浮动汇率制国家满足实际利率平价假说吗——区分贸易品和非贸易品的检验及对中国的启示

本文分别使用总产品价格、贸易品价格和非贸易品价格来构建实际利率,选取了实行浮动汇率制的八个工业化国家作为样本,通过检验两国间实际利率差序列是否平稳来验证实际利率平价(RIP)假说是否成立.实证结果显示,使用贸易品价格构建实际利率时,实际利率平价假说在大多数情况下能被证实,而使用其他两种价格构建实际利率时,该假说在多数情况下被证伪.这样.西方发达国家财政政策和货币政策失效的原因可在一定程度上得到解释,同时,我们的结论也可为中国未来金融改革提供有益的启示.     

房地产泡沫的虚拟经济决定论及其实证检验

现代房地产具有虚拟资产特征。对房地产泡沫的虚拟经济决定论的实证检验包括:房地产价格与货币政策、利率政策、信贷波动及股价各自之间的相关检验。结果发现,货币供应量、利率等虚拟经济变量对房地产价格都存在显著的影响。整体而言,来自中国的实证分析初步支持了房地产泡沫的货币推动假说,房地产泡沫是一种货币现象的判断。     

The hypothesis of a unit root in OECD inflation revisited

This paper investigates the hypothesis of a unit root in inflation for 13 OECD countries over the period 1957–2005, taking into account cross-sectional dependence and multiple mean shifts. We conduct unit root testing with the more powerful unit root tests with cross-dependence proposed by Smith et al. [Smith, L. V., Leybourne, S., Kim, T., & Newbold, P. (2004). More powerful panel data unit root tests with an application to the mean reversion in real exchange rates. Journal of Applied Econometrics, 19(2), 147–170] and a bootstrap version of the panel stationarity test of Hadri [Hadri, K. (2000). Testing for stationarity in heterogeneous panel data. The Econometrics Journal, 3(2), 148–161.], which provide inconclusive evidence on the time series properties of OECD inflation rates. To shed some light on this issue, we employ the recently developed panel stationarity test of Carrión-i-Silvestre et al. [Carrión-i-Silvestre, J. L., Del Barrio, T., & López-Bazo, E. (2005). Breaking the panels: An application to the GDP per capita. The Econometrics Journal, 8(2), 159–175] that assumes a highly flexible trend function by incorporating an unknown number of breaks in level. Overall, our confirmatory analysis renders clear-cut evidence in favor of regime-wise stationarity. Furthermore, the breaks in inflation detected are closely associated with macroeconomic shocks and changes in monetary policy.     

我国货币中性的实证研究

国际金融危机爆发以来,降低利率、增加流通中货币成了各国政府解决金融危机的共同做法,货币对于经济的积极作用再次引起人们的关注。过于宽松的货币政策能持续多久,会不会造成严重的通货膨胀,进而破坏经济的健康发展,也同样引起人们的关注。本文对我国1978-2009年的流通中货币、利率、物价指数对GDP的影响进行了实证研究,结果表明流通中货币不是实际GDP增长的格兰杰原因,货币是中性的;GDP的实际增长率是实际利率的格兰杰原因,名义利率和GDP没有因果关系;GDP和物价指数没有格兰杰因果关系,通货膨胀不能促进经济的增长。     

Random Walk in the MIST

The term MIST has been coined to describe the next tier of large emerging economies, namely Mexico, Indonesia, South Korea, and Turkey. This article reexamined whether the properties of mean reversion for stock prices held for the MIST emerging stock markets using the sample from April 2004 to April 2012. The authors utilized a panel unit test with Fourier transformation capable of taking multiple structural breaks into account to discover that MIST stock markets indeed follow a random walk process. This is consistent with the efficient market hypothesis, suggesting that historical information is not useful in predicting future prices in MIST stock markets.     

McKinnon互补性假说在中国成立吗?——基于1980—2010年数据的分析

通过建立向量自回归(VAR)模型,运用Johansen多变量协整和向量误差修正方法,利用中国1980—2010年的样本数据对McKinnon互补性假说进行实证检验。研究结果表明,McKin-non互补性假说在中国成立,即货币需求与资本形成为互补关系。其政策含义是:中国应继续大力推进金融改革特别是利率市场化改革;同时,采取各种有效措施提高实体经济的回报率,鼓励商业银行向中小企业贷款,以此促进企业的资本积累和经济的持续增长。     

Monetary policy and exchange rate overshooting: Dornbusch was right after all

Dornbusch's exchange rate overshooting hypothesis is a central building block in international macroeconomics. Yet, empirical studies of monetary policy have typically found exchange rate effects that are inconsistent with overshooting. This puzzling result has been viewed by some researchers as a “stylized fact” to be reckoned with in policy modelling. However, many of these studies, in particular those using vector autoregressive (VARs) approaches, have disregarded the strong contemporaneous interaction between monetary policy and exchange rate movements by placing zero restrictions on them. In contrast, we achieve identification by imposing a long-run neutrality restriction on the real exchange rate, thereby allowing for contemporaneous interaction between the interest rate and the exchange rate. In a study of four open economies, we find that the puzzles disappear. In particular, a contractionary monetary policy shock has a strong effect on the exchange rate, which appreciates on impact. The maximum effect occurs within 1-2 quarters, and the exchange rate thereafter gradually depreciates to baseline, consistent with the Dornbusch overshooting hypothesis and with few exceptions consistent with uncovered interest parity (UIP).     

The spillover effects of China's monetary policy shock: Evidence from B&R countries

This paper examines the international spillover effects of China's monetary policy shock on macro and financial variables in 26 countries along the Belt and Road (B&R) from 2000 to 2019. We find that a surprise Chinese monetary tightening brings about a widening in the short-term interest rate spread, a drop in the equity price, nominal depreciation against the RMB and real depreciation, and an improvement in the trade balance, on average, across the 26 B&R countries. Moreover, substantial heterogeneous effects emerge in the responses of the foreign real exchange rate and the trade balance in different groups in terms of the 26 countries' trade weights with China, capital openness, and national income levels. Finally, all the empirical evidence reveals that the expenditure switching effect plays an important role in facilitating the international transmission of China's monetary policy shock.     

沪深股市月股价指数变动的方差比检验分析

基于沪深股市自建立以来的月A股价指数序列,采用方差比检验法,对两市A股股价指数是“随机游走”,还是存在“均值回复”的假设进行实证分析。一般性数据分析结果表明沪深两市的A股月收益序列都不是一个白噪声过程;方差比检验的经验结果不能拒绝沪市A股月股价指数随机游走的假设;但拒绝了深市的这一假设;而且随着采样间隔q的增加,两市A股收益的方差比有着不同的变化趋势。     

Short Rate Dynamics and Regime Shifts*

We characterize the dynamics of the US short‐term interest rate using a Markov regime‐switching model. Using a test developed by Garcia, we show that there are two regimes in the data: In one regime, the short rate behaves like a random walk with low volatility; in another regime, it exhibits strong mean reversion and high volatility. In our model, the sensitivity of interest rate volatility to the level of interest rate is much lower than what is commonly found in the literature. We also show that the findings of nonlinear drift in Aït‐Sahalia and Stanton, using nonparametric methods, are consistent with our regime‐switching model.     

Returns on ADRs and arbitrage in emerging markets

In this paper we compare the distributions of ADR returns and the returns of the locally traded shares between Chile and Argentina. This comparison is interesting because both countries are emerging economies with a similar free market orientation and the trading hours in both countries virtually coincide with the trading hours in New York. Argentina and Chile differ, however, in two important aspects: During our sample period: (1) The Argentinean market was completely under a fixed-exchange rate system, while Chile maintained a flexible exchange rate regime; and (2) Argentina did not impose any restrictions on foreign investments, while Chile did. We find that the return distributions of the Chilean ADRs are significantly different from the distributions of the returns on the respective underlying Chilean shares. While the mean returns are the same, the return's S.D. are significantly different. In contrast, the hypothesis that the distributions of the returns on the Argentinean ADRs and the returns on their respective underlying shares are the same cannot be rejected. We then use a threshold model to estimate the transaction costs of trading the ADRs and the locally traded shares. We find that the transaction costs that must be added to the returns spread before arbitrage is possible were between 100 and 200 basis points for Chilean ADRs. It was between 66 and 165 basis points for the Argentinean ADRs. The daily return spread reversion caused by arbitrage activities was estimated to be approximately 30% for Chilean ADRs and 40% for Argentinean ADRs. Finally, we cannot reject the hypothesis that low liquidity was a major factor in the cost difference between the two countries.     

On the Characterisation of the World Real Interest Rate

This paper characterises the world real interest rate as a common trend in real interest rates in Germany, Japan, and the United States even if there is scepticism in the existence of the world real interest. In theoretical terms, real interest parity is based on the presumed validity of uncovered interest parity and purchasing power parity, but the empirical evidence of these parity conditions is not strong and thus the presence of the world real interest rate. The significance of this paper is, therefore, to visualise the current level of international economic integration by characterising the approximate world real interest rate as a single common trend, taking full advantage of the fact that real interest rates in three large open economies have been moving together sharing a common component even if their levels are distinctively different. This single common trend has desirable properties as the world real interest rate. First, it is a parsimonious and monotonically increasing function of the real interest rates in three large open economies that can be world price or interest rate maker, in contrast with small open economies. Second, it is moving together with national real interest rates one for one. Hence, the deviations from the world rate are temporary because common trend represents the common driving force of national rates over the long run period. Third, it can explain as high a proportion as possible of the variances of national rates.     

The interest rate sensitivity of equity prices with respect to systematic risk and leverage

This study extends the previous empirical research into the sensitibity of equity prices to include interest rates. Specifically, the null hypothesis that the interest rate sensitivity of equity prices is independent of the level of systematic risk and financial leverage is tested. The hypothesis is tested using a short-term and long-term interest rate index. The results show that the interest rate sensitivity of equity prices is independent of the amount of financial leverage but not independent of the level of systematic risk.     

利率对汇率变化反应了吗?——基于开放经济下泰勒规则的分位数回归

将基准利率区分为市场基准利率与法定基准利率,并对开放经济下的泰勒规则用分位数回归方法进行实证检验。研究结果表明:不同基准利率对预期通货膨胀率反应显著,且与封闭经济相反,表现为一种稳定的反馈机制,对预期人民币实际有效汇率变动的反应只在个别分位点显著而总体不显著;而对预期产出缺口的反应在两种基准利率下有所不同,在市场基准利率时不显著,在法定基准利率时显著。因此,市场基准利率主要根据预期通货膨胀率进行调整,而法定基准利率则根据预期通货膨胀率与预期产出缺口进行制定,这符合"保持货币币值稳定,并以此促进经济增长"的货币政策目标。     

Impact of commodity prices on exchange rates in commodity-exporting countries

This paper studies the link between real exchange rates and commodity prices, over the period 1993M1–2018M12, for commodity-exporting countries by analysing countries individually and considering the possibility of structural breaks. Our results suggest that: (a) the movements in the price of the main commodity (i.e., the one whose share is at least 20% of total commodity export) affect significantly to the real exchange rate; (b) the sign of the effect of commodity prices on real exchange rate is not clearly positive (as was found by earlier analyses using panel data), but it depends on the country considered; and (c) the negative effects of the possession of natural resources observed in the past decades seem not to be now overwhelming.     

The Regulation of Pharmacists in Belgium and the Netherlands: In the Public or Private Interest?

The regulation of pharmacists in Belgium and the Netherlands is analysed in order to test the rent-seeking hypothesis put forward in the private interest literature. Both the self-regulation issued by the professional bodies and public regulations are examined. It appears that many regulations in both countries either restrict the entry into the profession or restrict competition within the profession. A qualitative comparative analysis of these regulations in both countries is presented as well as some empirical findings. The economic analysis and the empirical data seem to give some support to the rent-seeking hypothesis.     

On exports and economic growth: the case of Italy

The export-led growth hypothesis for the Italian economy (1960-98) is tested through a VAR model with four macroeconomic variables: an index of the GDP of the rest of the world; the Italian real exchange rate; Italian real exports; and the Italian real GDP. Our results provide clear empirical support for the hypothesis. They also suggest that the Kaldorian approach is very useful in analysing short-run as well as long-run growth and fluctuations of an open economy such as Italy.     

Foreign exchange rate and trade balance dynamics in East African countries

This study investigates the effects of real exchange rate on trade balance in East African countries. In contrast to past studies that have often focused on one country in the region and adopted traditional empirical methods that are subject to shortcomings, the present study employed the ARDL procedure and investigated the issue in 10 East African countries. The main results are as follows. First, real exchange depreciation significantly improves trade balance for four countries in individual country estimations, as well as in panel estimation. Second, the elasticity of trade balance with respect to real exchange rate is inelastic. Elasticity slightly increases after exchange rate liberalization but remains inelastic. Third, significant short-run fall was not found for trade balance, which suggests lack of evidence for J-curve relationship     

The Relationship between Exchange Rates and Interest Rate Differentials: A Wavelet Approach

This paper uses wavelet analysis to investigate the relationship between the spot exchange rate and interest rate differential for seven pairs of countries, with a small country, Sweden, included in each case. The key empirical results show that there tends to be a negative relationship between the spot exchange rate (domestic‐currency price of foreign currency) and nominal interest rate differential (approximately the domestic interest rate minus the foreign interest rate) at the shortest timescales, while a positive relationship is more frequently found at the longest timescales. This indicates that among models of exchange rate determination using the asset approach, the sticky‐price models are supported in the short run and flexible‐price models in the long run.     

The role of exchange rates in a popular model of international trade : Does the ‘Marshall–Lerner’ condition hold?

This paper examines the empirical relationship between the real effective exchange rate and the aggregate real trade balance for five major OECD countries in the post-Bretton Woods era. A variety of parametric and non-parametric techniques are used. There is little evidence that the exchange rate significantly affects the trade balance.