Investigating M3 money demand in the euro area

Euro area monetary growth has exceeded its target since 2001. Likewise, recent empirical studies did not find evidence in favour of a stable long-run money demand function. In contrast to the bulk of the literature, we are able to identify a stable long-run money demand relationship. This result is obtained when the analysis is done without the short run homogeneity restriction between money and prices. The basic equation can be improved by allowing for asymmetric adjustment. In a low inflation environment, opportunity costs of holding money have decreased. Thus, the apparent monetary overhang is reconciled within standard models.     

我国微观主体资产选择行为对货币需求结构的影响

我国经济开放程度日益增加,经济转型程度逐步加深,处于经济转型期的居民、企业、金融机构等微观主体的资产选择行为发生了重要变化。文章对我国经济主体的资产选择行为对货币需求影响的作用机理进行深入的研究。通过不同样本区间的比较,分析宏观大环境发生变化的条件下,我国微观主体的资产选择行为对我国货币需求的影响路径,并根据实证结果提出保持较高利率水平下合理的利率市场化形成机制的政策建议。     

US dollar/Euro exchange rate: a monthly econometric model for forecasting

The intent of this paper is the construction of an econometric model able to produce reliable and reasonable forecasts for the US dollar/Euro real exchange rate. In order to achieve this aim, an area-wide model is analysed. The aggregation is motivated by the fact that the Euro-zone is under a single monetary policy. Furthermore, a more parsimonious parametric model enables one to consider an important source of non-stationarity given by the presence of structural breaks using the multivariate cointegration analysis. Against the Meese-Rogoff critique, the out-of-sample one-step-ahead forecasts using actual values of the exogenous produced by the estimated VECM are reasonably satisfactory.     

金融创新对贷币供求的影响分析

上世纪70年代开始的金融创新对金融和经济产生了深刻的影响,尤其是新的金融工具的出现,对货币供给和需求产生了很大的影响,从而影响了央行的货币政策制定和实施效果。本文分析了金融创新对货币供给和需求可能产生的影响,对金融创新在我国开展后的货币政策制定具有借鉴意义。     

虚拟货币对货币供求影响的理论研究

本文基于虚拟货币的定义和分类,探讨虚拟货币对货币供求的影响,进而构建涵盖虚拟货币的新的货币需求理论以及货币供给理论。本文认为,虚拟货币对货币需求的影响方向和大小取决于其与现实经济的联系以及与现实世界货币（传统货币和电子货币）之间的互动关系,虚拟货币对现实世界交易性货币的替代会导致货币流通速度下降。如果将虚拟货币确认为非货币,则其对货币供给的影响是间接的,影响方向和大小取决于虚拟货币的类型;如果将虚拟货币确认为货币,则会直接导致狭义货币乘数和广义货币乘数增大。基于此,本文讨论了虚拟货币发行对中央银行货币政策有效性的影响,并就相关监管措施提出了建议。     

中国货币需求影响因素的实证分析

实证分析结果表明,外汇储备、预期价格及利率对货币需求的影响不明显;而货币化比率、内源融资比率对货币需求有明显影响,尤其是收入变量对货币需求有正的影响,二者相关性强。     

人民币现金境外需求规模的间接测算研究:1999-2008

本文基于1978年至2008年的年度数据和缺口估算法,通过构建一个货币需求函数的计量模型,对1999年至2008年的人民币境外持有规模进行了估算,估算结果表明,在1999年至2008年间,境外人民币的需求占人民币现金总量的比率均值为7.62%,且流通规模呈逐年递增之势。最后,本文进行了总结并提出相关政策建议。     

近十年中国通货膨胀成因的实证分析

近年来,如何防范和治理通货膨胀已成为中国宏观经济领域亟需解决的一项重大课题,而治理通胀的关键在于对其形成原因的科学把握。本文选取CPI和PPI作为通货膨胀的衡量指标,以产出缺口、货币供应量、国际大宗商品价格、超额工资水平、资产价格、汇率水平六大因素作为解释变量,运用向量自回归(VAR)、脉冲响应和方差分解的方法,对2000-2011年中国通货膨胀的形成原因进行实证分析,得到了各项因素的作用大小、作用时滞和传导链条的顺序,最后提出了相应的政策建议。     

网络虚拟货币对货币供求的影响及效应分析

虚拟货币不是真正的货币。只要真实货币与虚拟货币处于两个不同的市场,虚拟货币就不可能引发现实的通货膨胀,虚拟货币的发行也不会对货币发行产生严重冲击。但是,目前虚拟货币已经不满足于"虚拟"世界,逐渐进入现实流通领域。我们应当正视虚拟货币对货币供求的负面影响。中央银行需要构建专门应用于网络虚拟货币的新型交易平台,建立网络消费者虚拟资金存款账户,保证中央银行调控网络虚拟货币的力度和弹性。     

Fiscal spillovers in the Euro area

This paper analyses the dynamic effects of fiscal imbalances in a given EMU member state on the borrowing costs of other countries in the euro area. The estimation of a multivariate, multi-country time series model (specifically a Global VAR, or GVAR) using quarterly data for the EMU period suggests that euro-denominated government yields are strongly linked with each other. However, financial markets seem to be able to discriminate among different issuers. Consequently, fiscal imbalances in Italy and in other peripheral countries should be closely monitored by their EMU partners and the European institutions.     

我国货币替代的实证研究

货币替代是开放经济条件下特有的货币现象,对我国宏观经济的影响也随着经济金融体系的开放而不断加深。通过建立货币替代的理论模型对我国的货币替代程度及其影响因素之间的关系作了动态分析,结果表明人民币汇率波动对货币替代影响最为突出,名义有效汇率的频繁波动会造成货币替代乃至货币需求的不稳定,我国的利率管制使得国内外货币收益率的相对变化并未在货币替代过程中呈现显著作用。     

Estimating the price elasticity of demand in the London stock market

The hypothesis that demand curves for individual stocks slope downwards is typically investigated by empirical analysis of stock price movements following events that cause shifts in demand or supply. However, it is difficult to attribute observed price movements between downward sloping demand curves and information conveyed by the event. In this paper an econometric approach, based on market-maker response to unexpected changes in inventory, is used to separate out the slope of the demand curve from information effects and estimate the slopes of the demand curves for twenty stocks included in the Financial Times-Stock Exchange 100 Share Index (FTSE100). The analysis suggests that downward sloping demand curves would decrease the price by about 7.5% for a 1% increase in the number of outstanding shares.     

我国股市与货币需求的相互影响分析及政策涵义

运用协整、弱外生性和因果关系检验对我国股票市场与货币需求的关系进行的实证研究发现,股市不影响M2的总量但影响其结构;M1对股市不产生直接影响,而M2对股市的直接影响处于有与无的临界状态;M1、M2均通过GDP对股市产生间接影响,但没有形成利率传导机制,我国股市是关于协整向量的弱外生变量.基于以上结论提出了相应的政策建议.     

Revisiting the demand for money function: evidence from the random coefficients approach

This article employs second-generation random coefficient (RC) modeling to investigate the time-varying behavior and the predictability of the money demand function in Taiwan over the period from 1982Q1 to 2006Q4. The RC procedure deals with some of the limitations of previous studies, such as unknown functional forms, omitted variables, measurement errors, additive error terms, and the correlations between explanatory variables and their coefficients. Our main findings are as follows. First, the empirical results indicate that the values of the elasticities in the RC estimation are significantly different from those in other studies, because of the use of coefficient drivers. Second, by observing the time-varying behavior of the coefficients, we find some specific points in our time profile of coefficients; that is, we can make an association with real events occurring in Taiwan, such as the financial liberalization after 1989 and the Asian financial crisis of 1997–1998. Finally, we compare the predicted values via the time intervals and different specifications and find that we should adapt different specifications of the RC model to estimate each interval.     

我国的货币需求、中央银行冲销操作与国际收支顺差

为分析我国国际收支顺差长期存在的原因,本文基于货币主义的分析框架和中国的经济现实,从货币需求和中央银行冲销操作的角度进行了研究.实证研究结果表明,自动调整机制无法纠正国际收支的失衡.两个可能的原因是较高的货币需求收入弹性与中央银行对增加的大部分国外资产的有效冲销.在此基础上本文提出了相应的政策建议.     

流动性导流——中国货币需求及现阶段流动性过剩问题研究

近年来,流动性过剩成为了我国宏观经济的要害性问题.所谓"流动性导流",就是将目前过剩的流动性通过若干可能的渠道疏导到实体经济之外,使之基本不对实体经济产生负面影响.我国流动性过剩是由外向型经济结构引起的外汇过多流人造成的,在经济结构短期内难以根本改变且人民币升值预期难以根本逆转的情况下,只能从疏导过多流动性的角度来寻找防治通胀之道.具体的疏导渠道包括将一部分流动性导向境外和在境内扩大虚拟经济以吸收一部分流动性.后者是解决当前通胀压力和股市扩容压力的一箭双雕之策,也是本文的新观点所在.     

开放经济条件下货币需求的非对称特征

本文使用1994-2010年的非平稳季度数据,应用门限调整方法研究了开放经济条件下的货币需求,发现货币需求与收入、汇率、利率及通货膨胀之间存在协整关系,M1和M2短期需求函数存在门限调整。门限误差修正模型表明,M1、M2短期需求函数在长期均衡偏离低于门限值时能回复到长期均衡,在长期均衡偏离高于门限值时不稳定;收入、通货膨胀及汇率影响M1和M2的短期需求函数,但利率只影响M1的短期需求函数,不影响M2的短期需求函数。大多数时候货币需求能自我修正,但目前货币需求处于门限以上,限制了以货币供应量为中介目标的货币政策调控效果。     

Weathering the crisis and beyond: perspectives for the Euro area

The Euro area is experiencing a severe and highly complex crisis. It comprises three problem areas: the difficulties of some highly indebted European sovereigns to ascertain funding at palatable cost, the disconcerting fragility of the European banking system and disappointing growth prospects in the Euro area periphery. To make matters even worse, these problems have developed into a systemic crisis of the European Monetary Union (EMU), since observers have apparently developed fundamental doubts over its integrity. To overcome this systemic crisis, it would not be sufficient, if only the stronger Euro area economies provided more solidarity, nor would it be sufficient, if only all of Europe adhered to ironclad budgetary discipline from now on. A European Redemption Pact could be a strong political commitment to the EMU and offer a bridge between the proponents of fiscal discipline and structural reform and those governments advocating more support. This pact would entail two indispensable aspects, the codification of a credible and coherent reform path and a temporary and limited instrument for joint refinancing.     

Determinants of corporate debt securities in the Euro area

Abstract

This study examines the macroeconomic determinants of corporate debt securities in the euro area. The financing costs, as approximated by the cost of debt securities vis-à-vis other sources of corporate finance, and financing needs, as captured by mergers and acquisitions and gross domestic product, are found to be significant determinants in the short and long run. The empirical results are also supportive of substitution between debt security and internal financing unrelated to cost of differentials in the short run and of differences in the determination of long- and short-term debt securities. These findings are robust across different samples and specifications.     

International spillovers from Euro area and US credit and demand shocks: A focus on emerging Europe

In this paper, we examine the international effects of contractions in loan supply, loan demand and aggregate demand in the euro area and the USA. All three shocks have been at the forefront in spreading stress during the period of the global financial crisis and in particular so to countries that are strongly integrated with the euro area. We find that these shocks decrease international output and total credit to a varying degree. Loan demand and aggregate demand shocks in the euro area trigger significant negative spillovers on output in most other regions. Evidence for global negative output effects of euro area loan supply shocks is fraught with considerable estimation uncertainty. When these three types of shocks emanate from the USA, we find significant negative spillovers on output also for loan supply shocks. In general, international effects on total credit are an order of magnitude larger than those on output, with again more evidence that is significant for US than euro area shocks. Last, and taking a regional stance, our results indicate that economies from emerging Europe are most vulnerable to all shocks considered. Through their strong economic integration with the euro area, these economies are likewise exposed to euro area and US shocks, and spillover effects are often larger than the domestic response in the country of shock-origin.