货币政策的利率期限结构效应的理论解释及其经验证据

文章首先运用一个利率期限结构的预期理论模型,证明了“在预期假说框架内货币政策只能引起收益率曲线平行移动而不会改变它的坡度”这一论断是错误的;接下来运用一个局部均衡模型在利率期限结构的预期理论框架下,证明了货币政策行动模式（参数）会影响货币政策对市场利率的影响效果、利率期限结构（收益率曲线）的斜率及其动态特征;之后用一个基于中关两国比较的经验证据说明上述理论解释的可靠性。     

通货膨胀预期陷阱理论新探——基于货币政策时间非一致性视角

在货币政策时间非一致性的视角下,借鉴国内外现有研究成果,综合运用宏微观经济模型组的均衡与非均衡分析方法,探究通货膨胀预期陷阱的基本范畴、理论模型、生成机理、社会经济效应和对策等理论问题,这有别于目前主要运用货币政策效用函数和损失函数来分析货币政策时间非一致性问题的一般研究方法。     

美国货币政策对中国经济动态冲击的实证研究

本文对美国货币政策对我国实体经济的冲击效应进行了实证检验,结构化动态冲击分析表明,美国货币政策正向冲击(1)短期内会引起中国总产出、出口总额的增加,长期中则会导致中国总产出、出口总额的下降;(2)短期内会造成中国进口总额的上升,长期中最终会对中国进口总额产生负向冲击;(3)方差分解结果显示,美国货币政策的正向冲击对中国出口总额的影响最大。(4)美国货币政策对中国实体经济影响程度相对于国内部分学者的结论较小。     

WHEN IS THE SHORT RATE MARKOVIAN?

We answer this question in the very general context of the n-factor Heath, Jarrow, and Morton model for the evolution of the term structure of interest rates, with nonrandom volatility. the answer is that a constraint is imposed on the behavior of the volatility structure. We explain the importance of this result for the design of efficient numerical algorithms for the valuation of options on the term structure.     

Expected Future Budget Deficits and the Yield Curve

Because of important demographic forces pertaining to impending social security and Medicare entitlement expenditures, very large budget deficits will occur in the next two decades barring significant federal legislation pertaining to these entitlements and/or taxes. The recent flatness in the yield curve notwithstanding, in this paper, we provide evidence that each one percentage point increase in the expected future deficit/GDP ratio increases the spread between ten-year Treasury bond yields and 90-day Treasury bills by 20-50 basis points. Larger expected deficits raise long-term rates more than short-term yield. To avoid crowding out of investment expenditures and the associated adverse effect on future living standards, it is imperative that Congress soon address the problem of looming deficits. JEL Classification E43,H6     

金融危机冲击下的中国国债利率期限结构分析

美国次贷危机不仅影响到整个美国经济,而且波及全球,导致全球金融危机。文章在阐述国债利率期限结构理论和国内外相关研究文献基础上,采用幂函数这一非线性回归模型对次贷危机时期我国国债收益率曲线的形状进行了静态拟合实证分析以及多个时点国债收益率曲线的动态分析。结果表明,我国国债市场已经逐渐走向成熟,能够较好地反映我国实际的经济运行状况以及世界金融市场受到的冲击,基本符合市场预期理论和流动性偏好理论。     

货币政策周期与国债利率期限结构

以银行间隔夜拆借平均利率作为货币政策代理变量,利用2003年10月—2011年3月上交所国债数据估计出Nelson-Siegel模型的水平因子和倾斜度时间序列,运用马尔科夫区制转移向量自回归模型研究不同货币政策周期下货币政策变化对国债利率期限结构的影响,实证结果表明:当货币政策从宽松周期转向紧缩周期时,水平因子变大,倾斜度变小。面对货币政策从紧的冲击,在货币政策的宽松期和紧缩期,水平因子的响应分别为正向和负向,而倾斜度的响应均为负向。     

我国货币政策工具有效性分析

货币政策工具的有效性决定了货币政策的最终效果,我国运用的货币政策工具主要有公开市场操作、准备金率、中央银行基准利率、信贷政策、再贷款、再贴现以及外汇市场的调控等。具体分析发现,我国近十年主要使用的货币政策工具,总体上可以对基础货币产生影响,但对其他因素（如流动性、外汇占款过大等）来说,货币政策工具的操作效果减弱。另外,货币政策内部传导机制中的时滞效应也使货币政策工具难以及时发挥作用。     

SHIBOR市场预期理论的实证检验

本文使用SHIBOR市场期限为1个月及以上的中长端利率数据,针对由预期理论推导出的三个模型进行了回归检验,提出期限为1个月的利率与其它长端利率的利差是平稳的,但是利差对长短期利率变动的预测与理论不一致,即存在预期迷惑现象,因而拒绝了预期理论;长端利率之间的利差不平稳,因而长端利率整体上不支持预期理论。此外,考虑到回归结果的稳健性,本文还按照不同的方式选取了两组样本数据,通过使用不同的数据仍然可以得到相似的结论,这表明回归结果是在一定程度上是稳健的。对预期理论的背离表明SHIBOR市场中长端利率的变动未能充分反映金融市场资金的供需情况,因而有待进一步发展。     

连续时间利率期限结构的无套利模型

由于利率期限结构的均衡模型不能与观察到的期限结构想吻合,提出两种无套利利率期限结构模型———校准模型和HJM模型,试图解释利率期限结构的动态过程。无套利模型中假设经济中无套利机会存在,利用金融经济学第一基本定理,推导利率期限结构的动态过程。     

Bank lending channel in a dual banking system: Why are Islamic banks so responsive?

We examine the interest rate sensitivity of both deposits and credits at Islamic and conventional banks in Turkey. We find that the bank lending channel is especially operative for Islamic banks. Impulse responses for conventional and Islamic banks reveal that Islamic bank depositors’ sensitivity to policy rate changes is substantially larger than that of conventional bank depositors. Next to heavily dependence on deposit funding, we consider that inertia in Islamic bank deposit rates impedes these banks to keep those depositors who consider the opportunity cost of monetary policy rates is unbearable. On the lending side, we obtain similar results, implying that tight monetary policy leads to a larger contraction in Islamic bank credits. This finding is a reflection of the favourable attitude of Islamic banks towards small and medium‐sized enterprise (SME) financing. When similar relationships are analysed for currency and inflation shocks, we again find larger responses for Islamic banks showing the cyclical nature of SME credits.     

资产价格、通货膨胀与货币政策的动态分析:理论与中国实践

传统的CPI和GDP平减指数仅仅涵盖了普通商品和服务,股票和房地产等资产价格上涨的因素并不包括在内。随着现代金融的不断深化,通货膨胀与资产价格的内在关系越来越被人们所关注。虽然刚刚经历了2008年的金融危机,2009年房地产价格仍然不断快速上涨,有关泡沫的言论不断升温。探寻资产价格变化与通货膨胀预期的内在关系,完善货币政策对于资产价格的反应机制,对于维护经济金融的平稳发展意义重大。     

An Empirical Analysis of the Determinants of Interest Rates in Ghana

ABSTRACT

This paper provides an empirical analysis of the determinants of the bank lending rate in Ghana using annual time series data from 1970 to 2013. We found evidence of a long-run equilibrium relationship between the average lending rate charged by commercial banks and its determining factors. In the long run, bank lending rates in Ghana are positively influenced by nominal exchange rates and Bank of Ghana’s monetary policy rate but negatively with fiscal deficit, real GDP and inflation. We also find positive dependence of the bank lending rate on exchange rates, and the monetary policy rate both in the short and long run. Specifically, our findings reveal that the Bank of Ghana’s monetary policy rate and the exchange rate, by far, show strong contemporaneous effects on the average bank lending rate in Ghana.     

PRICE‐ADMISSIBILITY CONDITIONS FOR ARBITRAGE‐FREE LINEAR PRICE FUNCTION MODELS FOR THE TERM STRUCTURE OF INTEREST RATES

To assure price admissibility—that all bond prices, yields, and forward rates remain positive—we show how to control the state variables within the class of arbitrage‐free linear price function models for the evolution of interest rate yield curves over time. Price admissibility is necessary to preclude cash‐and‐carry arbitrage, a market imperfection that can happen even with a risk‐neutral diffusion process and positive bond prices. We assure price admissibility by (i) defining the state variables to be scaled partial sums of weighted coefficients of the exponential terms in the bond pricing function, (ii) identifying a simplex within which these state variables remain price admissible, and (iii) choosing a general functional form for the diffusion that selectively diminishes near the simplex boundary. By assuring that prices, yields, and forward rates remain positive with tractable diffusions for the physical and risk‐neutral measures, an obstacle is removed from the wider acceptance of interest rate methods that are linear in prices.     

论当前通货膨胀及其治理

多年来,我国经济始终保持着高增长、低通胀率的良好状态,这种现象甚至被外国学者称为"中国之谜"、"中国奇迹"。而自2007年开始,我国经济却接连遇到各种问题,经济增加放缓,连续两轮高通货膨胀,股市崩盘,何时经济回暖始终未知。本文主要从货币角度分析通货膨胀的成因,以及目前高通胀预期对经济增速放缓的影响,并对政策提出意见。