利率期限结构的宏观经济预测作用

本文对中国利率期限结构的宏观经济预测作用进行了检验。结果表明国债即期收益率长短期名义利差对GDP、工业增加值等宏观经济变量具有良好的预测作用。在考虑货币政策因素后,利率期限结构包含了未来两年左右的经济增长的信息。对宏观经济的预测效果要远远好于PMI等传统经济景气和经济预期调查指标．说明利率期限结构的宏观经济预测作用是非常稳健可靠的。利率期限结构是良好的宏观经济指示器．对准确判断经济走势,把握政策方向和节奏．具有非常重要的意义。     

利率期限结构的宏观-金融模型

传统利率期限模型不引入宏观经济变量,利率在宏观经济中的重要性和期限结构信息对宏观经济的预测功能,促使人们将利率期限结构模型和宏观经济模型相结合形成宏观-金融模型,研究期限结构和宏观经济变量的相互影响。本文介绍宏观-金融模型产生背景和建模技术路线,对现有模型进行分类和评述,在总结已有研究成果的基础上,提出了宏观-金融模型存在的问题和未来发展方向。     

利率期限结构内含的宏观经济信息——基于TVP-VAR模型的时变参数研究

本文利用动态Nelson Siegel模型估计国债利率期限结构,并构建时变参数向量自回归(TVP-VAR)模型研究利率期限结构与宏观经济之间的关系,从中探寻利率期限结构隐含的宏观经济信息。研究结果表明,总体上我国利率期限结构的调整与经济运行相匹配,利率期限结构发挥了对经济周期和通货膨胀的"指示器"作用;我国利率期限结构在形态及变化特征上与成熟市场经验相比存在偏差,且货币政策利率对利率期限结构变化的反应不够灵敏;相比经济周期和通货膨胀而言,我国利率期限结构没有明确体现出货币政策利率调控的信息。这些结论为我们进一步健全国债利率期限结构、完善货币政策传导机制提供思路。     

我国利率期限结构对宏观经济预测能力实证研究

利率期限结构表达的是利率和期限之间的一个函数关系,它在金融分析的理论及实证研究中均起到非常重要的作用。利率期限结构蕴含着丰富的经济信息,能够对一些重要的宏观经济变量进行预测。随着中国市场经济的深化和利率市场化的推进,研究利率期限结构对宏观经济预测能力有十分重要的意义。     

我国货币政策利率传导机制的实证研究

我国的利率市场化正在推进过程中,在存贷利率管制完全放开之前,货币市场利率在货币政策传导方面正发挥着重要作用。本文主要研究我国货币政策的利率传导机制的有效性。本文的实证结果表明(1)作为准市场利率的货币市场利率对部分实体经济变量有较强的解释能力,甚至优于M2的解释能力,但对另外一部分宏观经济变量的影响不显著;(2)货币市场利率对通货膨胀率的短期调控能力较弱,货币市场利率对通货膨胀率的影响主要表现为对通胀预期的引导;(3)利率管制是利率传导机制部分失效的重要原因,随着利率市场化的深入,利率传导机制将扮演越来越重要的角色。     

产出、通货膨胀预测与利率期限结构——基于无套利动态 NS 模型

本文基于无套利动态NS模型(AFDNS)估计出利率期限结构的水平、斜率和曲率三个动态因子,考察利率期限结构对产出与通货膨胀的预测能力.研究结果表明:三因子对产出和通货膨胀都具有显著的预测能力,而且预测能力强于期限利差对宏观经济变量的预测;水平因子与曲率因子的增加以及斜率因子的提高(即利率曲线趋于平缓)都预示着未来产出和通货膨胀将降低;三因子对未来1年的产出以及2年的通货膨胀变动的预测能力最强.利用AFDNS模型可以更好地阐释利率期限结构所蕴含的宏观及政策信息.     

人民币对美元月平均汇率决定理论模型构建及实证研究

基于汇率决定理论的最新研究进展,本文构建了宏观经济变量和微观市场因素相结合的人民币对美元月平均汇率决定理论模型,进一步,本文对所构建的人民币对美元月平均汇率决定理论模型进行了实证研究和样本内外预测效果分析,研究发现,在区间2005年8月至2013年8月,人民币对美元月平均汇率由中美相对利率、中美相对通货膨胀率、美中相对广义货币供应量、技术分析者预期以及基本面分析者预期决定。本文构建的人民币对美元月平均汇率决定模型无论是拟合效果还是样本内外预测效果都很好。     

我国宏观经济变量影响国债利率期限结构的实证研究

本文在分析我国国债利率期限结构特征的基础上,实证研究了宏观经济变量对国债利率期限结构的影响。本文首先采用因子模型分析了我国的利率期限结构,并提取了水平因子和斜率因子;然后使用逐步回归法和全局筛选法,分组对各类宏观经济变量进行分析,选取了一组对收益率曲线有显著影响的宏观经济变量;最后使用多变量误差修正模型,分别分析了宏观变量对收益率曲线两个因子的影响。研究结果表明,水平因子和斜率因子对收益率曲线变动的解释力度分别为78%和14%。经济增长预期、货币市场利率水平以及新增信贷对收益率曲线变动的水平因子具有显著解释力,而货币市场利率水平和美元指数波动对收益率曲线变动的斜率因子具有显著解释力。短期内,经济增长类指标对水平因子的影响非常显著,而物价类指标对水平因子影响不显著。货币市场利率水平既是水平因子,也是斜率因子的重要影响因素。     

金融状况指数FCI与货币政策反应函数经验研究

文章运用VAR模型经验估计了中国的金融状况指数FCI,结果表明FCI指数对通货膨胀率具有良好的预测力。在此基础上,将FCI指数作为目标和信息变量纳入泰勒规则,运用GMM方法估计了中国的货币政策反应函数,发现FCI指数与短期利率存在正相关关系,可以成为货币政策的短期指示器;但是利率调节对CPI通胀率、产出缺口和金融形势的松紧变化均反应不足。特别是利率对金融形势松紧变化的调节不足,刺激了金融不平衡和资产价格泡沫的相互推动和累积,是经济不平稳发展的重要政策诱因。     

新形势下中国金融条件的测度与分析

本文采用利率、汇率、股价、房价、信贷和国际油价缺口构建了新形势下我国的金融条件指数（FCI），并考察了FCI对我国宏观经济变量的预测能力。在确定FCI各变量权重时，我们基于联立结构模型，明确设定所有金融变量通过总需求进而影响通货膨胀，同时允许国际油价直接对通货膨胀产生影响。实证结果表明，在样本期内FCI对通货膨胀和GDP增长率具有较强的预测能力，说明FCI可以作为中国货币政策的重要参考指标。     

Do Federal Reserve communications help predict federal funds target rate decisions?

We explain federal funds target rate decisions using macroeconomic variables and Federal Reserve communication indicators. Econometrically, we employ an ordered probit model of a Taylor rule to predict 75 target rate decisions between 1998 and 2006. We find, first, that our communication indicators significantly explain target rate decisions and improve explanatory power in and out of sample. Second, speeches by members of the Board of Governors and regional presidents have a statistically significant and equal-sized effect, whereas the less-frequent monetary policy reports and congressional hearings are insignificant. Third, our findings are robust to variations in the specification, including changes in the communication strategy. Finally, our communication indicator based on Federal Reserve speeches performs better in explaining target rate decisions than do newswire reports of Fed communications.     

Is the value added tax a useful macroeconomic stabilization instrument?

The value added tax (VAT) has been proposed as a macroeconomic stabilization instrument. This paper considers some practical implications of a variable VAT. It then develops a dynamic general equilibrium model to assess its usefulness as a stabilization instrument. A variable rate VAT would no longer be less distortionary than other taxes. It would distort between current and future consumption, i.e. savings and investment decisions, and hence raise the economic costs of taxation. Moreover, a variable VAT would be less effective in dampening business cycles than the conventional stabilization tool, an interest rate. This is because of the additional adverse supply effects. A change in the interest rate affects this period's savings and investment decisions, whereas a variable VAT rate would influence savings and investment decisions over time. A variable VAT rate is therefore unlikely to be a useful stabilization instrument.     

Managing financial market expectations: The role of central bank transparency and central bank communication

In this paper, we study the influence of central bank transparency and informal central bank communication on the formation of money market expectations. The sample covers nine major central banks from January 1999 to July 2007. We find, first, that transparency reduces the bias in money market expectations and dampens their variation. Second, informal communications help manage financial market expectations by reducing the variation of expectations. Third, various subcategories of the Eijffinger and Geraats (2006) transparency index lead to a smaller bias in expectations (in particular, evaluation of policy outcome and explanation of interest rate decisions) and to a reduction in the variation of expectations (in particular, explicit prioritization of objectives and provision of information on unanticipated macroeconomic disturbances).     

The macroeconomic drivers in hedge fund beta management

We investigate how macroeconomic indicators alter the dynamic risk exposure of different hedge fund style strategies. We implement a multifactor model to estimate the unobservable time-varying risk exposure conditional on macroeconomic information and a VAR to measure the impact of macroeconomic predictors on different time horizons. Using monthly returns on a cross-section of 10 different style indices from February 1997 to August 2019, we find that, on average, macroeconomic indicators explain approximately 30%, 55%, and 75% of the variability of betas at 1-, 6-, and 36-month horizons, respectively. Although macroeconomic predictors play a critical role at every horizon, at 1 month, the dominating effect comes from idiosyncratic shocks, which indicates that in the short run, hedge fund managers rely mostly on their own reallocation signals. Moreover, consistent with the fundamental drivers of the smart beta factors, we find that the interest rate level and GDP growth similarly impact hedge fund exposures across styles.     

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.     

Market efficiency broadcasted live: ECB code words and euro exchange rates

This paper examines the impact of the European Central Bank (ECB) monetary policy on euro exchange rate returns using an event study with intraday data for five currencies (the euro exchange rate versus the US dollar, the British pound, the Canadian dollar, the Swiss franc, and the Japanese yen). I construct two indicators of news about monetary policy stemming separately from policy decisions and the press conference. Estimation results show that the surprise component of communication has highly statistically significant effects on exchange rates, whereas the response of euro exchange rates to the unanticipated change in the policy rate is more muted. I also estimate the financial market impact on euro exchange rates of US, European and German macroeconomic news, and I show that the impact of the ECB press conference is economically important. The process of fully incorporating the ECB news shock takes about 1 h, and thus this result suggests that the whole press conference (both the Introductory Statement and the Q&A part) provides valuable information to market participants.     

IS THE VIEW FROM THE EUROTOWER PURELY EUROPEAN? – NATIONAL DIVERGENCE AND ECB INTEREST RATE POLICY

The official view on ECB monetary policy claims that decisions are based on euro zone data and that diverging regional developments are disregarded. To test empirically whether regional developments have an impact on ECB decisions we develop a generalised monetary policy reaction function which allows for an influence of regional divergence. Reaction function estimations and a probit model of interest rate decisions for the first years of the euro area offer some first support for an impact of regional divergence. The results clarify that ignoring a potential national perspective may lead to biased estimates for the ECB reaction function.     

US monetary policy shocks and the Chinese economy: a GVAR approach

Using a global vector auto regressive (GVAR) methodology, this article examines the impact of US monetary policy shocks on China’s major macroeconomic indicators. Our analysis reveals that a positive shock to the US money supply growth rate initially increases China’s inflation rate but after some time this effect completely disappears. This shock also raises China’s short-term interest rate and the Chinese currency appreciates against the US dollar. A positive shock to the US short-term interest rate increases China’s short-term interest rate but the real output growth and inflation rates decline and the Chinese currency appreciates.     

Why does the investment rate not increase? Capital accumulation and stabilization policy in the 1990s and 2000s in Brazil

The stabilization of inflation was conquered in the mid-1990s, but since then the Brazilian economy has not shown a stable growth trend. This article discusses how the maintenance of a high interest rate in Brazil has affected growth through its impact on investment decision. In a macroeconomic environment with a relatively high degree of uncertainty, decisions to accumulate capital rely heavily on retained earnings and are negatively affected by the persistent high level of interest rates. Our econometric exercise reveals that the interest rate is the most important variable to explain the investment rate, and that financialization negatively impacts physical capital accumulation.