金融危机后中国股市波动性结构变化测度及其原因分析

以2005年4月至2010年4月我国沪深300指数为研究对象,使用调整后的EGARCH模型,对金融危机前后中国股市的波动性进行研究。结果显示:金融危机发生后中国股市的波动性明显减弱———这与美国股市明显不同,且波动性结构发生了显著性变化,表现为美国股市对中国股市的影响减弱、中国股市波动的持久性增强等。最后,对产生这些变化的原因进行了理论分析,指出金融危机发生后贸易保护主义抬头、刺激性的宏观经济政策出台是中国股市波动性结构变化的可能原因。     

中国股票市场波动性的结构性变换与重大事件

文章运用迭代累积平方和算法检测了我国股票市场的波动性出现结构性变换的情形。通过研究波动性的结构性变换附近的重大事件,我们发现政府对我国股票市场的规制是造成波动性发生结构性变换,尤其是使波动性突然大幅增加的主要原因。这个结论有异于现有的文献。本文的研究在一定程度上表明,我国股票市场的确具有"政策市"的特征,这意味着进一步认识股票市场的规制和改进现有的规制实践是有必要的。     

政策调整对股票市场波动的影响

以利率调整、存款准备金率调整、货币供应量变动作为货币政策调整变量,以印花税调整和财政支出变动作为财政政策调整变量,来研究股票市场的波动,分析了单个政策调整对股票市场波动的影响和政策调整组合对股票市场波动的影响。研究发现,单一货币政策中存款准备金率调整对股票市场波动性影响显著,而利率调整对股票市场波动性影响不显著。单一财政政策中印花税调整在中期对股票市场波动性影响显著。不考虑宏观经济指数变动时,只有利率调整对股票市场波动性的影响显著为负向,印花税调整和存款准备金率调整对股票市场波动性影响不显著;考虑宏观经济指数变动时,三个政策调整对股票市场波动性的影响不显著。不论是否考虑宏观经济景气指数的变动,财政支出变动对股票市场波动的影响显著负向,货币供应量变动对股票市场波动的影响显著为正。     

宏观审慎管理、金融摩擦与经济周期——基于准备金率工具的视角

本文采用DSGE模型,考虑银行部门存在杠杆率监管约束的情况下,研究调整法定存款准备金率对宏观经济波动和信贷市场的影响.研究发现:将法定准备金率作为逆周期货币政策工具更倾向于放大银行部门和通货膨胀率的波动性,但是有利于稳定实体经济波动;在贷款价值比处于较高水平的情况下,上述结论依旧成立;时变法定准备金率的政策安排将会有效地降低银行部门的顺周期特征,有利于降低系统性金融风险发生的可能性.但是本质上来讲,法定存款准备金率的调整属于行政调控,并且在一定程度上扭曲了我国资金供求关系,造成融资效率损失并且放大了银行部门主要指标的波动性.     

中国近二十年货币政策的轨迹:价格规则还是数量规则

我国宏观经济在过去的20年高增长和高波动并存,2000年后波动有所减弱。文章利用1992-2011年的宏观经济数据,实证检验了货币政策的价格规则和数量规则。研究发现,汇率在货币政策规则中反应不显著,数量规则对产出和通胀的反应比价格规则更显著;2000年前后货币规则发生了结构性变化,货币政策对通胀的反应具有动态时变特征;数量规则比价格规则对产出和通胀的调控更有效。     

中国经济结构调整对宏观经济波动的“熨平效应”分析

本文利用方差分解方法,分别研究了在支出法和生产法GDP核算下,经济结构调整是否对宏观经济波动具有"熨平"效应。结果发现:(1)无论是以支出法还是生产法来衡量GDP,经济结构调整都对宏观经济波动具有有限的"熨平效应"。(2)结构调整之所以对宏观经济的"熨平"作用有限,是因为中国自1986年以来的结构调整方向有一定偏差。(3)第二产业内部的结构调整"熨平"宏观经济波动的作用较强。(4)要进一步发挥经济结构调整对宏观经济波动的"熨平效应",需要提高消费占GDP的比重,提高波动性小的第三产业中各行业占GDP的比重,同时减少波动性大的第二产业中各行业占GDP的比重,控制第二产业内部高波动性行业的发展速度或努力使其波动性下降。     

股权分置改革后股票市场与宏观经济关系分析

运用邹氏参数稳定性检验,发现股权分置改革前后股票市场指数与宏观经济变量发生了明显的结构性的变化。参数是非稳定的。要实现股票市场发展与经济基本面、股市波动与宏观经济运行状况相关联,真正实现股票市场“晴雨表”的功能,积极引导资源的优化配置,须进一步完善股票市场的运行机制。     

交易所债券市场与银行间债券市场波动性比较研究

从不同的角度理解债券市场的波动性,有着不完全相同的涵义,进而可以从不同的角度来测度债券市场的波动性。债券市场的波动性主要是通过市价的波动体现出来,由于债券尤其是国债的市价波动主要受利率变动的影响,可以说利率是影响国债市场价格的第一要素,所以对债券市场波动性的第一层次理解便是债券市价随着市场利率变动而波动的特征。为了测度这一层面意义上的债券市场波动性,债券研究理论与对发达市场的经验分析主要运用基点价格值、收益率变动价格值、久期与凸性等概念与相应指标。其中,基点价格值与收益率变动价格值是一个问题的两个方面,…     

20世纪90年代以来我国经济周期划分及特征分析

20世纪90年代以来,随着我国市场经济体系的不断建立和完善,经济周期波动的特征也发生了很大变化。观察总体经济增长的动态发展,研究宏观经济周期波动和发展趋势,应选择一个最能反映国民经济活动水平的总量指标,这个指标就是国内生产总值(GDP)指标。而经济周期考察的重点是相对指标即经济增长速度,而不是绝对指标,所以,本文选用国家统计局调整后公布的GDP增长率(可比价)指标^①对我国经济波动趋势进行分析。     

中国经济为何周期波动?

经济周期波动,是指总体经济超出一定范围和幅度、有规律的波动性增长,一般经历上涨、高峰、衰退、低谷几个阶段。过去我们对经济周期性波动问题缺乏认识,在宏观经济管理中出现了许多盲目和失误。历史的教训表明,加强对经济周期性波动的研究,对于搞好宏观经济调控有重要的意义。     

A new index of financial conditions

We use factor augmented vector autoregressive models with time-varying coefficients and stochastic volatility to construct a financial conditions index that can accurately track expectations about growth in key US macroeconomic variables. Time-variation in the models׳ parameters allows for the weights attached to each financial variable in the index to evolve over time. Furthermore, we develop methods for dynamic model averaging or selection which allow the financial variables entering into the financial conditions index to change over time. We discuss why such extensions of the existing literature are important and show them to be so in an empirical application involving a wide range of financial variables.     

On the reduced macroeconomic volatility of the Australian economy: Good policy or good luck?

The Australian economy has experienced various changes in macroeconomic conditions over the past four decades. These changes have been associated with reduced volatility in key macroeconomic variables: CPI inflation, real GDP and the TWI measured real exchange rate. In light of this fact, my objective in this paper is to determine whether this reduction is associated with good policy or good luck. To this end, I estimate a time varying structural VAR model that is identified with theoretically consistent sign restrictions from a small open economy dynamic stochastic general equilibrium model. The primary result is that both non-systematic and systematic monetary policy have changed over the past four decades. In particular, non-systematic responses of inflation, real GDP and the exchange rate have increased since the adoption of a flexible exchange rate in 1983, while systematic responses of the cash rate to inflation have experienced various changes in intensities, exhibiting a trend towards a more passive behaviour since the 2007/08 financial crisis. Taken together, these results suggest that the reduction in macroeconomic volatility is associated with good policy.     

Macroeconomic dynamics in Macedonia and Slovakia: Structural estimation and comparison

This paper estimates a structural macroeconomic model using data for Macedonia and Slovakia to characterize possible challenges Macedonia can face concerning macroeconomic stabilization during its transition process. A comparison of the estimated model parameters suggests that, in Slovakia, the output gap is less sensitive to real interest rate movements and prices experience greater inertia. The estimated monetary policy reaction functions show Macedonia and Slovakia as inflation targeters, with Macedonia as the more conservative one, despite its officially applied exchange rate targeting regime. The differences in the estimated parameters imply differing transmission mechanisms for Macedonia and Slovakia. Consequently, the variance of domestic variables in Slovakia is most influenced by monetary policy shocks, while there is no single dominating shock explaining the volatility of Macedonia's macroeconomic variables. The exchange rate shock, the monetary policy shock and the demand shock are jointly important in determining the volatility of Macedonia's variables. The model simulations indicate that Macedonia experiences lower output gap and inflation volatility than Slovakia. This comes, nevertheless, at the cost of higher interest rate and real exchange rate volatility in Macedonia, which could be an indication of more volatile financial markets with possible negative implications for financial stability.     

Determinants of housing price volatility in Canada: a dynamic analysis

This article tries to identify the determinants of housing price volatility and to examine the dynamic effects of these determinants on volatility using quarterly data for Canada. The Generalized Autoregressive Conditional Heteroskedastic (GARCH) and the Vector Autoregressive (VAR) models have been employed to analyse possible time variation of the housing price volatility and the interactions between the volatility and the key macroeconomic variables. We find the evidence of time varying housing price volatility for Canada. Our VAR, Granger causality and variance decomposition (VDC) analyses demonstrate that housing price volatility is affected significantly by gross domestic product (GDP) growth rate, housing price appreciation rate and inflation. On the other hand, volatility affects GDP growth rate, housing price appreciation and volatility itself. The impulse response analysis reveals the asymmetric of the positive and negative shocks. The findings of this article have important implications, particularly for those seeking to develop derivatives for housing market prices.     

Time‐Varying Dynamics of the Norwegian Economy

We use time‐varying parameter vector autoregressive models to investigate possible changes in the time‐series properties of key Norwegian macroeconomic variables since the 1980s. Notably, we find that inflation persistence falls during the inflation targeting period, while the volatility of inflation and nominal exchange rates increases. The observed time‐variation in the correlations between the interest rates and the macro variables largely reflects the prevailing monetary policy regimes. An increase in the correlations between oil prices and other macro variables over time is also documented. Using a counterfactual analysis, we discuss the observed time‐varying dynamics of the Norwegian economy in the light of monetary policy and oil price shocks.     

Foreign banks,financial crises and macroeconomic fluctuations

Understanding the implications of increased foreign bank presence is especially compelling in periods of financial crisis. In this paper, we explore this issue by examining the relationship between the involvement of foreign banks in the banking systems and the volatility of key macroeconomic variables in normal and crisis periods. Using a sample of 20 Emerging European countries from 1998 to 2013, we find that an increase in the assets of foreign banks in the banking system reduces output and consumption growth volatility in general but does not significantly affect the volatility of investments. However, these banks were found to play a significant role in increasing output, consumption and investment volatility in 2009. Our findings suggest that foreign banks’ harmful impact during the global crisis was only temporary and that they seem to help Emerging European countries stabilize macroeconomic volatility in normal times and after the global crisis.     

金融周期对宏观经济稳定的影响异质性分析

宏观经济稳定长期以来作为中国宏观调控的重要目标,在"新常态"时期被更加广泛关注。金融稳定作为宏观经济稳定的必要条件,以洞悉金融周期为前提,要求细究金融周期变量对宏观经济运行的影响,为政策精准性提供支持。本文利用相关金融周期和宏观经济变量季度数据,使用滤波方法找出宏观经济的波动和平稳时期,运用机器学习算法验证所选输入变量与输出变量的匹配度,并测度各输入变量对输出变量的重要度。本文发现波动期和平稳时期宏观经济表现虽有不同,但资产价格指数和信贷水平对各宏观经济变量的重要度之和都达到50%以上,而其他金融周期变量如利差、杠杆率和金融机构风险暴露的重要度则有限。这表明相关政策需有的放矢,相较于无差别的大规模释放流动性,可将重心置于维护资产价格稳定和优化信贷政策配给,为宏观经济稳定保驾护航。     

金融周期对宏观经济稳定的影响异质性分析*

宏观经济稳定长期以来作为中国宏观调控的重要目标，在“新常态”时期被更加广泛关注。金融稳定作为宏观经济稳定的必要条件，以洞悉金融周期为前提，要求细究金融周期变量对宏观经济运行的影响，为政策精准性提供支持。本文利用相关金融周期和宏观经济变量季度数据，使用滤波方法找出宏观经济的波动和平稳时期，运用机器学习算法验证所选输入变量与输出变量的匹配度，并测度各输入变量对输出变量的重要度。本文发现波动期和平稳时期宏观经济表现虽有不同，但资产价格指数和信贷水平对各宏观经济变量的重要度之和都达到50%以上，而其他金融周期变量如利差、杠杆率和金融机构风险暴露的重要度则有限。这表明相关政策需有的放矢，相较于无差别的大规模释放流动性，可将重心置于维护资产价格稳定和优化信贷政策配给，为宏观经济稳定保驾护航。     

Has the Euro changed the business cycle?

In contrast to the notion that the exchange-rate regime is non-neutral, there is little evidence that EMU has systematically changed the European business cycle. In fact, we find the volatility of macroeconomic variables largely unchanged before and after the introduction of the Euro. Exceptions are a strong decline in real exchange rate volatility and a considerable increase in cross-country correlations. To account for this finding, we develop a two-country business cycle model which is able to replicate key features of European data. In particular, the model correctly predicts a limited effect of EMU on standard business cycles statistics. However, further analysis reveals that the Euro has changed the nature of the cycle through its impact on the transmission mechanism. Cross-country spillovers have become relatively more, domestic shocks relatively less important in accounting for economic fluctuations under EMU. This explains why there is little change in unconditional volatilities.     

On the sources of macroeconomic stability in the euro area

In the mid-1990s the euro area experienced a change in macroeconomic volatility. Around the same time, at business cycle frequencies the correlation between inflation and money growth changed markedly, turning from positive to negative. Distinguishing the periods pre- and post-1994, we estimate a dynamic stochastic general equilibrium model with money for the euro area. The model accounts for the salient facts. We then perform several counterfactual exercises to assess the drivers of these phenomena. The moderation of real variables was essentially due to relatively smaller shocks to investment, wage markups and preferences. The apparent lack of evidence for the quantity theory of money in the short run and the changes in the volatility of nominal variables resulted primarily from a more anti-inflationary and gradual monetary policy.