通胀预期与货币需求:实际调整与名义调整机制检验

货币存量调整机制一般可分为两类设定方式:实际调整过程和名义调整过程.在实际调整机制下,预期通胀对货币需求没有独立的影响,而在名义调整机制下,通胀预期自然成为货币需求的一个解释变量.通胀预期在货币需求函数中显著可能并不意味着通胀预期直接影响了货币需求,而是表明了部分调整机制的误设.本文根据预期通胀率在货币需求函数中的显著性,比较了货币持有量名义调整和实际调整机制假说对我国的解释能力,认为名义机制比实际机制更好地描述了中国的经验.我们在一个状态空间中联合估计预期通胀以及货币需求方程,避免了传统"两步法"的不足.     

ASSET DEMANDS AND SLUTSKY EQUATIONS WHEN ALL ASSETS ARE RISKY

This paper exploits the properties of the indirect expected utility function to explore the testable implications of a portfolio model in which all assets are risky. An uncertainty analogue of Roy's Identity and extremely simple derivations of Slutsky equations for risk and return are used in the analysis. Substitutability/complementarity relations between asset pairs are also explored. The one-riskless-asset case emerges as a special case of the present model, and it is shown that (since inflation uncertainty makes all real returns uncertain) the inclusion of a riskless asset would lead to misleading over-simplifications.     

Sparen in Zeiten niedriger Zinsen — wirtschaftspolitische Unterstützung nötig?

Critics of the low interest rate environment claim that German households have had difficult times generating positive returns from their savings since interest rates reached levels around zero. Therefore, direct public support is increasingly being called for. This article shows that, from a macroeconomic perspective, households have in fact generated positive real returns to date. However, portfolio returns may vary among households due to differences in portfolio structure and size. In addition, aggregate portfolio returns might decrease in the years to come if nominal interest rates remain low. Regarding policy responses, it is therefore proposed to undertake measures which increase total factor productivity and improve the financial literacy of households. Both approaches promise to be more effective than direct public support of savings.     

Overconfidence Mediates How Perception of past Portfolio Returns Affects Investment Behaviors

Investors’ perception of past portfolio returns predicts their investment behavior, but does this relationship mediate by overconfidence? Taking into account different aspects of overconfidence, this paper examines whether overconfidence manifested as illusion of control, miscalibration and better-than-average mediates the association between perception of past portfolio returns and investment behavior. In a survey study with individual and institutional investors from Malaysia, the results indicate that perception of higher past portfolio returns increases investors’ trading, percentage of risky share investment and the number of financial asset holding, through the mediating channel of better-than-average effect. While individual investors are influenced by this overconfidence mechanism, institutional investors are not sensitive. This finding has theoretical implication for overconfidence model, house money effect and naïve reinforcement learning. Practically, the results imply that individual investors should be careful about underlying overconfidence biases as it can lead to inefficient decisions.     

Strategic Portfolio Management Model

Abstract

Institutional investors look forward to extra-ordinary returns in the new millennium. Yet, many have not displayed knowledge of scientific models such as modern portfolio theory, capital asset pricing model, and other financial assets investment management approaches, particularly within the local setting. They indiscriminately take risk by investing in subjectively determined options. We surveyed 44 quoted and unquoted companies, typical of emerging economies using Nigeria as a case. The test of hypotheses reveals that the firms' basis of portfolio selection is traditional. Investment risk is taken for granted. Also the homogeneity of portfolio components, though attractive in the short-run, adversely affect investment returns in the long-run. We, therefore, recommend the departmentalization and standardization of the corporate investment management process, reorientation and direction of organizational functionaries towards effective adoption of scientific approaches as integrally represented by the strategic portfolio management model, exemplified in this work.     

International capital flows

The surge in international asset trade since the early 1990s has lead to renewed interest in models with international portfolio choice. We develop the implications of portfolio choice for both gross and net international capital flows in the context of a simple two-country dynamic stochastic general equilibrium (DSGE) model. We focus on the time-variation in portfolio allocation following shocks, and resulting capital flows. Endogenous time-variation in expected returns and risk, which are the key determinants of portfolio choice, affect capital flows in often subtle ways. The model is consistent with a broad range of empirical evidence. An additional contribution of the paper is to overcome the technical difficulty of solving DSGE models with portfolio choice by developing a broadly applicable solution method.     

Real and Financial Sector Interaction Under Liberalization in an Open Developing Economy

A short‐run model incorporates instantaneous portfolio equilibrium with macroeconomic flows to clarify the structure of real–financial sector interactions. If equity and foreign exchange markets are introduced in structuralist theories of asset markets in developing countries, the key result that a fall in money supply raises the rate of inflation now holds only under special conditions on partial derivatives. But there is a tendency for interest rates to rise and for fluctuations in asset prices. Fuller integration of asset markets moderates these fluctuations. Outcomes are stable in spite of the generalized complementarity distinguishing equity markets from loan markets. Expectations play a major role. Implications for policy are to link domestic interest rates to foreign, remove artificial barriers to market integration, and stimulate demand as well as supply.     

资产价格、通货膨胀与货币政策的动态分析:理论与中国实践

传统的CPI和GDP平减指数仅仅涵盖了普通商品和服务,股票和房地产等资产价格上涨的因素并不包括在内。随着现代金融的不断深化,通货膨胀与资产价格的内在关系越来越被人们所关注。虽然刚刚经历了2008年的金融危机,2009年房地产价格仍然不断快速上涨,有关泡沫的言论不断升温。探寻资产价格变化与通货膨胀预期的内在关系,完善货币政策对于资产价格的反应机制,对于维护经济金融的平稳发展意义重大。     

基于VaR和两基金分离的投资组合模型

本文使用VaR来度量投资组合的市场风险,构造了一个在可接受期末财富约束条件下,使VaR达到最小的投资组合模型,同时,发现该模型发生了两基金分离现象,因此存在多风险资产情形下的投资组合模型可以退化成为单风险资产情形下的投资组合模型。最后,本文使用简化的单风险模型对我国上海股票市场进行了实证分析,探讨投资者如何在股票和银行借贷中进行最优资产分配。     

Exchange rates and fundamentals: evidence on the economic value of predictability

A major puzzle in international finance is the well-documented inability of models based on monetary fundamentals to produce better out-of-sample forecasts of the nominal exchange rate than a naive random walk. While this literature has generally employed statistical measures of forecast accuracy, we investigate whether there is any economic value to the predictive power of monetary fundamentals for the exchange rate. We find that, in the context of a simple asset allocation problem, the economic value of exchange rate forecasts from a fundamentals model can be greater than the economic value of random walk forecasts across a range of horizons.     

Forecasting with Monetary Aggregates: Recent Evidence for the United States

We investigate the out-of-sample forecasting performance of various monetary aggregates in four-variate models of real output growth, inflation, changes in an interest rate, and nominal money growth from 1992 to 2004 using vector autoregressive (VAR) and regime-switching (RS) VAR models. We consider both Divisia and simple sum monetary aggregates for M1, M2M, M2, and M3 as well as sweep-adjusted M1 measures. We find little evidence that either aggregation method or level of aggregation has a big impact on the forecasting performance of our model with respect to inflation and real output growth. Our results indicate that VAR models with monetary aggregates appear to produce at best marginal improvements in RMSE over VAR models that omit money growth altogether. We also find that RS-VAR models usually provide better one quarter ahead forecasts than comparable VAR models, but often did worse when forecasting inflation four quarters ahead.     

International asset pricing with time-varying risk premia

Recent empirical evidence that forward exchange rates are biased predictors of future spot rates can also be interpreted as evidence against the hypothesis of a constant risk premium. Consequently, reconciliation of this evidence with efficient international capital markets requires the existence of time-varying risk premia. This paper modifies Kouri's (1977) asset pricing model to allow time-varying exected returns on assets, eliminates the assumption of a risk-free real asset and derives the characteristics of the risk premia in the forward market as well as the equilibrium yield relationships among the equities and riskless nominal bonds of all countries.     

奈特不确定下资产定价消费模型的建立

在不确定条件下进行资产定价是金融学中的一个重要问题。受金融市场的时变性和人的参与,通常情况下很难得到如收益、利率、波动率等某些变量的精确估计值,现实金融市场中不仅存在概率意义上的不确定性,还存在模糊性,在实际投资中如何对不确定性给出正确的建模就变得非常重要。把不确定性理论引入到传统的资产定价模型中,通过引入不确定性惩罚因子和熵函数建立奈特不确定条件下的最优消费和投资组合模型,能够同时反映随机不确定性和模糊性,可满足投资者的需求。该模型是对经典模型的一种自然推广,它可以适用于不同类型的市场,不同类型的个体,有较好的适用性。     

Technology-investing countries and stock return predictability

For 77 technology-investing countries we test whether their stock market returns are predictable. We find that exchange rate returns and U.S. stock excess returns predict stock market returns for most countries in our sample, while crude oil and inflation predict returns of less than 40% of countries. While in out-of-sample tests the evidence of predictability declines, U.S. returns still beat the constant returns model for three-quarters of countries in our sample. A portfolio of all 77 countries offers a mean-variance investor annualized profits of between 5.7% and 8.0%, and profits are maximized when return forecasts are based on U.S. returns.     

Macroeconomic shocks and the co-movement of stock returns in Latin America

This paper studies the economic sources underlying the co-movement of real stock returns in Latin America. Following the literature on structural vector autoregressive models (SVARs), I use long-run restrictions to identify three structural shocks: demand, supply, and portfolio shocks. For some countries, portfolio shocks are important factors behind real stock returns. Furthermore, these shocks seem to be important in explaining cross-country co-movement patterns. However, these findings are not statistically strong due to the degree of uncertainty about the estimates of the importance of each structural shock and the cross-correlation coefficients. Therefore, macroeconomic shocks (supply and demand) cannot be neglected in accounting for the dynamics of real stock returns.     

On the Feasibility of Interest Rate Control: The Role of Disequilibrium and Adaptive Learning

A model is constructed which derives an inverse relationship between real rate of interest and inflation rate following a disproportionate change in money supply. It is argued that such an inverse relationship paves the way for successful control of the nominal interest rate. It is analytically demonstrated that the state space is divided by a separatrix containing a stable zone and an unstable zone. If the initial inflation and the dynamics of inflationary expectations lie in the stable zone, then the monetary authority can peg the nominal interest rate without risking runaway inflation or deflation. The unstable zone, however, keeps the possibility of the cumulative process alive.     

Asymmetric Correlations in Predicting Portfolio Returns*

Rigorous statistical tests have been designed to detect the existence of asymmetric correlations. However, these tests can hardly further facilitate future investment or risk management because asymmetric correlations are time‐varying and difficult to predict. In this paper, we construct a unified state‐space model, which not only measures in‐sample asymmetric correlations, but also exploit out‐of‐sample asymmetric correlations in the context of predicting portfolio returns. First, we regard time‐varying correlation between market returns and portfolio returns as a state variable and model it as an AR(1) process. Then, we measure future asymmetric correlations based on correlation coefficients between two unpredictable components in market returns and correlation, respectively. Third, we clarify the intuition, calculate asymmetric correlations for two portfolio sets and estimate the economic value of applying our model in asset allocation. Finally, we try to search for potential variables that can explain future asymmetric correlations. The results show that market‐wide liquidity, variance, earning price ratio, and investor sentiment can partially explain the asymmetry correlation phenomenon.     

我国股票资产价格与通货膨胀关系的研究

货币政策是否应该干预股票资产价格的波动,这是一个广受关注且富有争议的问题.这一问题的关键因素在于正确判断通货膨胀与股票资产价格的关联性.目前,股票收益率与通货膨胀之间存在四种相关关系,即正相关、负相关、不确定以及不相关.我国的资本市场成立较晚,研究股票收益率与通胀率之间关系的成果非常少.所以从我国沪深两市股指与通货膨胀走势、沪深两市股指波动区间、波动频率与通货膨胀间的关系,以及我国沪深两市股票市盈率与通货膨胀关系描述等三方面来揭示股票资产定价与通货膨胀间的关系,为全面认识我国证券市场与通胀间的关系提供实事依据.     

Separating the wheat from the chaff: Understanding portfolio returns in an emerging market

In this paper we apply Random Matrix Theory (RMT) to study daily return correlations of 83 companies that are part of the Chilean stock market during the period 2000 to 2011. We find that using RMT to identify statistically significant correlations within our sample of stocks significantly improves the efficiency of a family of Markowitz Portfolios. Moreover, by using Vector Autoregressive analysis we identify global risk aversion as the main driver of the Chilean equity market returns followed in importance by shocks to the monthly rate of inflation and the country's monetary policy rate. By studying the effects of macroeconomic variables on the constructed portfolio returns we reach a better understanding of the true risks involved in an emerging market portfolio.     

Ability parity model for optimal fund allocation: Evidence from China's mutual fund markets

We propose in this article a novel ability parity model for optimal fund allocation. Compared with the traditional portfolio selection methods which directly work on asset returns and/or risk (volatility), the proposed ability parity method focuses mainly on the allocation between the stock selection ability and market timing ability of fund managers, which essentially determines fund performance (Fama, 1972). Using the data of China's mutual fund markets, we find strong and robust evidence that the proposed ability parity model delivers significantly higher return, skewness, and Sharpe ratio than traditional models and the benchmark index, while having volatilities comparable with traditional models.