Interest on bank reserves and optimal sweeping

A key rationale offered by the Federal Reserve for the payment of interest on reserves was to remove the incentive for banks to operate sweep accounts. Sweeping shifts funds from transactions deposits subject to reserve requirements to non-reservable deposits. This paper extends a conventional banking model to analyze sweeping behavior. Sweeping responds positively to increases in bank loan rates and reserve ratios and negatively to increases in the interest rate on reserves or exogenous increases in bank equity. Sweeping generates greater responsiveness in lending to changes in loan rates or the interest rate on reserves and lower responsiveness to changes in reserve ratios or equity than in its absence. Empirical analysis of an explicit condition that we derive suggests that, with an unchanged reserve requirement, the Fed could eliminate sweeping by setting the interest rate on reserves to no less than approximately 4% points below the market loan rate.     

Interest rate corridors and reserves

This paper evaluates reserves regimes versus interest rate corridors, which have become competing frameworks for monetary policy implementation. Rate corridors, relying on lending and deposit facilities to create ceilings and floors for overnight interest rates, evince mixed results on controlling volatility. Reserve requirements allow period-average smoothing of interest rates but, even if remunerated, are subject to reserve avoidance activities. A system of voluntary, period-average reserve commitments could offer equivalent rate-smoothing advantages. If central banks created symmetric opportunity costs of meeting or falling short of period-average reserve requirements (or commitments), they could achieve flat reserve demand on settlement day.     

The mechanics of a graceful exit: Interest on reserves and segmentation in the federal funds market

To combat the financial crisis that intensified in the fall of 2008, the Federal Reserve injected a substantial amount of liquidity into the banking system. The resulting increase in reserve balances exerted downward price pressure in the federal funds market, and the effective federal funds rate began to deviate from the target rate set by the Federal Open Market Committee. In response, the Federal Reserve revised its operational framework for implementing monetary policy and began to pay interest on reserve balances in an attempt to provide a floor for the federal funds rate. Nevertheless, following the policy change, the effective federal funds rate remained below not only the target but also the rate paid on reserve balances. We develop a model to explain this phenomenon and use data from the federal funds market to evaluate it empirically. In turn, we show how successful the Federal Reserve may be in raising the federal funds rate even in an environment with substantial reserve balances.     

Accounting for reserves

Views on the effectiveness of sterilized reserve intervention vary. Sterilized intervention is generally seen as ineffective in advanced countries while persistent intervention by some emerging markets is often cited as contributing to undervalued exchange rates and current account surpluses. This paper argues that capital controls reconcile these views. We find strong and highly robust evidence that sterilized intervention is fully offset by outflows of private money in countries without controls, while controls partially block this offset. For a country with extensive capital controls, every dollar in additional reserves increases the current account by some 50–100 cents. This is mainly offset by an opposite adjustment in the current account of the United States—the dominant reserve currency issuer with the deepest and most liquid bond markets—with a smaller diversion to emerging markets.     

利息税与利益协调

在现代社会中,纳税是每一个社会公民的义务,也 是一个国家政府得以维持的基础。同时,纳税也是调整 一个社会收入分配关系的重要手段。但是,如何保证每 一个人都能够自愿纳税呢?如何通过纳税来调整整个社 会的收入分配关系呢?政府就 得提供一个公平、公正的税制。 因此税制的公平和公正是保证 每一个纳税人自愿纳税的基本 条件。比如,对于个人所得税而 言,在经济学上,所得是指提供 生产要素供他人使用而取得的 报酬,但作为个人所得税税基的 所得与经济学上所称的所得是     

The impact of monitor choice on insurer loss reserves

This paper examines the association between monitoring and earnings management by property-casualty insurers. Prior literature has evaluated the impact of auditors and actuaries on insurer reserving. We extend this work by considering the nonrandom nature of monitor assignment. We model the insurer decisions regarding choice of auditor and actuary jointly using a Heckman selection model. Consistent with prior literature, we account for potential loss reserving incentives that may confound these decisions. We find that the use of internal actuaries is significantly related to higher reserve errors, but this is reduced, but not fully offset, when the internal actuary is an officer of the insurer. We find lower reserve error for auditors from a Big N firm. However, the use of an auditor and actuary from the same Big N firm is significantly related to higher reserve errors.     

Model risk and capital reserves

We propose a procedure to take model risk into account in the computation of capital reserves. This addresses the need to make the allocation of capital reserves to positions in given markets dependent on the extent to which reliable models are available. The proposed procedure can be used in combination with any of the standard risk measures, such as Value-at-Risk and expected shortfall.     

利率市场化与基准利率形成机制初探

在利率体系中，其准利率处于关键地位，在我国利率市场化正式启动之前，理论界普遍将法定利率视为基准利率。随着人民币国际化、市场化进程的不断加速，以及国债利率市场化属性的进一步确认，我们不能再用一种市场化程度较低的基准利率去判断和评估市场化程度较高的金融资产价值，我们必须深入研究基准利率的形成机制，为金融创新工具的开发、定价和评估提供理论依据。     

International reserves and global interest rates

In this paper we study the relationship between foreign currency international reserve holdings and global interest rates. To guide empirical work we solve a simple, small open-economy model with money, where the central bank manages international reserves to smooth inflation over time. This model shows that changes in interest rates are positively related to the target level of reserves. As a consequence interest rate hikes increase reserve transfers, defined as the change in international reserves net of the interest earned on reserves. Using quarterly data for 75 countries between 2000 and 2013, we document a positive relationship between interest-rate changes and reserve transfers as a share of GDP, that is consistent with the model.     

操作目标利率的选择与传导 ——基于MLF利率与隔夜利率的实证检验

依据2014-2018年月度数据,运用VAR模型考量MLF利率与隔夜利率对贷款加权利率、商业银行行为以及金融市场利率与金融市场波动的影响.结果表明:MLF利率对贷款加权利率和商业银行行为的影响较大,隔夜利率对金融市场利率和金融市场波动的影响较大.鉴此,应利用MLF利率调节贷款加权利率与商业银行行为,利用隔夜利率调节金融市场利率与金融市场波动,当两种利率的调节效果收敛接近时,再最终确定唯一的操作目标利率.     

关于中国加息的国内外评价

2004年10月28日,中国人民银行将一年期贷款利率由5.31个百分点调高至5.58个百分点,存款利率则由1.98个百分点调高至2.25个百分点。这是中国自1995年以来第一次提高贷款利率、1993年7月以来第一次调高存款利率。国内外对此做出各种评价和反应。     

浮息债券基准利率选择研究

我国一直将1年期存款利率作为债券市场浮息债券的基准利率,由于基准利率的长期固定,因此无法有效规避利率风险,导致浮息债券的发展陷入困境.通过定量和定性的分析证明,相对于7天期回购市场利率的平均指标,央行票据的发行利率才是当前最合适的浮息债券基准利率.     

利率市场化与利率风险管理

目前我国利率市场化巳步入实质性阶段，从长远看，利率市场化有利于商业银行建立现代金融企业制度，是金融改革的必由之路，但从短期看，对银行财务效益和资产质量将产生较大冲击，商业银行面临的利率风险将呈上升趋势，因此，商业银行应充分利用当前的过渡时期，参照巴塞尔协议的利率管理的核心原则，强化内部控制手段，建立起有效的利率风险管理体系。     

股权结构、私人收益和社会收益的关系研究——来自中国证券市场的证据

由于体制和历史等原因，我国上市公司中，除了考虑管理层和股东之间的冲突外，更重要的是控制股东和中小股东之间的利益冲突。在这种情况下，最佳公司治理实践就与保护中小股东的利益紧密相联。     

Interest Rate Futures Options and Interest Rate Options

This paper derives pricing models of interest rate options and interest rate futures options. The models utilize the arbitrage-free interest rate movements model of Ho and Lee. In their model, they take the initial term structure as given, and for the subsequent periods, they only require that the bond prices move relative to each other in an arbitrage-free manner. Viewing the interest rate options as contingent claims to the underlying bonds, we derive the closed-form solutions to the options. Since these models are sufficiently simple, they can be used to investigate empirically the pricing of bond options. We also empirically examine the pricing of Eurodollar futures options. The results show that the model has significant explanatory power and, on average, has smaller estimation errors than Black's model. The results suggest that the model can be used to price options relative to each other, even though they may have different expiration dates and strike prices.     

利息是利润的一部分——评加息争议

马克思系统科学地论证了利息是利润的一部分,利息率由利润率调节。中国利率形成机制与发达国家不同,没有以调控货币量为基础,在开放背景下,加息反而可能加剧通胀。由于利息是利润的一部分,针对目前关于加息的争议,我们要吸取经验教训,防止加息造成“利息挤压利润”导致企业经营困境。基于利息本原的理论逻辑与现实表现,目前加息应慎行。     

银行账户利率风险的利率冲击情景构建研究——基于金融市场利率数据

在银行账户利率风险管理实践中,风险计量涉及两个重要环节:风险计量方法和风险参数设计。其中,风险参数设计主要指如何构建利率冲击情景,包括关键利率选择和冲击程度。目前,监管部门和商业银行普遍采用巴塞尔委员会于2004年在《利率风险管理与监管原则》中提出的200个基点标准利率冲击法,但这一简单的冲击情景远远不能解释复杂的市场环境。如何构建利率冲击情景以准确衡量银行账户利率风险,成为监管部门和商业银行共同面临的挑战。本文参考国际监管改革的最新进展,运用国内金融市场的利率历史数据,探索构建了以国内利率环境为基准的利率冲击情景,为准确衡量国内银行真实利率风险水平夯实了基础。     

International reserves and gross capital flows dynamics

This paper explores the role of international reserves as a stabilizer of international capital flows, in particular during periods of global financial stress. In contrast with previous contributions, aimed at explaining net capital flows, we focus on the behavior of gross capital flows. We analyze an extensive cross-country quarterly database – 63 countries, 1991–2010 – using standard panel regressions. We document significant heterogeneity in the response of resident investors to financial stress and relate it to a previously undocumented channel through which reserves act as a buffer during financial stress. A robust result of the analysis is that international reserves facilitate financial disinvestment overseas by residents – a fall in capital outflows. This partially offsets the drop in foreign capital inflows observed in such periods. For the whole sample, we also find that larger stocks of international reserves are linked to higher gross inflows and lower gross outflows. These results, which challenge current approaches to measuring reserve adequacy, call for refining such tools to better account for the role of resident investors.     

利率市场化背景下的利率衍生产品发展策略

利率市场化是相对于利率管制而言,是指政府部分或完全放弃对利率的管制,使利率由市场的资金供求关系决定,按价值规律自发调节,包括利率决定、利率传导、利率结构和利率管理的市场化,核心内容是利率形成机制的市场化。