Monetary policy and dynamic adjustment of corporate investment: A policy transmission channel perspective

We investigate monetary policy effects on corporate investment adjustment,using a sample of China’s A-share listed firms(2005–2012), under an asymmetic framewor...     

A computational definition of financial randomness

The aim of this study is to present an efficient and easy framework for the application of the Least Squares Monte Carlo methodology to the pricing of gas or power facilities as detailed in Boogert and de Jong [J. Derivatives, 2008, 15, 81–91]. As mentioned in the seminal paper by Longstaff and Schwartz [Rev. Financ. Stud. 2001, 113–147], the convergence of the Least Squares Monte Carlo algorithm depends on the convergence of the optimization combined with the convergence of the pure Monte Carlo method. In the context of the energy facilities, the optimization is more complex and its convergence is of fundamental importance in particular for the computation of sensitivities and optimal dispatched quantities. To our knowledge, an extensive study of the convergence, and hence of the reliability of the algorithm, has not been performed yet, in our opinion this is because the apparent infeasibility and complexity uses a very high number of simulations. We present then an easy way to simulate random trajectories by means of diffusion bridges in contrast to Dutt and Welke [J. Derivatives, 2008, 15 (4), 29–47] that considers time-reversal Itô diffusions and subordinated processes. In particular, we show that in the case of Cox-Ingersoll-Ross and Heston models, the bridge approach has the advantage to produce exact simulations even for non-Gaussian processes, in contrast to the time-reversal approach. Our methodology permits performing a backward dynamic programming strategy based on a huge number of simulations without storing the whole simulated trajectory. Generally, in the valuation of energy facilities, one is also interested in the forward recursion. We then design backward and forward recursion algorithms such that one can produce the same random trajectories by the use of multiple independent random streams without storing data at intermediate time steps. Finally, we show the advantages of our methodology for the valuation of virtual hydro power plants and gas storages.     

对我国货币层次划分及货币统计的重新认识

鉴于货币层次划分及货币统计对中央银行货币政策实践具有重要影响,本文从适于计量货币角度对货币的定义方法及其演变进行了一定程度梳理,并说明进行货币总量简单加总的必要性。在此基础上,结合美国货币统计实践,提出我国货币层次划分不仅应坚持流动性标准,还应坚持将这一标准进一步明确细分,即应坚持将能否直接行使交易媒介功能作为划分狭义货币与准货币的唯一标准,将能否自由使用作为划分准货币与更广义货币的唯一标准。本文也对目前我国正在使用的货币层次划分及货币统计存在的不足进行深入剖析,并对国内一些学者提出的修改意见提出自己的不同看法及调整办法。最后,本文还就财政存款的存款机构变更及其数量增减对国内银行体系流动性状况及货币供应可能造成的影响展开分析。     

全球货币体系与亚洲货币合作前景

编者按:在20世纪的100年里,从金本位到美元本位、从固定汇率到浮动汇率、从布雷顿森林体系成立到解体、从欧元面世到单一货币启动,全球货币体系的变化令人应接不暇、触目惊心.世纪之交的国际货币领域更是雷雨交加,新兴市场国家轮番的金融危机震惊了整个金融世界,而阿根廷的金融危机更是给美元化国家以迎头痛击.在欧洲单一货币成功启动和美元化国家危机并存的金融背景中,亚洲货币何处去?罗伯特·蒙代尔先生在广州金融高等专科学校名誉教授受聘仪式上的演讲则给我们很大启发.     

货币体系、货币政策与经济危机

2007年爆发的金融危机给世界经济造成严重影响,目前对危机根源的已有研究多从监管缺位、政策失误、低估风险等方面进行。本文在前人研究基础上另辟蹊径,从货币角度层层剖析危机成因,并提出现行货币体系的不完善是最终引发此次危机的罪魁祸首。因此,货币体系改革势在必行,货币体系改革不仅对发展中国家,对发达国家同样有着非同寻常的意义。文章最后分析了已有改革方案,并对我国在未来改革中可行的作为提出一些建议。     

“弄钱”和价值观

政府要理的财,包括资金、资产、资源,必须让民众的财富、企业的财富、自然生态的财富、思想文化的财富等这些社会财富,达到保值增值最大化,并同时实现社会财富配置的最优化。     

电子货币及其对货币政策的影响分析

电子货币产生并发展的根本原因是降低交易费用的需求，但目前参与流通的电子货币还不是一种独立的通货。最后，电子货币的并不必然影响中央银行货币政策的效果。     

中国货币状况指数与未观测货币金融状况指数——理论设计、实证方法与货币政策意义北大核心

本文基于货币状况指数理论与国际实践经验,测算出1978～2005年的中国货币状况指数,首次采用未观测净金融投资占均衡GDP的比率与未观测跨境流动资金占贸易总额的比率分别替代民间利率和黑市汇率,构建了中国的未观测货币金融状况指数。在此基础上,通过拟合货币状况指数和未观测货币金融状况指数之间的关系模型发现:未观测货币金融状况指数基本能够反映未观测金融对货币运行的扰动程度,对货币政策操作和宏观调控具有实践启示。     

货币政策目标、资产价格波动与最优货币政策

货币政策目标的实现程度是判定货币政策优劣的标准。通过建立中央银行的决策模型,推导出忽略和考虑资产价格的最优货币供应量反应函数,并据此对中国不同货币政策目标下的宏观经济运行进行模拟,以认识货币政策目标对资产价格波动与最优货币政策之间关系的影响,结果表明最优货币政策是否应该对资产价格的波动反应取决于货币政策目标。因此,应充分重视货币政策目标的取向,同时加强对最优货币政策目标确定的研究。     

Monetary policy and distribution

A segmented markets model of monetary policy is constructed, in which a novel feature is goods market segmentation, and its relationship to conventional asset market segmentation. The implications of the model for the response of prices, interest rates, consumption, labor supply, and output to monetary policy are determined. As well, optimal monetary policy is studied, as are the costs of inflation. The model features persistent nonneutralities of money, relative price effects of increases in the money supply, persistent liquidity effects, and a negative Fisher effect from a money supply increase. A Friedman rule is in general suboptimal.     

Monetary policy and corporate default

When a corporation issues debt with a fixed nominal coupon, the real value of future payments decreases with the price level. Forward-looking corporate default decisions therefore depend on monetary policy through its impact on expected inflation. We build a general equilibrium economy with deadweight bankruptcy costs that demonstrates how nominal rigidities in corporate debt create an important role for monetary policy even in the absence of standard nominal frictions such as staggered price setting in the output market. Under a passive nominal interest rate peg, the direct effects of a negative productivity shock combine with deflation to produce strong incentives for corporate default. A debt-deflationary spiral results when there are real costs of financial distress. Inflation targeting eliminates this amplification mechanism but full inflation targeting requires permitting the nominal interest rate to depend explicitly on credit market conditions.     

中国货币政策与就业关系实证分析

自改革开放以来,失业一直是中国政府关注的重要问题。本文主要通过分析我国法定存款准备金率的变动如何影响银行的信用规模,进而对国内就业产生影响,得出货币政策的实施可以影响国内贷款规模,国内贷款的变动可以滞后两期对就业产生冲击的结论。笔者认为,只要有效运用货币政策就可以积极促进就业。     

流动性滞存与通货紧缩

通货紧缩是近年来困扰我国经济的一个难题。本提出流动性滞存原理，用来解释我国的通货紧缩现象，对该原理与此前有关原理的承继和发展关系，以及有关的方法论问题进行了尝试性的研究，并依此原理提出缓解我国通货紧缩的方法。     

货币政策和金融稳定

近期的金融危机使世界各国的中央银行加强了对金融稳定问题的关注,对货币政策目标的选择与实施更加慎重。为更好实现金融稳定目标,中央银行应根据具体情况,在宏观审慎政策与货币政策之间做好平衡,在不同种类的宏观审慎政策工具间做出选择。     

Minimum return guarantees,investment caps,and investment flexibility

We study the merits of capped retirement products with guarantee for investors who have the flexibility to dynamically adjust their investment strategy. All contracts under consideration are fairly priced such that the net profit of the provider is zero. Without the rider, an expected utility maximizing CRRA investor does not want an investment cap. Here, she commits herself to a strategy a priori. With the flexibility rider, the optimization problem changes and the optimal strategy is a response to an exogenously set price. A fair pricing then anticipates the optimal response of the investor. We show that the maximum expected utility of the investor can, for anticipated fairly priced products, be obtained for a finite cap. Thus, a capped product design can give a Pareto improvement to the otherwise uncapped contract version.     

从最优货币区理论看中国—东盟统一货币区构建

现有合作基础、中国一东盟自由贸易区的建设构成了构建中国-东盟统一货币区的有利因素,而从最优货币区理论看,区域内各国经济发展水平、经济互补性、政治文化差异使中国一东盟统一货币区构建面临着诸多困难和制约,这就决定了中国-东盟统一货币区构建应遵循循序渐进的原则稳步推进.     

治理通货紧缩过程中的货币政策有效性研究

从辨析通货紧缩的性质入手,指出通货紧缩在中国的特殊表现形式;然后从理论上探讨了货币政策对治理通货紧缩是否有效的问题,得出了“货币政策对于治理通货紧缩有效”的结论;最后对我国近几年货币政策实施的效果作出评价与建议。     

Monetary information and monetary neutrality

The monetary theory of business fluctuations in market clearing models constructed under the rational expectations assumption — as advanced by Lucas and others — involves the idea that suppliers and demanders will typically misinterpret movements in the general level of prices as representing more or less favorable relative opportunities for real activities. The present paper examines the consequences of agents' possessing contemporaneous monetary information — of a potentially noisy variety — for the non-neutrality of unanticipated monetary events, within such an equilibrium business cycle model. This modification of the information structure has the strong testable implication that real activity will be uncorrelated with contemporaneous monetary data.     

公众预期与货币政策有效性

现代货币政策理论特别强调预期在货币政策有效性发挥中的核心作用。在对有关经典预期理论进行探讨之后,借助标准的新凯恩斯模型分析了预期对货币政策操作结果的影响,认为公众预期会对货币政策有效性产生影响,使得政策结果偏离目。标水平,而且在把“Brainard不确定性”纳入分析框架之后,预期对货币政策有效性的影响程度将更大,即政策结果完全由预期决定,同时对预期形成的影响因素进行了有益的探讨。并在对全文总结的基础上,提出了一些建设性的启示。     

资本市场、货币市场互动与我国的货币政策选择

资本市场与货币市场之间相互影响,两个市场之间的影响机理包括货币与证券两种资产间的联接效应、非对称信息对称化效应和价格联接效应等三种效应。资本市场会通过影响货币供给流向、货币供给数量、货币政策传导机制以及货币政策工具等四个方面对货币政策产生影响。货币市场也会通过利率、通货膨胀率、股票价值以及各种金融工具等影响资本市场。资本市场与货币市场在相互制约和影响中实现动态均衡是宏观经济的预期,但这种预期目前还远远没有达成,原因在于金融市场上的诸多问题:货币市场与资本市场在法规、管理体制、经营机制、组织上的分割以及两个市场自身的缺陷。所以拓宽两个市场的融合渠道、建立高效的货币市场和完善货币政策运作体系是我国的货币政策选择。