SALES,INVENTORIES AND REAL INTEREST RATES: A CENTURY OF STYLIZED FACTS

We use Bayesian time‐varying parameter structural vector autoregressions with stochastic volatility to investigate changes in reduced‐form and structural correlations between inventories and either sales growth or the real interest rate in the USA during both the inter‐war and post‐World War II periods. We identify four structural shocks by combining a single long‐run restriction to identify a permanent output shock with three sign restrictions to identify demand‐ and supply‐side transitory shocks. We show that during both the inter‐war and post‐war periods the structural correlation between inventories and real interest rate conditional on identified interest rate shocks is systematically positive; the reduced‐form correlation between the two series is positive during the post‐war period, but in line with the predictions of theory it is robustly negative during the inter‐war era; during that era the correlations between inventories and either of the two other series exhibit a remarkably strong co‐movement with output at business cycle frequencies. Copyright © 2014 John Wiley & Sons, Ltd.     

Oil exports and the Iranian economy

This paper presents an error-correcting macroeconometric model for the Iranian economy estimated using a new quarterly data set over the period 1979Q1–2006Q4. It builds on a recent paper by the authors, Esfahani, Mohaddes, and Pesaran (in press), which develops a theoretical long-run growth model for major oil exporting economies. The core variables included in this paper are real output, real money balances, inflation, exchange rate, oil exports, and foreign real output, although the role of investment and consumption are also analysed in a sub-model. The paper finds clear evidence for the existence of two long-run relations: an output equation as predicted by the theory and a standard real money demand equation with inflation acting as a proxy for the (missing) market interest rate. The results show that real output in the long run is influenced by oil exports and foreign output. However, it is also found that inflation has a significant negative long-run effect on real GDP, which is suggestive of economic inefficiencies and is matched by a negative association between inflation and the investment–output ratio. Finally, the results of impulse responses show that the Iranian economy adjusts quite quickly to the shocks in foreign output and oil exports, which could be partly due to the relatively underdeveloped nature of Iran's financial markets.     

自主创新与合作创新的绩效比较

将自主创新与合作创新结合起来,采用协整技术和误差修正模型,就两种不同的技术创新方式对经济发展的影响进行实证分析。得出结论:两种技术创新模式和经济增长率组成的系统在长期构成一个稳定的过程,其中自主创新模式和合作创新模式均对我国经济增长在长期产生了积极的促进作用;由两种技术创新模式和经济增长率所组成的协整系统在短期内对经济增长产生了正向的调节作用,但对经济增长的作用都不是特别明显,自主创新模式对经济发展的净效应为正,而合作创新模式对经济增长的净效应不明显,甚至为负;基于此,提出相应策略以提升国家的创新能力和构筑竞争优势。     

Budget deficits and real interest rates: a regime-switching reflection on Ricardian Equivalence

This paper investigates the relevance of the Ricardian Equivalence theorem for the relationship between the budget deficit and real interest rate. In contrast to the existing literature, we focus on regime-change over a long study period and consider nonlinearities. Using a Markov regime-switching model applied to two centuries of annual data, we find evidence that the US economy switches between a Ricardian Equivalence regime, characterized by an insignificant relationship between the adjusted primary budget deficit and real long-term interest rate, and a regime characterized by the traditional view of a positive relationship. We also find evidence that the transition probabilities between regimes are time-varying insofar as a weaker level of economic activity, a lower real interest rate differential between the US and abroad, or higher national debts, is associated with a weaker relationship between budget deficits and interest rates.     

基于AR模型的存款利率水平实证研究

本文建立了通货膨胀率、储蓄存款、消费对存款实际利率长期影响的AR模型,并通过实证检验发现四大现象:实际利率与名义利率的巨大差别;通货膨胀率是影响实际利率的最重要因素;储蓄存款和实际利率存在异象;消费膨胀促进加息。建议制定利率水平应更加及时,加速利率市场化改革,利用利率工具来抑制流动性过剩与通货膨胀。     

Stock prices and monetary policy shocks: A general equilibrium approach

Empirical literature documents that unexpected changes in the nominal interest rates have a significant effect on real stock prices: a 100-basis point increase in the nominal interest rate is associated with an immediate decrease in broad real stock indices that may range from 2.2 to 9%, followed by a gradual decay as real stock prices revert towards their long-run expected value. We assess the ability of a general equilibrium New Keynesian asset-pricing model to account for these facts. We consider a production economy with elastic labor supply, staggered price and wage setting, as well as time-varying risk aversion through habit formation. We find that the model predicts a stock market response to policy shocks that matches empirical estimates, both qualitatively and quantitatively. Our findings are robust to a range of variations and parametrizations of the model.     

THE MONETARY CONUNDRUM

The broad money supply, sterling M3, has grown by 14.1 per cent (ie an annual rate of over 30 per cent) over the past six months. Over the same period the narrow money supply definition (M1) has increased by only 4.4 per cent, while the difference between the two money supply measures — broadly speaking, the interest bearing component of sterling M3 — has grown by no less than 23.1 percent. The real economy is showing all the signs of a severe monetary squeeze with stocks and imports falling rapidly, while the balance of payments and the exchange rate are exceptionally strong. Over the past six months, industrial production (excluding North Sea oil) has fallen by 7.9 per cent while wholesale prices have risen by only 4.2 per cent. Thus, there is a double conundrum: the sharply different growth trends in M1 and sterling M3, and the contrast between the explosive growth of sterling M3 and the subdued behaviour of the real economy.
One possible answer to this puzzle, spelt out in more detail in the following pages of this Forecast Release, is that the rate of interest being paid on the interest-bearing component of sterling M3 is now abnormally high. Consequently, the asset demand for the interest-bearing component of sterling M3 is exceptionally large, with the result that both the non-interest-bearing component of the money stock (ie M1) and the real economy are being squeezed Under these circumstances, the short-run behaviour of sterling M3 may not be an entirely reliable guide to the behaviour of the real economy.     

利率变化对房地产价格的影响分析

利率不仅是金融系统中最重要的变量,也是市场经济最基础的变量之一。利率通过其传导机制发挥其调节功能。房地产市场是我国社会主义市场经济的重要组成部分,房地产业是我国的新兴支柱产业,那么利率与房价有无关系呢?本文阐述了利率及房地产价格的基本理论,论述了房地产在国民经济中的作用,通过实证研究分析了利率与房地产价格之间的关系。     

Price and interest rate dynamics induced by multiperiod contracts

This paper suggests a mechanism by which nominal price rigidities can create a transmission mechanism for monetary shocks through relative price distortions in an economy with both spot and contract markets. The globally unique equilibrium time path of interest rates and prices following an impulse shock to the money supply is characterized. The model predicts that prices and interest rates cycle around the new steady state, with real interest rates initially falling and prices overshooting in the case of a positive shock. The volatility of spot prices and interest rates exceeds that of contract prices.     

贷款利率市场化与企业金融资产投资：抑制还是促进

选取2007—2017年我国沪深上市公司的数据,实证检验了贷款利率市场化对企业金融资产投资行为的影响。研究发现,贷款利率市场化显著推动了企业金融资产投资行为,这主要是因为贷款利率市场化使企业能够获取更多的长期资金用于金融资产投资。进一步研究发现：相对于金融资产投资较多的企业,贷款利率市场化对金融资产投资行为较少的企业具有更明显的促进作用;同时,贷款利率市场化使得企业更倾向于对长期金融资产的投资;宏观经济越不景气,贷款利率市场化越能促进企业金融资产投资,而货币政策宽松程度对二者关系并不存在显著影响。研究结论能够揭示贷款利率市场化与企业金融资产投资行为的关系,为进一步考察贷款利率市场化的经济后果以及更具针对性地防控实体企业“脱实向虚”风险提供新的微观层面证据。     

宏观经济政策对房地产上市公司资本结构的影响

上市房地产公司由于其特殊的经济地位和所占据的重要社会地位,导致了它毫无疑问地成为了政府进行宏观调控的焦点。本文在阐述宏观经济要素对资本结构影响理论的基础上,利用多元线性回归模型实证分析了房地产行业的资本结构。实证表明:资产负债率与通货膨胀率呈反向变化,而与实际贷款利率呈同向变化,与GDP增长率和市盈率关系不显著。进而探讨了房地产上市公司资本结构的优化策略。     

Toward a Theory of Activist-Driven Responsible Innovation: How Activists Pressure Firms to Adopt More Responsible Practices

Accounts of stakeholder influence on corporate social responsibility (CSR), situated in the CSR domain, have recognized that activists mitigate information asymmetries between firms and consumers. However, depictions of activists as information disseminators do not explain how they perform their quintessential role – pressuring resistant firms to engage in responsible innovation that emphasizes the creation of socioenvironmental value. Drawing from social movement theory that identifies claims as the instrument of such pressure, we examine four activist organizations’ use of claims across six campaigns to drive firms to adopt more socially and environmentally responsible practices, a form of responsible innovation. Our core contribution is an empirically grounded theory of activist-driven responsible innovation (ARI) that proposes how activists use claims to drive firms to engage in responsible innovation, as well as how features of the two sides may shape this outcome. Our ARI theory primarily enriches accounts of stakeholder influence on corporate social responsibility in the CSR domain and, in doing so, secondarily enriches accounts of the influence of activists’ claims on firms in the social movement domain. These contributions also speak to the resolution of grand challenges, a core interest of the special issue.     

通货膨胀、财富波动对利润率的影响——利润率是上升还是下降？

从价格角度构建利润率公式,并证明了通货膨胀可以提高利润率。进一步分析发现,通货膨胀是资本保持与提高剩余价值的重要方式,然而利润率的实现并不容易,金融创新通过债务创造的模式改善了利润率的实现路径,减缓了利润率的下降,维持了经济繁荣。但这会推动企业与私人的债务相对过量,金融创新在推动财富（债务）增长的同时,也扩大了贫富差距。而财富的增长又需要更高的利润率支撑,这就减缓了资本的积累,强化了财富与利润率的双向波动,使得经济与金融危机更容易发生。另外,利润率也可以作为解释各种类型通货膨胀的基础理论。     

The moderating effect of environmental uncertainty on the relationship between real options and technological innovation in high-tech firms

In the past decade, management scholars have applied aspects of real options theory to organizational settings, considering it an approach to enhancing strategic flexibility in the firm. They have also recognized that technological innovation is a critical mechanism through which high-tech firms try to secure a place in the competitive world of the future. Uncertainty about the environment makes it very important to analyze both factors, since the use of real options obligates managers to reflect constantly on future scenarios for which they will have to propose innovative solutions. This paper attempts to apply the theory of real options to innovation theory to propose a model in which real options reasoning improves the level of product/process technological innovation. We argue that this improvement will increase when the environment's level of uncertainty is higher. The proposal is supported empirically by a study performed on a sample of technology firms from different countries in the European Union.     

Debt stabilization games in the presence of risk premia

As a result of the recent financial crisis and the ensuing economic recession, fiscal deficits have soared in many OECD countries. As a consequence, government debt has been on the rise again after a period of stable or declining government debt. In this paper we analyze debt stabilization in a country that features endogenous risk premia, imposed by financial markets that evaluate the probability of debt default by governments. Endogenous risk premia arise by assuming, e.g., simple linear relations between risk premia and the level of debt. As a result the real interest rate on government debt can be written as a constant (measuring the risk-free real interest rate corrected for real output growth) plus an endogenous risk premium that depends on the debt level. We bring such an endogenous risk premium into Tabellini (1986) model and analyze the impact of it. This gives rise to a non-linear differential game. We solve this game for both a cooperative setting and a non-cooperative setting. The non-cooperative game is solved under an open-loop information structure. We present a bifurcation analysis w.r.t. the risk premium parameter.     

The comparative forecast performance of univariate and multivariate models: an application to real interest rate forecasting

Does the use of information on the past history of the nominal interest rates and inflation entail improvement in forecasts of the ex ante real interest rate over its forecasts obtained from using just the past history of the realized real interest rates? To answer this question we set up a univariate unobserved components model for the realized real interest rates and a bivariate model for the nominal rate and inflation which imposes cointegration restrictions between them. The two models are estimated under normality with the Kalman filter. It is found that the error-correction model provides more accurate one-period ahead forecasts of the real rate within the estimation sample whereas the unobserved components model yields forecasts with smaller forecast variances. In the post-sample period, the forecasts from the bivariate model are not only more accurate but also have tighter confidence bounds than the forecasts from the unobserved components model.     

人民币汇率调整与内外失衡的影响机理分析

本文运用协整分析建立误差修正模型,重点分析了我国经济内外均衡与人民币汇率调整机制之间的关系。研究表明:我国经济内外部均衡变量与人民币实际有效汇率之间存在着协整关系,短期内,对人民币实际有效汇率产生影响的主要是贸易顺差、货币供给量和经济增长因素。长期来看,决定长期汇率均衡走势的是实体因素(外汇储备、经济增长和货币供应量)。价格因素(通货膨胀率和利率)在短期内可能对汇率影响较大,但长期内不再重要。     

Alternative modes of deficit financing and endogneous monetary and fiscal policy in the U.S.A. 1923–1982

This paper first investigates the effects of alternative modes of deficit financing on the unemployment rate, the inflation rate and the real interest rate, within the framework of a small complete macroeconomic model. Secondly, it examines the nature of monetary and fiscal reaction functions. The two periods 1923–1960 and 1961–1982 are considered, with substantial differences in behaviour and policy being shown to exist between them. The most important conclusion is that long-run monetary neutrality properties shown to exist over the latter period are not intrinsic to the U.S. economy, but rather are the result of the stabilization policies being conducted over that period.     

Money growth and interest rate volatility and the demand for money

In this paper the author empirically examines the effects of both money growth and interest rate volatility measures upon the demand for real balances. The findings of this study suggest that both money growth and interest rate volatility measures are statistically insignificant. However, evidence suggests a structural shift in the demand for money in the post-1979 period. Moreover, there is a noticeable change in the speed of adjustment moving from actual to desired real balances with the adjustment coefficient in the post-1979 period increasing roughly in magnitude nine and half, times the adjustment coefficient in the pre-1979 period.