香港离岸人民币市场与在岸人民币市场汇率之间的关联性研究

本文创新性地构建了由在岸人民币市场即期汇率(CNY)、香港离岸市场人民币即期汇率(CNH)、境外远期无本金交割市场6个月期汇率(NDF6)及1年期汇率(NDF12)、在岸远期6个月期汇率(DF6)及1年期汇率(DF12)组成的人民币汇率系统.然后,运用单位根检验、协整检验、Granger因果检验和GARCH模型等分别从平稳性、协整性、报酬溢出效应和波动溢出效应等方面对人民币汇率系统内的在岸即期汇率、离岸即期汇率、在岸远期汇率和离岸远期汇率之间的关联性进行了实证研究.研究发现,CNH对CNY存在报酬溢出效应,二者之间存在双向的波动溢出效应;CNH、CNY、NDF6和DF6间的关联性可能大于CNH、CNY、NDF12和DF12间的关联性.     

我国股价和汇率的关联:基于VAR-MGARCH模型的研究

本文基于VAR-MGARCH模型,分别选择人民币对美元、欧元和日元等不同外币的汇率,研究了我国股价和汇率之间的关联。实证研究表明,存在一定程度的从人民币对欧元汇率到股指的价格溢出效应,存在人民币对欧元汇率和人民币对日元汇率到股指的波动溢出效应,但人民币对美元汇率和股指之间既不存在明显的价格溢出效应,也不存在明显的波动溢出效应。总体来说,当前我国股票价格和汇率之间的内在关联性并不强。为实现货币政策的有效传导,应采取措施加强股市和汇市两个市场的有机联系。     

人民币即期汇率与上证综指动态关联性的实证研究

本文运用单位根检验、协整检验、G r a n g e r因果检验并建立EGARCH模型,对2005年7月22日至2011年8月26日期间每日人民币即期汇率与上证综指的动态关联性进行了实证分析。研究结果表明:样本期间内,人民币即期汇率与上证综指具有长期均衡的协整关系,存在人民币即期汇率波动导致股票市场波动的单向因果关系。我国股票市场和人民币市场间的信息传递和溢出是不对称的,即存在"不对称溢出"效应。利好消息对上证综指的冲击小于利空消息的冲击,而人民币即期汇率的情况正好相反,且无论利好还是利空市场消息对人民币即期汇率带来的冲击均大于给上证综指带来的冲击。     

人民币即期汇率与NDF汇率的互动关系研究

本文以2005年7月22日至2011年6月1日间即期汇率与1年期人民币NDF汇率为研究对象,运用MA(1)-GARCH(1,1)模型检验金融危机前后两个市场间收益率的报酬溢出效应和波动溢出效应。分析结果表明,金融危机前,1年期人民币NDF市场对即期市场具有单向的报酬溢出效应,且两者具有相互波动溢出效应;而金融危机后,1年期人民币NDF市场对即期市场仍为单向的报酬溢出效应,但两者不在具有相互波动溢出效应。     

应用VAR模型计算人民币汇率风险的实证研究

自2005年汇改以来,人民币兑换美元汇率不再是盯住美元的固定汇率制,而是以市场供求为基础、参考一篮子货币进行调节、有管理的浮动.通过利用vAR模型对这段期闻内人民币汇率风险的大小,进行了实际测算以及得出的具体数值来看,虽然目前我国人民币汇率波动相对稳定,尚未经历极端情形和事件,使用VaR模型测度风险对结果估算不会产生很大影响,但随着我国人民币汇率不波动幅度的逐步放宽,政府完全可以考虑使用目前在VaR基础上发展起来的极值理论和压力测试等方法,这些方法对资产损益分布极端尾部事件将会重点研究并加以测量.     

商品期货市场和股票市场的关联性研究——基于二元VAR-GARCH模型

基于具有外生变量的二元VAR-GARCH模型对我国商品期货市场和股票市场之间的关联性进行了理论分析和实证研究。结果表明,从商品期货市场到股票市场存在价格溢出效应,但是两个市场之间不存在显著的波动溢出效应。美原油期货价格指数的正向冲击对期货价格的影响是正向的,美元指数的正向冲击对期货价格和股票价格的影响均为负向。     

中国股票市场与外汇市场间互动关系的实证研究

以2009年6月～2015年12月人民币兑美元汇率和上证综合指数日数据为样本,实证研究了中国股票市场和外汇市场之间的互动关系.研究表明股票市场和外汇市场之间不存在长期均衡关系,但存在股票市场到外汇市场的短期单向引导关系.基于二元GARCH-BEKK模型和Wald检验,发现股票市场与外汇市场之间存在双向的波动溢出效应.     

股指期货投资者结构对股市波动的实证研究

本文应用添加了外生变量的GARCH模型研究股指期货市场投资者结构对股指期货市场波动性的影响,为了研究股指期货市场与股票市场间的波动溢出效应,本文在GARCH模型中加入交叉ARCH效应项和交叉GARCH项,直接研究了股指期货市场与现货市场的双向波动溢出效应,间接研究了股指期货市场投资者结构套期保值强度增加对股票市场风险波动有抑制作用,并建议政府在权衡市场流动性和稳定性后制定鼓励套期保值者的规则和政策。     

基于美德经验的极端风险溢出效应检验

本文运用GARCH模型和主成分分析方法,从分析极端风险溢出机理出发,实证研究国际金融危机前后美国股票市场、债券市场及金银市场对德国股票市场的风险溢出效应,发现标准普尔500指数对德国法兰克福DAX指数日收率不仅存在极端风险溢出效应,且在金融危机前后的三个时期都存在风险溢出效应;而美国13周国债指数日收益率对德国法兰克福DAX指数日收益率在金融危机前后的三个时期都不存在风险溢出效应;费城金银指数的日收益率只在金融危机时期对德国法兰克福DAX指数日收益率产生风险溢出效应,即仅存在极端风险溢出效应。     

国际油价与人民币汇率的非对称溢出效应研究--基于VEC-BEKK-GARCH模型

石油作为重要的战略能源,其价格波动对全球经济的运行和发展会产生极大的影响。为测算国际油价与人民币汇率的均衡关系及非对称溢出效应,选取2008年1月~2019年7月的每日数据,在平稳性检验的基础上,综合运用协整检验和脉冲响应函数等方式,对二者的均值溢出效应进行测量;在VECBEKK-GARCH模型的支撑下,对其非对称波动溢出效应水平进行测算。研究结果表明:国际油价与人民币汇率的协整关系和均值溢出效应处于长期均衡状态;二者的非对称波动溢出效应是双向的,国际油价会随人民币汇率的变化呈现出时变性和持续性特征,而国际油价变动具备持续性特征时,人民币汇率随之产生变化。这种非对称波动溢出效应表明,无论国际油价如何变化,对人民币汇率的冲击都是非对称的。     

Optimal Futures Hedging Under Multichain Markov Regime Switching

Most of the existing Markov regime switching GARCH‐hedging models assume a common switching dynamic for spot and futures returns. In this study, we release this assumption and suggest a multichain Markov regime switching GARCH (MCSG) model for estimating state‐dependent time‐varying minimum variance hedge ratios. Empirical results from commodity futures hedging show that MCSG creates hedging gains, compared with single‐state‐variable regime‐switching GARCH models. Moreover, we find an average of 24% cross‐regime probability, indicating the importance of modeling cross‐regime dynamic in developing optimal futures hedging strategies. © 2012 Wiley Periodicals, Inc. Jrl Fut Mark 34:173–202, 2014     

Forecasting Recession and Slow-Down Probabilities with Markov Switching Probabilities as Right-Hand-Side Variables

Forecasting the likelihood of recessions and slow-downs is an important issue for many who use economics in business. While there has been a large and growing body of literature on the likelihood or recessions, there has been little on slow-downs.. This paper presents a new method that uses Markov switching probabilities as right-hand-side variables. The advantages of doing so are described, as are the results of empirical work. These results suggest that the approach presented here is worth adding to economists’ tool kits.     

Aggregate Australian Takeovers: A Review of Markov Regime Switching Models

This article reviews the case of modeling merger waves in the Australian market for the period 1972–2004. Three Markov switching models are examined, the Gaussian AR(1), Poisson AR(1), and State‐Space autoregressive moving average (ARMA) (1,1), to find which gives the best fit. The State‐Space Markov switching ARMA(1,1) model is found to be the best for describing Australian takeover activity as estimation results based on it have a lower Bayesian information criterion score than the other two models. Each model's ability to predict a ‘wave’ is then tested by including its estimated probability in a macroeconomic model to explain merger activity. The State‐Space model also performs better because the inclusion of its estimated probability substantially increases the explanatory power of the regression model (measured by the regression adjusted R²). In addition, it predicted a takeover wave in 2009, which was closer to the actual incidents of takeover activity in the market at that time than the predictions of the other two models. The results are robust when the measure of takeover activity is changed from the number of takeover bids to the proportion of takeover bids relatively to the number of exchange‐listed companies. JEL classification: G34, C32.     

物价波动路径的非线性与非对称性研究

基于汉米尔顿(1989)提出的马尔科夫区制转移模型,利用中国和吉林省居民消费价格指数的时间序列数据,建立具有马尔科夫区制转移自回归模型来刻画吉林省物价波动的动态特征.通过分析发现,吉林省物价波动具有明显的“区制转移”特征,可以分为“低物价”和“高物价”两个阶段,两个阶段之间的转移具有非对称性;1996年以来,吉林省出现了两次“低物价”阶段和三次“高物价”阶段;“低物价”和“高物价”阶段的持续性均较强,吉林省物价波动具有很强的惯性.全国物价波动具有非线性特征对吉林省物价波动具有重要影响,应该在充分分析国家宏观经济态势的基础上,综合利用货币、财政和产业等政策积极调控吉林省物价波动.     

我国医疗保健行业股指收益率波动特征与杠杆效应

本文运用SWARCH模型分析了我国医疗保健板块收益率的波动,并将医疗保健板块收益率与上证综指、深证成指收益率的SWARCH模型的估计结果进行比较,得出以下结论:医疗保健指数收益率序列呈现出低、中、高三种波动状态,样本区间主要分布于中波动状态,低波动状态的平均持续期最长、中波动状态的平均持续期居中、高波动状态的平均持续期最短,医疗保健指数收益率波动杠杆效应显著;我国股市医疗保健板块收益率波动状态之间的差异高于沪深综指波动状态的差异,医疗保健指数收益率与沪深综指收益率区制转移趋同,但存在着细微差异;医疗保健指数收益率各区制间转移相对频繁,每种波动状态的平均持续期较短,股市医疗保健板块收益率对新信息的反应更为敏感。     

Inflation and Output Growth Dynamics in South Africa: Evidence from the Markov Switching Vector Autoregressive Model

This paper introduces the possibility of asymmetry in the reaction of output growth to inflation shocks in South Africa by making use of the Markov-switching vector autoregressive model. Using quarterly data from 1969Q1 to 2013Q4, the empirical finding suggests that the reaction of output growth to inflation shocks is not only regime dependent but is also contingent on how the monetary authority reacts to such shocks. Two important regimes are identified; the high and low inflation volatility regimes. Consistent with the signal extraction theory, the output effect of inflation shocks is found to be significantly lower in the high inflation volatility regime compared to the low inflation regime.     

The Impact of Brand Delisting on Store Switching and Brand Switching Intentions

A tool retailers often use to improve their negotiating position with brand manufacturers is to delist - or threaten to delist - the manufacturers’ brand. Because brand manufacturers rely mainly on retailers to sell their products to consumers, a brand delisting will cause a sales loss for the brand manufacturer. Therefore, many brand manufacturers feel enormous pressure to give in and improve buying conditions to favor the retailer. The question thus emerges: Can a brand manufacturer resist a retailer's threat to delist its brand(s)? If a brand delisting severely hurts retail sales, it is easier for a brand manufacturer to resist. The authors study the impact of brand delistings on store switching and brand switching using a controlled online experiment and in-store shopper survey. They develop and test a conceptual model with several antecedents of consumers’ reactions to a brand delisting and conclude that brand equity, market share, and the products’ hedonic level drive store and brand switching.