Expectation formation in the foreign exchange market: a time-varying heterogeneity approach using survey data

Using Consensus Economics survey data on JPY/USD and GBP/USD exchange rate expectations for the 3- and 12-month horizons over the period November 1989–December 2012, we first show that expectations fail the conventional tests of unbiasedness and do not exhibit a learning process towards rationality. Our approach is consistent with the economically rational expectations theory (Feige and Pearce, 1976), which states that information costs and agents’ aversion to misestimating future exchange rates determine the optimal amounts of information on which they base their expectations. The time variability of the cost/aversion ratios justifies at the aggregate level a representation of expectations as a linear combination of the traditional extrapolative, adaptive and regressive processes augmented by a forward market component, whose parameters are allowed to change over time. This mixed expectation model with unstable heterogeneity is validated by our Kalman filter estimation results for the two currencies and the two horizons considered. Although the relative importance of the ‘fundamentalists’ (‘chartists’) is found to increase (decrease) with the time-horizon, chartist behaviour appears to dominate fundamentalist behaviour for both horizons. Central bank intervention is then effective in stabilizing the foreign exchange markets if it encourages fundamentalist activity.     

央行沟通与通货膨胀预期

通过合理政策有效引导通货膨胀预期对当前中国经济具有重要现实意义.本文用自回归分布滞后模型和EGARCH模型捕捉央行沟通对通胀预期及其波动的影响.实证结果表明:央行沟通传递的货币政策信息被市场有效捕捉和解读,实现了通胀预期管理目的,增加沟通频率能有效降低通胀预期波动;但央行的言行偏离加剧了短期通胀预期波动,降低了央行沟通和货币政策操作的实际效果;通胀预期存在分布厚尾性和右偏斜,市场出现极端预期的概率较大,且更倾向于预期通胀上升,通胀预期波动的群聚特性表明其具有阶段性自我强化特征.研究结论为央行沟通的有效性提供了实证支撑,揭示出的通胀预期分布特征对提高央行预期管理措施的针对性具有参考价值.     

Electoral regime and trade policy

We study how trade protection varies with the electoral rules for legislative representation. In particular, we investigate different hypotheses about why trade policy differs between countries with legislatures elected by a plurality election rule in single member constituencies and legislatures elected by a proportional, or party-list, rule. Our results, which are in line with the existing literature, show that countries with list-PR systems tend to have lower trade barriers than countries with majoritarian systems. We expand on this literature by looking at the mechanisms through which this correlation can be explained. Our findings indicate that, contrary to existing theory, neither constituency size nor party strength are important when explaining this correlation. Country size does matter, but does not explain the whole of the correlation.     

Switches and fake switches in methods of production

It has long been recognised that Sraffa's analysis of the choiceof methods in joint production cannot be sustained, so thatpost-Sraffian economists have abandoned it. The paper returnsto Sraffa's own approach and identifies two characteristic elements:methodologically, it is of a ‘dynamic’ nature (itconsiders a potential move of the rate of profits) and, analytically,the switch-points are the common intersection of several wage–profitcurves. An internal critique consists in showing the existenceof fake switches, which are at the intersection of two wage–profitcurves but, unexpectedly, are not switch-points.     

资产定价理论:逻辑悖论与展望

资产定价理论是现代金融经济学的核心内容,但由于资产定价理论存在的局限性,所以它们在不断接受着各种实践检验的挑战.这些问题的根源在于没有认识到经典资产定价理论存在着认识论和方法论上的悖论,这些悖论突显了资产定价基本思想在未来资产定价理论发展上的重要意义.     

大学生心理资本研究现状与展望

心理资本是大学生提高其竞争力的又一资本,它关系到高校人才培养和大学生就业能力的提高。文章根据心理资本的界定,对近年来大学生心理资本研究的总体状况、研究方法、当代大学生心理资本的特征进行探讨,并对于大学生心理资本研究做出展望。     

异质预期、噪声交易与价格波动

自20世纪80年代开始迅速发展起来的行为金融理论认为,作为具有丰富心理活动的真实的人,金融市场中的投资者普遍存在各种认知偏差、情绪偏差和意志偏差,从而导致了他们的投资决策偏差和金融资产的定价偏差,投资者的噪声交易能够对资产价格产生重要影响。本文基于噪声交易模型的框架构建了一个包含理性套利者、信息挖掘者和动量交易者这三类异质投资者在内的噪声交易理论分析模型,在模型中引入了一系列与投资者行为特征相对应的重要行为参数,然后推导出由这三类异质投资者共同决定的风险资产均衡价格,最后通过灵敏度分析来综合讨论这三类异质投资者的一些重要行为参数对均衡价格的影响。结果表明,理性套利者确实能够起到稳定市场的作用,但是当噪声交易者在市场中的比例较大时,资产价格会较大程度地偏离其基本价值。     

人民币汇率走势回顾与展望

2006年我国人民币汇率的显著特征为汇率弹性明显增强、双向波幅扩大、总体呈小幅升值态势.2007年人民币汇率政策取向是,在稳定汇率的前提下,从政策上弱化和消除人民币升值的非理性预期;其核心内容为:货币政策将突出汇率政策;采取合适的政策组合;适时调整汇率水平;发展和完善外汇市场.展望2007年,对人民币汇率的基本判断为:汇率浮动空间将会进一步放宽,人民币汇率在双向波动中小幅升值.     

盈余管理、预期管理与证券分析师预测

本文以2004~2011年中国上市公司数据检验管理层针对分析师盈余预测,其行为的选择偏好问题,研究发现:机构投资人持股比例越高、盈余—价值相关性越高、预期成长性越好,以及上一年度实现了分析师预测值的上市公司,其管理层越有动机去实现分析师的预测值;在实现方式选择上,相对于盈余管理,大多数管理层更倾向于采用预期管理。本文也发现,盈余—价值相关性高的上市公司,其管理层偏好使用盈余管理;而公司成长预期较好或上一年度实现分析师预测值的上市公司,其管理层倾向于使用预期管理;对于机构投资人持股比例较高的上市公司,管理层行为选择没有明显偏好。     

Semiparametric Estimation of Rational Expectation Models

In this paper we consider the problem of estimating a semiparametric rational expectation model. We derive the root-n asymptotic normality result of the finite dimensional parameters of the model.

     

缓解通货膨胀预期的策略思考

通货膨胀的发生会对国民经济发展产生各种不良影响,导致产业和经济结构的畸形变化.通货膨胀预期作为通货膨胀的心理延续对通货膨胀的再现起着举足轻重的作用,所以采取何种措施缓解通货膨胀预期成为中国政策运行的重点.当前通货膨胀预期是需求拉动型、成本推进型和预期型三种类型交叉,金融预期和金融作用紧密结合、投资过热、原材料成本价格上升及市场预期的影响成为通货膨胀预期动因.准确分解通货膨胀预期的成因,采取有针对性的调控政策,落实科学发展观,进行增长模式的改革以及明确宏观经济政策目标,通过合理预期应对通货膨胀预期等措施,成为缓解通货膨胀预期的必经之路.     

商业银行理财业务:年度回顾与展望

2007年是商业银行理财业务高速发展的一年,这不仅表现为理财业务主要载体之一的理财产品规模的迅猛增加和种类的进一步丰富,也表现在产品发行机构的数量扩张,以及监管政策的及时调整等各个方面.但同时,银行理财业务开展中所暴露出来的服务内容欠缺、服务质量不高等问题也更为集中和具体.对2007年商业银行理财业务的上述各个方面做一个简要的回顾与评述,也对其未来发展做一些分析与展望.＃     

产出缺口、货币缺口与通胀预期管理

我国本轮通胀预期在本质上是超额货币供给引致实际货币购买力下降的结果,这表明近年中国持续高货币增长并非简单用"货币透失"所能解释.为检验我国通胀产生动因.本文通过引入产出缺口、货币缺口进行建模,发现产出缺口对通胀有短期正向冲击.而货币缺口是导致我国通货膨胀主要且持续的根源.同时,近年来备受关注的房地产市场对我国通胀效应具有助推效果,实证结果表明房价的攀升对通货膨胀和货币缺口有着直接而显著的影响,因此控制房价也应成为管理部门调控通胀的重要手段.     

Mobile termination rates and the receiver-pays regime

The European Commission has recently invited national regulatory authorities to decrease access charges to the cost of an efficient operator. Some large operators warned regulators and users that cutting access charges could result in the US style business model, where mobile users pay for both making and receiving calls. I show that mobile operators charge for incoming calls when the access charge is below cost even if receivers can hang up. In such a case profits are neutral with respect to the level of the access charge. I further show that ‘bill and keep’ is a constrained social optimum when the call externality is strong, even if receivers pay and can hang up. Finally, I discuss the policy implications of these results.     

Exchange rate regime verification: An alternative method of testing for regime changes

This work proposes a change in persistence test for identifying de facto exchange rate regime changes. The results from 25 African countries show that this approach is able to identify some regime changes not captured by existing methods.     

Expectation driven business cycles with limited enforcement

We explore shocks to expected future productivity in a model with limited enforcement of financial contracts. A microfounded collateral constraint implies that good news about future productivity yield an increase in stock prices, available credit and a general economic expansion.     

电子商务在汽车营销中的应用展望

结合国外汽车厂商的营销模式,总结了目前国内汽车厂家所采用的几种汽车营销模式,分析了每种营销模式的现状以及发展前景,指出我国汽车营销应重点发展基于目前蓬勃发展的电子商务的网络直销模式上。     

谈“人民过上更好生活的新期待”

中国的百姓是勤劳淳朴善良的,听党话跟党走,始终团结在党的周围;中国的执政党是伟大英明睿智的,能从根本上代表广大人民群众的意志和利益。党的十七届五中全会审议并通过了《中共中央关于制定国民经济和社会发展第十二个五年规划的建议》,以科学发展为主题,以加快转变经济发展方式为主线,“顺应各族人民过上更好生活新期待”,“使发展成果惠及全体人民”。