A wavelet decomposition approach to crude oil price and exchange rate dependence

This paper studies the relationship between oil prices and US dollar exchange rates using wavelet multi-resolution analysis. We characterized the oil price–exchange rate relationship for different timescales in an attempt to disentangle the possible existence of contagion and interdependence during the global financial crisis and analyze possible lead and lag effects. For crude oil prices and a range of currencies, we show that oil prices and exchange rates were not dependent in the pre-crisis period; however, we did find evidence of contagion and negative dependence after the onset of the crisis. Additionally, we found that oil prices led exchange rates and vice versa in the crisis period but not in the pre-crisis period. These findings have important implications for risk management, monetary policies to control oil inflationary pressures and fiscal policy in oil-exporting countries.     

Dependence structure between nominal and index-linked bond returns: a bivariate copula and DCC-GARCH approach

This article investigates the dependence structure related to four French nominal and index-linked bonds with various maturities and reference indices. To achieve this aim, we estimate various copulas to select the appropriate one for our data. We also compare results obtained using the copula method with multivariate dynamic conditional correlation GARCH (DCC-GARCH) modelling. The major issue in this study is that the best copulas used to model the dependence among bond returns are the Plackett and Student models. We also find a dynamic correlation between bond returns. In particular, the relationship between nominal and indexed bonds is characterized by an asymmetric dependence. Moreover, the results obtained by the copula approach are confirmed by those obtained by multivariate GARCH modelling. Our empirical study provides a useful method that may be employed by decision-makers to quantitatively introduce dependence and spillover effects in their bond issuance policy. For investors, we propose optimal investment combinations in bonds with respect to their investment horizons.     

On the relationship between oil price and exchange rates: A wavelet analysis

We may find numerous works in the existing literature regarding the cohesion between oil prices and exchange rates, yet an exact shape of the relationship remains undefined. By restoring to wavelet analysis and using a rich database from Japan, this study contributes to the literature by investigating the said relationship within the time–frequency space. Over the time horizon, it is being established that the strength of the relationship between oil price and exchange rate keeps changing. If the Bank of Japan needs to control the exchange rate, it should give proper importance to shocks on oil prices, while formulating exchange rate policy.     

The dependence structure between the Canadian stock market and the USD/CAD exchange rate: a copula approach

Abstract This paper investigates the dependence structure between the real Canadian stock returns and the real USD/CAD exchange rate returns, using the Symmetrized Joe‐Clayton (SJC) copula function. We estimate the SJC copula with monthly data over the period 1995:1 to 2006:12. Our results show significant asymmetric static and dynamic tail dependence between the real stock returns and the real exchange rate returns, such that the two returns are more dependent in the left than in the right tail of their joint distribution. We explain this asymmetric dependence in terms of an asymmetric interest rate policy by Canadian monetary authorities in response to changes in the real exchange rate during sub‐periods of falling and rising commodity prices.     

汇率低估与中国经济结构问题

自1994年以来,我国人民币汇率基本保持不变,相对于我国经济强劲的增长势头和外汇储备大幅增长的现实,这种汇率稳定的状况未能反映我国经济发展的实质,汇率低估问题成为目前理论界争论的一个焦点。尽管汇率低估有利于扩大出口、拉动经济增长,但长期实施固定汇率制导致的汇率低估,也会加剧我国经济结构的畸形发展,破坏产业结构的协调性,使消费需求的增长受到限制,最终影响到国民收入水平的提高。解决这一问题,必须逐步形成有管理的浮动汇率制度,使汇率制度适应国内经济结构调整的需要,加快国民经济结构调整的步伐。一、对我国现行汇率制度的再…     

Impact of exchange rate volatility on commodity trade between US and Hong Kong

The impact of exchange rate uncertainty on trade flows is still the center of attention in international economics. A few studies that have looked at this effect in Hong Kong have used either aggregate data between Hong Kong and the rest of the world or between Hong Kong and several of her major trading partners. They have been unable to locate any significant effect. Suspecting that existing studies could suffer from aggregation bias, we concentrate on the trade between Hong Kong and the US and disaggregate their trade flows further by commodity. Out of 140 Hong Kong importing industries and 104 exporting industries considered, we find short-run effects in the majority of the industries. The short-run effects translated into the long run in 81 of Hong Kong import industries and 51 of her export industries, a finding that contradicts previous research.     

企业与会计准则制定方关系质量的维度

企业是会计准则的执行者,会计准则执行质量如何,直接影响财务报告质量.而会计准则的执行质量受多方面因素的影响,企业与会计准则制定方的关系质量会影响会计准则的执行质量.广泛应用于关系营销和供应链管理中的关系质量理论同样适合于研究企业与会计准则制定方的关系.信任、满意、承诺、权威、关系稳固性和会计准则质量是企业与会计准则制定方关系质量维度.     

Impact of oil price shocks on output,inflation and the real exchange rate: evidence from selected ASEAN countries

This article analyses the impact of oil price shocks on real output, inflation and the real exchange rate in Thailand, Malaysia, Singapore, the Philippines and Indonesia (ASEAN-5) using a Structural VAR model. The cointegration tests indicate that the macroeconomic variables of these countries are cointegrated and share common trends in the long run. The impulse response functions reveal that oil price fluctuations do not impact the ASEAN-5 economies in the long run and much of its effect is absorbed within five to six quarters. The variance decomposition results further assert that with a few exceptions oil price shocks do not explain a significant variation in any of the variables under consideration. We also identify a very unique pattern of response to oil price fluctuations between Malaysia and Singapore and between the Philippines and Thailand. The pairs exhibit a high degree of similarity in their responses; they do not share any commonalities across the group.     

The impact of exchange rate volatility on commodity trade between the US and Thailand

The impact of exchange rate volatility on trade flows continues to occupy the international finance literature. More recent studies have deviated from the traditional approach of using aggregate trade flows and have employed trade data at commodity level. This study investigates the impact of exchange rate uncertainty on the trade flows of 118 US exporting industries to Thailand and 41 US importing industries from Thailand. We find that exchange rate uncertainty has short-run effects on the trade flows of most industries. In the long-run, the main determinants of the trade flows are the level of economic activity in both countries.     

关系营销与企业竞争优势关系分析

现代企业竞争已不再是单纯意义上企业之间为争夺最终消费者而展开的市场竞争了，现代企业要想在竞争中建立优势，就必须全面关注一切可能影响企业竞争力的相关组织和个人的作用，而关系营销无疑将成为指导现代企业竞争的一种有力武器。     

EMS exchange rate expectations and time-varying risk premia

In this paper we examine exchange risk premia employing a survey dataset of EMS exchange rates. We are able to test a risk premium model directly, i.e. without having to rely on the rational expectations assumption. Our results indicate that time-varying risk premia are present in almost all cases and that a GARCH-in-mean specification for the premium is often appropriate.     

Precious metals,oil and the exchange rate: contemporaneous spillovers

We investigate the contemporaneous spillovers among precious metals, crude oil and the US$ exchange rate. We contend that conventional reduced-form vector autoregressive (VAR) models based on lead/lag relations do not fully capture the interactions among these series as these models ignore the contemporaneous effects. Using a Structural VAR model, we identify these contemporaneous spillovers, which are shown to be strong and asymmetric. We further show that not taking into consideration the contemporaneous interactions among these assets leads to inaccurate findings and inevitably to inaccurate interpretations of the causal relations among them.     

团队中成员相对地位与组织公民行为关系研究

以88个工作团队587名员工为研究对象,考察了团队中相对地位对员工组织公民行为的影响。结果表明,较高的相对地位（RLMX）对员工组织公民行为具有显著正向影响,团队关系差异程度（DLMX）大会强化RLMX对组织公民行为的正向影响;员工社会比较倾向（SCO）强,会削弱RLMX对组织公民行为的积极影响,且两者呈负相关关系。另外,不管是DLMX的正向调节还是SCO的负向调节,交互效应对组织指向组织公民行为的影响都大于对个人指向组织公民行为的影响。     

A unified framework for analysing price interdependence,innovative activity and exchange rate pass-through

This paper develops an international oligopoly model in which domestic and foreign firms simultaneously choose their price and innovation strategies under the assumption of non-zero conjectural variations in relation to their competitors’ price changes. The model captures the links between the exchange rate, foreign and domestic firms’ prices and investment in process innovation and provides a unified framework for analysing exchange rate pass-through.     

The relative effects of crude oil price and exchange rate on petroleum product prices: Evidence from a set of Northern Mediterranean countries

This paper provides a set of empirical evidence from five Northern Mediterranean countries that are subject to similar refinery reference prices regarding the relative sensitivity of crude oil prices and exchange rate on (pre-tax) petroleum product prices. The empirical evidence reveals that a one percent increase in exchange rate (depreciation) increases petroleum product prices less than a one percent increase in crude oil prices does in the long run. In the short run, however, a one percent increase in exchange rate increases petroleum product prices more than a one percent increase in crude oil prices does.     

试论行业协会与政府关系模式的选择

随着我国市场经济的发展和政府职能的转变,行业协会组织得以迅速发展,并在我国经济社会发展中发挥着重要的不可替代的作用。由此也对政府与行会关系提出了新的挑战。构建政府与行业协会之间良性互动合作关系,对建设服务型政府、推动公共管理社会化进程、促进公民社会发展具有十分重要的意义。构建行业协会与政府间竞合关系的新型模式为深入探讨我国政府与行业协会间良性互动合作关系提供新的探索和启示。     

我国西部农产品物流与农村经济关系的实证分析

依据新制度经济学的分析框架,我国西部农产品物流与农村经济制度变迁及相互关系的不断积淀,必然表现为现实西部地区农产品物流与农村经济之间的数量关系。基于此,运用现代计量经济学方法和分析软件,对我国西部农产品物流与农村经济关系状态进行实证分析和得出正确判断。结果表明:通过实证判断这种关系特征的状况,不仅是对西部地区农产品物流与农村经济制度变迁及其相互关系绩效的检验,更是实现西部地区农产品物流与农村经济可持续发展的重要依据。     

Interaction between oil and US dollar exchange rate: nonlinear causality,time-varying influence and structural breaks in volatility

This article examines the nonlinear Granger causality and time-varying influence between crude oil prices and the US dollar (USD) exchange rate using the Hiemstra and Jones (HP) test, the Diks and Panchenko (DP) test and the time-varying parameter structural vector autoregression model. By applying the iterated cumulative sums of squares (ICSS) algorithm and the DCC-GARCH model, the effects of structural breaks in volatility of the two markets are also investigated. The empirical analysis indicates that, first, crude oil prices are the nonlinear Granger-cause of the USD exchange rate, but not vice versa. Second, the USD exchange rate exerts a stronger and more stable negative influence on crude oil prices in the short term, and the influence gradually weakens after 2012. Finally, ignoring structural breaks can increase the negative volatility correlation between the oil and USD exchange rate markets, which is particularly remarkable during the financial crisis.     

Bayesian forecasting of federal funds target rate decisions

In this paper we examine which macroeconomic and financial variables have most predictive ability for the federal funds target rate decisions made by the Federal Open Market Committee (FOMC). We conduct the analysis for the 157 FOMC decisions during the period January 1990–June 2008, using dynamic ordered probit models with a Bayesian endogenous variable selection methodology and real-time data for a set of 33 candidate predictor variables. We find that indicators of economic activity and forward-looking term structure variables, as well as survey measures are most informative from a forecasting perspective. For the full sample period, in-sample probability forecasts achieve a hit rate of 90%. Based on out-of-sample forecasts for the period January 2001–June 2008, 82% of the FOMC decisions are predicted correctly.     

The impacts of China’s exchange rate regime reform in 2005: A counterfactual analysis

This paper empirically evaluates the impacts of China’s exchange rate regime reform in 2005 on its macroeconomy. We propose to use a new counterfactual policy evaluation method that is robust to the choice of control group. Using the new method, we find that China’s exchange rate regime reform in 2005 mildly reduces the Consumer Price Index, has a substantial damping effect on export, significantly increases employment, and has negligible impact on industrial production.