Regime shifts in European real interest rates

Previous research, using data from 1961 to 1986, has found that the average value of the U.S. real interest rate was subject to occasional jumps caused by external shocks, but between these shocks the average was essentially constant. We have extended this analysis to four major European economies over a sample period that includes the 1990s. For each of the countries, evidence was found in favor of a small number of regime shifts, apart from which the average level of the real rate remained stable. We thus conclude that, like the United States, European real interest rates have generally been stable, only shifting in response to occasional external shocks. JEL no. C5, E4     

Was it really a dollar peg?: The exchange rate policies of East Asian countries, 1980–1997

This paper examines the exchange rate policies of East Asian countries during the period preceding the currency crisis of 1997, in an attempt to ascertain the extent to which they could be considered, as they frequently are, as a dollar peg. We do so by estimating the implicit weights of foreign currencies in the nominal exchange rate determination of East Asian currencies by means of a time-varying parameter model. The crucial element of our approach concerns how the weight of the Japanese yen was altered in response to the movement of the yen–dollar exchange rate. It is found that, while the weight of the U.S. dollar was large and the weight of the Japanese yen was small for the period as a whole, the weight of the yen was raised in some of the countries in the early 1990s. In particular, the Korean and Malaysian authorities raised the weight of the yen when the yen depreciated against the U.S. dollar, while the Singaporean authorities raised the weight of the yen when the yen appreciated against the dollar.     

Productivity and the Euro-Dollar exchange rate

This article analyses the impact of productivity developments in the United States and the euro area on the euro-dollar exchange rate. The article presents a new measure of relative average labour, productivity (ALP) which does not suffer from the biases implicit in readily available relative ALP data. Importantly, the patterns of these series differ widely. Employing the Johansen cointegration framework, four models are estimated using four different productivity proxies. Our results indicate that the extent to which productivity can explain the euro depreciation varies with the productivity proxy used: readily available measures explain most, our new, preferred measure least. In all models, however, productivity can explain only a fraction of the actual euro depreciation experienced in 1999–2000. JEL no. F31, C32, O47 The views expressed in this study are those of the authors and do not necessarily reflect those of the European Central Bank or its staff.     

The evolving renminbi regime and implications for Asian currency stability

The Chinese authorities described the management of the renminbi after its 2005 unpegging from the US dollar as involving a basket of trading partner currencies. Outside analysts have detected few signs of such management. We find that, in the 2 years from mid-2006 to mid-2008, the renminbi strengthened gradually against trading partners’ currencies within a narrow band. In mid-2008, the financial crisis interrupted this experiment and the bilateral renminbi/dollar exchange rate stabilised at 6.8. The 2006-2008 experience suggests that a shared policy of gradual nominal effective appreciation renders East Asian currencies quite stable against one another. Such a shared policy would create favourable conditions for regional monetary cooperation.     

Shocks and the Viability of a Fixed Exchange Rate Commitment

The incentive to renege on a commitment to a fixed exchange rate is shown to be state contingent. A fixed exchange rate policy is not viable under unusual circumstances, and the incentive to violate the commitment is larger in the case of contractionary shocks than in the case of expansionary shocks. The possibility that the exchange rate regime is changed in unusual circumstances has significant effects also under normal circumstances, implying systematic devaluation expectations, excessive real wages and (ex post) real rates of interest, lower output and loss of reserves, which in turn reduces the incentive to initiate a fixed exchange rate policy. Moreover, policyshifts may be contagious among countries.     

Short selling and stock prices with regime switching in the absence of market makers: The case of Japan

This paper investigates the relation between short selling and stock price at an aggregated market level. In order to study the differential impact of market microstructure on short selling, the data from Japanese stock markets are used. Both traditional regression and Markov switching models are used to compare Japanese results to those of U.S. and to admit non-stationary relation between short selling and stock price, respectively. Particularly, relatively long period (1978–2002) of analysis including bullish and bearish periods gives a good testable bed for studying the effect of short selling on stock price according to market condition. The empirical findings reveal that percentage change of short interests has a statistically significant positive relation with stock returns. It gives regulators policy implication that short selling is not a destabilizing activity, but an acceptable form of trading even in the absence of market makers. And short selling information cannot be used as an indicator for predicting future stock markets.     

重庆农村居民收入与消费的实证分析

收入是决定居民消费需求的基本因素。文章采用1985—2007年的年度统计数据,对重庆农村居民人均年纯收入与消费支出的数据进行了协整分析,得出了两者之间存在着长期稳定均衡关系的结论,由此对收入与消费建立了误差修正模型。该模型不仅描述了收入与消费的长期均衡关系,而且也描述了收入与消费的短期波动调整关系。     

Trade liberalization in Mexico in the 1980s: Concepts,measures and short-run effects

Zusammenfassung Handelsliberalisierung in Mexiko in den achtziger Jahren: Konzepte, Ma?nahmen und kurzfristige Wirkungen. - In dem Artikel werden drei alternative Definitionen der Handelsliberalisierung unterschieden: Beseitigung der Au?enhandelskontrollen, Erh?hung des Importanteils auf dem Binnenmarkt und Neutralit?t der Anreize bei Verk?ufen für den in- und ausl?ndischen Markt. Die Analyse der mexikanischen Erfahrung an Hand dieser Definitionen ergibt, da? die Liberalisierung nur im Sinne der ersten Definition signifikant war. Die Wirkung der Liberalisierung wird durch eine Regressionsanalyse über die Industriezweige getestet. Offensichtlich wurden Arbeitsproduktivit?t und Exportwachstum durch die Liberalisierung günstig beeinflu?t. Allerdings ist die Wirkung der Liberalisierung ziemlich bescheiden, ist sie doch eine von mehreren Determinanten.

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Résumé La libéralisation du commerce extérieur au Méxique dans les années 1980: les concepts, les mesures et les effets à court terme. - L’auteur donne trois définitions alternatives de la libéralisation du commerce extérieur: L’enlèvement des contr?les du commerce extérieur, l’augmentation relative des importations sur le marché intérieur et la neutralité des incitations en ce qui concerne les ventes à l’extérieur et à l’intérieur. L’analyse de l’expérience du Méxique montre que la libéralisation était significative seulement au sens de la première définition. L’analyse de régression par des branches industrielles démontre que la libéralisation a stimulé la productivité de travail et les exportations. Toutefois l’impact de la libéralisation, n’étant qu’un des facteurs d’influence, est relativement modéré.

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R e s u m e n Liberalization del comercio en México en los a?os 80: conceptos, medidas y efectos de corto plazo. - En este trabajo se identifican tr?s definiciones alternativas de liberalizatión del comercio: abolition de los controles al comercio, aumento de la fractión de productos importados en el mercado interno y neutralidad de los incentivos para exportar y para vender en el mercado interno. Se discute la experiencia de México con respecte a estas definiciones, resultando ser significante sólo la primera de ellas. El impacto de la liberalizatión se estudia con ayuda de una regresión con observations a nivel de industrias. Según los criterios de la productividad laboral y del crecimiento de las exportations se détecta una asociación entre la liberalizatión y una performance mejor. Empero, el impacto de la liberalizatión es relativamente modesto, siendo este sólo uno más de los factores que actúan.

     

Banks and the world’s major financial centers, 1970–1980

Zusammenfassung Banken und die wichtigsten Finanzzentren der Welt 1970–1980. — Analysiert wird die Verflechtung von internationalen Finanzzentren, indem die geographische Streuung von Zweigstellen der gr?\ten Banken zwischen 1970 und 1980 n?her untersucht wird. Es zeigt sich, da\ sich die gegenseitigen Beziehungen der Zentren im Laufe der Zeit verst?rkten. Bei der statistischen Analyse der gegenseitigen Durchdringung der Zentren stellt sich heraus, da\ die Attraktivit?t eines Zentrums für die Banken entscheidend von der wirtschaftlichen Gr?\e der Zentren abh?ngt und davon, wieviele Banken dort ans?ssig sind, da\ aber die Distanz zwischen den Zentren von geringer Bedeutung zu sein scheint. Es gibt auch Anzeichen sowohl für ein konkurrierendes als auch für ein kooperatives Verhalten von Banken.

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Résumé Banques et les centres financiers mondiaux les plus importants, 1970–1980. — Les auteurs analysent les interrelations des centres financiers mondiaux en examinant la structure géographique des offices des plus grandes banques mondiales en 1970 et 1980. Ils trouvent que les interrelations entre les centres ont augmenté pendant cette période. De plus ils utilisent des techniques statistiques pour analyser les déterminants de l’interpénétration des centres. Ils trouvent que la force d’attraction d’un centre pour les banques est bien figurée par la dimension de l’économie qu’elle représente ou par le nombre des banques qui se trouvent là pendant que la distance entre des centres semble avoir peu d’effet. Il y a aussi l’évidence pour un comportement de rivalité et de coopération entre des banques.

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Resumen Bancos y centros financieros más importantes, 1970–1980. — Analizamos la interdependencia entre los centros financieros del mundo observando la distributión geográfica de las oficinas de los bancos más importantes en 1970 y 1980. Encontramos que la interdependencia entre los centros ha aumentado en el período estudiado. Utilizando métodos estadísticos investigamos además las determinantes de la interrelación entre los centros. Concluímos que la atractividad de un centro para los bancos depende del tama?o de la economía en la que se encuentra o del número de bancos establecidos en él. La distancia entre los centros parece no influír mucho. También hay evidencia de un comportamiento competitivo o cooperativo por parte de los bancos.

     

20世纪80—90年代天水三线企业的调整改造

天水位于甘肃省东南部,是三线建设时期西北工业布局的主要基地。20世纪80年代初以来,由于国际、国内政治环境发生变化,以及三线建设自身的局限性,三线企业的发展一度陷入困境。从"六五"时期(1981—1985年)开始,随着三线建设步入调整改造阶段,天水对三线企业进行调整改造,按"关、停、并、转、迁"的原则和方针,对选址不当、布局过于分散、经营困难的三线企业进行全面调整改造。与此同时,三线企业也根据自身情况进行一系列调整,取得了显著的成效。     

Relationship among personality traits, leadership behavior, and job stress in nurses in Yunlin, Taiwan

This study probes into the relationships among personality traits, leadership behavior, and job stress in nurses in Yunlin, Taiwan. The major questions addressed are as follows： What model precisely portrays the relationships among personality traits, leadership behavior, and job stress？ Exploration of the causal pathways among these variables revealed a suitable model. A structured, self-administered questionnaire with three scales was distributed to the subjects. The questionnaires were submitted to 350 nurses and 284 questionnaires were completed accounting for a response rate of 81.1 percent. The data were analyzed by statistic analysis including frequencies, means, path analysis using computer program SPSS for windows 14.0 and LISREL 8.7. Results demonstrated a significant, direct, and positive effect of personality traits on leadership behavior, as well as a significant negative indirect effect of personality traits on job stress through leadership behavior was also revealed in the findings. All paths in the model were significant （P〈0.1）. After the analysis of LISREL, the suitability of the framework was fine and proved that the model was applicable for the research. The results of this study will be used as a reference to develop strategies for human resource management.     

Effects of Exchange Rates on Debt, Debt Services and Public Debt Management in Thailand in the 1980s

This paper attempts to evaluate the effects of exchange rates on debt, debt services, and public debt management in Thailand in the 1980s. A simple differentiation technique is used to decompose the changes in debt and debt services into 'management' and 'exchange rates' effects. The latter became more pronounced in the second half of the 1980s largely because of the increased volatility in exchange rates among key currencies. The public sector responded to these changes by adjusting the debt portfolio through new commitment and refinancing, as well as restricting the level of external debt. As a result, a significant amount of debt services was saved in 1989, when the exchange rates among major currencies began to settle down, although the same adjustments initially led to temporary increases in the levels of debt and debt services during the mid-1980s.
Moreover, the diversified structure of public external debt made it possible to compensate a change of debt or debt service in one currency denomination by a counter change of those in another currency denomination. Such a compensating relationship (e.g. between Yen and US dollar during 1985–87) helped stabilise the effects of exchange rates. The baht is now pegged to a basket of currencies. In theory the effects of exchange rates may be completely neutralised if the debt portfolio reflects the weight of each currency in the basket. Such relationships may be incorporated to improve the efficiency of public debt management.     

Capital controls and the political discount: The Spanish experience in the late 1980s

This article examines the wedge between Madrid and London peseta interest rates in the late 1980s, when controls on capital inflows were imposed. A model of onshore and offshore markets and of arbitrage between the two is proposed, where arbitrage has a dynamic structure caused by the process of controls avoidance. The model implies, first, that the wedge can follow an ARMA process and, second, that onshore and offshore rates can be cointegrated and can adjust according to an error correction mechanism. These models are consistent with the data and show that the monetary independence given by the controls was limited.