2005年国际金融市场回顾与2006年展望

2005年的国际金融市场走势跌宕起伏,股票市场表现不一,债券市场基本上是区间波动走势,外汇市场美元一枝独秀,石油价格冲高回落而黄金的表现也引人注目。决定市场走势的因素是美国经济表现稳健,欧、日经济相形见绌,同时美国利率持续上升。2006年受房地产市场降温的影响,美国经济可能温和放缓,利率很快见顶,将对金融市场产生重大影响,总体而言风险加大。     

吉林海沟金矿床金属矿物的主要特征

海沟矿床是一个大型金矿床。含金石英脉分布于燕山期二长花岗岩体中,金属矿物的研究表明,矿物以自然金、硫化物(黄铁矿、方铅矿、黄铜矿)为主,伴有少量铀矿物(晶质铀矿、沥青铀矿)及碲化物(碲铅矿、碲金矿)。主要的矿物组合为自然金—石英、自然金—硫化物、石英—方解石,它们分别代表不同成矿阶段,金的最大富集发生于自然金一硫化物阶段,金属矿物的某些特征为矿床成因提供了重要信息,它表明矿床成因上不仅与燕山朔岩浆活动有关,而且也与构造—变质期形成的矿源层有关。     

The securitization of gold and its potential impact on gold stocks

We study the market impact of a very successful financial innovation – the SPDR Gold Trust exchange-traded fund (GLD). GLD holds physical gold, and provides traders with a convenient and cost-effective way to gain exposure to gold. We find that after the introduction of GLD, the liquidity of gold company stocks declined, and their adverse-selection risk increased. Over the two-month period after GLD’s introduction, the stocks’ relative effective bid-ask spreads increased by over 15%, while their adverse-selection cost, as measured by the price impact of trades, went up by more than 30%. Gold stocks also experienced significant negative abnormal returns (−12% on average) in the month after GLD started trading. Our findings suggest that GLD attracted traders, especially uninformed traders, away from gold company stocks, and that the resulting negative demand shocks and decrease in the stocks’ liquidity caused their prices to decline. Our results show that existing securities can be seriously adversely affected when a new security enters the market.     

Monetary Policy in Austria–Hungary, 1876–1913: An Econometric Analysis of the Determinants of the Central Bank’s Discount Rate and the Liquidity Ratio

This paper presents a model to explain the official discount rate of the Central Bank of Austria–Hungary from 1876 to 1913. The discount rate is assumed to depend on the liquidity ratio of the Bank, defined as the ratio of its stock of metals to banknotes issued, and on changes in foreign discount rates. The paper also presents an equation explaining the liquidity ratio. We use “not equally spaced chronologically ordered data” referring to the 50 discount rate changes enacted. The regressions confirm that the liquidity ratio was the main determinant of the discount rate and that Germany (and not Great Britain) played a significant role in determining the Austro–Hungarian discount rate and the liquidity ratios, supporting the view that the classical gold standard was a decentralized multipolar system rather than a system fully dominated by London as suggested by Keynes. The regressions also suggest that, although Austria–Hungary had an inconvertible paper currency (1879–1892) and fluctuating exchange rates (1876–1895) and formally joined the gold standard only in 1902, it “shadowed” the behaviour of gold standard Central Banks with such consistency that the stability of the estimated regressions was relatively unaffected by the frequent institutional changes.

Gold dinar for the Islamic countries?

The Malaysian state of Kelantan has made a historical launch of Gold Dinar and Silver Dirham on 12th August 2010. For the first time in almost 100 years since the fall of the Ottoman Caliphate, a Muslim government introduces Shariah currency. In the eyes of many Muslim scholars, the present interest-based fiat monetary system is flawed as it is incompatible with the objectives of the Islamic law or the Shariah. There have been calls for the resurgence of Islamic Gold Dinar (together with the silver dirham) as it is deemed to be the most appropriate medium of exchange to be used in the Islamic economies. Using data from 1970 to 2007, this paper assesses the empirical desirability of the Organization of Islamic Conferences (OIC) countries to an alternative monetary system (Islamic Gold Dinar) that can potentially enhance the exchange rate stability and credibility. The Structural Vector Autoregression (VAR) method is employed to assess the nature of macroeconomic disturbances among the OIC countries. Specifically, the symmetry in macroeconomic disturbances of the OIC economies is examined as satisfying one of the preconditions for forming an Optimum Currency Area (OCA). In addition, this paper also investigates the output and price responses of OIC countries of the underlying structural shocks used to shed light on the suitability of these countries to form a monetary union. The preliminary findings of this study suggest the lack of broad linkages within the entire OIC, although there exists scope among some smaller clusters for potential monetary integration based on the symmetry of their business cycles.     

Causality and volatility patterns between gold prices and exchange rates

This paper provides a new perspective on the link between gold prices and exchange rates. Based on gold prices denominated in five different currencies and the related bilateral exchange rates, we put causalities and short-run volatility transmission under closer scrutiny. We provide evidence that the identification of a strong hedge function of gold requires an explicit modeling of the volatility component. For all currencies, exchange rate depreciations initially have a negative impact on the gold price after one day which turns out to be positive after two days in most of the cases. Contrary to previous studies, our results point to a specific role of the dollar in the context of gold-exchange rate relationships: volatility of dollar exchange rates more frequently results in strong hedging functions of gold prices. Furthermore, the gold price denominated in the US dollar tends to increase after a depreciation of the dollar.     

What do scientists know about inflation hedging?

In this article, we give an overview of the state of scientific knowledge on inflation hedging. Specifically, we distill the results of several decades of research analysing the relationship between major asset classes (common stocks, gold, fixed income securities, real estate) and inflation. Even though previous studies have brought forth important facts characterising the interplay of asset returns and inflation rates (e.g., time-dependency, asymmetry, outlier-sensitivity and a tendency towards long-term but limited short-term inflation protection), there is still no consensus on the subject because sample, data and methodology issues preclude strict comparison of most studies. Thus, from a synthesis of the insights gained from our review, we also outline possible directions for future research that may help to establish consensus among researchers.     

Swiss Exchange Rate Policy in the 1930s. Was the Delay in Devaluation Too High a Price to Pay for Conservatism?

In this paper we examine the experience of Switzerland’s devaluation in 1936. We ask the following questions: what were the issues at stake in the political debate? What was the cost to Switzerland of the delay in the franc devaluation? What would have been the costs and benefits of an earlier exchange rate policy? To answer these questions we construct a simple open economy macro model of the interwar Swiss economy. We then posit counterfactual scenarios of alternative exchange rate pegs in 1931 and 1933. Our simulations clearly show a significant and large increase in real economic activity.     

2008: Golden Time in Gold Market

Pushed by increased demand from both jewelers and investors, China has become the drivin, g force behind the world's gold market in 2007. Chinas gold market this year has maintained its growing momentum with booming demand, not only in the domestic market but also in the international market.     

'MONEY MEANS NOT MONEY'– REFLECTIONS ON THE MEANING OF MONEY 1909–2009

Hartley Withers' classic book, The Meaning of Money , sees its centenary this year. Although the financial landscape has substantially changed since 1909, Withers' book remains insightful, informative and readable. A symposium is being held in late 2009 to explore what echoes can be heard today.