International risk sharing and the choice of exchange-rate regime

This paper examines the argument that the fixed exchange-rate regime should be preferred to the flexible rate regime because the former allows risk sharing across countries while the latter does not. The analysis is performed in a two-country overlapping generations model, where markets are incomplete under all exchange regimes. It is shown that risks are pooled across countries when the equilibrium exchange rate is constant across states of nature, which arises under the fixed rate regime with or without capital restriction, and under the flexible rate regime without capital restriction. Risks are not pooled across countries when the equilibrium exchange rate is different across states of nature, which arises under the flexible rate regime with capital restriction. But in a model with incomplete markets, the ability to share risk across countries in the regimes with constant exchange rates does not necessarily lead to higher welfare than the inability to share risk in the regime with random exchange rates.     

The intertemporal risk-Return relation,investor behavior,and technical trading profits: evidence from the G-7 countries

The intertemporal risk-return relation and investor behavior are both important pricing factors that jointly determine the expected market risk premium. Using the price adjustment process as a control variable, we find that the intertemporal risk-return relation is positive conditional on bad market news, but is non-positive conditional on good market news. This implies that good (bad) market news weakens (strengthens) the positive risk-return relation. The pattern in the distortion of the risk-return relation is consistent with short-term mispricing in which investors overvalue (undervalue) the stock market in reaction to good (bad) market news. We also show that ignoring the price adjustment process in the estimation of the risk-return relation leads to model misspecification and induces an upward (downward) bias in estimates of the relative risk aversion parameter conditional on good (bad) news. Our model of the asymmetric risk-return relation along with the price adjustment process is capable of generating the return dynamics that is attributable to technical trading profits. We suggest that the profitability of technical trading rules is not a violation of market efficiency, but a consequence of trading rules exploiting the asymmetric effect of price changes on the risk-return relation, along with the persistence property of price changes.     

Similarities and convergence in G-7 cycles

This paper examines the properties of G-7 cycles using a multicountry Bayesian panel VAR model with time variations, unit specific dynamics and cross-country interdependences. We demonstrate the presence of a significant world cycle and show that country specific indicators play a much smaller role. We detect differences across business cycle phases but, apart from an increase in synchronicity in the late 1990s, find little evidence of major structural changes. We also find no evidence of the existence of a Euro specific cycle or of its emergence in the late 1990s.     

Re-examining Cointegration, Unit Roots and Efficiency in Foreign Exchange Rates

This paper examines the cointegrating relationships in seven foreign exchange rates for a sample period from 1974 to 1991 by utilizing Johansen's (1991) method. Three subperiods are also examined to confirm the intertemporal stability of the test results. In addition, subgroups of the seven exchange rates are analyzed to determine the consistency of the empirical results with respect to different dimensions in the system. We find that the test results are sensitive to the choice of test statistics, time trends, subperiods as well as subgroups. All results indicate either one or no cointegrating relationship exists. Further, we study time series properties of twenty one cross-currency rates and the corresponding exchange rates in terms of a common currency. None of cross-currency rates are stationary and hence the pairs of exchange rates are not cointegrated.     

The overnight interbank market: Evidence from the G-7 and the Euro zone

We study the interbank markets for overnight loans of the major industrial countries, linking the behavior of short-term interest rates to the operating procedures of these countries’ central banks. We find that many of the key behavioral features of US federal funds rates, on which previous studies have focused, are not robust to changes in institutional details, along both cross-sectional and time-series dimensions of the data. Our results indicate that central banks’ operating procedures and intervention styles play a crucial role in shaping empirical features of short-term interest rates’ day to-to-day behavior in industrial countries.     

Foreign direct investment and trade: The case of Vietnam

By making use of a gravity model, this paper examines the impact of FDI on exports, imports and net export of Vietnam. The empirical analysis presented in this paper is based on a recently released panel dataset involving Vietnam's 19 major trading partners for the period 1990-2007. The paper also considers the impact of FDI on trade during three sub-periods: the pre-Asian financial crisis, the post-Asian financial crisis and during the Asian financial crisis period. The empirical analysis reveals that a complementary relationship exists between FDI and exports and FDI and imports. While the impact of FDI on net-exports is insignificant during the full sample period, a significant positive relationship exists between net-exports and FDI in the post-Asian financial crisis period.     

波兰投资与经贸风险分析报告

投资状况 外国直接投资状况 近年来,波兰一直是外商直接投资的净流入国。据波兰官方统计,2006年波兰吸引外国直接投资达147亿美元。到2006年底,外国公司累计在波兰投资1080亿美元。波兰吸引外国直接投资在中东欧地区保持领先地位,经过大规模私有化后短期出现下降现象,近年重拾升势,入盟后增长加快,外资企业盈利进行再投资明显增加。波兰吸收的外资主要来自欧盟,对波兰投资的主要欧盟国家为法国、荷兰、德国。在波投资的非欧盟国家主要有瑞士、     

日本投资与经贸风险分析报告

外国直接投资状况由于地价、租金、税收和工资均远高于周边国家,外国投资的成本很高,外国对日本直接投资不活跃。外国直接投资额对日本经济的影响较小,2006年底累计外国投资金额约占日本GDP的2．5％。近年,日本政府将外国直接投资视作重振经济的关键,加大吸引外国投资力度,放宽外资进入日本的限制,计划到2010年将外国对日本直接投资占ODE的比率提高到5％。     

土耳其投资与经贸风险分析报告

进入21世纪以来,随着土耳其政局日趋稳定,经济形势逐渐好转,投资环境逐步得到改善,近年来外国直接投资增长较快,FDI流入量急剧增加,对经济增长的拉动作用日渐显著。2002年,土耳其FDI流入量仅11．4亿美元,占GDP的比重为0．6％。2004年,上升为28．8亿美元,占GDP的比重为1．0％。2006年,土耳其外国直接投资额达201．2亿美元,占GDP的比重达5．0％。土耳其外资流入存量增长明显。2002年,外资流入累计存量为187．9亿美元,2005年增至644．0亿美元,2006年则有843．2亿美元。2005～2006年,外商直接投资主要流向土耳其银行业和电信业。     

罗马尼亚投资与经贸风险分析报告

外国直接投资状况 1990年以来,罗马尼亚吸引外资明显分为两个阶段。20世纪90年代前半期,由于经济和政治形势不稳定,外国直接投资较少。90年代后半期以来,随着罗马尼亚经济形势不断好转,经济转型力度加大,投资环境进一步改善,国际资本对罗马尼亚市场信心不断增强,外国直接投资大幅增长。     

印度投资与经贸风险分析报告

投资状况 外国直接投资状况 2003财政年度以来,印度的外国直接投资增长迅速,2006财政年度一举突破了100亿美元,达到157．3亿美元,比2005财政年度增长184％。2006年印度已经超过韩国,成为亚洲第四大外国投资吸纳国。外国投资的快速增长体现了外国公司对印度经济的信心增强,愿意对印度进行较长期的投资,这也是印度逐步放松管制的体现。     

秘鲁投资与经贸风险分析报告

投资状况 外国直接投资状况 秘鲁政府采取一系列吸引外资的措施,向外国资本开放各经济领域,使外国投资逐年增加。2006年,秘鲁吸引外国直接投资34．7亿美元,比2005年增加9．5亿美元。1991～2006年期间,秘鲁吸收的外国直接投资总额累计311．2亿美元。西班牙是对秘鲁投资最多的国家,其次是英国、美国和荷兰。     

荷兰投资与经贸风险报告

外国直接投资状况荷兰是欧洲大陆吸引外国直接投资最多的国家之一,近两年吸引的外国直接投资实现恢复性增长。2005年,外国对荷兰直接投资净值为404．2亿美元,较上年增长93．4％;2006年,吸引外国直接投资有所回落,为377．9亿美元。截至2006年底,外国在荷兰直接投资存量达到4507．6亿美元。     

丹麦投资与经贸风险分析报告

投资状况 外国直接投资状况 2000年,丹麦吸引外国直接投资达327.7亿美元.此后,在全球外国直接投资连年下滑的背景下,丹麦吸引外资的数量也连续下滑,2003年外国直接投资流入额仅为26亿美元,相应地,年引资量占GDP的比重也从2000年的20.1%剧降为1.2%.2004年,外国直接投资资金处于净流出状态,2005年得到恢复.     

科威特投资与经贸风险分析报告

投资状况 外国直接投资状况 科威特利用石油盈余资金,大力发展对外投资,把科威特建成一个国际金融中心是科威特建成多样化经济结构、实现国民收入来源多渠道的一项战略决策。科威特首先考虑的是对外投资。     

韩国投资与经贸风险分析报告

我国对外经济贸易合作日益全球化.但是,我国所面对的形势也是严峻的,近年来,全球性金融危机、债务危机以及社会冲突、恐怖事件、贸易摩擦等频繁发生,正成为引发国家风险的新因素,对我国经济贸易活动的影响日益增大.