股票价格变化对我国货币需求的影响

20世纪90年代以来,我国金融市场的一个重大变化就是证券市场的迅速发展,证券市场对货币需求的影响已引起许多国内学者的关注。笔者引进股票价格因素对我国的货币需求函数进行估计,发现我国股票价格变化对货币需求有显著的影响,股票价格变化对狭义货币需求的影响比其对广义货币需求的影响要大。这表明股票价格已成为影响货币需求的一个不可忽视的变量,所以货币当局在制定货币供应量目标时,应考虑到股票价格因素对货币需求的影响。     

我国货币结构变化对通货膨胀的影响研究

本文对1994—2016年间我国货币结构的变化进行分析,从理论和实证两方面研究我国货币结构变化对通货膨胀的影响。结果表明:在此期间,我国货币结构指标(M2'-M1')与通货膨胀(CPI)之间呈现负相关关系,这主要是因为执行交易职能的货币数量下降,流入实体经济的货币不断下降,更多的货币流入金融市场,导致资产价格上涨。我国资产价格对未来通货膨胀具有影响,两者之间呈现出正相关关系。基于以上结论,本文提出未来我国货币政策调控要注意货币总量与结构调控并重,前瞻性地考虑资产价格波动的影响。     

中国Divisia货币数量指数及其货币资产结构分析

本文编制的Divisia货币数量指数充分考虑了货币总量中各类资产的货币性职能，可作为我国货币政策中介目标的有效辅助工具。基于这一指数的货币资产结构分析表明，流动性较差资产过快增长是我国货币总量迅速增加的主要原因，政府为经济工作计划而在货币政策调控方面进行了努力，货币资产结构自1997年以来渐趋稳定。     

资产价格波动对货币需求函数稳定性的影响——基于日本的经验分析

金融自由化以来,日本货币需求函数的构成要素发生了显著变化,而且很不稳定,即使同一要素在不同历史阶段对货币需求的影响也有所差别。特别是资产价格的波动通过诱使经济主体资产负债表发生变化,加剧了货币需求结构的剧烈变动。因此,从货币调控的角度来讲,平抑资产价格必须综合考虑货币供求两个层面的变化,而不能单纯依赖货币总量调控手段。     

中国居民货币需求结构及其对货币需求函数的影响

失业率对中国居民货币需求量存在显著性关系,证券收益率与改革的市场化进程对货币需求存在不同层次的影响。M2的动态模型显示,失业率、利率及市场化率一期滞后值对M2有显著性影响,当期居民收入及其一期滞后值也对M2有显著性影响。因此,中国货币当局应充分关注利率、失业率以及中国市场经济改革进程对微观主体——居民货币需求的影响,以使货币政策更好地促进经济发展。     

货币供应:从基础货币到资产结构

传统的货币供应理论都是以基础货币为核心的,基础货币也被作为货币政策的工具用于调节货币供应量.本文通过对中国、美国和日本三国中央银行资产、负债结构的比较分析,指出以基础货币为核心的货币供给模型并不符合我国的现实,因此,不能把它作为评判我国货币政策效果的依据.我国的货币供应模型不能以基础货币来构建,而必须从中央银行资产结构方面寻找答案.     

我国城镇居民家庭资产选择行为研究

本文基于我国六大城市1170户家庭的调查数据,采用Probit和Tobit模型对城镇居民家庭股票市场参与和投资组合的影响因素进行了分析,主要有以下实证发现:首先,我国家庭资产结构仍是一种低层次和粗放的结构,资产结构内部仍存在着较严重的失衡现象;第二,家庭的资产选择行为并不是完全理性的,而是呈现出有限理性的特征,认知偏差和投资者情绪都对其产生重要的正向影响;第三,房产投资显著影响了家庭股票市场参与和投资组合,"替代"或者"挤出"效应明显;第四,家庭极少利用股票市场对其未来现金流所承担的风险进行对冲,且其"生命周期效应"不明显.     

货币电子化对货币结构影响的实证分析

以各种形式出现的大量电子货币不仅使传统货币需求函数都出现—定程度缺陷,更模糊了各种传统货币层次之间的界限,对货币结构造成了很大的影响,进而对央行实行以控制货币供给量的货币政策提出了挑战。本文通过理论推导和实证分析,得出当前我国货币电子化对货币结构的影响的量化结果,并提出相关政策建议。     

货币电子化对货币结构影响的实证分析

以各种形式出现的大量电子货币不仅使传统货币需求函数都出现—定程度缺陷,更模糊了各种传统货币层次之间的界限,对货币结构造成了很大的影响,进而对央行实行以控制货币供给量的货币政策提出了挑战。本文通过理论推导和实证分析,得出当前我国货币电子化对货币结构的影响的量化结果,并提出相关政策建议。     

我国货币替代的实证研究

货币替代是开放经济条件下特有的货币现象,对我国宏观经济的影响也随着经济金融体系的开放而不断加深。通过建立货币替代的理论模型对我国的货币替代程度及其影响因素之间的关系作了动态分析,结果表明人民币汇率波动对货币替代影响最为突出,名义有效汇率的频繁波动会造成货币替代乃至货币需求的不稳定,我国的利率管制使得国内外货币收益率的相对变化并未在货币替代过程中呈现显著作用。     

On the equivalence of the static and dynamic asset allocation problems

A classic dynamic asset allocation problem optimizes the expected final-time utility of wealth, for an individual who can invest in a risky stock and a risk-free bond, trading continuously in time. Recently, several authors considered the corresponding static asset allocation problem in which the individual cannot trade but can invest in options as well as the underlying. The optimal static strategy can never do better than the optimal dynamic one. Surprisingly, however, for some market models the two approaches are equivalent. When this happens the static strategy is clearly preferable, since it avoids any impact of market frictions. This paper examines the question: when, exactly, are the static and dynamic approaches equivalent? We give an easily tested necessary and sufficient condition, and many non-trivial examples. Our analysis assumes that the stock follows a scalar diffusion process, and uses the completeness of the resulting market model. A simple special case is when the drift and volatility depend only on time; then the two approaches are equivalent precisely if (μ (t)? r)/σ²(t) is constant. This is not the Sharpe ratio or the market price of risk, but rather a nondimensional ratio of excess return to squared volatility that arises naturally in portfolio optimization problems.     

Monotonicity in asset returns: New tests with applications to the term structure,the CAPM,and portfolio sorts

Many theories in finance imply monotonic patterns in expected returns and other financial variables. The liquidity preference hypothesis predicts higher expected returns for bonds with longer times to maturity; the Capital Asset Pricing Model (CAPM) implies higher expected returns for stocks with higher betas; and standard asset pricing models imply that the pricing kernel is declining in market returns. The full set of implications of monotonicity is generally not exploited in empirical work, however. This paper proposes new and simple ways to test for monotonicity in financial variables and compares the proposed tests with extant alternatives such as t-tests, Bonferroni bounds, and multivariate inequality tests through empirical applications and simulations.     

The demand for eurozone stocks and bonds in a time-varying asset allocation framework

This paper analyzes the short and long-run demand for traditional financial asset classes in eleven founding eurozone members. Our sample period starts from the introduction of euro till 2017. We calculate the welfare losses stemming from ignoring the demand for domestic and eurozone equities and bonds, for various levels of risk aversion. Our results show that the bonds of eurozone countries are, in general, desirable for short-run only. However, in Ireland, Portugal and Spain the bonds are desirable for both short-run and long-run investment horizons. Stocks exhibit both short-run and long-run desirability for all countries except Greece. The Greek stocks are desirable for short- run only.     

The impact of keeping up with the Joneses behavior on asset prices and portfolio choice

This paper studies the asset pricing and portfolio choice implications of keeping up with the Joneses preferences. In terms of portfolio choice, we provide sufficient conditions on the utility function under which no portfolio bias can arise across agents in equilibrium. Regarding asset prices, we find that under Joneses behavior asset prices are a function of the economy's aggregate consumption, the agents preference parameters, the wealth endowment distribution and the weighting across agents in the Joneses definition. We present necessary and sufficient conditions such that equilibrium prices are only a function of aggregate wealth. Non-financial, non-diversifiable income is introduced in the model. In the presence of Joneses behavior, an under-diversified equilibrium emerges where investors will bias their portfolios towards the financial assets that better hedge their exposure to the non-financial income risk.     

The effect of the Euro on country versus industry portfolio diversification

We examine the relative benefits of industrial versus geographical diversification in the Euro zone before and after the introduction of the common currency. A priori, one may expect that increased stock market correlation would precipitate a move from geographical towards industrial diversification. We employ the empirical model of Heston and Rouwenhorst but show that adopting a panel data approach is a more efficient estimation method. We find evidence of a shift in factor importance; from country to industry. However, this is not exclusive to the Euro zone but is also present for non-EMU European countries. Therefore, fund managers should pursue industrial rather than geographical diversification strategies.     

The effect of pension accounting on corporate pension asset allocation

We examine the impact of new pension disclosures and subsequent full pension recognition under FRS 17 and IAS 19 in the United Kingdom and SFAS 158 in the United States on pension asset allocation. These standards require recognition of net pension surplus/deficit on the balance sheet and actuarial gains/losses in other comprehensive income. Therefore, these standards introduce volatility into comprehensive income and balance sheets. We identify a disclosure period during which UK companies disclosed all the required data under FRS 17 in the notes without recognition. We also identify a full recognition period starting 1 year before until 1 year after the adoption of FRS 17/IAS 19 (UK) and SFAS 158 (US). We predict and find that UK companies, on average, shifted pension assets from equity to debt securities during both the disclosure and the full recognition periods. We also find that while before the adoption of SFAS 158 US companies maintained a stable allocation to equities and bonds, these companies, on average, shifted funds from equities to bonds around the adoption of SFAS 158. Cross-sectional analysis shows that the shift away from equities is related to changes in funding levels, shorter investment horizons, increased financial leverage, and the expected impact of the new standards on shareholders’ equity.     

论我国如何防范经济滞涨风险

受国际金融危机的影响,我国经济发展面临挑战;而同时物价在短期回调后又呈快速上扬态势。目前世界经济的发展态势也不明朗。因此,现阶段我国存在一定的经济滞涨隐患。要预防滞涨的发生,应注意多项政策配合使用,应采取多种措施拉动居民消费,调整经济结构,加速各项制度改革,要灵活运用财政货币政策,并改善人民币汇率机制。     

The value implications of restrictions on asset sales

This paper examines the effect of restrictions over asset disposition, measured by the ratio of secured debt to fixed assets, on firm value. We find evidence consistent with two non-mutually exclusive hypotheses. (1) Restrictions on the disposition of assets reduce firm value by limiting a firm's ability to restructure assets or to raise funds to finance higher NPV projects. (2) Restrictions on asset disposition increase firm value by limiting agency costs of managerial discretion over uncommitted assets. The net effect of restrictions over asset disposition on firm value is determined by potential agency problems and the need for operating flexibility.     

基于CPI与PPI差值的资产配置效果评估：2005-2010

本文在众多的宏观经济指标中合成出反映企业利润变化的关键指标CPI-PPI,分析该指标与股票市场、债券市场波动的相关性,并根据这一指标的变化模拟资产配置的动态调整过程,检验使用该指标进行资产配置的有效性。