Learning,Monetary Policy,and Asset Prices

We explore the stability properties of interest rate rules granting an explicit response to stock prices in a New Keynesian DSGE model where the presence of non‐Ricardian households makes stock prices nonredundant for the business cycle. We find that responding to stock prices enlarges the policy space for which the equilibrium is both determinate and E‐stable (learnable). In particular, the Taylor principle ceases to be necessary, and determinacy/E‐stability is granted also by mildly passive policy rules. Our results appear to be more prominent in economies featuring a lower elasticity of substitution across differentiated products and/or more rigid labor markets.     

Monetary policy and financial stability: What role for the futures market?

This paper examines interactions between monetary policy and financial stability. There is a general view that central banks smooth interest rate changes to enhance the stability of financial markets. But might this induce a moral hazard problem, and induce financial institutions to maintain riskier portfolios, the presence of which would further inhibit active monetary policy? Hedging activities of financial institutions, such as the use of interest rate futures and swap markets to reduce risk, should further protect markets against consequences of unforeseen interest rate changes. Thus, smoothing may be both unnecessary and undesirable. The paper shows by a theoretical argument that smoothing interest rates may lead to indeterminacy of the economy's rational expectations equilibrium. Nevertheless, our empirical analysis supports the view that the Federal Reserve smoothes interest rates and reacts to interest rate futures. We add new evidence on the importance for policy of alternative indicators of financial markets stress.     

货币反替代对我国汇率和资产价格的影响分析——基于人民币国际化进程的视角

随着我国人民币国际化的推进,货币反替代程度不断增强。这种反替代深化势必对我国的汇率和资产价格产生影响。基于SVAR模型,利用2005~2013年的月度数据,应用脉冲响应和方差分解研究货币反替代对人民币汇率、股票和房地产的影响,实证研究表明,货币反替代对人民币汇率有“放大效应”,对房地产市场的影响程度要大于对股票市场的影响程度。     

Risks for the long run: Estimation with time aggregation

The discrepancy between the decision and data-sampling intervals, known as time aggregation, confounds the identification of long-, short-run growth, and volatility risks in asset prices. This paper develops a method to simultaneously estimate the model parameters and the decision interval of the agent by exploiting identifying restrictions of the Long Run Risk (LRR) model that account for time aggregation. The LRR model finds considerable empirical support in the data; the estimated decision interval of the agents is 33 days. Our estimation results establish that long-run growth and volatility risks are important for asset prices.     

Liquidity,assets and business cycles

The objective here is to evaluate the quantitative importance of financial frictions in business cycles. The analysis shows that a negative financial shock can cause aggregate investment, employment and consumption to fall with output. Despite this realistic comovement among macro quantities, a negative financial shock generates an equity price boom as the shock tightens firms׳ financing constraint. This counterfactual response of the equity price is robust to a wide range of variations in how financial frictions are modeled and whether financial shocks affect asset liquidity or firms׳ collateral constraints. Some possible resolutions to this puzzle are discussed.     

Stock and Bond Liquidity and its Effect on Prices and Financial Policies

An asset is liquid if it can be traded at the prevailing market price quickly and at low cost. We show that in addition to risk, liquidity affects asset prices and returns. Theories of asset pricing suggest that the expected return of an asset is increasing in its risk, because risk-averse investors require compensation for bearing more risk. Because investors are also averse to the costs of illiquidity and want to be compensated for bearing them, asset returns are increasing in illiquidity. Thus, asset prices should depend on two asset characteristics: risk and liquidity. This paper surveys research on the effects of liquidity on asset prices and returns, showing that liquidity is an important factor in capital asset pricing.     

Universal bounds for asset prices in heterogeneous economies

We establish universal bounds for asset prices in heterogeneous complete market economies with scale invariant preferences. Namely, for each agent in the economy we consider an artificial homogeneous economy populated solely by this agent, and calculate the “homogeneous” price of an asset in each of these economies. Dumas (Rev. Financ. Stud. 2, 157–188, [1989]) conjectured that the risk free rate in a heterogeneous economy must lie in the interval determined by the minimal and maximal of the “homogeneous” risk free rates. We show that the answer depends on the risk aversions of the agents in the economy: the upper bound holds when all risk aversions are smaller than one, and the lower bound holds when all risk aversions are larger than one. The bounds almost never hold simultaneously. Furthermore, we prove these bounds for arbitrary assets.      

我国商业银行利率风险的理论与实证分析

随着利率管制的放松 ,利率风险日益成为我国商业银行面临的重要风险。文章从理论和实践角度对我国商业银行利率风险状况进行了分析 ,并就我国商业银行利率风险管理面临的障碍进行了探讨。     

Market liquidity, asset prices, and welfare

This paper represents an equilibrium model for the demand and supply of liquidity and its impact on asset prices and welfare. We show that, when constant market presence is costly, purely idiosyncratic shocks lead to endogenous demand of liquidity and large price deviations from fundamentals. Moreover, market forces fail to lead to efficient supply of liquidity, which calls for potential policy interventions. However, we demonstrate that different policy tools can yield different efficiency consequences. For example, lowering the cost of supplying liquidity on the spot (e.g., through direct injection of liquidity or relaxation of ex post margin constraints) can decrease welfare while forcing more liquidity supply (e.g., through coordination of market participants) can improve welfare.     

The Dividend Pricing Model: New Evidence from the Korean Housing Market

It is generally conceded that dividend pricing models are poor predictors of asset prices. This finding is sometimes attributed to excess volatility or to a dividend process manipulated by firm managers. In this paper, we present rather powerful panel tests of the dividend pricing relation using a unique data set in which dividends are set by market forces independent of managers' preferences. We rely on observations on the market for condominium dwellings in Korea—perhaps the only market in which information on dividends and prices is publicly and continuously available to consumers and investors. We extend the “dividend-price ratio model” to panels of housing returns and rents differentiated by type and location. We find broad support for the dividend pricing model during periods both before and after the Asian Financial Crisis of 1997–1998, suggesting that the market for housing assets in Korea has been remarkably efficient. Previous versions of this paper were presented at the Hong Kong-Singapore International Real Estate Research Symposium, August 2004, Hong Kong and the meeting of the Hong Kong Economic Association, January 2005. We are grateful for the comments of Ashok Bardhan, Yuming Fu, Chinmoy Ghosh, Lok Sang Ho, Charles Ka Yui Leung, Sau Kim Lum and Seow Eng Ong. Son's research was supported by the Konkuk University and Hwang's research was supported by the National University of Singapore.     

利率变动周期与商业银行绩效的实证研究

利率风险的计量、评估、监控是银行市场风险管理的重要内容。科学分析利率波动与银行收益之间关系,进而了解银行资产负债期限特征及利率风险管理水平,对实现我国商业银行资产负债管理科学决策,提升利率风险管理水平意义重大。本文采用Flannery的部分调整模型对我国上市银行的利率风险管理进行长时间窗口实证分析,结果表明:样本银行呈“借短贷长”的资产负债期限特征,利率变动期内其资产负债管理并未为银行带来实质收益,利率风险管理水平有待提高。     

利率市场化对商业银行的影响

本文以最近一次央行提高利率为文章的切入点,对利率市场化的本质和内涵进行了讨论,通过对我国利率市场化进行及预期目标的分析,提出了利率市场化对商业银行经营的影响.     

Has U.S. monetary policy tracked the efficient interest rate?

Interest rate decisions by central banks are universally discussed in terms of Taylor rules, which describe policy rates as responding to inflation and some measure of the output gap. We show that an alternative specification of monetary policy, in which the interest rate tracks the Wicksellian efficient rate of return as the primary indicator of real activity, fits the U.S. data better than otherwise identical Taylor rules. This result holds for a variety of specifications of the other ingredients of the policy rule, including the output gap, and of private agents׳ behavior.     

信贷与资产价格关系研究——来自中国房地产市场的证据

货币政策与资产价格之间的关系一直以来都是学术界研究的重点,但从房地产信贷视角分析房地产价格的文献却相对较少。本文基于多元MGARCH—BEKK模型和GRACH均值方程模型分析了房地产信贷、货币供应量与房地产价格的波动相关性以及它们的各种波动对房地产价格的影响。研究发现,房地产信贷增长的波动能影响房地产价格的增长,而货币供应量的波动,对房地产价格增长影响不显著。同时实证分析显示在对房价的调控中,房地产信贷的调控是抑制房价波动的一个工具选项。以银行信贷为主的货币供应量已经不能全面反映社会的流动性状况。与货币供应量相比,社会融资总量指标与实体经济指标的联系更加紧密。     

人民币升值预期、资产升值预期与热钱流入——基于适应性预期理论的实证分析

本文以2005年7月21日人民币汇率形成机制改革以来的宏观经济形势为背景,着重考虑了这段时间以来国内普遍存在的两种预期:人民币升值预期和资产升值预期,并以此为切入点建立了热钱流入与上述两种预期的适应性预期计量模型;根据汇率改革以来相关数据,在估算热钱流入量的基础上运用广义矩估计方法定量分析了人民币升值预期、资产升值预期与热钱流入之间的关系,进一步分析并阐述了两种预期形成过程中的特征和问题;最后本文根据实证结果提出了相关政策建议。     

利率扭曲与资产泡沫

本文在一般均衡的框架下,分析实际利率被扭曲时资产价格的表现。主要贡献是,为中央银行刻意压低实际利率的政策建模,并分析它对资产价格的含义。我们发现,当中央银行调整货币政策目标、压低实际利率的时候,具有抵押价值的资产,其价格会上升,从而产生资产价格泡沫。利率被扭曲的后果可以表述为,金融体系不可能同时达到以下三个政策目标:持续压低的实际利率、自由的按揭贷款,以及合理的资产价格。