The information in the term structure of German interest rates

This paper tests the Expectations Hypothesis (EH) of the term structure of interest rates using new data for Germany. The German term structure appears to forecast future short-term interest rates surprisingly well, compared with previous studies with US data, while it has lower predictive power for long-term interest rates. However, the direction suggested by the coefficient estimates is consistent with that implied by the EH, that is when the term spread widens, long rates increase. The use of instrumental variables to deal with possible measurement errors in the data significantly improves regressions for the long rates. Moreover, re-estimation with proxy variables to account for the possibility of time-varying term premia confirms that the evolution of both short and long rates corresponds to the predictions of the EH and that most of the information is in the term spread. These results are important as they suggest that monetary policy in Germany could be guided by the slope of the term structure.     

Currency crises and monetary policy: A study on advanced and emerging economies

The studies regarding the appropriate monetary policy response in defending the domestic currency following a currency crisis do not gather around a robust answer. This study tries to emphasize the notion that there is no single policy applicable for all currency crises happened and happening in the global world. The approach of the study is presenting empirical evidence by focusing separately on the advanced and emerging economies and proving that the monetary policy response for the emerging economies should be different from the advanced economies, depending mainly on the vulnerabilities of these economies preceding and during the crisis periods. The study includes twenty four economies, in which fifteen of them are emerging and nine of them are advanced, for the crisis periods between 1986 and 2009. The main finding of the study is that the tight monetary policy is effective in the advanced economies, and detrimental in the emerging economies faced financial turbulence. The monetary policy has no significance in recent crisis episodes both for advanced and emerging economies. Advanced economies besides having more independent central banking, lower country riskiness and almost no default history; mainly have second generation model weaknesses which cause the increased interest rates to be successful in stabilizing the exchange rates. For the emerging economies the third generation model weaknesses play a major role together with the first generation model vulnerabilities. Thus the major policy implication follows that the policy makers should take into account the economic fragilities during the crisis in implementing the monetary policy.     

亚洲新兴经济体国际资本流动驱动因素研究——基于GMM模型的实证分析

理解资本流入的驱动因素,对于设计一个有效的资本流动管理政策框架至关重要。本文研究了1998年至2018年间45个新兴经济体面临的各类资本流动的驱动因素,重点分析了资本流向亚洲地区的驱动因素与其他地区的共性和异质性。使用广义矩估计方法(GMM)对面板数据集的实证结果表明,对新兴经济体而言,制度质量和国内因素对吸引资本流入具有重要影响;对亚洲地区来说,人均收入增长和贸易开放是吸引资本流入的重要驱动因素,国内外利差水平和实际有效汇率变动对吸引组合投资和其他投资具有显著影响,VIX指数和影子利率对亚洲新兴经济体资本流动规模的影响也具有重要影响。这表明,在设计管理资本流入的政策框架时,全球经济金融合作和政策协调应被考虑在内。     

The Response of Bank Retail Rates to Money Market Rates in the BRIC Economies: An Application of the Disaggregated GETS Model

The purpose of this paper is to examine the interest rate transmission mechanism for the emerging BRIC economies (Brazil, Russia, India, and China). We analyze the way interbank rates are transmitted to the bank retail rates, and we test the symmetry hypothesis. A disaggregated general-to-specific model is applied for estimating interest rate pass-through and examining whether retail rates respond symmetrically or asymmetrically to upward/downward interbank rate changes. Overall, our empirics show evidence of sluggish and incomplete pass-through from market rates to bank loan and deposit rates. We show that banks' speed of upward and downward adjustment behavior is symmetric in both loan and deposit markets.     

2014年上半年货币市场利率运行报告

2014年上半年,在稳健的货币政策基调下,货币市场利率冲高回落,总体平稳,利率中枢下移,波幅收窄,6N份关键时点没有发生大的市场异动。这主要得益于央行货币政策操作稳定市场预期,以及金融机构完善流动性管理措施。此外,交易所市场与银行间市场的利率差异性仍然存在;境外货币市场利率走势背离于境内市场,利差保持较高水平。     

Financial crisis,US unconventional monetary policy and international spillovers

We study the impact of US quantitative easing (QE) on both the emerging and advanced economies, estimating a global vector error-correction model (GVECM). We focus on the effects of reductions in the US term and corporate spreads. The estimated effects of QE are sizeable and vary across economies. First, we find the QE impact from reducing the US corporate spread to be more important than that from lowering the US term spread, consistent with Blinder's (2012) argument. Second, counterfactual exercises suggest that successive US QE measures might have prevented episodes of prolonged recession and deflation in the advanced economies. Third, the estimated effects on the emerging economies are diverse but generally larger than those found for the United States and other advanced economies. The estimates suggest that US monetary policy spillovers contributed to the overheating in Brazil, China and some other emerging economies in 2010 and 2011, but supported their respective recoveries in 2009 and 2012. These heterogeneous effects point to unevenly distributed benefits and costs of cross-border monetary policy spillovers.     

2013年1月银行间市场运行报告

2013年1月,银行间市场整体平稳运行,主要特点是：央行启用公开市场短期流动性调节工具,货币市场利率总体维持在较低水平;债券市场收益率曲线呈陡峭化走势;受国内外经济回暧等因素影响,人民币对美元汇率持续升值并创下历史新高,非美货币即期交易份额下降;利率衍生品成交量同比大幅增长,利率互换曲线陡峭化;汇率衍生品市场交易规模持续扩大,交易汇率震荡趋强。     

International interest rates and US monetary policy announcements: Evidence from Hong Kong and Singapore

This paper investigates the responses of market interest rates to US monetary policy announcements for the US and two emerging economies, Hong Kong and Singapore which are similar on many respects but have experienced opposite exchange rate regimes in the last twenty years. Our results, based on market expectations extracted from federal fund futures rates, document that FOMC announcements significantly affect the term structure of interest rate in the US and both Asian countries. Further, international interest rate differentials around FOMC meeting dates tend to be negative for short maturities with the impact gradually dissipating as bond maturity increases. Finally, for the case of Singapore, we find that domestic interest rates react to both external and domestic monetary policy announcements with a magnitude that is larger over the full bond maturity spectrum for domestic announcements. These results are robust to time-varying futures risk premia and alternative measures of interest rates expectations.     

2014年6月境外人民币离岸市场综述

2014年6月,境外人民币市场总体保持平稳发展势头。主要特点是：境外人民币资金池继续扩大;Hibor人民币隔夜拆借品种大幅上涨,境内外利差出现倒挂;境外人民币债券发行量较上月有所回落;香港美元兑人民币可交割即期汇价持续走低,境内外美元兑人民币远期汇价震荡下行,其中可交割品种汇价差异略有下降;香港交易所人民币期货交投活跃度略降,CME人民币期货日均交易额有所上升。     

Does interest rate and its volatility affect banking sector development? Empirical evidence from emerging market economies

This study investigates the relationship between interest rate, interest rate volatility, and banking sector development in 12 emerging market economies located around the world. For this purpose, panel data analysis was conducted using annual data from 1980 to 2014. In parallel to the financial development literature, which asserts that banking sector development, as a broad and complex concept, cannot be measured by a single indicator, this study adopts a set of measures of banking sector development. The empirical results reveal that while interest rate has a positive impact on all banking sector indicators, this relationship weakens at higher interest levels, showing a concave relationship between interest rate and banking sector development. In addition, the empirical results provide evidence that interest rate fluctuations have a negative impact on most banking sector development (BSD) indicators, suggesting that the banking sectors of emerging countries are vulnerable to interest rate risks. Furthermore, all measures of the banking sector indicators are positively affected by economic growth rates, while this association weakens at higher levels of income, confirming a nonlinear relationship. Thus, the results have important implications for policymakers in improving the banking system and promoting the economic growth of these emerging economies.     

Testing the expectations hypothesis when interest rates are near integrated

Nominal interest rates are unlikely to be generated by unit-root processes. Using data on short and long interest rates from eight developed and six emerging economies, we test the expectations hypothesis using cointegration methods under the assumption that interest rates are near integrated. If the null hypothesis of no cointegration is rejected, we then test whether the estimated cointegrating vector is consistent with that suggested by the expectations hypothesis. The results show support for cointegration in 10 of the 14 countries we consider, and the cointegrating vector is similar across countries. However, the parameters differ from those suggested by theory. We relate our findings to existing literature on the failure of the expectations hypothesis and to the role of term premia.     

Monetary policy spillovers and the trilemma in the new normal: Periphery country sensitivity to core country conditions

We investigate why and how the financial conditions of developing and emerging market countries (peripheral countries) can be affected by the movements in the center economies – the U.S., Japan, the Eurozone, and China. We apply a two-step approach. First, we estimate the sensitivity of countries' financial variables to the center economies [policy interest rate, stock market prices, and the real effective exchange rates (REER)] while controlling for global and domestic factors. Next, we examine the association of the estimated sensitivity coefficients with the macroeconomic conditions, policies, real and financial linkages with the center economies, and the level of institutional development. In the last two decades, for most financial variables, the strength of the links with the center economies have been the dominant factor while the movements of policy interest rate also appear sensitive to global financial shocks around the emerging market crises of the late 1990s and since the global financial crisis of 2008. While certain macroeconomic and institutional variables are important, the arrangement of open macropolicies such as the exchange rate regime and financial openness are also found to have direct influence on the sensitivity to the center economies. An economy that pursues greater exchange rate stability and financial openness faces a stronger link with the center economies through policy interest rates and real effective exchange rate (REER) movements. We also find that exchange market pressure (EMP) in peripheral economies is sensitive to the movements of the center economies' REER and EMP during and after the global financial crisis. Open macro policy arrangements, especially exchange rate regimes, also have indirect effects on the strength of financial linkages, interacting with other macroeconomic conditions. Thus, trilemma policy arrangements, including exchange rate flexibility, continue to affect the sensitivity of developing countries to policy changes and shocks in the center economies.     

印度FDI流入的决定因素分析

1991年以来,随着印度引资政策的调整和投资环境的改善,流入印度的外国直接投资(FDI)持续增长。目前,印度已经成为仅次于中国的最具吸引力的FDI东道国。拥有大量高素质科技人才是印度FDI持续增长最重要的因素,而实际汇率频繁波动、平均税率较高则阻碍了FDI流入印度。     

Systemic Risk, Dollarization, and Interest Rates in Emerging Markets: A Panel-Based Approach

This study investigates the impact of systemic risks and financialdollarization on real interest rates in emerging economies.Higher systemic risks induce both higher real interest ratesand increased dollarization. Using appropriate instruments forthe dollarization ratio, the study overcomes the simultaneousequation problem and correctly estimates a negative coefficientfor the dollarization ratio in the interest rate equation. Itconfirms the theoretical prediction that a strategy of "dedollarizing"the economy will raise the equilibrium domestic real interestrate if the strategy fails to address fundamental macroeconomicrisks. Even so, it also finds that this effect is small, aftercontrolling for the risks of dilution and default. The resultsbring to light the systemic-risk reasons for high interest ratesin emerging economies—and contribute to evaluating thedifficulties of dedollarization policies.     

多重均衡模式与近期人民币汇率波动

当前我国外汇市场已进入多重均衡状态。在给定货物贸易和直接投资累计较大顺差、人民币利率高于外币利率的情况下,市场预期变化仍有可能对跨境资本流动和人民币汇率走势产生巨大影响。这也可以解释当前我国国际收支特点和近期人民币汇率波动。随着国际收支平衡机制的不断完善以及境内外经济金融环境的不断演变,跨境资本流动和人民币汇率双向波动有可能成为一种新常态。     

2013年2月银行间市场运行报告

2013年2月,银行间市场整体平稳运行,主要特点是：货币市场利率整体上行;债券市场国债收益率曲线小幅波动;人民币对美元交易价偏离中间价幅度缩小,日均波动扩大,境内外即期价差明显收窄;利率互换短端利率小幅走高,中长端持稳;汇率衍生品市场交易维持增长趋势。     

量化宽松对世界新兴经济体影响及中国对策

在对主要发达国家实行的量化宽松货币政策措施基础上,通过分析量化宽松货币政策传导机制,得出量化宽松政策将会降低新兴经济体债券收益率、促使新兴经济体货币升值、加大新兴经济体流动性过剩压力、加大新兴经济体通货膨胀压力等结论,认为这些不利影响必然会影响到中国经济稳定。因此,我国应提高人民币存贷款利率、完善人民币汇率形成机制、加强对国际资本流动的监管、调整存款准备金率,以应对中国可能面临的危机。     

存贷款利差结构变化对利率市场化改革的启示

本文从商业银行存贷款实际利差结构变化的角度出发,分析影响实际利差变动的主要因素,并据此评估利率市场化对商业银行经营带来的冲击。分析认为,商业银行可能采取非理性价格竞争手段扩大市场份额,并通过增加信贷规模方式来应对利率市场化导致的利差收窄。对此,中央银行应尽快建立存款保险制度,并加强通过间接手段来影响市场利率的能力。     

2012年4月银行间市场运行报告

2012年4月,银行间市场整体平稳运行,主要特点是：人民币兑美元汇率浮动幅度从0．5％扩大到1％,头寸管理制度改革取消“下限管理”,人民币汇率实际波幅有所扩大,交易价偏离中间价幅度首次超过0．5％,但人民币外汇期权隐含波动率整体下滑。本币市场基本面平淡,货币市场利率震荡上行,银行间国债收益率曲线小幅波动,利率互换价格波动不大,利率互换曲线形态继续改善,Shibor市场基准作用进一步增强。     

Scaling behaviour of Treasury rates in India

This study finds that the scaling properties of India’s nominal and real Treasury rates are time varying, as is their multiscaling behaviour. We observe an association between the scaling behaviour of interest rates and the stages of development of the bill market. Interest rate behaviour is influenced by structural reforms, microstructure changes, and improvement in the operational efficiency of the Treasury market. Our findings suggest that monetary policy shocks have a persistent effect, but rates eventually revert to the mean. We show that the adaptive market hypothesis helps to delineate the dynamics of an emerging market undergoing a series of institutional and structural changes.