A wavelet analysis of capital markets’ integration in Latin America

The continuous wavelet transform analysis may provide a rich and flexible framework for the analysis of time series which exhibit less stable statistical properties, such as the ones describing the dynamic trajectory of capital markets. In contrast to the Fourier analysis, wavelet transform preserves information on both time and frequency. We provide a summary of the most important features of this framework. By involving the concept of coherence as well as its partial and multiple forms, we analyse the connections between Santiago Stock Exchange, Mexican Stock Exchange and BM&FBOVESPA São Paulo Stock Exchange, for a time span which covers the 23 September 2003–12 March 2014 period. We highlight the existence of several significant forces of regional integration and of a short- to medium-run synchronization process between these markets. We conclude that deeper structural and institutional reforms are required in order to enhance the sustainable development and more profound integration of these markets.     

房地产价格变动中的汇率因素分析

在构建了适合中国国情的房地产价格与汇率关系模型的基础上,利用该模型并结合2000年第三季度至2008年第二季度的最新数据,对中国35个城市房地产价格与汇率的关系进行实证研究。研究结果显示,汇率对房地产价格有负影响,这与理论和当前实际情况都比较相符,说明人民币汇率已能发挥一定经济调节的功能。     

中国利率波动性对失业影响的研究

利率波动性是衡量利率变动整体效果的指标,从实证角度搞清楚利率波动性对失业的影响,并比较利率波动性和利率水平对失业影响的大小程度,对于货币政策调控宏观经济具有重要意义。我国利率波动性对失业的影响是反向的,并且存在一个时滞效应,只有滞后两期的利率波动性才会显著地对当期失业产生影响,这一影响要大于当期利率水平对失业的影响。利率波动性可作为我国货币政策监控的一个重要指标。     

The Political Economy of Real Exchange Rate Behavior: Theory and Empirical Evidence for Developed and Developing Countries, 1960–2010

Empirical results of testing the PPP hypothesis have constantly shown that relative prices do not converge to the same level, either in the short or the long run. Therefore, the PPP explanation of the real exchange rate does not provide a reasonable measure of competitiveness at the international level. This article puts forth a different approach based on the works of Ricardo, Marx, Harrod and Shaikh. It argues that the real relative unit labor cost is the main factor explaining the long-run behavior of the real exchange rate. The second section of the article explains the theoretical underpinnings of our approach. The third section analyzes the role of the real interest rate differential in explaining real exchange rate misalignments. In the fourth section, we present a graphical analysis of the interrelation among the real effective exchange rate, the real unit labor cost ratio, the short-run real interest rate differential and the trade balance for 16 OECD countries, Taiwan and three developing countries for the period 1960–2010. The fifth section investigates the long-run relationship between the latter three indexes through co-integrating and error correction models using the ARDL–ECM framework. The last section provides our conclusions.     

Impact of oil price shocks on output,inflation and the real exchange rate: evidence from selected ASEAN countries

This article analyses the impact of oil price shocks on real output, inflation and the real exchange rate in Thailand, Malaysia, Singapore, the Philippines and Indonesia (ASEAN-5) using a Structural VAR model. The cointegration tests indicate that the macroeconomic variables of these countries are cointegrated and share common trends in the long run. The impulse response functions reveal that oil price fluctuations do not impact the ASEAN-5 economies in the long run and much of its effect is absorbed within five to six quarters. The variance decomposition results further assert that with a few exceptions oil price shocks do not explain a significant variation in any of the variables under consideration. We also identify a very unique pattern of response to oil price fluctuations between Malaysia and Singapore and between the Philippines and Thailand. The pairs exhibit a high degree of similarity in their responses; they do not share any commonalities across the group.     

On the Transmission Mechanism of Monetary Constraints to the Real Side of the Economy

Contrary to the predictions of the theory underlying international finance, inflows of capital triggered by financial liberalisation have neither equalised real interest rates nor increased income growth in many emerging economies. We explain this puzzle by developing a model that combines the balance‐of‐payments constraint approach to economic growth with a less stringent version of the real interest rate parity hypothesis. The model’s foundations are based on robust empirical findings or well‐established macroeconomic models. We show that a perverse combination of income elasticities of demand for imports and exports generates slow income growth and high real interest rates. As domestic income grows and imports rise faster than exports, the real exchange rate is expected to depreciate in order to clear the balance of payments (or the foreign exchange rate market). An incipient capital outflow arises and interest rates increase. Faster adjustment in capital rather than in the goods market therefore generates a higher real interest rate differential between the domestic small open‐economy and the rest of the world. The long run analysis shows that a constant degree of risk aversion implies a positive equilibrium real interest rate differential that affects economic growth. A permanent increase in default risk driven by persistent current account imbalances thus impacts on long run growth. The model’s results are illustrated with evidence from the three major Latin America economies: Argentina, Brazil and Mexico.     

我国利率变动对股票价格影响效应的实证分析

变动利率通常是各国中央银行最常用的货币政策工具,而利用利率调节股票市场价格也是各国央行经常使用的政策方法。利率变动通过对投资者和上市公司的影响而传导到股票价格。对中国的实证分析表明我国利率变动与股票价格有一定的影响作用,但由于二者之间的传导机制存在问题,所以这种影响的具体效应是不确定的。     

General equilibrium with trade balance and real interest rate parity

This paper demonstrates, in the context of a two-sector OLG neoclassical growth model, conditions under which international trade in consumption goods alone may be sufficient for the equalization of real returns to physical capital across countries; that is, under which commodity arbitrage is sufficient for real interest rate parity (RIRP). This role for repeated commodity arbitrage is established via a dynamic extension of the factor price equalization (FPE) theorem which is valid at all dates comprising the equilibrium path as well as its steady state. The results are at odds with the conventional view regarding RIRP which arises from open one-sector growth models, in which case steady state trade balance and RIRP are irreconcilable, and are also a contradiction to frequent assertions of lon-run specialization in two-sector frameworks. An equilibrium path for an integrated world economy yields an endogenous, time-variant cone of diversification which implies sufficient conditions for the dynamic paths of a cross-section of economies to exhibit FPE, and hence RIRP with trade balance, at all points in time. These conditions require that the savings rates and initial capital-labor ratios of individual countries do not deviate too significantly from world averages, and that both sectors absorb capital easily. The first of these requirements is sufficient to establish steady state FPE and RIRP in the general specification. The first two requirements are sufficient for the entire equilibrium path to be characterized by FPE and RIRP in a log-linear example. Received: September 22, 1998; revised version: February 10, 2000     

住房空置率对住宅价格的影响分析

住房空置率一直是房地产业所关注的问题,在对住房空置率进行学术界定和对我国现阶段住房空置率实际状况进行分析的基础上,结合交易价格对均衡价格的换算理论,对住房空置率与房地产价格的影响进行量化分析,提出政府可通过完善房地产市场信息披露制度、完善土地供应机制和引导房地产业的投资结构,企业提高开发质量来控制住房空置率。     

On Money and Output in the Euro Area: Is Money Redundant?

This paper examines the relationship between money and future movements in output at business-cycle frequencies in the euro area. Importantly, the evidence suggests that the money stock is found to significantly affect output independent of the real interest rate. This finding supports the argument made by Meltzer (2001) Meltzer, A. H. 2001. “The transmission process”. In The Monetary Transmission Process: Recent Developments and Lessons for Europe, Edited by: Deutsche, Bundesbank. 112–130. London: Palgrave.  [Google Scholar] that the effects of monetary policy actions on the real economy are not fully captured by the short-term real rate.     

“物价闯关”带给利率市场化的启示：原则、基础与方法

利率市场化是中国金融改革攻坚克难的重要领地,也是政界学界热切关注的焦点所在。目前,从国外实践案例汲取改革经验的文献不可胜数,但从国内历史角度寻求改革规律的研究较少。拟从后一思路出发,梳理中国20世纪八九十年代经历的商品价格市场化改革,并将之与正在进行的利率市场化比较研究。归纳总结了以渐进式改革为原则,以培育市场化的经济主体为基础,以契合政治经济形势、惩治腐败、加强试点、敢于反复为方法的改革经验,为利率市场化的后续推进和经济体制改革的持续深化建言献策。     

利率平价理论评析

利率平价理论是阐述国内外利率水平差异对一国货币汇率起决定作用的基本学说。国内外许多学者对该理论进行了研究,但对于利率平价理论在不同国家成立与否得出了不同的结论。对国外不同发展阶段的利率平价理论进行梳理,并把国内学者对该理论的研究归纳为利率平价理论的适用性、利率-汇率联动性、模型修正等,可以发现,引入资产价格因素对利率平价理论进行拓展并在此基础上进一步深化中国金融体制改革,可以为货币政策制定者提供具有理论价值和应用价值的政策指导。     

淮安市房地产投机度测量研究

选取城镇居民人均可支配收入、短期贷款利率、房地产价格实际增长率这三个影响房地产价格的主要因素,建立房地产投机度检验模型,运用e-views软件对淮安市房地产投机度进行回归分析,进而以此判断淮安市房地产市场的投机度是否严重,以期为相关部门制定房地产政策提供一些参考。     

1990年以来我国城镇真实失业率有多高?

我国政府一直没有公布城镇的真实失业率,而学者的估计往往在统计口径上不一致,方法上也还存在一定的缺陷。利用第五次人口普查资料,作了定量比较。以现有资料推算我国真实的失业率,失业人数调整法比失业率调整法更为科学,并通过线性回归法得到调节系数。我国目前城镇的真实失业率为8.8%,失业人员总量低幅增长,失业率已持续下降。     

中国真实利率的平稳性和区制性:基于马尔科夫区制转换模型

通过引入三种均值方差都可能不同的区制,并基于改进的马尔科夫区制转换模型对1989年2月至2010年4月中国真实利率演变的考察,结果表明不同阶段的真实利率的确存在不同的均值和方差;考虑到区制转换特征之后,真实利率大体平稳,有均值回复趋势。而以往的应用中,忽略了这种区制转换特征可能导致对真实利率预测值的系统性偏差。     

How useful is the concept of the natural real rate of interest for monetary policy?

The natural rate of interest plays a key role in Wicksell's‘cumulative process’ as well as in modern monetaryequilibrium models of the business cycle. It constitutes a usefulconcept for the theoretical analysis of the interdependenceof monetary policy and economic fluctuations. However, the usefulnessof this concept for the practice of monetary policy is limited—especiallyowing to the fact that the natural real rate of interest andits law of motion cannot be measured with satisfying precision.     

The ‘real’ explanation of the PPP puzzle

This article shows that global financial markets cannot, by themselves, achieve net transfers of financial capital and real interest rate equalization across countries and that the integration of both global financial markets and global goods markets is needed to achieve net transfers of capital and real interest rate equalization across countries. Thus, frictions (barriers to mobility) in one or both of these markets can impede the net transfer of capital between countries, produce the Feldstein and Horioka (1980) finding of high-saving-investment correlations and prevent real interest rates from being equalized across countries. Moreover, frictions in global goods markets can explain why real exchange rates deviate from purchasing power parity (PPP) for extended periods of time and can therefore also explain the PPP puzzle. Consequently, we are able to resolve two of Obstfeld and Rogoff’s (2000) ‘6 major puzzles in macroeconomics’ with essentially the same explanation.     

Technological Innovations and the Interest Rate

We build a dynamic general equilibrium model that adds a banking sector to the standard RBC model. We look at the response of the real interest rate to innovations in the banks' technology and in the nonbank firms' technology. While technological innovations in the nonbanking sector put upward pressure on the interest rate, technological innovations in banks exert downward pressure on the interest rate. This implies that, if the technological innovations in banks are strong enough, stochastic simulation experiments generate negative correlations between the real interest rate and current and future values of real output. This is especially significant because negative correlations between the interest rate and output are a key post-war U.S. business cycle fact difficult to replicate in benchmark dynamic models.     

The natural rate of interest and the output gap in the euro area: a joint estimation

The notion of a natural real rate of interest, due to Wicksell (Interest and prices. Macmillan, London Translation of 1898 edition, 1936), is widely used in current central bank research. The idea is that there exists a level at which the real interest rate would be compatible with output at its potential level and stationary inflation. Such a concept is of primary concern for monetary policy because it provides a benchmark for the monetary policy stance. This paper applies the method suggested by Laubach and Williams (Rev Econ Stat 85(4):1063–1070, 2003) to jointly estimate the natural real interest rate and the output gap in the euro area using data from 1960 onwards. Our results suggest that the natural real rate of interest has declined gradually over the past 40 years. They also indicate that monetary policy in the euro area was on average stimulative during the 1960s and the 1970s, while it contributed to dampen the output gap and inflation in the 1980s and 1990s. The views expressed in this paper are those of the authors and do not necessarily reflect the opinions of the institutions to which they are affiliated. We are grateful to Siem Jan Koopman for very helpful suggestions and comments. We also thank P. Cour-Thimann, V. Curdia, F. Drudi, S. McCaw, D. Rodriguez-Palenzuela, R. Pilegaard, H. Pill, L. Stracca, T. Laubach, J. C. Williams and the participants of an ECB workshop on natural interest rates.