Interest Rate Caps “Smile” Too! But Can the LIBOR Market Models Capture the Smile?

Using 3 years of interest rate caps price data, we provide a comprehensive documentation of volatility smiles in the caps market. To capture the volatility smiles, we develop a multifactor term structure model with stochastic volatility and jumps that yields a closed‐form formula for cap prices. We show that although a three‐factor stochastic volatility model can price at‐the‐money caps well, significant negative jumps in interest rates are needed to capture the smile. The volatility smile contains information that is not available using only at‐the‐money caps, and this information is important for understanding term structure models.     

Financial Innovations,Money Demand,and the Welfare Cost of Inflation

In the 1990s, the empirical relationship between money demand and interest rates began to fall apart. We analyze to what extent financial innovations can explain this breakdown. For this purpose, we construct a microfounded monetary model with a money market that provides insurance against liquidity shocks by offering short‐term loans and by paying interest on money market deposits. We calibrate the model to U.S. data and find that the introduction of the sweep technology at the beginning of the 1990s, which improved access to money markets, can explain the behavior of money demand very well. Furthermore, by allowing a more efficient allocation of money, the welfare cost of inflation decreased substantially.     

Short-run money demand

The conventional wisdom holds that the short-run demand for money is unstable. This paper challenges the conventional view by finding a stable demand for M1 in U.S. data from 1959 through 1993. The approach follows previous work in interpreting long-run money demand as a cointegrating relation, and it uses Goldfeld's partial-adjustment model to interpret short-run dynamics. The key innovation is the choice of the interest rate in the money demand function. Most previous work uses a short-term market rate, but this paper uses the average return on “near monies”—the savings accounts and money market mutual funds that are close substitutes for M1. This choice helps rationalize the behavior of money demand; in particular, the increase in the volatility of velocity after 1980 is explained by increased volatility in the returns on near monies.     

坚持市场化取向，促进中国货币市场健康发展

该文从《同业拆借管理办法》入手,简要介绍了新形势下我国货币市场开放、透明、市场化的管理思路;进而科学地分析了当前货币市场的发展形势,指出货币市场利率波动性的加剧和金融产品的创新等都给货币市场的监管提出了进一步的挑战,认为监管部门应该从理念创新人手,进一步创新监管手段,加强信息透明度,促进货币市场又好又快、健康发展。     

同业拆借市场发展与监管专题——坚持市场化取向，促进中国货币市场健康发展

该文从《同业拆借管理办法》入手，简要介绍了新形势下我国货币市场开放、透明、市场化的管理思路；进而科学地分析了当前货币市场的发展形势，指出货币市场利率波动性的加剧和金融产品的创新等都给货币市场的监管提出了进一步的挑战，认为监管部门应该从理念创新入手，进一步创新监管手段，加强信息透明度，促进货币市场又好又快、健康发展。     

Financial innovation,new assets,and the behavior of money demand

Two fundamental changes in US banking regulations have affected the behavior of money demand (M1). The first authorized checkable deposit accounts paying explicit interest rates. The second allowed these rates to be market determined. The theoretical literature does not directly address the impact of these events, suggesting that they are primarily an empirical issue. However, the empirical literature has yet to agree on the impact of financial innovation on money demand; for example, several studies report an increase in the elasticity of money demand, several others report a decline. This paper uses a Lancaster-type choice model to analyze formally the expected impact of these two changes on the demand for money. The model derives specific conditions under which (i) the demand for money increases as new assets are introduced and (ii) the impact of either the introduction of new assets or the elimination of interest rate restrictions on the elasticity of money demand.     

Stochastic inflation and government provision of indexed bonds

This paper examines the consequences of using indexed bonds as one of the government financing instruments, along with money and taxes. It is shown that open market operations between money and indexed bonds do not matter in a real sense despite their different risk characteristics. Increasing the share of indexed bonds in the government portfolio increases the volatility and the conditional mean of real rates of return on money. When provided by means other than open market operations, indexed bonds can affect the allocation of resources, but these reallocations cannot be Pareto-improving.     

三季度银行间市场走势分析

本文主要分析了三季度货币政策工具的几个特点。在此基础上,对货币、债券市场走势进行判断：一是货币市场方面,资金面逐步缓解,货币市场利率震荡下行;二是债券市场方面,波动加大,短债利率攀至历史最高。     

Money Market Pressure and the Determinants of Banking Crises

This article develops an index of money market pressure to identify banking crises. We define banking crises as periods in which there is excessive demand for liquidity in the money market. We begin with the theoretical foundation of this new method. With the newly defined crisis episodes, we examine the determinants of banking crises using data complied from 47 countries. We find that slowdown of real GDP, lower real interest rates, extremely high inflation, large fiscal deficits, and over-valued exchange rates tend to precede banking crises. The effects of monetary base growth on the probability of banking crises are negligible.     

The relationship between futures trading activity and exchange rate volatility,revisited

This paper examines the relationship between trading activity in currency futures and exchange rate volatility. In order to measure trading activity, the paper uses both volume and open interest to distinguish between speculators/day traders and hedgers. The study uses three different measures of volatility: (1) the extreme value estimator that measures intra-day volatility; (2) historical volatility; and (3) conditional volatility from the GARCH (1, 1) process. Main finding is that speculators and day traders destabilize the market for futures. Whether hedgers stabilize or destabilize the market is inconclusive. The results suggest that speculators’ demand for futures goes down in response to increased volatility. Meanwhile, the demand from hedgers shows mixed results, depending on the method used to measure volatility.     

Interbank market liquidity and central bank intervention

We develop a simple model of the interbank market where banks trade a long term, safe asset. When there is a lack of opportunities for banks to hedge idiosyncratic and aggregate liquidity shocks, the interbank market is characterized by excessive price volatility. In such a situation, a central bank can implement the constrained efficient allocation by using open market operations to fix the short term interest rate. It can be constrained efficient for banks to hoard liquidity and stop trading with each other if there is sufficient uncertainty about aggregate liquidity demand compared to idiosyncratic liquidity demand.     

利率与股价之间的价格溢出效应与波动溢出效应

基于具有外生变量的二元VAR-MGARCH模型对中国货币市场利率和股价之间的关联进行了理论分析和实证研究。结果表明,利率和股价之间基本不存在价格溢出效应;货币市场利率和股价序列均表现出时变方差的特征和波动的持久性特征,货币市场和股市之间存在双向波动溢出效应;货币供给的正向冲击对利率的影响是正向的。     

我国货币政策对股票市场非对称影响的实证研究——基于马尔可夫区制转换VAR模型

本文基于1997年1月至2012年4月的数据,使用三区制滞后两阶的MS（3）-VAR（2）模型,对三种区制下货币政策对股票市场的影响进行分析。研究发现,在不同状态下,货币政策变量的变动对上址综指收益的影响在时间、方向和效果上是非对称的。在高收益、低波动状态与低亏损、低波动状态下,利率的变动对股票市场并不存在显著的影响;在高亏损、高波动状态下,利率的变动滞后一期对股票市场有较小的正向影响,但滞后二期时存在较大的负向影响。货币供应量变动对股票市场的影响在高亏损、高波动行情时比在高收益、低波动和低亏损、低波动行情时更加显著。总体来看,利率和货币供应量对股票市场的影响任高亏损、高波动行情下是显著的。     

利率决定理论——利率市场化理论基础之一

利率市场化是指金融机构在货币市场经营融资的利率由市场供求来决定。它包括利率决定、利率传导、利率结构和利率管理的市场化。推进利率市场化的理论基础涉及利率决定理论、利率传导理论以及剖析利率结构和利率管理的金融发展理论。本文重点介绍了利率决定相关理论的核心思想,这些理论包括古典利率决定理论、马克思的利率决定理论、凯恩斯利率决定理论、可贷资金论以及IS—LM模型等。研究表明,平均利润率、资金的供求关系、通货膨胀率、央行的货币政策、国际金融市场利率等都会影响一国利率水平。     

交易商持仓行为对期货市场的影响

金融危机发生之后,CFTC将原有的交易商持仓报告(Commitment of Traders,简称"COT")进行了扩容,新版的COT报告包含现货交易商、互换交易商、管理基金的持仓情况。分析COMEX铜和NYMEX原油的COT报告,可以发现,互换交易商的持仓占比最高,超过30%;具有现货背景的套期保值持仓保持一定比例,大约为20%~50%。现货交易商持仓占比的增加,有助于缓解价格的波动;而互换交易商持仓占比的提高,却加剧了市场的波动。由于互换交易商享有投机持仓豁免的权利,金融危机发生后,CFTC对互换交易商的监管更趋严格。     

我国同业拆借市场利率市场化发展的实证研究

同业拆借市场是货币市场最重要的子市场之一,市场化的同业拆借利率能及时灵敏地反映货币市场资金的供求状况,是市场上其他利率波动的重要参照与金融资产定价的重要基础。本文收集了1998-2003年、2005-2010年的相关数据,利用ADF单位根检验和格兰杰因果关系检验,对同业拆借利率的市场化情况进行实证分析,再对我国同业拆借市场的发展现状和存在问题进行分析,最后针对同业拆借利率市场化发展提出建议。     

Near-money premiums,monetary policy,and the integration of money markets: Lessons from deregulation

The 1960s and 1970s witnessed rapid growth in the markets for new money market instruments, such as negotiable certificates of deposit (CDs) and Eurodollar deposits, as banks and investors sought ways around various regulations affecting funding markets. In this paper, we investigate the impacts of the deregulation and integration of the money markets. We find that the pricing and volume of negotiable CDs and Eurodollars issued were influenced by the availability of other short-term safe assets, especially Treasury bills. Banks appear to have issued these money market instruments as substitutes for other types of funding. The integration of money markets and ability of banks to raise funds using a greater variety of substitutable instruments has implications for monetary policy. We find that, when deregulation reduced money market segmentation, larger open market operations were required to produce a given change in the federal funds rate, but that the pass through of changes in the funds rate to other market rates was also greater.     

股票市场、人民币汇率与中国货币需求

本文在开放经济条件下考察了1999年1月至2010年5月期间中国货币需求函数的特征。研究结果表明通胀预期、股票价格波动和人民币汇率是影响长期货币需求的重要因素。股票收益率和通胀预期都是衡量企业和居民持有货币的重要机会成本变量,但通胀预期占主导地位。人民币升值和升值预期通过货币替代效应和国际资本流动效应增加了长期实际货币余额需求。研究结果还表明在样本期间人民币汇率波动的短期国际资本流动效应是造成中国A股市场动荡加剧的重要原因之一。这意味着中国货币政策的制定与实施应该至少关注资产价格波动和考虑人民币汇率因素,尤其是当前应特别注重稳定人民币升值预期。     

Options and earnings announcements: an empirical study of volatility, trading volume, open interest and liquidity

In this paper we study the impact of earnings announcements on implied volatility, trading volume, open interest and spreads in the stock options market. We find that implied volatility increases before announcement days and drops afterwards. Also option trading volume is higher around announcement days. During the days before the announcement open interest tends to increase, while it returns to regular levels afterwards. Changes in the quoted spread largely respond to higher trading volume and changes in implied volatility. The effective spread increases on the event day and on the first two days following the earnings announcement.     

On the Interaction between Transfer Restrictions and Crediting Strategies in Guaranteed Funds

Guaranteed funds with crediting rates for fixed periods determined by a pension provider or insurance company are common features of accumulation annuity contracts. Policyholders can transfer money back and forth between these accounts and money market accounts that give them features similar to demand deposits, and yet they frequently credit a higher rate than the money market. Transfer restrictions are commonly employed to prevent arbitrage. In this article, we model the interaction between company and policyholder as a multiperiod game in which the company maximizes risk-neutral expected present value of profits and the policyholder maximizes his expected discounted utility. We find that the optimal strategy on the part of the company is to credit a rate higher than the money market rate in the first period to entice the policyholder to invest in the guaranteed fund. The company then credits the floor in the remaining periods as the policyholder transfers out the maximum amount. This does better for the policyholder in low interest rate environments and worse in high interest rate environments and acts as a type of “interest rate insurance” for the policyholder.