汇率变动与就业关系研究——来自中国的经验证据

本文借鉴跨期最优代理人模型,分析了人民币实际有效汇率、工资以及贷款利率与社会就业量之间的关系。本文的研究表明人民币实际有效汇率和贷款利率均为社会就业水平的重要影响因素,而工资水平对就业的影响相对较小。总体而言,人民币实际有效汇率变动对就业将产生负面冲击,利率变化主要通过通货膨胀效应和成本效应作用于社会就业水平。此外,本文分阶段考察了汇率与就业之间的关系。结论表明自1995Q1至2002Q1之间,人民币实际有效汇率升值通过收入效应与贸易收支收入抑制了社会就业;之后,人民币实际有效汇率主要通过资本品价格效应作用于就业,人民币实际有效汇率升值促进了社会就业水平的提高,相反,贬值反而降低了社会就业水平。     

International interest rates and US monetary policy announcements: Evidence from Hong Kong and Singapore

This paper investigates the responses of market interest rates to US monetary policy announcements for the US and two emerging economies, Hong Kong and Singapore which are similar on many respects but have experienced opposite exchange rate regimes in the last twenty years. Our results, based on market expectations extracted from federal fund futures rates, document that FOMC announcements significantly affect the term structure of interest rate in the US and both Asian countries. Further, international interest rate differentials around FOMC meeting dates tend to be negative for short maturities with the impact gradually dissipating as bond maturity increases. Finally, for the case of Singapore, we find that domestic interest rates react to both external and domestic monetary policy announcements with a magnitude that is larger over the full bond maturity spectrum for domestic announcements. These results are robust to time-varying futures risk premia and alternative measures of interest rates expectations.     

关于我国利率和利率传导关系的思考

当前我国银行体系利率大致可分为货币市场利率和信贷市场利率,其中由央行指定的利率主要有存贷款基准利率、再贴现率等。在货币市场上,隔夜同业拆借利率具有基准利率的地位。在信贷市场上,在特定时期,保持适当的存贷款利差具有积极意义。由于一些阻碍信贷市场与货币市场统一的制度安排的存在,这两个市场间的利率传导呈现出一定的不对称性。为推进利率市场化,进一步完善我国利率体系,下一步应逐步弥合市场分割,加强货币市场基准利率建设,培育商业银行利率定价能力。     

德国利率市场化改革的特点与其金融业发展

利率市场化是指金融机构在货币市场经营融资的利率由市场供求来决定,它包括利率决定、利率传导、利率结构和利率管理的市场化。文章考察了德国利率市场化改革的特点及其对金融业发展的积极影响。德国利率市场化改革分步骤平稳推进。改革后,在全能银行模式下德国金融业没有出现象美、英那样的银行集中倒闭危机;银行贷款在非金融部门融资中仍居于主导地位,而住户部门的金融资产结构发生显著变化;德国的货币政策主要是通过改变银行的流动性来影响金融市场利率,进而间接影响银行信贷政策以及实体经济。     

Fiscal policy and the term structure

This paper investigates the empirical association between deficits in interest rates. It extends the results in Plosser (1982) to include the more recent experience. The association between a measure of ex ante real rates and deficits is also considered. The results largely corroborate the previous results. First, little or no association between real or nominal interest rates and deficits is found. Second, output and, to a lesser extent, military spending are found to have a significant association with interest rates.     

Bank Exposure to Interest Rate Risks During Financial Liberalization: Evidence from South Korea

This study documents the changing impact of long and short term interest rate risks on the equity prices of banks in South Korea during the process of financial liberalization. Consistent with the presence of regulatory constraints, Korean bank equity returns are found to be sensitive to both anticipated and unanticipated changes in interest rates in the first period (1976-81) when banks were largely under government control. However, during our last period (1989-99) of liberalization, Korean bank equity returns were found to have a positive association only with unanticipated short-term interest rates. Consistent with the ability to manage other interest rate risks successfully, in this last liberalization period, Korean bank equity returns had no association with long-term or with anticipated short-term interest rates. In view of the continued interest in banking and financial market liberalization among many Asian, African, and formerly socialist countries including China, these results should be of much banking and policy interest. JEL Classifications: G21, G28, E44, L89     

利率决定理论——利率市场化理论基础之一

利率市场化是指金融机构在货币市场经营融资的利率由市场供求来决定。它包括利率决定、利率传导、利率结构和利率管理的市场化。推进利率市场化的理论基础涉及利率决定理论、利率传导理论以及剖析利率结构和利率管理的金融发展理论。本文重点介绍了利率决定相关理论的核心思想,这些理论包括古典利率决定理论、马克思的利率决定理论、凯恩斯利率决定理论、可贷资金论以及IS—LM模型等。研究表明,平均利润率、资金的供求关系、通货膨胀率、央行的货币政策、国际金融市场利率等都会影响一国利率水平。     

The effect of real rates of interest on housing prices

During the late 1970s, U.S. house prices were appreciating rapidly even though mortgage interest rates were climbing. Recently, interest rates have eased but prices have moderated. This study examines the role of appreciation expectations in overcoming the negative effects of nominal mortgage interest rates on house prices. Expectations of future appreciation are important determinants of house sales prices, remaining influential during periods of declining and moderating real prices, not just when prices are rising. The real rate of interest, as viewed by the homebuyer, is the mechanism for affecting change in housing price levels. Because the nominal interest rate is slow to reflect changes in expectations, these real rates vary over time. This ebb and flow of real interest rates appears to explain market price levels. Nominal rates play a role as well, primarily in the formation of appreciation expectations.     

Interest Rate Pass-Through in China: An Analysis of Chinese Commercial Banks

This study investigates the interest rate transmission in China. We analyze the extent to which the benchmark and wholesale interest rates are transmitted to the retail interest rates and focus particularly on the change in the interest rate pass-through after the interest rate liberalization. Using data of 16 listed banks from 2007Q1 to 2017Q3, we find that the pass-through is not yet complete. Even though interest rates have been liberalized on the policy level, the sensitivity of the retail interest rates to the wholesale rates has not increased enough as expected and may be explained by the market power of Chinese commercial banks.     

An examination of real interest rates in the United States, Canada, France, and Germany during the recent floating exchange rate period

This study reexamines the international linkage of ex-ante real interest rates using the theory of cointegrated processes. The univariate unit root tests suggest the existence of a nonstationary real interest rate in the United States, Canada, and (the former) West Germany. An ex-ante real interest rate is obtained by subtracting estimates of inflation from the nominal interest rate. The expected inflation rates are obtained by modeling changes in monthly CPI values as autoregressive moving average (ARMA) processes. A multivariate test for unit roots indicates that there are two cointegrating vectors, or one common stochastic trend, for the system of three nonstationary real interest rates. In addition, the log-likelihood ratio test fails to reject the null hypothesis that, in the long run, real interest rates in the United States are equal to those in Canada and West Germany.     

金融开放与利率的外部冲击——债券市场的一个新现象

该文认为在全球化背景下,我国债券市场面临的环境也更加复杂,其他国家股市的涨跌、汇率的走势、利率的变化都会对我国债券市场的行情产生影响。文章重点分析了全球化背景下,我国利率和美国利率的共振特征,指出我国债券市场的走势与美国的相关性明显增强;进而分析了人民币汇率变动对利率波动的影响,认为在关注外部因素对我国债券市场的影响时要特别注意汇率对境内利率的影响。     

International expected real interest rates: New tests of the parity hypothesis and U.S. fiscal policy effects

This paper investigates the links among expected real interest rates across countries and also those between international expected real interest rates and U.S. fiscal policy. We analyze the cross-sectional mean of international ex-post real interest rates as an estimator for the mean international expected real interest rate. Our results strongly reject the international expected real interest rate parity hypothesis; reveal that U.S. budget deficits have no independent effects on international real rates given the impact of U.S. government defense spending; and suggest that forces other than U.S. fiscal policy account for the post-1980 rise in international real rates.     

Regulation and the Neo-Wicksellian Approach to Monetary Policy

Laubach and Williams (2003) employ a Kalman filter approach to jointly estimate the neutral real federal funds rate and trend output growth using an IS relationship and an output-gap-based inflation equation. They find a positive link between these two variables, but also much error surrounding neutral real rate estimates. We modify their approach by including variables for regulations on deposit interest rates and on wages and prices. These variables are statistically significant and notably affect estimates of two policy-relevant coefficients: the sensitivity of output to the real interest rate and that of inflation to the output gap.     

Real Interest Rate Parity: Long-Run and Short-Run Analysis Using Wavelets

In this article, long-run and short-run relationships among real interest rates in G-7 countries are empirically analyzed. The evidence suggests the existence of long-run relationships among these real interest rates. However, the long-run relationship is not an equality relationship. Short-run relationships are estimated using dynamic simultaneous equation models. They reveal that the real interest rates of non-U.S. G-7 countries react and adjust to long-run disequilibrium conditions. A more detailed analysis based on wavelet transform indicates the existence of both short-run and long-run relationships; however, strict interest rate parity does not seem to hold true.JEL Classification: C22, E43, G15     

我国利率、货币供应量对物价的传导效应研究

摘要：本文利用STR模型考察了我国2000--2011年间货币供应量、利率与物价间的关系。研究表明,货币供应量和利率对物价的影响都是非线性的,其中货币供应量的影响是正向的,而且在不同经济状态下影响程度不同,在高利率水平下影响更突出;利率低时对物价的影响是负向的,此时加息是治理通货膨胀的有效手段,但当利率水平过高时,受制于“成本渠道”效应的影响,提高利率将进一步加剧通胀压力。因此,央行调控物价时应充分考虑所处的经济状态,合理选择两种不同的调控方式,以取得预期调控效果。     

Dynamic Linkages among Budget Deficits,Interest Rates and the Stock Market*

This paper examines the dynamic linkages among the federal budget deficit, interest rates and the stock market for the United States from 1960 to 2006. The empirical strategy includes vector autoregression (VAR) and Granger causality analyses. The results suggest that budget deficits negatively impact upon stock returns, which implies a violation of the Ricardian Equivalence Proposition. Further analysis shows a higher sensitivity of stock returns to corporate taxes than to public spending. Finally, it is shown that although taxes are relevant for corporate profits in the short run, budget deficits are important for the stock market in the long run.     

利率上浮及其与贷款基准利率的关系探究

对31个省市2005-2015年的1~3年期贷款利率上浮幅度进行测算,并通过统计分析与面板模型对其与贷款基准利率的关系进行探索性研究,结果显示:贷款利率上浮幅度与贷款基准利率负相关,贷款利率上浮幅度自2010年开始快速上升;不同地区的上浮幅度差异大,存在明显的区域异质性,中国人民银行通过基准利率调整进行宏观调控时,主要对北京市、上海市的贷款利率形成传递效应,对其它地区的影响相对较小;且随着时间的推移,基准利率政策的有效性越来越低.因此,为发挥基准利率政策的有效性,应在适度区间进行基准利率调节,加强中国人民银行对地方性商业银行的宏观审慎管理能力,同时与数量型货币政策相配合.     

LPR改革对居民消费信贷的影响分析

作为利率市场化的关键一步,贷款市场报价利率(LPR)形成机制的改革有助于提高利率传导效率,并以市场化手段推动降低实体经济融资成本。这同样会对居民部门消费需求产生影响。特别是在居民杠杆率增长快、资产流动性不足、信贷渠道发挥的作用相对有限的背景下,以LPR为基础的贷款定价方式改革不仅有助于优化跨期消费决策,缓解偿债压力,强化直接利率效应,还可以通过提升企业经营效率以及居民收入,加强间接收入效应。     

Applying a macro-finance yield curve to UK quantitative Easing

We estimate a macro-finance yield curve model for both the nominal and real forward curve for the UK from 1993 to 2008. Our model is able to accommodate a number of key macroeconomic variables and allows us to estimate the instantaneous response of the yield curve and so gauge the impact of Quantitative Easing on forward rates. We find that 10 year nominal interest rates on average are lower by 46 basis points which can largely be explained by three main channels: portfolio balance; liquidity premium and signalling but there is no sizeable impact on real interest rates.     

Shibor对我国银行主要金融产品定价的基准性分析

构建和培育市场基准利率是完善市场化利率体系的重要基础条件。自2007年人民银行构建和培育市场基准利率Shibor（上海银行间同业拆放利率）以来,Shibor的基准地位不断提高。加强对Shibor的基准性研究,分析判断Shibor在银行主要金融产品定价中的基准地位,成为当前我国利率市场化改革的重点课题。本文运用协整检验考察了Shibor对同业存款利率、贴现利率和贷款利率定价的基准性,通过误差修正模型（ECM）描述了各主要金融产品利率同Shibor走势的长期均衡关系和短期动态调整过程,分析了各主要利率的形成机制,并针对实证结果,结合目前的商业银行利率定价机制,提出了相关建议。