我国股市传导货币政策的效果分析

股票市场对实体经济的影响日益重要,股市传导货币政策是其中的表现之一。文章从货币政策的中介目标和终结目标的两个角度入手,从理论上解析股票市场传导货币政策的机制,继而通过逐一分析我国股市对货币供应量、信贷传导、投资和消费的作用关系,全方位剖析我国股市传导货币政策的效果,得出当前股市传导货币政策效果较低的结论,并就此提出相关建议。     

Monetary Policies versus Regulatory Policies: Management of Peer to Peer Market Interest Rates

This paper studies how monetary and regulatory policies manage peer to peer (P2P) interest rates. Based on selected representative monetary and regulatory policies, this paper finds that easy monetary policies reduce the demand for online loans, thus reducing the market's interest rates. Monetary policies may increase the supply of online loans through rational expectation channels or reduce the demand for online loans through bank risk‐taking channels. Normative market‐based regulatory policy enables the P2P market to return to rationality, eliminates high‐risk investors and borrowers, and subsequently reduces market interest rates. Risk disposal‐based regulatory policy reduces market supply to some extent, resulting in a small increase in interest rates. Both easy monetary policies and regulatory policies have a great impact on the normal platforms. The interest rate of high‐risk platforms is less affected by the relevant policies, which is evidence that such platforms do not behave in accordance with the financial rules in general. Monetary policies mainly affect platforms with interest rates in a relatively normal range, while regulatory policies mainly focus on platforms with abnormal interest rates.     

Dynamics of Idiosyncratic Volatility and Market Volatility: An Emerging Market Perspective

Abstract

Estimating idiosyncratic volatility (IVOL) using various model-dependent and model-independent measures, we investigate the characteristics of aggregate IVOL in Malaysia over the period 1990–2008. The IVOL estimated in all models have similar patterns and has no trend over the sample period. There is evidence of episodic phenomenon. During financial crisis periods, market volatility is relatively higher than IVOL – a plausible reason is high correlation between firms' returns. Small firms and low-priced stocks appear to influence IVOL more than large firms and high-priced stocks. In Malaysia, market volatility and IVOL may predict GDP growth.     

The Effects of Central Banks’ Rate Change Patterns on Financial Market Variables

This study examines whether different patterns of change to the benchmark interest rates of central banks are associated with their contributions to variances in the forecast errors of three financial market variables: the long-term interest rate, the foreign exchange rate, and the stock market index. On average, the central bank’s interest rate accounts for approximately 20% of the variance in each variable. We find that the total range of changes is more important than the frequency of changes. The panel regression shows that the range and frequency of policy rate changes is positively associated with the volatility of long-term interest rates but no association with the volatility of stock prices and exchange rates. These results suggest that small and frequent adjustments of policy rates are desirable for reducing the volatility of interest rates. The panel VAR represents interest rate channel is a more important than exchange rate and stock price channel.     

Inflation and Inflation Expectations in South Africa: an Attempt at Explanation

This paper examines the relationship between inflation and inflation expectations in South Africa. We use inflation expectations derived from the quarterly surveys conducted by the Bureau of Economic Research from 2001Q1 to 2011Q4 . Using these data, we estimate the model assuming that private sector expectations are a linear function of the inflation target and lagged inflation. The results indicate that economic agents' expectations largely depend on lagged inflation. This suggests that the South African Reserve Bank (SARB) has not been successful in anchoring expectations of the private sector since the adoption of the inflation targeting (IT) regime in 2000. We also find evidence indicating that the SARB's implicit inflation target lies above the upper bound of the official IT band. Finally, it appears that the SARB has been more concerned about output stabilisation than inflation stabilisation.     

我国货币政策传导机制探讨

货币政策传导不畅是影响我国货币政策实施效果的一个重要原因。文章分析了货币政策传导的基本途径以及影响货币政策传导机制的几个因素,并对中国现行货币政策传导机制存在的问题进行了分析,提出了相应的对策和建议。     

Hot Money Flows,Commodity Price Cycles and Financial Repression in the USA and China： The Consequences of Near-zero US Interest Rates

Under near-zero US interest rates, the international dollar standard malfunctions. Emerging markets with naturally higher interest rates are swamped with hot money inflows. Emerging market central banks intervene to prevent their currencies from rising precipitately. They lose monetary control and domestic prices begin inflating. Primary commodity prices rise worldwide unless interrupted by an international banking crisis＇. This cyclical inflation on the dollar＇s periphery only registers in the US core eonsumer price index with a long lag. The zero interest rate policy also fails to stimulate the US economy as domestic finaneial intermediation by banks and money market mutual funds is repressed. Because China is forced to keep its interest rates below market-clearing levels, it also suffers from finaneial repression, although in a form differing from that in the USA.     

货币市场利率的跳跃行为及影响因素实证分析

中国货币市场短期利率存在明显跳跃行为，本文采用Gaussian-jump-GARCH和Vasicek修正形式等跳跃扩散模型，对银行间市场和交易所市场的7天期利率进行实证检验，并采用边界蒙特卡罗模拟方法显著拒绝了非跳跃模型。结论说明新股申购能够显著的解释利率的跳跃行为：新股申购日之前的三天内，利率跳跃概率已经显著提高，并产生向上跳跃；中购日之后，利率又发生显著的向下跳跃，申购日之后第一天的向下跳跃最为显著。通过新股中购微观效应和股市宏观经济效应等渠道，股票市场影响货币市场利率的跳跃行为。     

通货膨胀及其影响因素的动态分析

文章通过建立宏观经济模型对1995--2010年间我国通货膨胀的动态走势进行了研究。结果表明：我国货币市场不仅存在实际货币需求、真实GDP和名义利率间的长期均衡关系,在贸易市场上还存在名义汇率、国内价格水平和国外价格水平之间的长期均衡关系。误差修正模型表明通货膨胀的短期波动依赖于货币供给、名义利率和实际GDP的变化,且具有很强的通货膨胀惯性,货币市场和贸易市场非均衡对通货膨胀的变化也有重要影响。     

Measuring the Natural Rate of Interest with Financial Gaps: The Cases of Japan and South Korea

We estimate “finance-adjusted” trend growth and natural rates of Japan and South Korea by extending a semi-structural model of (Laubach and Williams, 2003). Consistent with international evidence of the advanced economies, both trend growth and natural rates of interest of Japan and South Korea have been declining over the past, suggesting the important role of global factors. However, the declining patterns of Japan and South Korea are far steeper during the past 25 years. When considering domestic and global financial factors, trend growth and natural rate of South Korea are more affected by foreign financial factor while the role of domestic financial factor is more pronounced for Japanese economy.     

从文化差异中寻求跨国经营优势

本文认为我国目前选择的货币政策 ,因为其特殊的货币供给机理中存在内滞 ,从而导致货币政策收效甚微 ,因此必须采取综合措施消除内滞。     

Central Bank Autonomy,the Exchange Rate Constraint and Inflation: The Case of Italy, 1970–1992

This paper analyzes the determinants of inflation in Italy over the period 1970–1992. Particular emphasis is placed on the role of central bank independence in influencing monetary growth, and on the role of monetary growth and of the Exchange rate Mechanism (ERM) in affecting inflation. In the 1970s and early 1980s, when the Bank of Italy lacked independence and the ERM was still not credible, monetary growth was highly unstable and was the main determinant of Italian inflation, although oil price and tax shocks also played a role. After the March 1983 general exchange rate realignment and the French U-turn, the ERM became more credible and monetary growth stopped being a significant determinant of inflation; instead, the German inflation became the main variable influencing Italian inflation.     

Reforms,Exchange Rates and Monetary Commitment: A Panel Analysis for OECD Countries

The paper investigates the link between monetary policy and structural reforms in open economies. We test three hypotheses: (a) the Calmfors hypothesis that the degree of reforms is higher in the case of autonomous policy and lower in the case of commitment, (b) the TINA hypothesis which implies a positive impact of a monetary policy rule on the extent of reforms, and (c) a third factors hypothesis. In our empirical analysis on panel data of 23 OECD countries from 1980–2000 we find little evidence for the Calmfors hypothesis, but evidence in favor of the TINA argument for labor market and regulatory reform.

An empirical analysis on the effects of the inflation targeting framework on monetary policy in South Africa

This article examines the impact of the adoption of an Inflation Targeting (IT) framework in 2000 on the conduct of South Africa’s monetary policy. Taylor rule analysis is used to test empirically whether the implementation of IT in South Africa can be shown to have impacted on the conduct of monetary policy. In particular, the article analyses whether the implementation of the IT framework yields the expected changes when comparing the conduct of monetary policy pre and post the adoption of the IT framework. Thereafter, an analysis of term structure of interest rates, which serve as a proxy variable for market expectations, is used to test whether South Africa’s IT framework has resulted in more predictability and transparency in monetary policy conduct. Lastly, the article analyses the impact of the global financial crisis of 2008–2009, the so‐called Great Recession, on the predictability and transparency of monetary policy in South Africa.     

西部地区货币政策实施效应研究

货币政策区域效应的存在使得统一的货币政策给我国西部区域经济的发展带来不利因素。文章具体分析了西部地区货币供求的自身特征及政策传导的差异,根据近年来货币政策实践对西部地区的调控效果,认为,近年来货币政策对区域差异的关注,在一定程度上缩减了地区间经济差距,但效果并不是十分显著。要使货币政策对西部区域经济发挥更大效力,需要改善西部地区的金融生态环境,进一步探索区域差别的货币政策。     

Micro-aspects of monetary policy: Lender of Last Resort and selection of banks in pre-war Japan

This paper explores how the Bank of Japan (BOJ) dealt with the trade-off between stability of the financial system and the moral hazard of banks in pre-war Japan. The BOJ concentrated Lender of Last Resort (LLR) loans with those banks that had an established transaction relationship with the BOJ. At the same time, the BOJ carefully selected its transaction counterparts, and did not hesitate to end the relationship if the performance of a counterpart declined. Further, the BOJ was selective in providing LLR loans. Through this policy, the BOJ could avoid the moral hazard that the LLR policy might otherwise have incurred.     

融资融券对沪市波动性和流动性影响实证分析——基于OLS模型和格兰杰因果检验

对上证180指数、沪市融资、融券交易数据样本进行了研究,通过最小二乘回归(OLS)模型建立沪市波动性、流动性与融资融券的关系,通过格兰杰因果检验对回归结果进行验证。实证结果表明:融资融券交易对沪市的波动性和流动性都具有正向影响,结合实证结论给出投资者在股市不同表现下的投资建议。