谁的通胀预期影响了货币政策

本文建立含有通胀预期的前瞻性货币政策反应函数,基于2001年1季度至2014年4季度居民和专家两组通胀预期调研数据,研究中国人民银行决策信息集中是否包含通胀预期变量,以及谁的通胀预期更能影响货币政策。研究表明:(1)央行对居民预期和专家预期均做出显著反应,但对专家预期反应更强:平均而言,专家预期值提高1%,央行当季会降低货币供应量增长率0.4%,拆借利率则上浮0.1%;(2)在长期,央行遵循“逆预期”操作的相机抉择行为模式,表明预期变量是央行决策信息集的重要组成部分;(3)央行对某些机构的预测数据反应较强,其预测信息集可能与央行信息集重合度较高。     

Unraveling the Financial Contagion in European Stock Markets During Financial Crises: Multi-Timescale Analysis

The article investigates the evidence of financial contagion and market integration in selected European equity markets during nine major crises across regions. The focus is to identify whether (i) contagion evidence is pure or fundamental and (ii) dynamic evolution of integration is in the short run or long run. Wavelet decomposition in both its discrete and continuous forms is used. The findings reveal the following: (i) prior to the subprime crisis, contagion effects generated short-term shocks. The most recent US subprime crisis, however, reveals the evidence of fundamental based contagion. (ii) We find increasing short-run and long-run stock market integration, driven by several stages of the establishment of Economic and Monetary Union (EMU), questioning the ultimate benefits of formal entry into EMU membership.     

Structural breaks, parameter uncertainty, and term structure puzzles

We show that uncertainty about parameters of the short rate model can account for the rejections of the expectations hypothesis for the term structure of interest rates. We assume that agents employ Bayes rule to learn parameter values in the context of a model that is subject to stochastic structural breaks. We show that parameter uncertainty also implies that the verdict on the expectations hypothesis varies systematically with the term of the long bond and the particular test employed, in the same way that is found in empirical tests.     

Long-run growth uncertainty

Observed macroeconomic forecasts display a positive correlation between expectations of long-run growth of endogenous variables (e.g., output) and cyclical activity. Existing business cycle models appear inconsistent with the evidence. This paper presents a model of the business cycle in which households have imperfect knowledge of long-run growth rate of endogenous variables and continually learn about these growth rates. The model features comovement and mutual influence between households׳ growth expectations and market outcomes. It can replicate the evidence on growth forecasts and suggests that optimism and pessimism about long-run growth rates is a crucial ingredient in understanding business cycle fluctuations.     

Anticipated fiscal policy and adaptive learning

The impact of anticipated policy changes when agents form expectations using adaptive learning rather than rational expectations is considered. Agents are assumed to combine limited structural knowledge with a standard adaptive learning rule. These issues are analyzed using two well-known set-ups, an endowment economy and the Ramsey model. In our scenario there are important deviations from both rational expectations and purely adaptive learning. The approach could be applied to other frameworks.     

金融市场有效性联立检验的再检验

在理性预期假定下,基于证券历史价格和收益信息,不能预测证券的未来价格,即市场是弱有效的。对市场有效性检验无效可能是关于基本价格或者正常收益均衡模型设定有误所导致,借助C-CAPM与行为金融模型可以对"市场无效性"进行解释。研究表明,市场有效性假说仅为一个理想范式,无论从有效性的联立检验角度,还是从非理性投资与金融市场关系的角度,都无法对现实的金融市场是否有效做出明确的判断。     

通货膨胀预期管理下信贷支农问题研究

本文对国内外农业信贷、农产品价格与通货膨胀相关性进行研究。以农业大市广西贵港市为例,对农业信贷供给与需求、农业信贷的质与量供给进行实证分析。提出了信贷支农与通货膨胀预期管理有关思考,以供参考。     

理性预期与能源投资——基于中国碳减排承诺的自然实验

引入宏观经济学的理性预期分析框架来评估未来碳减排承诺如何影响当期的能源投资行为具有重要意义。能源项目投资规模大、持续时间长、不可逆性强,使得投资者在决策时会尽可能地纳入影响未来收益和成本的信息。本文将中国碳排放权交易市场试点政策与发电行业投资行为相结合,理论分析和实证检验了政府规划和实施的碳排放权交易市场试点政策如何影响企业的理性预期作用于当期发电技术项目投资,结果表明,碳排放权交易市场试点政策在规划期会促使企业相对提高试点地区低排放发电技术项目投资,特别是相对提高了这些地区低排放火力发电技术项目投资。碳排放权交易试点政策正式实施之后,企业降低了政策试点地区的高排放发电技术项目投资的实际利用水平。这一发现说明环境管制政策在正式实施之前的规划期,会对企业的投资行为产生预期管理效应,通过释放减排政策信号,促使企业先验地调整能源投资决策,以适应未来减排承诺目标。     

伯南克货币政策主张及其影响-分析与预期

伯南克已于2006年2月1日接替格林斯潘担任了美国联邦储备理事会主席。本文分析伯南克的货币政策主张特征,比较这些主张与格林斯潘和其任内联储货币政策主张、决策风格的异同,并据此预期伯南克货币政策主张及其对联储货币政策的影响。     

市场预期及其影响因素与人民币汇率波动关系分析

本文构建了一个包括市场预期及其影响因素的理论框架,在此框架下研究了这两类因素与人民币汇率波动的关系。采用两阶段最小二乘法对此理论框架进行实证,得出的结论是:市场预期是推动人民币汇率在2001年1月～2009年12月期间走强的重要因素。中国人民银行外汇市场干预活动、上一期人民币汇率、中美利差变动和2005年人民币新汇率制度改革等因素在不同方向上改变了市场预期,从而间接影响了人民币汇率走势。     

The great moderation of the term structure of UK interest rates

The conduct of monetary policy, the term structure of interest rates and the structure of the economy in the UK have changed over the post-WWII period. We model the interaction between the macroeconomy and financial markets using a time-varying VAR augmented with the factors from the yield curve. There is evidence of a great moderation in the dynamics of the yield curve, with the factors being persistent and volatile before the introduction of inflation targeting in 1992 but becoming stable afterwards. The introduction of time-variation in the Factor Augmented VAR improves the fit of the model and results in expectation hypothesis consistent yields that are close to actual yields, even at long maturities. Monetary policy shocks had a significant impact on the volatility of inflation, output and the policy rate over the pre-inflation targeting era, but their contribution has been negligible under the current regime. Shocks to the level of the yield curve accounted for a large fraction of inflation variability only before 1992.     

Australian evidence on student expectations and perceptions of introductory business finance

This study examines the differences in perceptions and expectations between students at the Caulfield and Peninsula campuses of Monash University with different entrance criteria and degree availability to determine whether two different introductory finance subjects should be offered rather than one. Results reported in this study suggest that students at the Caulfield campus are interested in studying a challenging introductory finance subject, whereas students at the Peninsula campus perceived that introductory finance is ‘difficult’. Capital structure and cost of capital topics are statistically significantly ranked higher by Caulfield students than Peninsula students. The results reported in this study revealed that two different introductory finance subjects would be more effective. The core subject at the finance major campus (Caulfield) follows a traditional structure with more emphasis on finance theory, whereas the new subject at the non‐finance campus (Peninsula) places greater emphasis on applications.