利率平价理论的分析与探讨

在对我国的经济体制改革过程进行阶段性划分的基础上,本文采用分阶段线性回归和断点检验方法,研究了利率平价在中国转轨经济时期各阶段的拟合性,同时运用新制度金融学这一新的分析范式进行理论解释。研究发现,由于深层次制度等方面的原因,利率平价在我国的拟合性较低。但是,随着我国合理的产权制度的逐步确立、利率市场化改革的深入和货币自由兑换的逐步实现,利率平价在我国的拟合性正逐渐优化。     

Revisiting Covered Interest Parity in the European Union: the DCCA Approach

This paper analyzes the evidence of financial integration, with covered interest parity (CIP), for a group of countries that have already adopted the euro and another group of countries that kept their currencies. We use detrended cross-correlation analysis, which allows analyzing the behavior of time series even when they are not stationary. The main results indicate that countries that adopted the euro do not show much evidence in favor of CIP, before joining the Eurozone, which could imply they will not benefit from all common currency advantages. In the group of countries that did not adopt the euro, Denmark, Sweden, the UK and the Czech Republic are the ones presenting better conditions for financial integration with the euro, while Bulgaria has also some evidence of this. Some possible explanations of CIP deviations are agents not considering all countries’ assets as similar and also the underdevelopment of markets and liquidity problems (more pronounced due to periods of turmoil).     

Covered Interest Parity and Speculative Efficiency: Some Empirical Evidence for Australia*

Two key relationships which feature prominently through out modern international monetary theory are: (i) covered interest parity and(ii) speculative efficiency of the foreign exchange market, i.e., the unbiasedness of the forward rate as a predictor of the spot rate. This paper presents some empirical evidence for these two hypotheses using Australian data over the period September 1974 to December 1981 during which the Australian dollar was essentially floating. Both quarterly and overlapping monthly data are used. The results obtained generally provide some support for the two hypotheses.     

利率平价理论评析

利率平价理论是阐述国内外利率水平差异对一国货币汇率起决定作用的基本学说。国内外许多学者对该理论进行了研究,但对于利率平价理论在不同国家成立与否得出了不同的结论。对国外不同发展阶段的利率平价理论进行梳理,并把国内学者对该理论的研究归纳为利率平价理论的适用性、利率-汇率联动性、模型修正等,可以发现,引入资产价格因素对利率平价理论进行拓展并在此基础上进一步深化中国金融体制改革,可以为货币政策制定者提供具有理论价值和应用价值的政策指导。     

The Covered Interest Parity Puzzle and the Evolution of the Japan Premium

A disturbance or breakdown of the first stage of the monetary transmission mechanism tends to be synonymous with high and volatile money market risk premia. Such market indicators include violations of the covered interest parity (CIP). This was not only evident during the financial crisis of 2007–08, but already during the Japanese banking crisis in the late 1990s, when it became referred to as the “Japan Premium.” Despite extraordinary policy measures by central banks in recent years, however, deviations from the CIP indicate continuing or even elevated stress in the international monetary system. This paper examines a string of distinct, but closely interconnected, assumptions and perceptions regarding CIP arbitrage. By doing so, it not only sheds some fresh light on the recent “CIP puzzle” but also on the era of the Japan Premium during the 1990s and its aftermath.     

Exchange Controls,Political Risk and the Eurocurrency Market: New Evidence from Tests of Covered Interest Rate Parity

This study employs daily data to examine the effects on Eurocurrency and onshore returns of the May 21, 1981 imposition of exchange controls by French President Mitterand. Prior to this time, transaction costs explain the average onshore deviations from covered parity; however, these averages ignore short-lived political risk premia which emerged just before the imposition of controls. As expected, there is no evidence of political risk of Eurocurrency markets. Yet when exchange controls were in effect, premia in excess of transaction costs surfaced on nonfranc Eurocurrency deposits at the time of devaluations of the franc within the EMS. [431]     

Purchasing Power Parity and Interest Parity in the Laboratory

This paper analyses purchasing power parity and uncovered interest parity in the laboratory. It finds strong evidence that purchasing power parity, covered interest parity, and uncovered interest parity hold. Subjects are endowed with an intrinsically useless (green) currency that can be used to purchase another useless (red) currency. Green goods can be bought only with green currency, and red goods can be bought only with red currency. The foreign exchange markets are organised as call markets. In the treatment analysing purchasing power parity, the price of the red good varies. In a second treatment, the interest rate on red currency varies. In a third treatment, the interest rate on red currency varies, and the price of the red good is random.     

Uncovered Interest Parity Revisited

A standard empirical finding in international finance is that countries with high nominal interest rates experience appreciations of their currencies, in contrast to predictions based on uncovered interest parity (UIP). However, tests of UIP have almost exclusively relied on data on short-term interest rates. In this paper, UIP is tested on long-term government bond yields. Since the presence of coupon payments induces a measurement error between the observed data and true returns, several different proxies for the latter are constructed. Furthermore, instrumental variable techniques are used. In contrast to thetypical finding, the results are rather favorable to UIP.     

Regional Liquidity Risk and Covered Interest Parity During the Global Financial Crisis: Evidence from Tokyo,London, and New York*

ABSTRACT

During the global financial crisis, there were substantial deviations from covered interest parity (CIP) condition. In particular, in the post-Lehman period, the US dollar interest rate became very low on the forward market. However, the deviations from the CIP condition varied across markets. After presenting a simple model, the following analysis examines how the CIP condition between the Japanese yen and the US dollar was violated in Tokyo, London, and New York markets. We show that the CIP deviations became largest in the New York market soon after the Lehman shock but were largest in the Tokyo market in the rest of the turmoil period. The regressions suggest that market-specific credit risks and central banks’ liquidity provisions explained the difference across the markets. In particular, they indicate that larger dollar-specific risk and smaller yen-specific risk caused larger deviations in the Tokyo market.     

Uncovered Interest Parity: Cross‐Sectional Evidence

Uncovered interest parity (UIP) is estimated for short‐term horizons from one month to 12 months using a large number of cross‐sectional bilateral exchange rates. In contrast to conventional time‐series UIP, cross‐sectional UIP is examined with a single‐equation estimation and panel regression model estimation. The exchange rates analyzed here include a broad spectrum of countries: developed, developing, low‐inflation, and high‐inflation countries. Based on the empirical evidence, there does not appear to be a well‐publicized UIP puzzle for cross‐sectional UIP, and the slope estimates remain largely between zero and one throughout the sample periods, with a few exceptions. Evidence of UIP is more clear for low inflation countries than for high inflation countries. As interest rate maturity becomes longer from one month to 12 months, the UIP relationship becomes weaker.     

论利益阶层对发展权理论与实践的影响

从哲学的主客体二元对立出发,利益是独立于主体世界的彼在.人类各项权利的演变过程实质就是有关利益主体的利益博弈与分化过程.发展权作为人类的一项基本权利,同样会受到各利益阶层的深刻影响.从利益及利益阶层视角深化凝练发展权的理论内涵,注重发展权制度供给的价值序列,强化实现发展前提公平的促进机制、实现发展环境公平的运行机制与实现发展共享成果保障机制的建立,从而真正达致发展权的平等实现与和谐世界的核心诉求.     

Reconsidering Real Interest Parity for Traded and Nontraded Goods

The goal of this paper is to examine the hypothesis of real interest rate parity by contrasting real interest rates across traded and nontraded goods under flexible exchange rates. We employ panel unit root tests to investigate the stationarity of real interest rate differentials. In particular, empirical results support the mean‐reverting property of real interest rate differentials for interest rates measured in terms of traded goods.     

东亚对外金融一体化：基于非抵补利率平价理论的实证研究

结合东亚经济体金融自由化程度的差异,构建计量模型系统研究了东亚各国(地区)与美国非抵补利率平价的长、短期成立条件、长期均衡水平及动态调整速度,在此基础上分析了东亚对外金融一体化及其动态变化.结论是:东亚经济体与美国的非抵补利率平价短期不成立,长期成立但存在偏离;金融自由化差异会部分影响对外一体化程度;金融合作和金融开放可以显著促进金融一体化程度的提高.     

利率平价理论在中国的适用性--基于债券市场开放的视角

在梳理利率平价文献的基础上,本文从影响中资企业离岸在岸债券收益率的影响因素入手,探讨了利率平价理论在中国的适用性。通过对2010年以来投资级中资企业美元债与境内高等级信用债的计量分析发现,由于资本管制,长期以来抵补利率平价并不适用于中国。伴随着“债券通”之后中国债券市场开放程度的逐步扩大,以及人民币汇率灵活度的提升,自2017年年中以来,抵补利率平价理论开始适用于中国,即使是2020年的疫情冲击也未改变上述关系。汇率成本是影响离岸债券收益率的重要因素,套息交易的作用相对有限。进一步地,本文针对投资级城投债、房地产债的计量分析表明,产业和融资政策限制影响了企业境内外相关债券收益率的相关性,市场不完全是导致利率平价理论在中国不成立的重要原因。本文的研究为我国系统性推动包括债券市场在内的高水平金融开放提供了实证基础。     

China's Capital Controls: Through the Prism of Covered Interest Differentials

We study the renminbi covered interest differential, an indicator of the effectiveness of capital controls. It is found that the differential is not shrinking over time and, in fact, appears larger after the global financial crisis than before. That is, capital controls in China are still substantial and effective. In addition to exchange rate changes and volatilities, the renminbi covered interest differential is affected by credit market tightness indicators. The marginal explanatory power of these macroeconomic factors, however, is small relative to the autoregressive component and the dummy variables that capture changes in China's policy.     

Uncovered Interest Parity at Long Horizons: Evidence on Emerging Economies*

This paper estimates uncovered interest parity (UIP) at long horizons using bilateral US dollar rates vis‐à‐vis mature economy and emerging market currencies. The paper finds support in favor of UIP for dollar rates vis‐à‐vis major mature economy currencies, but far less against emerging market currencies. There are also signs that political risk and the exchange risk premium help explain the empirical failure of UIP for these latter currencies. This suggests that whether UIP holds depends more on the currency than on the horizon.     

Rethinking Deviations From Uncovered Interest Parity: the Role of Covariance Risk and Noise

We examine the ability of the standard intertemporal asset pricing model and a model of noise trading to explain why the forward foreign exchange premium predicts the future currency depreciation with the 'wrong' sign. We find that the intertemporal asset pricing model is unable to predict risk premia with the correct sign to be consistent with the data. The noise-trader model, while highly stylised, receives fragmentary support from empirical research on survey expectations.     

On the Joint Test of the Uncovered Interest Parity and the Ex‐ante Purchasing Power Parity

This study revisits the relation between the uncovered interest parity (UIP), the ex‐ante purchasing power parity (EXPPP) and the real interest parity (RIP) for the UK and Japanese vs US data. The original contribution is on developing some joint coefficient‐based tests, obtained by rewriting the UIP, the EXPPP and the RIP as a set of cross‐equation restrictions in a vector autoregression (VAR) framework. Test results point to a “forward premium” bias in both the UIP and the EXPPP. The latter result is novel in the literature and stems from testing the PPP in expectational terms. Moreover, the results suggest a currency‐dependent pattern for the UIP, contrarily to the EXPPP equation. Finally, it is shown that conditioning the VAR on M3 growth differential has important explanatory power in resolving the aforementioned biases in both the UIP and EXPPP equations for the UK vs US data. At the same time, variables having a strong forward‐looking component (i.e. share prices) help recover a unitary coefficient in the UIP equation.     

Interest Parity,Monetary Policy and the Volatility of Australian Short-Term Interest Rates: 1978–1982*

The period since the introduction of the Treasury note tender in December 1979 has been characterized by increased variability of Australian short-term interest rates. Using a methodology suggested by Evans, the increase in variability of the 90-day commercial bill rate is decomposed into that attributable to domestic monetary policy, seasonal influences, covered international interest rate movements and other miscellaneous influences. The results suggest that after December 1979 Australian short-term interest rates became more sensitive to surprises in the domestic monetary base, covered Eurodollar rate surprises and seasonal influences. Increased volatility of the covered Eurodollar rate also contributed to increased variance of domestic rates.     

An Incomplete Markets Explanation of the Uncovered Interest Rate Parity Puzzle

A large literature attributes failure of uncovered interest rate parity (UIP) to the existence of a time‐varying risk premium. This paper presents a mechanism in a simple two‐country two‐good endowment economy with incomplete markets that generates sizeable deviations from UIP. In a parameterization where international wealth effects are important, liquidity constraints on an internationally traded bond and agents’ strong resulting precautionary motives successfully generates a time‐varying risk premium: countries that have accumulated large outstanding external positions have, being closer to the constraints, stronger precautionary motives and their asset carries a risk premium.