returns are not time-invariant, but are closely related to stock market fluctuations, and the strength of predictability in a volatile regime is far greater than that in a stable regime. It is found that interest rate and dividend yield seem to play an important role in predicting conditional variance, and out-of-sample performance is largely eroded when the effects of these two factors on volatility are ignored. In addition, the three macro factors do not play any role in predicting transition probabilities.     

不同养老保障机制与家庭储蓄率——基于世代交叠模型的实证研究

目前,我国的养老保障机制采用以社会养老保险为基础的多渠道养老保险机制,家庭成员赡养、个人金融投资和养老保险就成为了三种主要方式。这一结论已经得到了学术界的广泛认可,然而我国不同养老渠道之间的比例和关系尚缺乏实证研究。家庭自主的金融资产投资、家庭成员之间的赡养效果还没有得到充分的检验。文章基于2008年和2009年的中国家庭追踪调查(CFPS)数据,首次运用2005年政策调整后的数据进行实证研究,对我国养老金财富、个人金融投资以及家庭成员赡养率之间的关系进行了分析研究。文章根据传统的世代交叠模型,针对现有数据,建立了一个三期世代交叠模型,然后分析了不同渠道养老保险收入对家庭储蓄率的影响。研究结果表明,基本养老金财富与个人金融投资对非退休人群的储蓄有显著的负向影响,退休者的储蓄率主要受家庭成员赡养影响,并且呈负相关的关系。     

Forecasting stock market returns over multiple time horizons

In this paper, we seek to demonstrate the predictability of stock market returns and explain the nature of this return predictability. To this end, we introduce investors with different investment horizons into the news-driven, analytic, agent-based market model developed in Gusev et al. [Algo. Finance, 2015, 4, 5–51]. This heterogeneous framework enables us to capture dynamics at multiple timescales, expanding the model’s applications and improving precision. We study the heterogeneous model theoretically and empirically to highlight essential mechanisms underlying certain market behaviours, such as transitions between bull and bear markets and the self-similar behaviour of price changes. Most importantly, we apply this model to show that the stock market is nearly efficient on intraday timescales, adjusting quickly to incoming news, but becomes inefficient on longer timescales, where news may have a long-lasting nonlinear impact on dynamics, attributable to a feedback mechanism acting over these horizons. Then, using the model, we design algorithmic strategies that utilize news flow, quantified and measured, as the only input to trade on market return forecasts over multiple horizons, from days to months. The backtested results suggest that the return is predictable to the extent that successful trading strategies can be constructed to harness this predictability.     

An optimal stochastic control framework for determining the cost of hedging of variable annuities

An implicit partial differential equation (PDE) method is used to determine the cost of hedging for a Guaranteed Lifelong Withdrawal Benefit (GLWB) variable annuity contract. In the basic setting, the underlying risky asset is assumed to evolve according to geometric Brownian motion, but this is generalised to the case of a Markov regime switching process. A similarity transformation is used to reduce a pricing problem with K regimes to the solution of K coupled one dimensional PDEs, resulting in a considerable gain in computational efficiency. The methodology developed is flexible in the sense that it can calculate the cost of hedging for a variety of different withdrawal strategies by investors. Cases considered here include both optimal withdrawal strategies (i.e. strategies which generate the highest possible cost of hedging for the insurer) and sub-optimal withdrawal strategies in which the policy holder׳s decisions depend on the moneyness of the embedded options. Numerical results are presented which demonstrate the sensitivity of the cost of hedging (given the withdrawal specification) to various economic and contractual assumptions.     

Value of tax benefits of a dynamic debt policy with regime switching

The article presents a method for valuation of stochastic future income with three barriers: a default barrier, a pre-default barrier and a refinancing barrier. Between the pre-default and default barriers, there is an ongoing cost of financial distress. In this framework, we derive state-dependent present value factors that can be applied to problems of valuation of firms, optimal financial structure and mitigation of agency conflicts between managers and investors. We illustrate our method with an analysis of the value of tax benefits of a dynamic debt policy.