Inflation and output in New Keynesian models with a transient interest rate peg

A familiar result in the canonical Dynamic New Keynesian (DNK) model is that policymakers constrained by the zero bound can improve outcomes by promising to keep rates low after the zero bound is not binding. We examine a general class of interest rate pegs in a variety of DNK models. Standard versions of the model produce counterintuitive reversals where the effect of the interest rate peg can switch from highly expansionary to highly contractionary for modest changes in the length of the interest rate peg. This unusual behavior does not arise in sticky information models of the Phillips curve.     

Calibration of Gaussian heath, Jarrow and Morton and random field interest rate term structure models

We show how the recently introduced Gaussian random field interest rate term structure models can be calibrated accurately and quickly to market caps and swaptions prices. We show how the calibrated random field model can be approximated arbitrarily closely with a multi-factor Gaussian Heath, Jarrow and Morton model. We argue that the Gaussian random field model is easier to calibrate and can be used as an indirect way to calibrate multi-factor Gaussian Heath, Jarrow and Morton interest rate models.This work was carried out when the author was at the Financial Options Research Centre, Warwick Business School, University of Warwick. I wish to thank Stewart Hodges for many helpful discussions and comments and Martin Cooper of Tokai Bank, Europe, for supplying the data used in this paper. I also wish to thank the Economic and Social Research Council and FORC for funding. An earlier version of this paper entitled Multi-Factor Gaussian HJM Approximation to Kennedy and Calibration to Caps and Swaptions Prices was presented at the 9th Annual Conference, FORC., Warwick Business School, September 1996. Another version also appears in the author's Ph.D. thesis. I am grateful to the helpful comments provided by Marti Subrahmanyam and the two anonymous referees. All errors are my own and the views expressed in no way reflect the opinion of my employer.     

Continuous time and nonparametric modelling of U.S. interest rate models

In this paper we compare the forecasting performance of different models of interest rates using parametric and nonparametric estimation methods. In particular, we use three popular nonparametric methods, namely, artificial neural networks (ANN), k-nearest neighbour (k-NN), and local linear regression (LL). These are compared with forecasts obtained from two-factor continuous time interest rate models, namely, Chan, Karolyi, Longstaff, and Sanders [CKLS, J. Finance 47 (1992) 1209]; Cos, Ingersoll, and Ross [CIR, Econometrica 53 (1985) 385]; Brennan and Schwartz [BR-SC, J. Financ. Quant. Anal. 15 (1980) 907]; and Vasicek [J. Financ. Econ. 5 (1977) 177]. We find that while the parametric continuous time method, specifically Vasicek, produces the most successful forecasts, the nonparametric k-NN performed well.     

An examination of real interest rates in the United States, Canada, France, and Germany during the recent floating exchange rate period

This study reexamines the international linkage of ex-ante real interest rates using the theory of cointegrated processes. The univariate unit root tests suggest the existence of a nonstationary real interest rate in the United States, Canada, and (the former) West Germany. An ex-ante real interest rate is obtained by subtracting estimates of inflation from the nominal interest rate. The expected inflation rates are obtained by modeling changes in monthly CPI values as autoregressive moving average (ARMA) processes. A multivariate test for unit roots indicates that there are two cointegrating vectors, or one common stochastic trend, for the system of three nonstationary real interest rates. In addition, the log-likelihood ratio test fails to reject the null hypothesis that, in the long run, real interest rates in the United States are equal to those in Canada and West Germany.     

The reaction of the Australian financial markets to the interest rate news from the Reserve Bank of Australia and the U.S. Fed

This paper provides comprehensive evidence on the impacts of the Reserve Bank of Australia's (RBA) and the U.S. Fed's target interest rate announcement news on the Australian financial markets over the period 1998–2006. The RBA's news had a significant impact on the first moments of market returns/changes in line with a priori expectations, and the conditional volatility in most of the markets was significantly higher following the news. Asymmetric news effect is also observed for the Australian interest rates where markets tended to respond more strongly to unexpected rate rises than rate falls. While the U.S. Fed's news influenced only the USD/AUD exchange rate, the Australian market volatility was significantly lower in all market segments following the Fed's news.     

Long-run PPP in a system context: No favorable evidence after all for the U.S., Germany, and Japan

In a cointegration analysis of PPP in five-variable system for Germany, Japan, and the U.S., Sideris [Sideris, D., 2006. Testing for long-run PPP in a system context: evidence for the U.S., Germany and Japan. Journal of International Financial Markets, Institutions and Money 16, 143–154] reports three cointegration vectors and concludes that they are consistent with some form of PPP for all three exchange rates. The present paper reconsiders Sideris's three-country analysis with special attention to the specification of deterministic terms in the cointegration testing. In addition, the passage of time since the Sideris paper allows the data set to be extended. The present paper also applies the Johansen approach and longer data set to traditional two-country models for the same exchange rates. In no case is any evidence in favor of PPP found.     

英、美、日、智利社会保障制度改革比较研究

福利国家中的典型代表英国、美国、日本,非福利国家的特色代表智利,都在不断进行社会保障制度的改革.改革的共同趋势表现为调整政府和市场的比例,转变政府职能,在保持政府控制权的前提下,实现社保的"市场化"或"私有化". 中国应该借鉴国际经验,以养老、医疗为重心,建立高效率、市场化的社会保障资金管理机制,推进社保事业的发展.     

英国利率市场化回顾及其对金融业改革的影响

利率市场化是指金融机构在货币市场经营融资的利率由市场供求来决定。它包括利率决定、利率传导、利率结构和利率管理的市场化。文章介绍了英国利率市场化改革的背景、实施过程及其对英国经济金融运行与货币政策调控产生的积极影响。指出利率市场化改革后,英国的宏观经济环境趋于稳定,社会融资结构逐渐向直接融资为主转变;利率市场化为其后旨在提高英国金融业竞争力的金融市场改革铺平了道路。     

Forward Hedging the Exchange Risks of U.S. Equity Investments in the U.K., Germany and France

This paper simulates forward hedging of foreign exchange risks for U.S. investments in U.K., German and French equities. Rolling OLS and SUR regressions are used to obtain monthly exposure coefficients (hedge ratios), and the micro-market mechanics of the exchange rate bid-ask spread are considered throughout. While the coefficient of variation favors not hedging, no statistically significant differences are found between no hedge and hedge strategies. However, hedging produces a nontrivial incidence of cases where liquidated foreign equity values are less than amounts sold forward. The results, robust to rising and falling dollar sub-periods, do not support forward hedging.     

A preference free partial differential equation for the term structure of interest rates

The objectives of this paper are two-fold: the first is the reconciliation of the differences between the Vasicek and the Heath-Jarrow-Morton approaches to the modelling of term structure of interest rates. We demonstrate that under certain (not empirically unreasonable) assumptions prices of interest-rate sensitive claims within the Heath-Jarrow-Morton framework can be expressed as a partial differential equation which both is preference-free and matches the currently observed yield curve. This partial differential equation is shown to be equivalent to the extended Vasicek model of Hull and White. The second is the pricing of interest rate claims in this framework. The preference free partial differential equation that we obtain has the added advantage that it allows us to bring to bear on the problem of evaluating American style contingent claims in a stochastic interest rate environment the various numerical techniques for solving free boundary value problems which have been developed in recent years such as the method of lines.     

Deviations from daily uncovered interest rate parity and the role of intervention

This paper considers the relationship between daily deviations from uncovered interest rate parity and US and German central bank intervention. The study uses daily overnight Eurocurrency deposit rates with a maturity time of 1 day, which exactly matches the sampling interval of the data. The intervention data are the official net daily purchases and sales of dollars vis-à-vis the German mark by the Federal Reserve System and the Bundesbank. The model uses FIGARCH innovations to represent the degree of long-term dependence in the volatility process. Some support is found for the intervention variables affecting the risk premium as predicted by theory. The impact of intervention in the 2 years immediately following the meltdown of the equity markets in October 1987 and Louvre Accord is particularly strong.     

Estimating continuous-time stochastic volatility models of the short-term interest rate: a comparison of the generalized method of moments and the Kalman filter

This paper examines a model of short-term interest rates that incorporates stochastic volatility as an independent latent factor into the popular continuous-time mean-reverting model of Chan et al. (J Financ 47:1209–1227, 1992). I demonstrate that this two-factor specification can be efficiently estimated within a generalized method of moments (GMM) framework using a judicious choice of moment conditions. The GMM procedure is compared to a Kalman filter estimation approach. Empirical estimation is implemented on US Treasury bill yields using both techniques. A Monte Carlo study of the finite sample performance of the estimators shows that GMM produces more heavily biased estimates than does the Kalman filter, and with generally larger mean squared errors.     

反倾销锐：美国、欧盟与中国的比较

我国的反倾销立法刚刚起步，很多方面的规定都不够细致、全面，借鉴欧美国家的反倾销做法，增强我国倾销法的可操作性，尤其是细化正常价格、出口价格和倾销幅度的认定，在我国目前非常主要。     

美日存款保险制度借鉴

银行作为一个高风险的行业,极易受到挤兑传染和流动性危机的冲击,为了维护金融体系的安全稳定,许多国家都采取了建立金融安全网来解决这一问题。存款保险制度作为金融安全网的一个重要的组成部分,已被越来越多的国家所采用。实践证明：它在保护存款人的利益,提高公众对银行的信心,进而维护金融体系的安全与稳定方面,发挥着举足轻重的作用。当然,存款保险体系并不是万能的,不能取代监管当局的审慎监管职能。本文将美国和日本的存款保险制度作了详尽的阐述和比较,旨在更好地理解和把握美日存款保险制度基础上,能够学以致用。“他山之石,可以攻玉。”虽然美日的存款保险制度各有所长,但我们不能照搬,只有在借鉴其先进经验的基础上,建立适合我国国情的存款保险制度,才能维持金融体系的安全和稳定,从而保证国民经济的持续快速健康发展。     

A structural decomposition of the U.S. trade balance: Productivity, demographics and fiscal policy

The US external deficits have been the most striking manifestation of global imbalances. This paper investigates the contribution of productivity growth, demographics and fiscal policy in accounting for the evolution of the US external imbalances against industrialized countries during the last three decades. Productivity growth plays a dominant role. Demographics explain a non-negligible and nearly permanent component of the US trade deficit. Furthermore, the international demographic transition is crucial for large US external imbalances to be consistent with the persistent decline of world real interest rates observed in the data. Fiscal policy is of minor importance.     

An empirical analysis of the day-of-the-week effect in stock returns: The case of U.S. and Japan

This article employs daily closing index data to investigate the relationship between the U.S. and Japanese equity markets. It reassesses and extends the Becker et al. (1990) methodology over a longer sample space. The article then advances the analysis further by estimating structural equation models and by including the exchange rate as an additional explanatory variable. The resulting multivariate econometric design shows that the U.S. equity market strongly affects the Japanese equity market Monday through Friday while the Japanese market exerts a weaker influence on the U.S. market with the influence observed only on Mondays and Wednesdays.     

An alternative approach to the calibration of the Vasicek and CIR interest rate models via generating functions

We propose a new method to calibrate the Vasicek and Cox--Ingersoll--Ross interest rate models from bond prices. We define an appropriate generating function and derive recursive relations between the derivatives of the generating function and the bond prices. The parameters of the Vasicek and CIR models are then obtained by solving a system of linearly independent equations arising from the recursive relations. We include numerical results that show the method’s accuracy when bond prices generated from the exact formulas are used.     

Measuring Inflation Anchoring and Uncertainty: A U.S. and Euro Area Comparison

We use several U.S. and euro‐area surveys of professional forecasters to estimate a dynamic factor model of inflation featuring time‐varying uncertainty. We obtain survey‐consistent distributions of future inflation at any horizon, both in the U.S. and the euro area. Equipped with this model, we propose a novel measure of the anchoring of inflation expectations that accounts for inflation uncertainty. Our results suggest that following the Great Recession, inflation anchoring improved in the United States, while mild de‐anchoring occurred in the euro area. As of our sample end, both areas appear to be almost equally anchored.     

推动房价上涨的货币因素研究——基于美国、日本、中国泡沫积聚时期的实证比较分析

本文从理论上探究了货币量与房价之间的双向联系,分析了不同渠道下两者之间的动态加速器机制。从货币结构的视角选用了准货币作为考察货币与房价关系的主要变量进行论证。在此基础上,采用协整VAR模型的框架在货币、资产价格、宏观经济之间建立多变量关系,同时针对美国、日本、中国三个国家的典型房价泡沫积聚时期的数据进行实证比较分析。结果表明三个国家中货币量与房价之间都存在长期均衡关系,巨额货币存量推动房价上涨的力量比较强大而且明显。在资产泡沫积聚时期,推动房价上涨的实体因素不足,最重要的还是货币因素推动。因此,要控制房价过快增长,需要中央银行调整货币政策框架及通胀目标,关注资产价格变化并有效控制货币量。