流动性、物价稳定与资产价格上涨——从理论模型看日本的经验教训

本文以20世纪80年代中后期的日本为对象，从理论和实证两方面研究在低利率、物价稳定的背景下，资产泡沫形成的原因，以及日本银行货币政策失误的教训，并对我国当前低利率、物价稳定、资产价格上涨并存的现象提出政策建议。本文认为，应避免汇率升值对利率产生过大的影响，维持国内利率政策的独立性；货币政策以物价稳定为主要目标，但应密切关注持续的资产价格上涨；维持稳健的货币政策，防止货币政策矫枉过正。     

Financial Constraints, Competition, and Hedging in Industry Equilibrium

We analyze the hedging decisions of firms, within an equilibrium setting that allows us to examine how a firm's hedging choice depends on the hedging choices of its competitors. Within this equilibrium some firms hedge while others do not, even though all firms are ex ante identical. The fraction of firms that hedge depends on industry characteristics, such as the number of firms in the industry, the elasticity of demand, and the convexity of production costs. Consistent with prior empirical findings, the model predicts that there is more heterogeneity in the decision to hedge in the most competitive industries.     

Short Sales Constraints, Liquidity and Price Discovery: An Empirical Analysis on the Paris Bourse

In the Paris Bourse some stocks are traded on a spot basis, while others are traded on a monthly settlement basis. The latter are likely to be less subject to leverage and short sales constraints. We empirically analyse the consequences of this difference for the order flow and the return process. Consistent with the theoretical analysis of Diamond and Verrechia (1987), we find that market sell orders are less frequent on the spot market than on the monthly settlement market (although not very significantly) and that the spot market reflects good news (significantly) faster than bad news.     

Heavy-tailed Behavior of Commodity Price Distribution and Optimal Hedging Demand

This study explores the importance of imposing a correct distributional hypothesis in a risk management strategy, by comparing hedge ratios under the restrictive normality assumption to those under the generalized stable distribution. Concepts are illustrated for the case of a representative Pennsylvania dairy farm manager who purchases corn as a feed input. The results show that time processes of corn prices and basis risk in five Pennsylvania regions do not correspond to the normal distribution, and they more correctly correspond to one of the stable distribution set. The estimated hedge ratios under the stable distribution are typically larger than those under the normal distribution. The difference would be a bias from imposing a wrong distributional assumption.     

Constraints on Loan Sales and the Price of Liquidity

In the syndicated loan market, borrowers and syndicate arrangers sometimes employ contractual restrictions that influence a loan’s liquidity. We analyze two types of constraints on loan resales: (1) prior consent constraints implemented by the borrower or the syndicate’s lead arranger and (2) a minimum denomination requirement for loan sales. We hypothesize that constraints could be mechanisms for fostering relationships and/or facilitating the resolution of financial distress and find some support for each notion. We find that resale constraints are more likely when borrowers are small and have relatively poor credit ratings. We also find that loans with any type of constraint have higher all-in-spreads and are more likely to be secured than unconstrained loans and that the marginal cost of constraining liquidity is relatively high.

Home Price Risk, Local Market Shocks, and Index Hedging

All real estate markets are local, or so the conventional wisdom goes. But just how local is local? I address this question empirically using over 75,000 repeat-sales transactions from a large suburban county of Washington D.C.. I construct and evaluate a variety of local home price indices defined by geography, price, and home type. I also calculate ??house-specific?? indices using locally weighted regressions with maximized kernel bandwidths. On the whole, local indices add a moderate amount of explanatory power relative to metropolitan indices. In my sample, the metropolitan index explains 50?C75% of the variation in home price shocks, and local indices add 3?C7% more. In an index hedging framework, homeowners should be willing to pay 5?C10% to hedge with a local index versus a metropolitan index alone.     

Price Formation and Equilibrium Liquidity in Fragmented and Centralized Markets

This paper compares centralized and fragmented markets, such as floor and telephone markets. Risk-averse agents compete for one market order. In centralized markets, these agents are market makers or limit order traders. They are assumed to observe the quotes of their competitors. In fragmented markets they are dealers. They can only assess the positions of their competitors. We analyze differences in bidding strategies reflecting differences in market structures. The equilibrium number of dealers is shown to be increasing in the frequency of trades and the volatility of the value of the asset. The expected spread is shown to be equal in both markets, ceteris paribus. But the spread is more volatile in centralized than in fragmented markets.     

An Investigation into the Equilibrium Structure of the Commodity Futures Market Anomaly

Commodity futures contracts are shown to be characterized by indivisibility problems and tax disadvantages. An empirical test demonstrates that long futures investors were compensated for these drawbacks prior to the mid-1970s. However, compensation for the investment disadvantages of commodity futures ceased to exist after 1974. The year 1974 is significant because barriers to institutional investment in the futures market were removed in that year.     

An Empirical Analysis of Stock and Bond Market Liquidity

This article explores cross-market liquidity dynamics by estimatinga vector autoregressive model for liquidity (bid-ask spreadand depth, returns, volatility, and order flow in the stockand Treasury bond markets). Innovations to stock and bond marketliquidity and volatility are significantly correlated, implyingthat common factors drive liquidity and volatility in thesemarkets. Volatility shocks are informative in predicting shiftsin liquidity. During crisis periods, monetary expansions areassociated with increased liquidity. Moreover, money flows togovernment bond funds forecast bond market liquidity. The resultsestablish a link between "macro" liquidity, or money flows,and "micro" or transactions liquidity.     

Profit Possibilities in Currency Markets: Arbitrage, Hedging, and Speculation

This paper reviews and extends the existing literature on covered arbitrage, delineates the conditions for profitable arbitrage with the hedging instruments of forward and options contracts in the foreign exchange markets, and defines the maximum possible profits out of a given market environment. Next, the simple rules on speculation are articulated with and without transaction costs, and then we show how speculation can be covered with options and forwards. Finally, speculation is integrated with arbitrage and hedging, and further compounding of profit possibilities is illustrated.     

Banks' Advantage in Hedging Liquidity Risk: Theory and Evidence from the Commercial Paper Market

Banks have a unique ability to hedge against market‐wide liquidity shocks. Deposit inflows provide funding for loan demand shocks that follow declines in market liquidity. Consequently, banks can insure firms against systematic declines in liquidity at lower cost than other institutions. We provide evidence that when liquidity dries up and commercial paper spreads widen, banks experience funding inflows. These flows allow banks to meet loan demand from borrowers drawing funds from commercial paper backup lines without running down their holdings of liquid assets. We also provide evidence that implicit government support for banks during crises explains these funding flows.     

The Price of Future Liquidity: Time-Varying Liquidity in the U.S. Treasury Market

This paper examines the price differences between very liquid on-the-run U.S. Treasury securities and less liquid off-the-run securities over the on/off cycle. Comparing pairs of securities in time-series regressions allows us to disregard any fixed cross-sectional differences between securities. Also, since the liquidity of Treasury notes varies predictably over time, we can distinguish between current and future liquidity.We compare a variety of (microstructure-based) direct measures of liquidity to compare their effects on prices.We show that the liquidity premium depends primarily on the amount of remaining future liquidity.     

从财税的角度看房价与房地产市场

中国的财税体制正朝向公共财政方向改革,经济结构的调整也在避免对房地产依赖过重,从大的宏观背景出发,能够更清楚地看到未来应该会怎样。     

政府补助、研发支出与市场价值——来自创业板高新技术企业的经验证据

基于政治关联视角,本文以创业板高新技术企业为研究对象,讨论了政府补助、研发支出和市场价值三者的关系。研究发现,创业板的高新技术企业并没有有效地将政府给予的资源投入到技术研发上,政治关联尽管能给企业带来更多的政府补助,但却反而削弱了企业的研发创新能力,未能带来企业市场价值的提高,政府资源的配置存在严重的失效。     

Asymmetric Price Movements and Borrowing Constraints: A Rational Expectations Equilibrium Model of Crises, Contagion, and Confusion

This study proposes a rational expectations equilibrium model of crises and contagion in an economy with information asymmetry and borrowing constraints. Consistent with empirical observations, the model finds: (1) Crises can be caused by small shocks to fundamentals; (2) market return distributions are asymmetric; and (3) correlations among asset returns tend to increase during crashes. The model also predicts: (1) Crises and contagion are likely to occur after small shocks in the intermediate price region; (2) the skewness of asset price distributions increases with information asymmetry and borrowing constraints; and (3) crises can spread through investor borrowing constraints.     

An Existence Proof for Equilibrium in a Capital Asset Market

The finance literature abounds with theoretical and empirical developments of the original Sharpe/Lintner models of equilibrium in capital asset markets. Almost all of these contributions are premised upon the existence of equilibrium in such models and yet there is apparently no formal existence proof in the literature. The purpose of this paper is to establish such a proof.
La littérature de la finance abonde de développements théoriques et empiriques des premiers modèles de Sharpe/Lintner concernant l'équilibre dans les marchés des valeurs. Dans de tels modèles, la plupart de ces interventions sont basées sur l'existence d'un équilibre et pourtant il n'existe apparemment pas de preuve formelle de l'existence d'un tel équilibre dans la littérature. Le but de ce papier est donc d'en établir une telle preuve.
Das Schrifttum der Finanzwirtschaftslehre wimmelt von theoretischen und empirischen Entwicklungen der ursprünglichen Sharpe/Lintner-Gleichgewichtsmodelle in 'Capital Asset' MÄrkten. Fast alle dieser Beiträge schicken das Bestehen eines Gleichgewichtes in solchen Modellen voraus obwohl anscheinend kein formeller Bestehensbeweis dafur in der Literatur zu finden ist. Der Zweck dieses Beitrages ist die Feststellung eines solchen Beweises.     

市场深度、流动性和波动率——沪深300股票指数期货启动对现货市场的影响

中国金融期货交易所于2010年4月16日正式启动沪深300指数期货交易。本文考察2008年初至2011年10月的日内和跨日股指交易数据,发现股指期货的推出显著改善了反映股票市场运行质量的多个指标。股指日内5分钟波动率在股指期货推出后下降了37%,而指数成分股的日对数交易量的方差下降了40%。基于EGARCH模型的参数估计显示,股票市场的市场深度和价格信息度在股指期货推出后显著提升;股指日回报率的条件方差下降了约40%。这些结果说明,沪深300指数期货的推出提升了股票市场的流动性和价格发现能力,并进而提高了交易量的稳定性,降低了价格波动性。本文的研究为确认股指期货改善了我国资本市场结构并有利于深化我国资本市场改革提供了重要佐证。     

商品市场不可生成波动率的实证研究

Trolle(2008)指出,商品市场风险分为可以由期货对冲的风险和不可以由期货而由期权来对冲的风险,对应地也就将市场的波动划分为可生成的波动和不可生成的波动。在检验不可生成的波动的存在性时,依据USV(Unspanned Stochastic Volatility,可生成随机波动率)模型,以Trolle(2008)设定的研究框架来进行实证分析,通过COMEX黄金、NYMEX原油以及使用不同于文献记录的市场风险代理变量表示方式计算的上海期货交易所阴极铜的建模结果,发现国内外市场均存在不可生成的波动,USV特征的存在性也为中国市场推出期权提供了理论支持。     

2009年下半年流动性水平和物价走势的分析与展望

2009年前7个月,适度宽松的货币政策及其带来的充裕流动性构成国内宏观经济运行的重要特征.然而,值得我们关注的足从下半年开始,中国经济企稳回升的态势将更加明朗,货币政策将出现微凋,可能转型为真正意义上的适度宽松,这会给境内流动性状况带来怎样的变化?又会对价格水甲产生怎样的影响?这将是本文主要探讨的问题.     

地方政府债券流动性指数的构建与分析

地方政府债券流动性已有研究主要使用成交量、换手率等交易活动类指标,缺乏价格类指标分析,难以全面量化评价流动性状况.本文使用2009年10月至2020年12月期间银行间债券市场逐笔成交数据,综合运用交易活动类指标和价格类指标,构建地方政府债券流动性指数.基于对该指数现状和历史走势的分析以及与国债、政策性金融债的对比分析,本文指出地方政府债券流动性近年来在稳步提高.未来应坚持市场化导向,通过完善发行机制、丰富投资者结构、提高信息披露质量、健全税收制度和监管要求等措施继续提升流动性,促进地方政府债券市场平稳健康发展.