利率平价关系不稳定条件下短期资本流动机制的运行

现代利率平价理论分无偏差预测理论与有偏差预测理论,两者对非抵补利率平价是否成立的观点截然相反。大量实证研究更多地表明在当今各种经济基本面、政策面及其不确定性预期等因素的影响下,利率平价关系日益呈现出不稳定性,在短期资本套利和套汇机制作用下,当期和未来短期资本流动方向均有不同变化。近几年来,我国短期资本流动发生较大波动,当前存在着短期资本重新转为大量流入的动向,政府需加强短期资本流动监控,以防遭受冲击。     

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.     

The power of grid parity: A discursive approach

In the debate around solar photovoltaic (PV), the concept of ‘grid parity’ has emerged as the dominant benchmark for competitiveness, while some even argue that it will determine the point in time after which the PV industry will boom. But more recently, others have called into question the usefulness of the grid parity concept. Yet despite its pervasive use and increasing contestation, the grid parity concept has not been systematically interrogated to date. This paper makes two contributions towards that: first, to show how the grid parity concept emerged and how it is calculated and second, to explore the role of the grid parity debate in the solar PV field. The first contribution takes the form of a literature study of grid parity studies. To arrive at a meaningful estimation of the grid parity point, assumptions made in each step of the calculations have to be articulated and carefully evaluated. Nevertheless, this is almost never done: the grid parity studies, presentations and reports we reviewed invariably used the simplest representation available. We argue that their authors chose a simplified model for strategic reasons, e.g. to obtain (material and/or non-material) resources. This assessment leads to our second contribution: a discourse analysis of the grid parity debate. We distinguished ten key storylines and six discourse coalitions, comprised of actors who share a specific set of these storylines. Analyzing these storylines and coalitions, we show that while these actors share a common goal of PV up-scaling, they can have drastically different ideas about strategies to achieve this goal. Opening the black box of grid parity thus reveals tensions about preferred strategies in an otherwise seemingly homogeneous PV discourse.     

国际购买力平价和简化净出口函数:中国实证

文章从国际交换价值的角度研究了一价定律的内涵,提出了国际购买力平价理论,并且证明了国际购买力平价是严格意义上的均衡汇率。2009年人民币贸易品购买力平价为6.70元人民币/美元,而国际购买力为5.49元人民币/美元,后者可作为确定人民币汇率处于均衡水平的参考。文章还简化了净出口函数,得出如下主要结论:(1)近年我国的贸易顺差大幅增长,主要是因为价格贸易条件恶化,其次是因为J曲线效应;(2)当前的首要任务是改善我国的价格贸易条件以提高国际购买力平价,而不是调整人民币汇率。     

中国实际利率平价的KSS非线性单位根检验

中国一直在进行资本和金融项目的渐进改革,通常描述和刻画这一经济规律变化的是利率平价理论。由于近十几年限制我国利率平价的制度约束条件均得到缓解,所以,本文利用基于ESTAR结构的KSS非线性单位根检验分析法,并连同ADF和PP检验一起对我国实际利率平价进行了实证,检验结果表明,实际利率平价假说成立,并遵循非线性稳态过程,利率的非对称调整导致信贷市场和金融市场的信息不对称。这说明短期内实际利率的调整特征是平滑转移的,在长期内,双边国家均无法实施相对独立的货币政策。     

Grid Parity and Cost Reduction Incentives for “Green Producers” in Electricity Markets

In an electricity market, a feed-in tariff promotes attainment of a so-called “green quota” through a system of subsidies designed to ensure renewable energy investors a “normal rate-of-return”. However, the subsidies should track technological advances closely with the expectation that they will be phased out when the renewable technology reaches an appropriate “maturity threshold” (i.e., grid parity). Grid parity is typically defined as the point where the levelized cost of electricity equals the price of purchasing electricity from the grid. However, it has been recognized that this definition of grid parity is flawed due to the intermittent nature of many renewable resources. We propose a definition which allows us to distinguish between grid parity and least-cost grid parity. We demonstrate that under a green quota and an emissions cap, welfare may be higher if the policy maker forgoes least-cost grid parity and phases out the feed-in system sooner rather than later. We show that while green producer cost reduction incentives under the feed-in tariff are perverse, they can be restored by offering a “menu” of values of the policy variables and allowing full discretion in terms of the decision to engage in cost-padding, pure waste, etc.     

Integration or Independence? An Alternative Assessment of Real Interest Rate Linkages in the European Union

The relationship between national real interest rates provides a valuable insight into the extent of economic and financial integration between countries. This paper tests for long‐run parity in ex post real interest rates among the major European Union (EU) countries over the period 1979–2003. The empirical investigation, however, is based on an alternative approach. Strong parity is determined by whether or not the first largest principal component (LPC), based on real interest rate differentials with respect to a chosen base country, is stationary. The qualitative outcome of the test is invariant to the choice of base country, and compared with alternative multivariate tests for long‐run parity, this methodology places less demands on limited data sets. Strong evidence of onshore parity occurs during 1979–1990 and 1993–2003 with the half‐life of a deviation to parity that varies towards 6 months. There is no evidence of long‐run parity among EU members during 1990–1993 despite the easing of remaining capital controls in 1990. Parity is rejected for a sample of non‐EU countries throughout the study period.     

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。     

Return Dynamics of Japanese Stock Index Options

This paper addresses the return dynamics of stock index options. Distributional moments are suggestive of a skewness preference hypothesis that provides an economic rationale for investors' interest in options. There is no evidence of detectable intermarket arbitrage opportunities from cross- sectional tests of volatility ratio and implied elasticity. Joint tests of market efficiency and parity dynamics suggest that the longer the remaining life of at-the-money options, the higher the likelihood of parity deviations being absorbed in response to percentage index changes. There are also indications of maturing Japanese options markets from rational expectations and parity regression tests.     

Rate‐of‐return Parity in Experimental Asset Markets*

This paper applies experimental methods to evaluate the completeness of arbitrage and rate‐of‐return parity in simultaneous asset markets in which the assets are denominated in different currencies. Two assets, which return uncertain, but known, dividends in each trading period, are traded over 20 periods, after which the asset has no value. Results indicate that risk‐neutral rate‐of‐return parity is a strong predictor of relative asset prices when assets have common expected dividends and the expected dividends have common variances. The predictive power of risk‐neutral rate‐of‐return parity is reduced as the assets become differentiated.     

Is the adjustment to real interest rate parity asymmetric?

Threshold cointegration is employed in this study to test the real interest parity condition between the UK and the US. Evidence supports the asymmetric adjustment of real interest rates. The threshold error correction models indicate that negative deviations from long run real interest parity are eliminated faster than positive deviations.     

Is parity good? Externalities in professional sports

In professional sports there are externalities. If one team acquires too much talent then that may impact the quality of the competition negatively. This means that the league can improve social welfare by distorting the competitive equilibrium allocation. This idea has been used to explain that there should be parity among teams to improve social welfare. We develop a theoretical model based on Biner's (2009) empirical results to capture the effect of this externality on the revenue levels and wages when local fans care about winning only. Social Planner's Problem for stadium revenues implies that it is possible to increase the total revenue made in the league compared to competitive equilibrium levels by increasing big market teams' talent level, therefore less parity. In other words due to externalities competitive market allocation is too equal compared to SPP allocation. We show when local audience is mainly interested in seeing their local team dominating the visiting team and national audience only interested in watching a close game on TV, the only way in the model for it ever to be efficient to enforce parity is if we introduce a national TV market into the analysis. For the national TV market, parity is going to lead to a wider TV audience. The greater the weight on this revenue stream, the more likely it is a parity policy can increase league revenues.     

Nonlinear dynamics and covered interest rate parity

This paper examines the dynamics of deviations from covered interest parity using daily data on the UK/US spot, forward exchange rates and interest rates over the period January 1974 to September 1993. Like other studies we find a substantial number of instances during the sample in which the covered interest parity condition exceeds the transaction costs band, implying arbitrage profit opportunities. While most of these implied profit opportunities are relatively small, there is also evidence of some very large deviations from covered interest parity in the sample. In order to examine the persistence of these deviations, we estimated a threshold autoregression in which the dynamics behavior of deviations from covered interest parity is different outside the transaction costs band than inside them. We find that while the impulse response functions when inside the transaction costs band are nearly symmetric, those for the outside the bands are asymmetric-suggesting less persistence outside of the transaction costs band than inside the band.The authors would like to thank Jeanette Diamond, Michael O'Hara, Baldev Raj, and two anonymous referees for helpful suggestions on an earlier draft. The views expressed herein are solely those of the authors and should not be construed to be those of the Federal Reserve Bank of Dallas or the Federal Reserve System.     

Covered interest rate parity: the Australian case

In differentiating between long-run and instantaneous covered interest parity and in introducing domestic influences (proxied by unanticipated growth in the monetary base) as short-run determinants of domestic interest rates, this study sheds new light on the interest parity relationship in the Australian context. Indeed the results of the empirical tests indicate that previous studies have misspecified the dynamics of the relationship, omitted significant domestic influences, and consequently produced biased estimates.     

The invariance principle in baseball: new evidence

This article considers the change in revenue sharing in Major League Baseball that occurred prior to the 2007 season and its effects on parity via its effects on marginal revenues. Based on the results from an empirical specification for team revenue, we find evidence that the reduction in revenue sharing increased marginal revenue by more for large market clubs than for small market clubs, despite holding constant other differences in how small and large market club revenues are determined. The upshot of this result is that the modest reduction in revenue sharing could have worsened league parity by 11 to 17 points in winning percentage between small and large market clubs, although other factors affect parity as well. The well-known invariance principle in the economics of sport literature does not appear to hold; however, the current consensus of theoretical models is not confirmed.     

Imaginary money against sticky relative prices

This paper considers price setting in pure units of account, linked to the means of payment through managed parities. If prices are sticky in the units in which they are set, parity changes may facilitate equilibrium adjustment of relative prices. The paper derives simultaneously the optimal choice of unit of account by each price setter, and the optimal parity policy. The gains from having multiple units of account are computed for a simple calibrated economy.     

Purchasing power parity in OECD countries: Nonlinear unit root tests revisited

The aim of this paper is to provide additional evidence on the purchasing power parity empirical fulfilment in a pool of OECD countries. We apply the Harvey et al. (2008) linearity test and the Kruse (2011) nonlinear unit root test. The results point to the fact that the purchasing power parity theory holds in a greater number of countries than has been reported in previous studies.     

Parity reversion persistence in real exchange rates: middle income country case

This article investigates purchasing power parity (PPP) in the specific context of middle income countries. To circumvent the low power of traditional stationarity tests (Augmented Dickey-Fuller and Phillips-Perron tests), it performs variance ratio and fractional integration tests in addition to Perron's test that accounts for potential structural changes in real exchange rate processes. Beyond estimating half-life shocks to PPP, this article attempts to explain these estimates using a set of country specific variables as suggested by economic theory. The evidence suggests that reversion to parity tends to be faster in high inflation countries and that productivity improvement leads to a higher level of persistence. Openness to trade tends to reduce the extent of deviations from parity but this result does not appear to be statistically robust. Evidence shows also that deviations are less persistent under a fixed exchange rate regime and under unrestricted capital mobility.     

On some parity conditions encountered frequently in international economics

Interest Rate Parity, Purchasing Power Parity, and the Fisher relation between real and nominal interest are intimately connected consequences of optimal multi-period consumption/investment decisions. These three relations hold in their classic form only under complete certainty. With uncertainty, interest rate parity remains unaltered, but more complex equations involving risk premia obtain for purchasing power parity and the Fisher relation. A more complete market (with commodity futures) simplifies considerably these latter two conditions.     

Mental Health Parity Act of 1996: summary of the interim rules relating to group health plans

The recently released interim rules that govern how group health plans should implement the parity requirement under the Mental Health Parity Act of 1996 (MHPA) are of particular interest to self-funded multi-employer plans. Plans that have not yet been reviewed for MHPA compliance should consider initiating a review as soon as possible. There is no delayed effective date for compliance by multi-employer plans and in addition, a participant or beneficiary could file an action to enforce MHPA's parity requirement.