Inflation,interest and exchange rates in the transition1

Central and Eastern European economies have made extraordinary progress in their trade and exchange regimes. Surprisingly, instant convertibility was established for a great variety of exchange rate regimes. In spite of diversity, all these countries have followed a common pattern: severe initial undervaluation - the cost of speed and unrestricted trade - followed by rapid real revaluation and incipient protectionism. Since 1994 in many cases an embarrass de richesse has appeared: high capital inflows which are either inflationary or costly to sterilize. A major cause of these flows - or at any rate of the high cost of sterilization - is the presence of significant interest rate differentials higher than required to cover the risk of devaluation. These are the necessary consequence of a policy of positive real interest rates and of real revaluation from excessively undervalued exchange rates. Lower interest rates are recommended, both to stem financial capital inflows and to reduce the cost of their sterilization.     

Sources of Bank Interest Rate Risk

We investigate bank stocks'sensitivity to changes in interest rates and the factors affecting this sensitivity. We focus on whether the exposure of commercial banks to interest rate risk is conditioned on certain balance sheet and income statement ratios. We find a significantly negative relation between bank stock returns and changes in interest rates over the period 1991–1996. We also find that bank characteristics measured from basic financial statement information explain bank stocks'sensitivity to interest rate changes. These results suggest that bank managers, analysts, and regulators can use this information to assess the relative risk exposure of banks.     

货币政策对房价的影响：一个文献综述

通过文献资料法和比较分析法,评述有关货币政策对房价影响的研究方法与研究结论。研究成果：（1）房价与利率问题正日益受到各界关注;（2）房价与利率的关系,学者之间研究的结论不相同,有的学者认为利率对房价产生影响,有的学者认为利率对房价没有影响。研究启示：货币政策与房价的关系还需进一步研究,调控政策还需要不断地完善。     

公众预期、通胀成因与经济波动牵扯

针对金融危机冲击下各国宏观经济政策所导致的新的世界经济波动,结合中国当前通货膨胀两难局面,运用古典模型中的二分法解构中国通货膨胀,得出名义变量引致了通胀的结论,并将古典增长模型与利率平滑规则有机结合,推断出现阶段通胀背景下仍应坚持适度从紧的货币政策规则,引导公众心理形成稳定的期望收入预期,才能真正意义上在稳定通胀的同时,形成社会理性消费预期,从而使扩大内需成为可能,这才是解决现阶段增长困境所在。     

Exchange Rate Regime and Demand for Reserves: Evidence from Kenya,Mexico and Philippines

This paper empirically investigates the demand for international reserves (and foreign exchange reserves) during fixed and floating exchange rates periods in three developing countries: Kenya, Mexico and Philippines. Based on theoretical models, three factors are identified as important for the demand of international reserves and foreign reserves: average propensity to import, volume of imports and variability of reserves. The paper employs the cointegration methodology and error correction method to investigate the relationships. Cointegration tests results indicate a reliable long-run stationary relationship between the international reserves (and foreign exchange reserves) and the stated explanatory variables across countries and sub-periods of fixed and clean float. The error correction results indicate causality from the explanatory variables to the reserves during both the short and long run. This is true during both the fixed and the floating periods.

Reverse imports, foreign direct investment and exchange rates

This paper investigates linkages among “reverse imports”, foreign direct investment and exchange rates. As an example, we have in mind the competition in the Japanese market of a Japanese multinational firm and a Chinese domestic firm. Products are differentiated based on Japanese consumers’ brand name recognition. The model shows that yen appreciation leads to an increase in Japanese production in China and “reverse imports” and a decrease in Japanese domestic production. Due to the barriers in brand name, the exports of the Chinese firm could fall, because the increase of reverse imports may erode the market share of the Chinese firm, even though total exports from China increase. Further, we find that yen appreciation may improve the profits of the Japanese firm and welfare in Japan under reverse imports, against conventional wisdom. The predictions of the model fit well with the actual numbers and shed light on the current debate on the Chinese currency.     

2011年上半年国际金融市场运行综述

2011年上半年,美元总体走弱;美元短期利率下降,欧元、英镑短期利率上升,日元短期利率基本走平;主要国家中长期国债收益率先升后降;欧美主要股指振荡走高。     

Managing the risk of loan prepayments and the optimal structure of short term lending rates

Loan pricing is an extremely important aspect of bank operations because loans are typically over two-thirds of bank assets. Many researchers have analyzed the theoretical and empirical impact of how different factors should and do affect fixed rate loan rates and loan prepayments. However, a theoretical decision making model for maximizing expected profit in a declining rate environment has not been developed. After describing the conditions for the optimal loan rate, we develop numerical solutions for it under varying conditions. The varying conditions include the trend in interest rates, volatility of interest rates, and loan maturity. We thank Yen Low and Hamed Bagherpour for their assistance.     

An empirical test of the Balassa-Samuelson hypothesis: Evidence from eight middle-income countries in Africa

The paper tests the validity of the Balassa-Samuelson hypothesis (BSH) using the within-effects and the dynamic panel generalised methods of moment (GMM) techniques for a panel of eight middle-income African countries over the period 1960–2009. We selected these countries because they exhibited a mixture of relative productivity growth and real exchange rate misalignment that fits the characterization of the BSH well. The results strongly support the BSH for this group of countries. The results are valid even after we controlled for potentially omitted variables and endogeneity. The implication is that as these countries become more productive, their currencies appreciate in real terms.