Quantile spillovers and dependence between Bitcoin,equities and strategic commodities

This paper has two aims. We first examine the dynamic spillovers between Bitcoin and 12 developed equities, gold, and crude oil for different market conditions using a Bayesian Time-Varying Parameter Vector Autoregressive (TVP-VAR) model with daily spot prices. Our econometric approach enables us to capture the left and right tails as well as the shoulders of the return distribution corresponding to volatility spillovers under the bear, normal, and bull market states among these financial assets. We quantify and trace the dependence and directional predictability from Bitcoin to other assets using the sample cross-quantilogram. Our key findings offer convincing evidence of time variation in the level of volatility. Spillovers between Bitcoin and other financial assets intensify during extreme global market conditions. Secondly, results from the cross-quantilogram indicate strong dependence and positive directional predictability between Bitcoin and most equities and crude oil when market returns are bullish. However, during the bearish market period, there is negative dependence and predictability from Bitcoin to stocks in Finland, the Netherlands, the U.S.A, and the crude oil market only. This implies that Bitcoin can act as a hedge to stocks in Finland, the Netherlands, the U.S.A, and the crude oil market. However, insignificant dependence and directional predictability from Bitcoin to the remaining assets indicate that Bitcoin may act as a safe-haven to these assets during bearish markets. Our findings hold important implications for both international investors and portfolio managers who consider Bitcoin as part of their portfolio diversification and other investment strategies.     

美国购油策略分析及对中国的启示

美国页岩油革命改变了美国原油贸易格局,使得美国进口原油品质趋于重质化,且地域来源趋于集中化。本文通过挖掘页岩油革命后美国原油进口策略转变的内在原因,提出美国国内页岩油需求与对加拿大原油进口之间存在互补效应,而与对欧佩克原油进口之间存在替代效应,并通过协整检验和格兰杰因果关系检验,分析了美国页岩油需求和对各国原油进口的互动关系。本文的研究结果对中国的页岩油战略和中美原油贸易关系均有重要的政策启示。     

Bitcoin for energy commodities before and after the December 2013 crash: diversifier,hedge or safe haven?

We study the relationship between Bitcoin and commodities by assessing the ability of Bitcoin to act as a diversifier, hedge, or safe haven against daily movements in commodities in general, and energy commodities in particular. We focus on energy commodities because energy, in the form of electricity, is an essential input in the Bitcoin production. For the entire period, results show that Bitcoin is a strong hedge and a safe-haven against movements in both commodity indices. We further examine whether that ability is also present for non-energy commodities and our analysis show insignificant results when energy commodities are excluded from the general commodity index. We also account for the December 2013 Bitcoin price crash and our results reveal that Bitcoin hedge and safe-haven properties against commodities and energy commodities are only present in the pre-crash period, whereas in the post-crash period Bitcoin is no more than a diversifier. In addition to uncovering the time-varying role of Bitcoin, we highlight the dissimilarity in the dynamic correlations between the extreme downward and extreme upward movements.     

Safe haven,hedge and diversification for G7 stock markets: Gold versus bitcoin

We compare gold and Bitcoin for the G7 stock markets, finding that gold and Bitcoin have distinct safe haven and hedging characteristics. Gold is an undisputable safe haven and hedge for several G7 stock indices, whereas Bitcoin takes these two functions in Canada. The out-of-sample hedging effectiveness of gold is much superior to that of Bitcoin. Furthermore, we find that the conditional diversification benefits offered by gold to equity investments in the G7 markets are comparatively much higher and more stable than those of Bitcoin, especially in the lower return quantiles, i.e., when both the stock and gold markets are in a bearish state. Implications are further discussed.     

美国应对甲型H1N1流感的经验及防控建议

甲型H1N1（猪）流感这一新型流感病毒的突然爆发是对世界公共卫生系统防治流行病传播的一次考验。美国以及世界各国在应对此次甲型H1N1流感爆发中展示了应对流行疾病防控能力和经济实力，当然，也暴露了不少不足之处。倘若疫情的范围进一步扩大、严重性增加，美国公共卫生系统会无法承受。本文简要阐述美国智囊组织对美国应对甲型H1N1流感爆发的经验和防控建议，以及作者的几点启示。     

非洲石油与美国国家安全——基于非洲司令部的视角

在美国国内石油产量下降和世界主要产油区中东政治局势恶化的大背景下，美国认为非洲石油是实现其石油来源多元化战略的选择之一，为此美国设置了单独处理非洲事务的非洲司令部，从而揭示了非洲石油与美国国家安全之间的紧密联系。     

Fancy Bitcoin and conventional financial assets: Measuring market integration based on connectedness networks

We investigate the relationship between Bitcoin and conventional financial assets from a perspective on the connectedness of asset networks. We adopt the method of measuring connectedness proposed by Diebold and Yilmaz (2009, 2012, and 2014) in a VAR system to study the dynamic interdependence between returns in Bitcoin, stocks, oil, and gold. We find that the connectedness between bitcoin and conventional assets is weak. The separation of positive and negative returns in the Bitcoin market shows the existence of an asymmetric pattern of the spillover effects between Bitcoin and conventional assets. A rolling window analysis finds that although Bitcoin prices experience a rising link to other financial assets, the magnitude is proven to be moderate. However, connectedness via negative returns is much stronger than via positive ones and exhibits a clearly increasing trend in recent periods. Our results in application are generally robust to other popular cryptocurrencies, such as ETH and Ripple. The findings presented in this paper have important implications for financial market participants, policymakers, and researchers in light of projected increases in the adoption of Bitcoin, as well as the rapid development of cryptocurrency.     

Is the cryptocurrency market a hedge against stock market risk? A Wavelet and GARCH approach

This study analyses six major cryptocurrencies and four global stock markets to explore the role of cryptocurrencies as a hedge, safe haven, and diversifier in stock markets. The study employs ADCC-GARCH and Wavelet Coherence Technique, using daily data from 4 January 2017 to 28 February 2023. The study has found that stock returns and unstable cryptocurrency returns have high volatility persistence in the long run. Besides, while unstable digital currencies (Bitcoin, Ethereum, Binance Coin, and Dogecoin) serve as a hedge during stable economic periods, they have not been a hedge during economic turmoil in the stock markets. Conversely, stablecoins (Tether and USD Coin) have been shown to have acted as a hedge during normal economic times and have offered a safe haven during economic downturns. Except for Tether, all cryptocurrencies' diversification capacity is time-varying. In stable economic conditions, they serve as diversifiers, but during turmoil, they do not. However, Tether serves as a diversifier regardless of the financial situation. Finally, the present investigation is expected to offer crucial information on hedge, safe haven and diversification for quasi-investors.     

Dynamics of volatility transmission between the U.S. and the Chinese agricultural futures markets

The U.S. and China are two of the biggest players in the world agricultural market. The literature documents that volatility in the U.S. agricultural futures market spills over significantly to that of China. This article provides further insights into the spillovers from China to the U.S. as well as the time horizon and dynamics of the bidirectional spillovers through the application of a multivariate extension of the heterogeneous autoregressive model, in relation to four commodities – soybean, wheat, corn and sugar. The results confirm the existence of significant spillovers from the U.S. to China for four commodities, which are primarily generated by the shorter-term volatility components in the U.S., and provide evidence for the increasing pricing power of the Chinese market. The findings are robust against various specifications and have important investment and policy implications.     

近20年美国对外直接投资结构的变化及影响因素分析

本文着重分析了20来美国对外直接投资的行业结构和地区的特征和变化。研究表明，美国对外直接投资的空间结构相对稳定，即以欧洲等发达国家和地区为主；而行业结构变化明显，由以制造业为主转向以金融、保险和房地产业为主。对外直接投资的行业结构和地区结构是相互联系制约的，不同行业的比较优势与特定地区的区位优势相结合，才能产生投资效益。跨国公司对外投资区位的选择，是根据其投资战略并结合自身的竞争优势和东道国的区位优势，经过综合决策而确定的。     

美国在华直接投资对中美贸易不平衡的影响研究

20世纪90年代以来,美国在华直接投资额呈迅速上升趋势,中美贸易规模也不断扩大,与此同时,两国的贸易差额也逐年增大,双边贸易的不平衡加剧了贸易摩擦。本文首先从美国在华投资对中美贸易差额所产生的各种效应阐述了中美贸易失衡的原因,然后通过实证分析得出美国在华直接投资与中美贸易顺差之间存在长期协整关系的结论,即美国在华直接投资是导致中美贸易顺差的决定性因素。最后提出缓解中美贸易不平衡的相关对策建议。     

显性比较优势:中国产品遭受美国反倾销的魔咒吗?

显性比较优势是中国产品遭受美国反倾销的魔咒吗?文章基于美国对中国反倾销97起涉案产品样本,并引入非涉案395种10分位主要贸易品扩展样本,研究表明:(1)美国对中国产品反倾销当年主要集中在中国对美出口具有较强显性比较优势的涉案产品上;虽然遭受美国反倾销,但中国在35起涉案产品对美出口上仍保持着较强的显性比较优势,不过有27起涉案产品已丧失较强的显性优势。(2)扩展样本后各影响因素对美国对中国产品反倾销概率的影响程度减少,避免了样本选择的有偏性。相比来看,美国对中国产品j贸易逆差是美国ITC裁决行业损害、签发反倾销指令的最重要决定因素,是美国对中国产品反倾销的直接诱因。而显性比较优势只是影响因素之一,并不是中国产品遭受美国反倾销的魔咒。美国工业生产增长率下滑、失业率上升是其他影响因素,并且次贷危机也是重要影响因素。     

美元没落?——美元利益格局及其发展趋势

美国凭借美元的世界储备货币地位获得了大量利益。这种利益由美元利益格局来保障,通过创造各国对美元的需求来实现,同时,作为核心环节的美元计价机制、权力框架以及有利的外部环境也是该格局的必要支柱。当前,美元面临着强有力的竞争和挑战,美国自身也在调整其战略,以期获得更为持续而长久的利益,由于美元利益格局依然存在,美元地位的改变将是一个长期的过程。     

Evaluation by the Aumann and Serrano performance index and Sharpe ratio: Bitcoin performance

We compare Bitcoin performance based on the Aumann and Serrano performance index and Sharpe ratio assuming that asset returns follow the class of discrete normal mixture distributions. The Aumann and Serrano performance index can take into account higher moments of the underlying distribution of assets and is relevant for risk-averse investors. We evaluate Bitcoin performance based on the Aumann and Serrano index relative to the performance of other assets. Our evaluation shows that Bitcoin is rated highly by the Sharpe ratio but rated very poorly by the Aumann and Serrano index. We also find some stock assets can beat Bitcoin by the Sharpe ratio when an investment horizon is monthly.     

美国对华5G科技竞争策略与对策研究——基于“大战略”理论视角

5G是引领未来的战略性技术，是实现产业升级的重要基础设施，也是中美科技竞争的关键领域。梳理美国对华5G科技竞争策略对于提升我国5G治理能力、创造竞争优势具有重要意义。运用“大战略”理论，从目标、手段、威胁、效益4个层面对美国5G策略进行分析，指出美国5G策略体现了维护国家安全和国际领导地位的目标，通过成立专职机构、加大科研投入、培养通信人才、提升频谱和基建能力等手段促进本国5G发展，并运用出口管制、外资审查、限制投资、外交结盟等方式对中国进行打压和防范。中美5G竞争日益激烈且存在彼此封闭、割裂的风险，国际关系将成为影响竞争态势的关键因素。中国应坚定战略目标，优化战略手段，应对挑战并把握机遇，积极推动中国5G健康发展。     

美中贸易收支与人民币汇率关系:实证分析

针对美中贸易收支与人民币汇率问题,经研究发现,汇率变动对贸易收支的影响是值得怀疑的,仅仅依靠人民币汇率变动是无法解决美中贸易逆差问题的。1994—2002年年度数据实证显示,美中贸易收支与人民币汇率(名义或实际汇率)之间没有稳定的关系;1998—2003年月度数据计量表明,美中贸易收支与人民币汇率之间没有长期稳定的协整关系。并且,依据美中两国月度统计数据计量的结论是相一致的。因此,“人民币升值论”或许更多的是基于政治而非经济因素,人民币汇率浮动并不能解决美中贸易逆差问题。     

Tail dependence between gold and sectorial stocks in China: perspectives for portfolio diversification

This article analyzes the relationship between gold quoted on the Shanghai Gold Exchange and Chinese sectorial stocks from 2009 to 2015. Using different copulas, our results show that there is weak but significant tail dependence between gold and Chinese sectorial stock returns. This means that the dependence between extreme movements of the two assets is not pronounced and confirms the role of gold as a safe haven asset. Based on analyzing the efficient frontier, CCC-GARCH optimal weights, hedge ratios and hedging effectiveness, we further show that adding gold into Chinese stock portfolios can help to reduce their risk. Gold appears to be the most efficient diversifier for stocks of the materials sector and the less efficient for the utilities sector. As a robustness check, we also compare gold to oil and indicate that gold is more efficient than oil in the diversification of Chinese stock portfolios.

     

Global predictive power of the upside and downside variances of the U.S. equity market

Given the pace of increasing globalization and the pioneering role of the U.S. economy, we anlayze the global impact of the U.S. equity market’s uncertainty. The asymmetric impact of upside (downside) uncertainty, related with the upward (downward) movements of the underlying assets, has raised substantial concerns recently. We comprehensively analyze the global predictability of the upside and downside variances of the U.S. equity market, implied by S&P-500 calls and puts, respectively. We contribute to the literature on the asymmetric impacts of the upside and downside variances of the U.S. equity market in an international setting. Our study also complements the study on predicting international stock returns. Moreover, substantial economic value can be generated from the perspective of asset allocation. The main channel for the positive (negative) predictability of upside (downside) variance stems from its positive (negative) impacts on international investment, highlighting the leading role of the U.S. economy.     

市价调整与美国次贷危机:一个理论述评

针对美国次贷危机及其引发的金融危机,美国和欧洲金融界某些银行家们将矛头指向公允价值会计准则,把危机的原因归咎于按市价调整(mark-to-market)会计计量方法,引起世界各国对公允价值会计评价的轩然大波。相对于历史成本计量而言,按市价调整的会计计量是计量衍生产品等金融工具最具透明性的方法,按市价调整的会计处理和披露为投资者提供了当前市场情况和远期分析等信息,其本身并不会带来任何损失。     

美国政府科技计划及经费管理

科技计划是支持研发的重要手段。美国政府科技计划分布在不同的联邦部门和单位,其经费来源于研发预算,主要以资助、合作协议的形式支持不同领域、不同类别的研发活动,少部分科技计划向国外机构开放。同时,美国还通过合同采购以及税收优惠政策等方式支持企业的研发。项目申请单位一旦获得科技计划立项通知,将由美国财政部直接将经费划拨至项目承担单位,该单位需要按照要求就科研经费使用及项目进展等情况向科技计划管理部门进行汇报。