How the Machinery of International Finance Runs with Sand in its Wheels

The dramatic swings in international capital movements in recent years have renewed interest in restrictions on capital flows. This paper provides a model of international asset flows and domestic equity price formation incorporating three restrictions on capital flows. A transaction tax introduces significant asymmetries in the reaction of asset prices to financial and real shocks but has no long-lived effects. Policies targeted to the level of net foreign debt by imposing a tax or outright controls do influence the steady-state levels of the real exchange rate and relative equity prices.     

收入增长、劳动力外出与农村居民财产分布——基于四省农村的住户调查分析

本文在四省农村住户调查数据的基础上讨论了农村居民收入和外出行为对于家庭财产积累的影响。结果表明,农村居民的财产分布不均等程度要高于收入的不均等性,金融资产的不均等性尤其要高一些;财产不均等与收入不均等之间具有非常密切的关联性,收入不均等将转化为财产不均等。本文的结果也发现,家庭的外出决策对于财产积累,特别是金融资产的积累具有重要影响。     

中国A股市场个股收益影响因素的实证分析

选取公司市值、账面市值比、净营运资产、市净率和管理费用作为解释变量来构建面板数据模型,利用2007—2011年我国A股市场中573家上市公司的面板数据进行回归分析,探析这些财务指标对中国A股市场的股票月收益率的解释力度。研究结果显示:上述解释变量对股票月度收益率具有显著影响,说明这些财务指标对股票收益的解释力度较强;公司市值和账面市值比与股票收益率正相关,在研究期间存在明显的账面市值比效应;净营运资产、市净率和管理费用与股票收益率负相关;中国股票市场是一个弱式有效市场。     

中国城乡金融发展与基尼系数的灰色关联分析

用6个指标反映中国城乡金融发展水平,并利用灰色关联分析模型,分析2003—2011年中国城乡金融发展对基尼系数的影响。研究结果显示:金融结构、金融中介效率、固定资产投入产出比和金融行业劳动力对基尼系数的影响最大。最后提出缩短城乡居民收入差距的金融对策。     

金融冲击与房地产市场波动*——一个宏观分析框架及中国的经验证据

本文从总量宏观分析的视角,提出了金融变量与房地产市场的“总体冲击—传导机制”假说,据此用中国的数据构建金融状况指数（包含房价的FCI1和不包含房价的FCI2）,再对金融状况指数（FCI1和FCI2）与房地产指数做实证分析。研究发现,在资产价格中房价比股价更能反映一国的金融状况;在引入金融状况指数的金融变量中,利率与房价的相关性最强;房价和利率对总产出的影响周期更长。国房景气指数、房地产投资指数和房价指数对FCI冲击的响应显著,并存在不同的表现。由于房价对居民财富、金融状况和宏观经济的影响显著,货币政策理应干预房价,必须精准把握干预的时机和干预的力度以及注重多种货币政策工具的有效搭配使用。     

An analysis of life-cycle accumulation of financial assets

This paper uses data from the Consumer Expenditure Survey (CEX) to estimate age profiles for financial asset accumulation. While the CEX is not designed to estimate financial wealth, it has the advantage of being available on a consistent basis since 1980.As the data set is not a panel, synthetic cohort techniques are used to analyse the dynamics of asset accumulation over the life cycle, while allowing for cohort and business cycle effects. It is shown that it is not possible to separately identify cohort and age effects in the level of financial assets. However, with the specification proposed, it is possible to identify all the parameters (except the intercept) of the age profile for the changes in financial assets.Several measures of location are analysed, and several conditioning variables considered. The results seem to indicate a decline in the rate of financial asset accumulation in the last part of the life cycle. However, because the scale of this effect is not identified, these results cannot be used to address the issue of asset decumulation by the elderly.     

Dynamics between energy,output, openness and financial development in sub-Saharan African countries

This study aims to establish the connection between energy use, economic output, financial development and trade, based on the panel data of 15 sub-Saharan African (SSA) countries during the period from 1983 to 2010. One full main panel and two subpanels were created by incorporating low-income and middle-income countries. The panel cointegration test results indicate a long-run relationship between the variables. The mean group (MG) estimators show that energy consumption, financial development, capital and international trade have significant impacts on economic output. In the case of middle-income countries, the Granger causality analysis reveals that rising economic output leads to higher energy consumption, but this is not true vice versa. This means that energy conservation measures are unlikely to have adverse impacts upon economic output. On the other hand, there is a complementary relationship between financial development and energy consumption. In this case, energy conservation measures should be critically analysed and implemented, so as not to have an unfavourable impact on financial development. In regard to low-income economies, there is no relationship between energy use and any of the other variables mentioned. Thus, a reduction in energy consumption has little or no significant impact on output, financial development, capital and trade.     

房屋拆迁与家庭金融风险资产投资

文章基于心理账户和资源保存理论,利用2011年中国家庭金融调查数据,考察了房屋拆迁对家庭金融风险资产投资的影响及其机制.研究结果表明,房屋拆迁显著增强了家庭投资金融风险资产的意愿,提高了家庭在金融风险资产上的投资比重.财富损失预期在房屋拆迁影响家庭金融风险资产投资中起了显著的中介作用,而这一中介效应受到社会保险的正向调节.文章从经济学、管理学和心理学相融合的视角进行分析,为人类经济行为和结果提供了新见解;同时,研究结论对拓宽居民家庭投资渠道、深化金融体制改革和促进经济增长具有重要的参考价值和指导意义.     

企业金融资产配置对双元创新的影响

以2014-2016年非金融上市公司为样本，研究不同种类的金融资产配置对双元创新的影响，考察高管激励方式在两者之间的调节效应，并基于产权异质性作进一步检验。引入ITCV方法测量内生性问题是否改变了回归结果，以检验结论的稳健性。研究发现：①短期金融资产配置对双元创新不产生蓄水池效应；②长期金融资产配置对探索式创新具有挤出效应，而对开发式创新挤出效应受到产权异质性的影响；③相对于开发式创新，长期金融资产对探索式创新的挤出效应更加显著；④国有企业中，股权激励有助于弱化长期金融资产配置对双元创新的挤出效应，而在非国有企业中，这一调节效应并不显著；⑤相对于探索式创新，薪酬激励弱化长期金融资产配置对开发式创新的挤出效应更加显著。     

货币政策、资产价格与金融稳定性

传统的货币政策理论认为,中央银行制定货币政策时应严格以通货膨胀为目标,但金融危机的爆发,资本市场的膨胀、资产价格的波动,都不断地冲击货币政策的有效性,并在一定程度上影响金融体系的稳定性,由此引发学术界对货币政策中介目标的探讨。本文以具有变参数特征的动态金融景气指数(DFCI)为工具,考察了DFCI对CPI和金融稳定性的预测作用,在此基础上,扩展前瞻性中央银行利率反应函数,将包含资产价格信息的DFCI纳入反应函数,研究中央银行货币政策行为,并拓展直接以资产价格为操作目标的泰勒准则作比较。实证表明:在扩展形式的前瞻性利率反应函数中,DFCI变量统计显著,包含资产价格的DFCI要比不包含资产价格的DFCI显著,以资产价格作为货币政策目标的利率规则作用效应不完全显著。这说明,DFCI的建立具有合理性,资产价格波动显著地影响货币政策的有效性,严格的通货膨胀目标规则存在不足,中央银行的货币政策行为需要考虑资本市场的变化以及资产价格的波动,但直接将资产价格作为目标的货币政策具有不确定性。     

In the Shadow of the United States: The International Transmission Effect of Asset Returns

We examine how fluctuations in financial and housing markets in the United States affect asset returns and GDP in Hong Kong. In contrast to studies using linear specifications, which find that the United States and Hong Kong are virtually delinked in terms of the asset markets, our regime‐switching models indicate that an unexpected change in US stock returns, followed by the TED spread, has the most significant effect on Hong Kong asset returns and GDP, typically in a regime of high return and low volatility. For in‐sample one‐step‐ahead forecasting, the US term spread is the best predictor.     

Asset allocation under stochastic interest rate with regime switching

We investigate an optimal asset allocation problem in a Markovian regime-switching financial market with stochastic interest rate. The market has three investment opportunities, namely, a bank account, a share and a zero-coupon bond, where stochastic movements of the short rate and the share price are governed by a Markovian regime-switching Vasicek model and a Markovian regime-switching Geometric Brownian motion, respectively. We discuss the optimal asset allocation problem using the dynamic programming approach for stochastic optimal control and derive a regime-switching Hamilton–Jacobi–Bellman (HJB) equation. Particular attention is paid to the exponential utility case. Numerical and sensitivity analysis are provided for this case. The numerical results reveal that regime-switches described by a two-state Markov chain have significant impacts on the optimal investment strategies in the share and the bond. Furthermore, the market prices of risk in both the bond and share markets are crucial factors in determining the optimal investment strategies.     

Capital Trading,Stock Trading,and the Inflation Tax on Equity

A market for used capital goods, or financial instruments that represent the ownership of the used capital goods, induces inflation taxes on wealth and on the nominal income flows that they provide. This paper explicitly introduces trading in either used capital goods or financial instruments into the standard stochastic growth model with money and production. These two monetary economies are equivalent. The value of the firm is equal to the firm's capital stock divided by inflation. The resulting asset-pricing conditions indicate that the effect of inflation on asset returns differs from the effects found in the literature by the addition of a significant wealth tax. Journal of Economic Literature Classification Numbers: E0, E4, E5.     

基于资产价格影响的货币政策非对称性效应研究

利用NK-SVAR模型就我国货币政策的非对称性效应进行研究,结果表明,紧缩性货币政策的效果比较明显,而扩张性货币政策效果较弱.货币冲击的紧缩效应强于扩张效应,这表明抑制经济的过快增长时紧缩性的货币政策效果显著,但扩张性货币政策无法摆脱经济的恶性衰退.     

Effects of deregulation on failing thrift institutions

The purpose of this paper is to test the hypothesis that much of the decline in the net worth of the failing saving and loan institutions was a result of deregulation. Variables are developed to represent major actions to deregulate S&Ls activities and to measure the impacts on institutions' net worth. A mixed cross-section&z.urule;time series analysis is developed to estimate the effects of financial deregulation on failing thrifts' net worth. The data are 1984-89 balance sheet adn income statement data for thrift institutions, prior to the enactment of the 1989 legislation to solve the crisis. The reuslts of the analysis indicate that deregulation of asset and deposit activities was not the cause of the financial distress of failing US thrift institutions. The primary cause appears to be the increase in the federal deposit insurance limit to $100 000 and how attractive this legislative action made brokering deposits that became insured up to $100 000.     

Investors' Personality Influences Investment Decisions: Experimental Evidence on Extraversion and Neuroticism

The authors analyze the impact of individuals' degree of extraversion and neuroticism on their decision making in an experimental asset market. To establish this link between research on experimental asset markets and social psychology the authors use a unique approach that combines a questionnaire designed to assess individuals' degree of extraversion and neuroticism and an experimental asset market to assess individual financial decision making. The dataset combines 364 undergraduate business students' questionnaire responses and their trading behavior in the asset market. The authors find that extraversion and neuroticism significantly influence individuals' behavior in the experimental asset market. Specifically, more extraverted individuals pay higher prices for financial assets and they buy more financial assets when assets are overpriced than less extraverted individuals do. More neurotic individuals hold less risky assets in their financial portfolios than less neurotic individuals do. Although a large part of the explanatory power appears to be driven by gender differences, the authors still find significant impact of extraversion and neuroticism after controlling for gender effects. The study findings suggest that further research on financial markets could benefit from including personality of market participants as a crucial explanatory factor.     

The macroeconomic impact of financial and uncertainty shocks

The extraordinary events surrounding the Great Recession have cast a considerable doubt on the traditional sources of macroeconomic instability. In their place, economists have singled out financial and uncertainty shocks as potentially important drivers of economic fluctuations. Empirically distinguishing between these two types of shocks, however, is difficult because increases in economic uncertainty are strongly associated with a widening of credit spreads, an indication of a tightening in financial conditions. This paper uses the penalty function approach within the SVAR framework to examine the interaction between financial conditions and economic uncertainty and to trace out the impact of these two types of shocks on the economy. The results indicate that (1) financial shocks have a significant adverse effect on economic outcomes and that such shocks were an important source of cyclical fluctuations since the mid-1980s; (2) uncertainty shocks, especially those implied by uncertainty proxies that do not rely on financial asset prices, are also an important source of macroeconomic disturbances; and (3) uncertainty shocks have an especially negative economic impact in situations where they elicit a concomitant tightening of financial conditions. Evidence suggests that the Great Recession was likely an acute manifestation of the toxic interaction between uncertainty and financial shocks.     

An Economic Evaluation of Model Risk in Long‐term Asset Allocations

Following the recent crisis and the revealed weakness of risk management practices, regulators of developed markets have recommended that financial institutions assess model risk. Standard risk measures, such as the value‐at‐risk (VaR), emerged during the 1990s as the industry standard for risk management and become today a key tool for asset allocation. This paper illustrates and estimates model risk, and focuses on the evaluation of its impact on optimal portfolios at various time horizons. Based on a long sample of US data, the paper finds a non‐linear relation between VaR model errors and the horizon that impacts optimal asset allocations.     

HOW ASSET IRREVERSIBILITY INFLUENCES THE INVESTMENT‐UNCERTAINTY RELATIONSHIP

This paper examines how uncertainty affects firms' investments for varying degrees of asset irreversibility (i.e., the wedge between purchase price and liquidation value of an asset). To identify more or less irreversible capital goods, we exploit unique survey data on German manufacturing firms over the sample period 2004 to 2012 in which managers provide information on investments' purpose (capacity expansion, replacement, restructuring, rationalization, and other). Our results indicate that only investments into the most irreversible capital goods (capacity expansion) will decrease if uncertainty rises. We also find support for other channels, such as the financial friction or the market power channel, to explain the investment‐uncertainty relationship.     

COMOVEMENTS OF DIFFERENT ASSET CLASSES DURING MARKET STRESS

This paper measures US financial asset class linkages (stocks, bonds, T‐bills and gold) during crisis periods. We use extreme value analysis to assess the bivariate exposure of one asset class to extreme movements in the other asset classes. These bivariate co‐crash probabilities can be interpreted as a measure of financial contagion. Statistical testing reveals that bivariate extreme linkage estimates exhibit time variation for certain asset pairs, possibly caused by exogenous factors like oil shocks or shifts in monetary policy. Our results have potentially important implications for long‐run strategic asset allocation and pension fund management.