中国区域金融发展水平与区域经济差异的协整检验

在建立金融发展与经济增长关系的理论模型和运用泰尔指数法测度中国29个省份1978～2005年区域金融发展水平和经济增长差异的基础上,采用计量经济学中的协整检验方法,对区域金融发展水平与区域经济的差距的动态均衡关系进行研究,结果表明:两者之间存在着长期均衡关系;区域金融发展水平的差异是导致区域经济增长差异的原因。  

金融发展、资本深化与新型工业化道路

本文主要关注20世纪90年代以来中国工业部门出现的资本深化现象,及由此引发的新型工业化道路的讨论,从金融发展的视角尝试进行阐释,运用协整方法对两组金融发展变量与资本深化的动态关系进行实分析,基于VEC模型的格朗杰因果检验和脉冲响应函数的结果说明,金融发展与资本深化存在稳定的因果关系,金融发展在长期能促进工业资本的形成,要实现中国工业和经济的协调发展就要加快金融深化和市场化进程,走新型工业化道路。  

The tactical and strategic value of hedge fund strategies: a cointegration approach

This paper analyzes long-term comovements between hedge fund strategies and traditional asset classes using multivariate cointegration methodology. Since cointegrated assets are tied together over the long run, a portfolio consisting of these assets will have lower long-term volatility. Thus, if the presence of cointegration lowers uncertainty, risk-averse investors should prefer assets that are cointegrated. Long-term (passive) investors can benefit from the knowledge of cointegrating relationships, while the built-in error correction mechanism allows active asset managers to anticipate short-run price movements. The empirical results indicate there is a long-run relationship between specific hedge fund strategies and traditional financial assets. Thus, the benefits of different hedge fund strategies are much less than suggested by correlation analysis and portfolio optimization. However, certain strategies combined with specific stock market segments offer portfolio managers adequate diversification potential, especially in the framework of tactical asset allocation.

我国股票市场受国内重大事件影响的实证分析——以航天板块为例

股票市场中航天版块的市场行情除受到大盘的影响之外,还与航天产业重大事件有着密切的联系.运用事件研究法分析重大航天事件对中国股票市场航天版块行情的影响可以看出:航天重大事件带来了航天板块股票市场价格在之后三个交易日内出现急剧上升或下降趋势,但影响的时间延续性较短,波动持续时间不长,股民对航天重大事件的炒作和股民"羊群效应"是航天板块在航天重大事件短期内出现短期剧烈波动的主要影响因素.  

人民币实际有效汇率变动对浙江省进出口贸易影响的实证研究

2005年7月21汇改以来,人民币对美元汇率已经累计升值23.8%。目前,人民币升值的压力依然存在。浙江省作为中国外贸大省,自2000年以来,贸顺差居全国第一,其外贸依存度远高于全国水平。人民币汇率的变动对浙江省的经济影响如何,值得我们研究和分析。本文从实证角度研究了人民币实际有效汇率变动对浙江省进出口贸易的影响及对策。  

Dual foreign currency markets and the role of expectations: Evidence from the Pacific Basin countries

This paper analyzes the role of expectations about the government policy in the official foreign currency market in determining the black market premium. We use data for the recent float from six emerging markets of the Pacific Basin where active black markets for foreign currency exist, namely, Indonesia, Korea, Malaysia, the Philippines, Singapore and Thailand. To test the impact of anticipated and unanticipated shocks to the official exchange rate on the black market premium, we employ the two-step procedure of Hoffman et al. [Hoffman, D.L., Low, S.A., Schlagenhauf, D.E., 1984. Tests of rationality, neutrality and market efficiency: a Monte Carlo analysis of alternative test statistics. J. Monet. Econ. 14, 339–363] which provides corrected F-statistics and allows us to draw valid inference in the presence of generated regressors. The main finding of our analysis is that anticipated and unanticipated shocks to the official exchange rate have an impact on the black market premium in all six Pacific Basin countries. These results suggest that portfolio balance models provide the suitable theoretical framework for analyzing the behaviour of the black market premium in the markets for foreign currency in the Pacific Basin countries. Furthermore, this implies that economic agents in these countries are sensitive to expected returns in foreign exchange.  

Cointegration analysis of the Fed model

The Fed model postulates that the equity earnings yield follows the bond yield in the long run. Our tests based on a cointegration analysis of the United States, United Kingdom and German data indicate that the Fed model has predictive power in forecasting changes in the equity prices, earnings and bond yields. The predictions are better in the US than in other countries. Our approach consists of building a Vector Equilibrium Correction model which provides a quantitative dynamic version of the Fed model.  

人民币汇率变动对货币替代的影响分析

自2005年起人民币兑美元累计升幅已超过20％，2012年4月5日人民币中间报价6．3102再创新高。本文根据2008年以来的季度数据测算出人民币的货币替代率．分析中国货币替代程度及降低原因，同时结合Eviews5．0软件。就人民币汇率变动对货币替代现象进行计量分析。结果表明，长期内人民币增值会导致货币替代现象减少。但由于人们判断并做出一个理性决定时需要一个思考过程，且我国目前汇率很大程度上仍受货币当局控制。人们选择决定就会带有一定的滞后性，所以短期内人民币汇率变动对货币替代现象影响不会非常明显。  

FDI对我国国际收支中资本与金融项目影响的实证分析——基于VAR模型下的1982～2008年的时间序列数据

本文应用1982年到2008年的时间序列数据，先利用ADF检验该数据的平稳性得到数据时一阶平稳的。在通过协整检验发现外商直接投资和国际收支中资本与金融项目存在长期稳定的协整关系，且长期内外商直接投资的流入对资本与金融项目产生正效应。最后建立误差修正模型，发现当资本与金融项目差额偏离长期均衡时，经过调整其趋向长期均衡的速度较快。FDI通过资本与金融项目影响了我国国际收支的总体平和内部结构，FDI已经成为影响我国国际收支平衡的重要因素。  

柳州市房地产信贷规模与房地产价格关系的实证分析

本文在对柳州市房地产市场发展的信贷支持进行定性分析的基础上,利用2003年1季度至2009年4季度的季度数据,运用多变量协整分析技术对房地产信贷与柳州房地产市场价格波动之间的关系进行实证检验,结果表明柳州房地产信贷规模变动是房地产价格变动的主要原因之一,但房地产信贷变化不是对房地产市场状况的反映。