加息：紧缩货币政策挥出第二拳

2007年12月20日傍晚,央行宣布,为贯彻从紧的货币政策,从次日起上调金融机构人民币存贷款基准利率,这是央行2007年内第六次加息,也是中央经济工作会议确定从紧的货币政策之后,央行挥出的又一紧缩之拳,此时距央行年内第十次上调存款准备金率仅间隔12天。     

当前经济形势下我国央行加息政策的效应分析

我国央行自去年启动加息周期后连续五次上调了基准利率,其调控宏观经济的意图非常明显,在全球性加息浪潮涌动的整体氛围下,央行近期频繁使用这一货币政策工具。结合加息背景下的经济运行指标与宏观经济学理论,来分析当前经济形势下我国央行加息政策给宏观经济带来的积极成效和其自身所存在的局限性。     

当前经齐形势下我国央行加息政策的效应分析

我国央行自去年启动加息周期后连续五次上调了基准利率，其调控宏观经济的意图非常明显．在全球性加息浪潮涌动的整体氛围下，央行近期频繁使用这一货币政策工具。本文结合加息背景下的经济运行指标与宏观经济学理论．来分析当前经济形势下我国央行加息政策给宏观经济带来的积极成效和其自身所存在的局限性。     

全球货币政策"南辕北辙"

11月2日,澳大利亚央行意外加息,美、欧、英、日、印等多家央行也跟进议息,由此开启了由各大央行领衔主演的议息"大戏".然而,新兴市场国家与欧美发达市场国家在货币政策上的距离却越来越大.由于澳央行和印度央行的加息举措主要目的在于管理通胀预期,而欧美、英、日经济仍面临各自的问题,市场的关注点集中在美联储可能推出的第二轮量化宽松政策的金额与细节上.目前全球货币政策可谓"南辕北辙",脱钩现象日益加重,由此也带来各国货币政策的相互干扰,市场神经因此再次紧绷.     

加息之后观房市

央行加息之后,商业性个人住房贷款利率的下限由基准利率的0．9倍变为0 85倍,尽管加息使5年以上期限贷款利率上升0．45个百分点,但对于大多数的购房者来说,房贷利率实际上是从5．751％提至5．814％,升幅仅为0．063个百分点,此次加息不会对个人住房贷款有太大影响。加息并非针对房市显然,本次加息所针对的重点不是房地产领域,而是为解决国内资金的流动性过剩问题。为此,央行年内一度提高了法定存款准备金率,并发行央行票据在公开市场上回笼货币。然而,继续采用这类数量性货币政策工具的效果似乎并不明显,央行于是转为使用调整利率和汇率的价格性货币政策工具。     

美元指数继续走强,商品货币弱势延续

刚刚过去的2015年,全球经济受到通缩阴影的影响,各国央行的决策一直处于重要的地位.2015年年底的加息决策使得新一年内美联储的紧缩与全球央行的宽松形成鲜明的对比,美元的强势将会伴随2016年的始终. 2015年以来,全球经济形势复杂:美联储在2015年年底终结长达10年的低利率,2016年升息步伐继续;英国经济平稳运行,成为最有可能步美国后尘的国家;欧元区受到通缩影响后实行全面QE,与美国货币政策分道;大宗商品价格下滑拖累商品出口国.     

加息说明什么?

央行又一次加息了,这次速度非常快,在高过预期的CPI数据报出后一个星期就调息,对市场的影响很可能会比以前更大:一个原因是一年内3次加息,使央行控制经济过快增长的决心更加明显;二是全球经济经过4年的快速增长后,投资者对风险更加敏感;第三是中国股市已经从1000点附近上涨至3000点以上。但正如央行行长所说,中国股市并未发生趋势性的根本改变。投资者又应如何理解呢?     

基于流动性过剩视角的我国货币政策工具效用分析

2004年以来,流动性过剩逐渐成为我国经济运行中面临的突出问题,对此央行运用了提高存款准备金、加息、发行定向央行票据等货币政策工具来应对流动性过剩,防止经济过热。本文从定性和定量两个角度分析了各种货币政策工具运用中产生的经济效用,并对央行货币政策工具的选用和走向提出了建议。     

经营环境

宏观经济Macroeconomy宏观调控期待更多配套政策国家统计局日前公布,10月份我国居民消费价格总水平(CPI)同比上涨6.5%,比前月上涨0.3%,再次达到1996年以来的最高水平。1至10月累计同比上涨4.4%,距央行3季度报告预期的全年涨幅4.5%仅一步之遥,显示通货膨胀压力巨大。市场预计央行可能会出台加息政策。近日,央行行长周小川也明确指出,把应对经济增长由偏快转向过热作为当前及下一步宏观调控的首要任务,实行稳中适度从紧的货币政策。央行年内先后5次加息,使1期存款利率调高至     

全球“降息大军”日益壮大 中国或暂不跟风

新一轮全球央行的宽松行动现在刚刚拉开序幕,欧洲央行、澳大利亚央行、波兰央行、匈牙利央行、土耳其央行、以色列央行在近期内都有降息或再度降息的可能,而俄罗斯央行则可能把降息时间推迟到今年年底。尽管全球各地央行"开闸放水",但多数业内人士认为,在"稳健的货币政策下",中国跟风降息的可能性不大,随着通胀的反弹也不排除下半年还能见到加息。     

欠发达地区农村合作金融机构利率风险研究——以广西崇左市为例

近十年来,我国利率市场化进程加速,中央银行为应对复杂的国际国内形势更频繁地使用利率工具,存、贷款基准利率的波动幅度逐渐加大,存在不同方向和不同幅度的利率变化,对欠发达地区农村合作金融机构的利率风险防范策略是一种考验.本文通过建立利率敏感性缺口模型,对崇左市7家农村合作金融机构的利率敏感性缺口、利率敏感性比率、利率敏感性比率偏离度、利率敏感性缺口率进行实证分析,并针对其潜在风险和存在问题提出政策建议.     

Expectations Hypothesis and Term Structure of Interest Rates: An Evidence from Emerging Market

The integration of emerging economies with developed economies has changed the behaviour of interest rates and exchange rate fluctuation. The current study tries to analyse the implication of expectation hypothesis (EH) and term structures of interest rates between India and US. Using vector auto regressive estimates, the study tries to test the dynamic interdependence of interest rates on exchange rate fluctuation. Further, the study estimates Granger causality tests and Impulse Response Functions to test the behaviour of interest rate movements for a period of nineteen years ranging from June 1996 to June 2015.The empirical results of the study show evidence in line with the existence of EH in the case of emerging market. Nevertheless, in the case of advanced economies we do not find any evidence for EH. The findings revealed that the spread between long and short rate of India is influenced by short-term interest rates and past values of Indian spread. This implies that the fluctuations in the long rate over the short rate evidenced the strong presence of EH as far as emerging economy is concerned.To the best of our knowledge, this is the first study in Indian market, which tests the role of EH in interest rate fluctuations along with exchange rate. Since majority of the studies on term structure of interest rates focus on developed markets, the present study is an attempt to test the causal relationship between developed and developing economies.     

人民币利率互换市场现状及商业银行的应对策略

人民币利率互换市场作为我国金融衍生市场的基础,近年来得到了持续快速的发展,不仅为市场提供了先进便捷的调整资产负债及规避风险的工具,也推进了我国利率市场化进程。监管部门与市场参与各方应抓住机遇,完善市场基础设施建设,积极培育市场基准利率,拓宽参与主体,提高产品创新水平。同时,商业银行应主动承担做市职责,完善内部组织构架,明确部门职能;提高信用风险管理水平,加强制度保障;丰富组合交易策略,统一利率基准;控制自身及外部需求,拓展交易渠道,推进人民币利率互换市场健康蓬勃发展。     

利息是利润的一部分——评加息争议

马克思系统科学地论证了利息是利润的一部分,利息率由利润率调节。中国利率形成机制与发达国家不同,没有以调控货币量为基础,在开放背景下,加息反而可能加剧通胀。由于利息是利润的一部分,针对目前关于加息的争议,我们要吸取经验教训,防止加息造成“利息挤压利润”导致企业经营困境。基于利息本原的理论逻辑与现实表现,目前加息应慎行。     

An exploration of the forward premium puzzle in currency markets

A standard empirical finding is that expected changes in exchangerates and interest rate differentials across countries are negativelyrelated, implying that uncovered interest rate parity is violatedin the data. This article provides new empirical evidence thatsuggests that violations of uncovered interest rate parity,and its economic implications, depend on the sign of the interestrate differential. A framework related to term structure modelsis developed to account for the puzzling relationship betweenexpected changes in exchange rates and interest rate differentials.Estimation results suggest that a particular term structuremodel can account for the puzzling empirical evidence.     

Financial Development,Interest Rate Liberalization,and Macroeconomic Volatility

This article examines the relationship between financial development, interest rate liberalization, and macroeconomic volatility in fifty-six emerging and developed economies over the period 1980–2009. We find that financial development plays a significant role in dampening the volatility of macroeconomic growth rate, but up to a limit. The more the interest rate is liberalized, the more likely that financial development can stabilize the economy. Particularly, interest rate liberalization has a more positive influence on emerging and developing countries. Financial development and interest rate liberalization can also alleviate the influence of external shocks. They mutually enhance their functions as economic stabilizers.     

Why electric utility stocks are sensitive to interest rates

The determinants of electric utility stock interest rate sensitivity are examined. The bond rating of a utility's debt has a strong influence on its equity sensitivity to interest rates. The common stock of highly rated utilities is more interest rate sensitive than that of lower rated utilities. This finding is consistent with investors valuing utility stocks as predominantly income-oriented securities. Once the rating of the debt is controlled for, the debt-level of the utility is positively correlated with interest rate sensitivity. Additionally, larger utilities are found to be more interest rate sensitive than smaller utilities. Evidence is also presented that a utility's proportion of maturing long-term debt influences interest rate sensitivity. A measure for regulatory lag is developed but appears to have no effect on interest rate sensitivity.     

The Valuation of Options on Futures Contracts

Rational restrictions are derived for the values of American options on futures contracts. For these options, the optimal policy, in general, involves premature exercise. A model is developed for valuing options on futures contracts in a constant interest rate setting. Despite the fact that premature exercise may be optimal, the value of this American feature appears to be small and a European formula due to Black serves as a useful approximation. Finally, a model is developed to value these options in a world with stochastic interest rates. It is shown that the pricing errors caused by ignoring the location of the interest rate (relative to its long-run mean) range from ?5% to 7%, when the current rate is ±200 basis points from its long-run value. The role of interest rate expectations is, therefore, crucial to the valuation. Optimal exercise policies are found from numerical methods for both models.     

Are expectations of inflation rational? or Is variation of the expected real interest rate unpredictable?

The joint hypothesis developed and tested in this paper is that the nominal interest rate is a rational expectation of the real interest rate plus the inflation rate and that variation of the expected real interest rate is unpredictable on the basis of information used in the test. This test is applied to quarterly data on three-month United States Treasury bills of 1954 to 1973. The information used in the tests includes, besides past interest rates and inflation rates, past growth rates of the source base, the money supply, and real GNP. Some of the tests allow for a positive marginal tax rate, which changes the results little. The hypothesis is generally consistent with the data, which provides support for the proposition that predictable changes of the money supply do not affect expected real interest rates over periods as short as a quarter.     

INTEREST RATE RISK AND EQUITY VALUES OF HEDGED AND UNHEDGED FINANCIAL INTERMEDIARIES

This paper uses an approach developed by Flannery and James to show that interest rate changes have different effects on equity values of hedged and unhedged financial institutions. Equity values of (generally unhedged) savings and loans are significantly more sensitive to unexpected interest rate changes than equities of (generally hedged) commercial banks. The interest rate sensitivity of (generally hedged) life insurance equities is similar to that of bank equities. Overall, the equity values of unhedged financial institutions are more sensitive to interest rate changes than the equity values of financial institutions that more closely balance the maturities of their assets and liabilities.