基于边界检验的浮息债券收益率与基准利率关系之研究

文章运用协整和边界检验法对浮息债券价格和基准利率之间关系进行了实证研究,发现浮息债券收益率和基准利率之间存在长期的相关关系。分析了这种联动效应的原因,建议投资者可根据浮息债券收益率和基准利率之间的联动关系,进行投资和套利,并控制风险。     

浮动利率国债定价之谜的一种解说

我国证券市场首只浮动利息债券０１０００４的上市,给市场提出了浮息债券应如何定价的问题。在回顾债券理论和我国债券市场交易价格进行实证分析后,本文认为：交易所国债市场上,固定利息国债价值明显高估,浮动利息国债价值明显低估。当市场对未来６－１０年的物价和银行存款利率形成比较符合经济现实的预期－既上升预期后,固息国债价格将下降,浮息国债价格将上升。     

债券市场利率风险的凸现与对策

流动性过剩背景下的紧缩货币政策会给债券市场带来利率风险。运用不同时点的两根收益率曲线为同一种债券定价以及运用远期利率为债券未来价值估价,并对二者结果进行了比较,从而凸现了债券市场的利率风险。针对债券市场的利率风险提出了投资组合管理、投资组合保险技术以及对冲等对策。     

中国利率波动对社会融资规模的影响分析

文章从利率市场化进程的角度探讨中国利率体系的组成部分,并分析社会融资规模各部分所受不同利率的影响。指出受管制的央行基准利率变动会对社会融资规模产生巨大影响,并且市场化的同业拆借利率和银行间债券回购利率会部分抵消央行基准利率对社会融资规模影响。     

债券投资利率风险管理研究

我国的债券市场开始于20世纪80年代,随着债券品种的逐渐完善以及利率市场化改革的进一步深入,债券投资的利率风险已成为投资者所面临的最主要的市场风险。因此,当前对债券市场中的利率风险进行衡量与规避便具有了重要的理论意义和实践价值。具体分析了债券投资中利率风险规避的基本工具——久期与凸性,并对久期与凸性的特性与运用进行分析,帮助投资者对这两种工具有一个感性的认识。     

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。     

利率调整下一步

<正>如果近期进一步调整利率,央行可能会选择保持存款利率稳定而提高贷款利率的做法日前,中国工商银行、中国建设银行和交通银行获准成为首批直接投资设立基金管理公司的试点银行,消息传出之后,经过短暂调整、观望的债市,又出现了新的变化。从总体上看,长期债券收益率变化不大,短期债券在收益率上升之后又有所下降。变化最明显的是中期债券和浮动利率债券,收益率出现明显回落,反映出央行下调超额准备金存款利率之后,收益率曲线重心下移势头已由前端开始向中后端传导,并逐渐对浮息债产生影响。     

我国银行同业拆借利率效应研究

本文利用2002-2006年的月度样本数据对我国同业拆借市场各期限利率进行了相关分析与协整分析,在此基础上又进一步探讨了同业拆借利率与债券回购利率之间的关系.实证结果表明,目前同业拆借市场各期限利率的利率效应具有协同效果;同业拆借利率对债券回购利率有正的影响,但在央行不同的基准利率调整区间,回购利率对同业拆借利率影响并不相同,而且目前我国同业拆借利率市场化程度并不高.     

我国银行同业拆借利率效应研究

本文利用2002-2006年的月度样本数据对我国同业拆借市场各期限利率进行了相关分析与协整分析，在此基础上又进一步探讨了同业拆借利率与债券回购利率之间的关系。实证结果表明，目前同业拆借市场各期限利率的利率效应具有协同效果；同业拆借利率时债券回购利率有正的影响，但在央行不同的基准利率调整区间，回购利率时同业拆借利率影响并不相同，而且目前我国同业拆借利率市场化程度并不高。     

国内商业银行债券业务策略研究

本文主要分析了国内商业银行债券业务的特点。并从商业银行债券投资策略的制定,风险防范策略和协调传统经营业务三个方面研究了商业银行债券业务。具体来讲,从长期投资,短期投资两个方面分析了商业银行的债券投资策略。在风险防范方面,分析了利率互换工具,债券组合期限管理,以及信用风险管理方法等。     

利率市场化过程中我国基准利率的选择与培育

同业拆借利率作为基准利率是比较现实的选择,而再贴现率无法充当基准利率,目前国债利率也不宜选作基准利率。要完全实现市场化,还必须进一步完善金融市场。     

Financial Instability under a Flexible Exchange Rate*

Many governments in developing countries contemplate the possibility of increasing the flexibility of their exchange rates despite having accumulated substantial dollar‐denominated debt. Using a model of corporate dollar debt in which the future exchange rate is uncertain, this paper studies the financial risks that might arise as a consequence of increased exchange rate flexibility. Since a firm may default on its debt either because its dollar income is too low or because investors refuse to roll over its debt, the measure of the overall risk of default should take into account both factors, as well as their interaction. Solving the model for the no‐default rational expectations equilibrium, we find that a small risk of insolvency may bring about a substantial risk of illiquidity.     

The Influence of Household Financial Debt on Monetary and Exchange Rate Policy: France and Britain compared

The structure of household financial debt may have a major effect on the ability of governments to use monetary policy as a means of influencing exchange rate values. This is illustrated by a discussion of the comparative situation of France and Britain during the 1992–93 ‘crisis’ in the European exchange rate mechanism. The large volume of floating rate household debt in the UK placed a significant limitation on the ability of the UK authorities to use monetary policy. By contrast, the lower volume of mainly fixed rate household debt in France enabled the French authorities to make full use of monetary policy as desired in the pursuit of exchange rate targets. As modern financial markets are highly volatile, governments should take policy measures to create more stable structures of household debt.     

Public Debt,Economic Growth and the Real Interest Rate: A Panel VAR Approach to EU and OECD Countries

ABSTRACT

We investigate the causal relationship between public debt ratios and economic growth rates for 31 EU and OECD countries. We estimate a panel VAR model that incorporates the long-term real interest rate on government bonds as a vehicle to transmit shocks in both the public debt to GDP ratio and the economic growth rate. We find no causal link from public debt to growth, irrespective of the levels of the public debt ratio. Rather, we find a causal relationship from growth to public debt. In high-debt countries, the direct negative impact of growth on public debt is enhanced by an increase in the long-term real interest rate, which in its turn decreases interest-sensitive demand and leads to a further increase in the public debt ratio.     

Inflation and Exchange Rate Targeting Challenges Under Fiscal Dominance

Countries have significantly increased their public-sector borrowing since the Global Financial Crisis. As a consequence, monetary authorities may face pressure to deviate from their policy targets in ways designed to ease the debt burden. In view of this consideration, we test for greater fiscal dominance over 2000-2017 under Inflation Targeting (IT) and non-IT regimes. We find that evidence of fiscal dominance varies across countries and debt configurations. Higher ratios of public debt-to-GDP may appear associated with lower policy interest rates in advanced economies. However, a declining natural rate of interest largely explains the pattern of lower rates and higher debt in these countries. The most robust evidence of fiscal dominance lies among emerging markets under non-IT regimes, composed mostly of exchange rate targeters. For these countries, policy interest rates are non-linearly associated with public debt levels, depending on both the level of hard-currency public debt-to-GDP and the currency composition of public debt. We also show that emerging market economies with greater exchange rate volatility, inflation volatility, and underlying commodity exposure exhibit stronger associations between public debt and policy interest rates.     

Whither the Balance of Payments?

This article sets out the analytical framework of the 'new' approach to the balance of payments under the conditions of 'international financial laissez faire' characterised by financial deregulation, floating exchange rates, and high international capital mobility. It is argued that much of the reasoning underlying the new approach derives from the modus operandi of regional payments systems. The fundamental differences between the benchmark model of regional financing and the current international financial laissez faire are explored, and the extent to which the presence of exchange risk may interfere with the 'optimal' debt/borrowing processes posited by the new approach is discussed. The possibility of a transfer problem arising from Australia's rapid accumulation of short-term foreign debt is considered.
While developments in international banking, together with the liberalisation and globalisation of world securities markets, have considerably narrowed the differences between the new global financial environment and regional payments systems, the conclusion of the article is that there are substantial externalities in the international case which are intrinsic to the debt/borrowing process and which are likely to remain a source of continued policy concern.     

The structure of public debt and the choice of exchange rate regime

Abstract This paper explores the relationship between the denomination of public debt and the choice of exchange rate regime. Three types of debt (nominal, indexed, and foreign) and two regimes (fixed and flexible) are considered. Indexed debt is insulated against unexpected inflation. The real (domestic‐currency) value of foreign debt is subject to valuation effects from real exchange rate shocks. The ‘fear‐of‐floating’ result, that foreign debt makes pegging more attractive, is shown to hold unambiguously only if the peg is fully credible. If the peg lacks credibility, a critical factor is the perceived likelihood of using the ‘escape clause’ of a switch to a float, which raises the costs of pegging. Foreign debt increases the temptation to resort to the escape clause, so when a peg is not fully credible (as is almost always the case in reality), pegging tends to be less attractive than floating in the presence of foreign debt.     

汇率制度与宏观经济政策环境——以加拿大为例

加拿大属于典型的资源性经济,加元的汇率变化多受国际商品和石油价格的影响,超出了国内货币政策的控制范围,是独立浮动或是固定汇率？经过两次试验后,加拿大政府坚定地选择了独立浮动汇率制度,并最终实现了汇率政策与货币政策脱离,以此给予了加拿大银行较大的决策空间,使后者专注于维持较低的通货膨胀环境。同时,加拿大政府努力为汇率制度创造有利的宏观经济政策环境,财政政策和货币政策分工明确、相互支持,为汇率制度和经济增长奠定了可持续的坚实基础。本文以加拿大浮动汇率制度为主线,从财政政策、货币政策、政策搭配角度讨论其宏观经济政策框架,分析加元汇率制度的运行环境。在此基础上,本文探讨加拿大汇率政策及浮动汇率制度的作用与功能。本文第五部分对加拿大银行提出的汇率预测模型作出了较深入的分析。     

Exchange Rate Policy in China after the Financial Crisis: Evidence from Time‐varying Exchange Rate Basket

We analyze the period of a managed floating exchange rate policy in China between June 2010 and November 2014. We estimate a time‐varying structure of a hypothetical currency basket using the Kalman filter. We show that the exchange rate policy continues to focus on the US dollar. However, its weight has been gradually declining, while this decline has moderated in 2014. The euro played some role before summer 2011, but became negligible after the outbreak of the European sovereign debt crisis. Finally, the Thai baht has positive implicit weights.     

我国国债利率效应及其实证分析

国债的利率效应是衡量政府政策效果的重要指标.本文运用OLS方法和Granger-Causality检验,对我国中长期国债的利率效应进行了研究.结果表明:我国中长期国债对市场利率具有微妙的正面效应,长期国债利率效应相对显著;我国国债对市场利率的托宾效应并不显著,政府投资可能对私人投资产生挤出效应.研究政府债务与市场利率之间的关系,对于政府行为与市场机制关系的理论研究以及避免政策失效具有重要意义.