基于GARCH模型的认购权证与认沽权证波动率比较研究

波动性是经济和金融研究的热点问题。本文分别采用无条件波动度量方法和条件波动模型对我国权证市场上具有代表性的六支权证的波动性进行估计,得出以下几个结果:1、六支权证基本上都存在不同程度的波动聚类现象。2、认沽权证的市场有效性弱于认购权证。3、认购权证的波动持续性大于认沽权证,说明认沽权证投机性更强,风险更大。4、认购权证的风险收益补偿大概是认沽权证的6倍。最后,结合本文研究,将给广大投资者一些投资建议。     

股市杠杆效应与溢出效应实证分析-GARCH模型之应用

通过使用广义自回归备件异方差GARCH模型对我国股市收益波动性的非对称性及波动性之间的互动性进行分析发现;在我国股票市场上，两效应在扩充样本区间内与国内文献构成一定的差异，与国外文献趋近一致。从此意义上说，我国股市正逐渐趋于理性，走向成熟。     

On the asymmetric impact of macro–variables on volatility

We extend the GARCH–MIDAS model to take into account possible different impacts from positive and negative macroeconomic variations on financial market volatility: a Monte Carlo simulation which shows good properties of the estimator with realistic sample sizes. The empirical application is performed on the daily S&P500 volatility dynamics with the U.S. monthly industrial production and national activity index as additional (signed) determinants. We estimate the Relative Marginal Effect of macro variable movements on volatility at different lags. In the out-of-sample analysis, our proposed GARCH–MIDAS model not only statistically outperforms the competing specifications (GARCH, GJR-GARCH and GARCH–MIDAS models), but shows significant utility gains for a mean-variance investor under different risk aversion parameters. Attention to robustness is given by choosing different samples and estimating the model in an international context (six different stock markets).     

Exchange rate volatility and United Kingdom trade: evidence from Canada,Japan and New Zealand

This paper investigates the influence of exchange rate volatility on the real imports of the United Kingdom from Canada, Japan and New Zealand during the period 1980–2003. The Johansen multivariate cointegration method and the constrained error correction (general-to-specific) method are applied to study the relationship between real imports and its determinants (including exchange rate volatility). Conditional variance from the GARCH(1,1) model is applied as exchange rate volatility. Both nominal and real exchange rates are employed in the empirical study. Results indicate a significant effect of the exchange rate volatility on real imports. These exchange rate volatility effects are mostly positive. The author thanks an anonymous referee, the editor and Myles Wallace for several useful comments and suggestions. Any remaining errors and omissions are the author’s responsibility alone.     

期货价格收益率与波动性的实证研究——以中国上海与英国伦敦为例

采用协整模型、Granger因果关系检验、ECM模型及几种GARCH模型对中国上海与英国伦敦金属期货价格收益率和波动性做了研究.发现两市期货价格之间存在Granger因果关系、协整关系、同向变动关系和长期的共同趋势.采用ECM模型研究了两市的短期波动差异.GARCH类模型研究发现,两市波动性存在非对称性、溢出效应、杠杆效应.上海对伦敦市场的单向溢出效应显著存在.两市存在的利空消息均大于利多消息的作用,伦敦期货市场风险大于上海期货市场风险.     

货币化、货币流通速度与产出——扩展的CIA约束与中国经验

本文从两个方面扩展了传统CIA约束:(1)消费品和资本品受货币约束的比例取决于货币化和信用化的发达程度;(2)货币交易频率受通胀率影响。这样能够在贴近中国现实的动态一般均衡框架下分析实际冲击与名义冲击对货币流通速度和产出的影响。理论模型中,综合考虑到投资和产出的变化时,货币化和信用化对货币需求和流通速度的影响并不确定,通胀率的上升也不必然导致投资减少或者货币需求下降。这有别于局部均衡分析以及传统CIA模型的结论。改革以来中国的经验数据也表明,尽管通胀率下降会降低流通速度,然而货币化进程并未导致流通速度的显著下降。货币化以及相关的金融制度变化假说不应成为流通速度下降的有力解释。     

The effects of shocks on the Austrian unemployment rate – a structural VAR approach

Assuming full hysteresis in the Austrian labour market, a simple macroeconomic framework is used to model the effect of four structural shocks, i.e. shocks to productivity, demand, wages and labour supply. By using SVAR analysis, we derive impulse-response functions that show the effects of these shocks on unemployment. What constitutes a distinctive feature of our study is the deliberate use of overidentifying restrictions, allowing for a likelihood ratio test. The objection to SVAR methodology, that it relies on arbitrary assumptions, can thus be overcome, as invalid sets of identifying restrictions are rejected. First version received: September 2000/Final version received: March 2002 RID="*" ID="*"  I thank Juan F. Jimeno, Martin Wagner, Helmut Hofer and Bernhard B?hm for their assistance; Robert Kunst and Martin Spitzer for their discussion of an earlier version of this paper; Thomas Sparla, Michael Roos and two anonymous referees for their helpful comments.     

M1 demand and volatility

The reasons for the instability within the M1 market during the 1970s and 1980s have been attributed to an actual breakdown in the M1 market, multicollinearity, or an inappropriate specification. The present paper offers a more general reason: increased volatility within the money demand determinants produced an econometric environment which made estimation of the relationship problematic. In order to investigate this possibility, the traditional demand vector is re-estimated with additional generalized autoregressive conditional heteroskedasticity representation for income, inflation, and interest rate volatility as conditioning variables. The rolling regression results highlight a significant stability within the M1 demand vector and its long- and short-run parameters. I wish to thank, without implicating, two anonymous referees for helpful comments and suggestions     

Linear and non-linear transmission of equity return volatility: evidence from the US, Japan and Australia

This paper models the transmission of shocks between the US, Japanese and Australian equity markets. Tests for the existence of linear and non-linear transmission of volatility across the markets are performed using parametric and non-parametric techniques. In particular the size and sign of return innovations are important factors in determining the degree of spillovers in volatility. It is found that a multivariate asymmetric GARCH formulation can explain almost all of the non-linear causality between markets. These results have important implications for the construction of models and forecasts of international equity returns.     

Exchange rates and asymmetric shocks in small open economies

We study the stabilizing properties of exchange rates in five small open economies during to periods of floating exchange rates and inflation targeting. In the cases of Sweden and Canada, the nominal exchange rates behave in a stabilizing manner. Most exchange rate movements emanate from the exchange rate itself and are hence not responses to fundamental shocks. However, these non-fundamental shocks have only negligible effects on output and inflation. Our findings indicate that exchange rates display some stabilizing properties but can mainly be characterized as disconnected from the rest of the economy. We would like to thank Nils Gottfries and participants at seminars at Uppsala University and the Riksbank for helpful advice and useful comments. Post gratefully acknowledges financial support from Handelsbankens forskningsstiftelser.     

东亚货币一体化的再考察:一个多变量的结构VAR方法

本文建立了一个三变量的结构VAR模型,分别从经济冲击的对称性、经济冲击的规模和经济体对潜在经济冲击的调整速度,以及实际有效汇率对各种冲击的响应三个方面,考察了东亚国家和地区组建最适度通货区的经济可行性。实证研究发现,目前东亚经济体并不满足建立一个全面单一的最适度通货区的条件,但是分别在日本和泰国,以及韩国、马来西亚和中国台湾组建子通货区却是可行的。     

Bootstrapping structural VARs: Avoiding a potential bias in confidence intervals for impulse response functions

Constructing bootstrap confidence intervals for impulse response functions (IRFs) from structural vector autoregression (SVAR) models has become standard practice in empirical macroeconomic research. The accuracy of such confidence intervals can deteriorate severely, however, if the bootstrap IRFs are biased. We document an apparently common source of bias in the estimation of the VAR error covariance matrix which can be easily reduced by a scale adjustment. This bias is generally unrecognized because it only affects the bootstrap estimates of the error variance, not the original OLS estimates. Nevertheless, as we illustrate here, analytically, with sampling experiments, and in an example from the literature, the bootstrap error variance bias can have significant distorting effects on bootstrap IRF confidence intervals. We also show that scale-adjusted bootstrap confidence intervals can be expected to exhibit improved coverage accuracy.