The impact of Chinese monetary policy on co-movements between money and capital markets

From 2010 to 2017, with interest rate liberalization and capital market development in China, the impact of monetary policies on China’s financial markets underwent continuous evolution. Using the DCC-GARCH model, this study investigates the transmission process of monetary policies from the money market to capital markets (stock and bond markets). The results show that in the early stage the instability of the money and stock markets and the downturn in the bond market are primarily caused by the block of monetary policy transmission and the paucity of fund sources in the capital markets. Subsequently, the outbreak of the 2013 money shortage and the 2015 stock market crash are also closely related to monetary policies. In the later periods, the money and stock markets maintain a low degree of correlation for a long time, reducing the impact of destabilizing factors on the stock market. By contrast, with the advancement of interest rate reform and the optimization of bond market structure, the bond market is highly relevant to the money market. The central bank regulates the bond market more effectively using both traditional and innovative monetary policy tools.     

国内外期铜市场互动及其价格波动关系研究

文章全方位检验了国内期铜市场和国际市场(伦敦市场)的互动关系,并应用VEC模型考察了它们之间的波动性。结论表明,国内期铜市场已经真正融入了世界,进一步开放的时机已经成熟;中国在国内外市场“定价权”地位已正式确立。不过,要充分发挥该市场套期保值功能,还应在实际操作中因市场而异。     

上海证券市场与美国、中国香港证券市场的互动特征

在证券市场领域,美国市场对中国香港市场和上海市场均有影响。在上海市场和中国香港市场之间,上海市场的变动影响着中国香港市场,但并未发现中国香港市场影响上海市场的证据。这说明,上海证券市场已经成为中国区域的主导性市场。     

我国股票发行制度变迁及若干思考

股票发行是资本市场的核心环节之一。本文从制度变迁的角度考察了我国股票市场发展的特定背景,总结分析了股票发行制度从额度制到核准制的演变、相关制度的特点、利弊及其市场化改革的成效。研究发现,我国转轨经济环境、市场文化和市场流动性问题是进一步改革股票发行制度需要重点考虑的因素。     

Co-movement in Stock Prices in Emerging Economies: The Case of the Caricom Region

The Grand Anse Declaration of 1989 recognised the need for financial integration within the emerging economies that comprise the CARICOM region, as a way of furthering the wider process of economic integration and, indeed, economic development in that region. Using co-movement as a measure of financial integration, this paper investigates the co-movement in stock prices among the Barbados, the Jamaica and the Trinidad and Tobago Stock Exchanges, the three major exchanges within the CARICOM region. It also examines how integrated these exchanges are with the New York Stock Exchange. The GARCH-Copula methodology and, to a lesser extent, estimated correlation coefficients, are used to attain this objective. There appears to be co-movement in stock prices and returns within the CARICOM stock markets and significant dependence structures between the returns of the three CARICOM stock markets. However, there is considerably less evidence of integration between the CARICOM markets and the New York Stock Exchange.     

我国信贷配给区域间差异及市场分化模型

由于我国不同区域间发展极不平衡,其中比较突出的是农村和城市、东南沿海和中西部地区之间,导致了我国信贷市场区域分化。信贷市场区域分化越严重,银行越会忽视部分弱势地区,而把资金集中在部分发达地区。近年来我国信贷资金这种区域集中现象越来越明显,不同区域表现出了巨大的信贷差异。文章首先通过部分相关数据和信贷调查分析了我国信贷市场的区域分化,然后建立了信贷配给的区域分化模型,分析不同区域间信贷差异以及信贷集中。最后给出了相关的结论和建议。     

Credit Rationing in Medium-small Enterprises Credit Market under Asymmetric Information

Credit rationing has been an objective phenomenon in medium-small enterprises credit market of China. By analyzing the present situation of medium-small enterprises credit market of China, this study gives a new credit rationing model fitting medium-small enterprises credit market of China well. It has been showed in the empirical study that different factor has each different influence on medium-small enterprises credit market; further more, only the change of chastisement factor can make the medium-small enterprises credit market achieve whole success, but other factors can merely get integrant success even though under the most ideal condition.     

Hedging and diversification across commodity assets

ABSTRACT

We investigate the conditional cross effects and volatility spillover between equity markets and commodity markets (oil and gold), Fama and French HML and SMB factors, volatility index (VIX) and bonds using different multivariate GARCH specifications considering the potential asymmetry and persistence behaviours. We analyse the dynamic conditional correlation between the US equity market and a set of commodity prices and risk factors to forecast the transmission of shock to the equity market firstly, and to determine and compare the optimal hedge ratios from the different models based on the hedging effectiveness of each model. Our findings suggest that all models confirm the significant returns and volatility spillovers. More importantly, we find that GO-GARCH is the best-fit model for modelling the joint dynamics of different financial variables. The results of the current study have implications for investors: (i) the equity market displays inverted dynamics with the volatility index suggesting strong evidence of diversification benefit; (ii) of the hedging assets gold appears the best hedge for the US equity market as it has a higher hedge effectiveness than oil and bonds over time; and (iii) despite these important results, a better hedge may be obtained by using well-selected firm sized and profitability-based portfolios.     

Safe haven or contagion? The disparate effects of Euro-zone crises on non-Euro-zone neighbours

While there have been many studies that examine contagion within the Euro-zone, this article investigates the potential contagion from changes in the Greek sovereign risk premium over 2009–2016, as measured by the yield on 10-year government bonds, to six European countries outside of the Euro-zone all of which operated a managed float against the Euro. We find evidence of contagion to potential Euro-zone ascendants (Czech Republic, Hungary and Poland), but ‘flight to safety’ (or safe haven) effects for the United Kingdom, Sweden and Switzerland.     

中国股市波动性聚类特征参数与非参数分析

从分析中国股市收益率序列的特征入手,寻找描述中国股市波动性特征的合适的统计模型。重点对中国股市收益率序列的波动性聚类现象进行研究。运用描述统计学方法,广义自回归条件异方差模型,以及非参数统计方法等多种方法进行广泛探讨。结合具体的数据分析,从多个角度刻画出中国股市收益率序列的波动性聚类现象的参数与随机性特征。     

Return threshold model analysis of two stock markets： Evidence study of Italy and Germany＇s stock returns

This paper discusses the model construction and the association between the Italy and the Germany＇s stock markets. The period of study data is from January 3, 2000 to June 30, 2008. This paper also utilizes Student＇s t distribution to analyze the proposed model. The empirical results show that the two stock markets are mutually affected each other, and the dynamic conditional correlation （DCC） and the bivariate asymmetric-GARCH （1, 2） model is appropriate in evaluating the relation between them. The empirical result also indicates that Italy and Germany＇s stock markets show a positive relationship. The average value of correlation coefficient equals to 0.8424, which implies that the two stock markets return volatility have a synchronized influence on each other. In addition, the empirical result also shows that there is an asymmetrical effect between Italy and the Germany＇s stock markets, and demonstrates that the good news and bad news of the stock returns＇ volatility will produce the different variation risks for Italy and the Germany＇s stock price markets.     

信用关系对市场经济发展的促进作用

市场经济是建立在信用关系基础上的经济形态,人们之间的信用关系影响和制约市场交易的形成和发展。信用是市场要素中的一种社会资本,市场交易特别依赖信用机制、交易规则和市场秩序。信用关系和信用机制以其特定而独到的功能表现出强大的调节经济运行秩序的作用,促进市场经济的发展。