对积极财政政策淡出前的几点思考

积极财政政策的实施应关注挤出效应，递减效应、稀释效应等负效应，依据谈出条件，目前积极财政政策淡出尚早，积极财政政策的实施应适当调整国债的使用方向和重视刺激消费。     

我国汇率和股价因果关系的实证研究

汇率变动与股价变动是否存在因果关系,国外学者进行了大量的研究,而结果不尽相同。在我国原有的固定汇率制下,股价变动与汇率的变动无关。在人民币汇率制度的改革下,我国的股价和汇率之间是否存在一定的因果关系,目前尚没有开展这方面的研究。文章采用协整方法对汇率和股价的长期均衡进行分析,应用格兰杰因果检验方法对它们之间的因果关系进行经验性研究。结果表明,两个变量之间存在着双向的因果关系。     

中国财政政策乘数效应分析

财政政策是逆周期宏观调控的重要举措,财政政策乘数高低体现了宏观政策的效果,对政府决策具有重要的参考价值.本文基于IS-LM的拓展模型,估计得到2002-2017年间的财政支出乘数在0.58到0.67之间,税收乘数在-0.22到-0.18之间,私人投资乘数在1.16到1.8之间,财政支出乘数较以往研究有较大的下降,沿用传统的刺激需求政策不可持续.通过对财政支出乘数传导机制的进一步研究发现,财政支出对居民消费的拉动作用在一定程度上被政府投资对消费的挤出效应所抵消,政府投资对私人投资的带动效应也受到财政支出挤出效应的抵消,宽松货币政策的配合可以减少财政支出挤出效应.最后基于分析给出相关政策建议.     

人民币实际有效汇率对我国对外贸易的影响分析

本文通过利用BIS人民币实际有效汇率数据与对外贸易各指标数据进行了相关分析,通过选定模型,运用协整分析对人民币有效汇率与贸易收支的关系进行探讨,从回归结果分析了贸易结构变量与有效汇率之间存在的关系,且分析人民币实际有效汇率变动对我国对外贸易是否具有时滞效应,即类似J曲线效应的影响。并从回归检验结果分析指出改善国际收支的途径需要结合贸易特点,应该更多地重视贸易结构的改善,采取有效的弹性汇率制度,放大汇率弹性,逐步引导我国外汇市场实行完全的浮动汇率制度。     

人民币实际有效汇率对对外贸易的影响分析

本文通过利用BIS人民币实际有效汇率数据与对外贸易各指标数据进行了相关分析,通过选定模型,运用协整分析对人民币有效汇率与贸易收支的关系进行探讨,从回归结果分析了贸易结构变量与有效汇率之间存在的关系,且分析人民币实际有效汇率变动对对外贸易是否具有时滞效应,即类似J曲线效应的影响。并从回归检验结果分析指出改善国际收支的途径需要结合贸易特点,应该更多的重视贸易结构的改善,采取有效的弹性汇率制度,放大汇率弹性,逐步引导我国外汇市场实行完全的浮动汇率制度。     

东南亚国家财政政策效应地区差异性的实证研究

本文把东南亚地区看作一个整体,将印尼、马来西亚、菲律宾新加坡、泰国和越南分别作为这个整体中的一个区域,运用各经济体1990—2008年的相关数据,通过VAR模型分析了东南亚各国财政政策对经济增长效应以及对通货膨胀推动作用的动态影响机制。研究结果表明。东南亚各国财政政策的经济增长效应存在明显的地区差异性和时滞性,财政政策对通货膨胀的推动作用也存在显著的差异。本文结合研究结论总结出为我国的财政政策能够更好的实施效果的启示。     

中国财政政策有效性再测度：基于宏观经济不确定性指标构建视角

宏观经济不确定性作为环境变量会影响到经济周期、经济运行以及经济政策的调控效果。研究经济不确定性对财政政策有效性的影响关系到积极财政政策的提质增效。本文采用综合指数法，构建中国经济不确定性指数，并将其作为外生变量嵌入一般均衡模型，考察经济不确定性下各类财政政策工具对经济活动的影响，模拟估算不同经济不确定性水平下的消费乘数、投资乘数、净出口乘数和产出乘数。研究结果表明：第一，经济不确定性对财政政策的有效性存在影响。总体上，财政政策的乘数效应在不确定性较高时期普遍大于不确定性较低时期。第二，在较高不确定性水平下，不同财政政策工具的乘数效应存在异质性。第三，财政政策发挥作用存在一定时滞，多数财政政策工具的乘数效应往往在滞后几期才达到峰值，然后出现衰减。     

积极财政政策的可持续性分析

本文分别从当前宏观经济形势、我国政府债务风险和公共部门投资的挤出效应三个方面考察了我国积极财政政策的可持续性。认为我国当前的经济形势下 ,积极财政政策的淡出还为时尚早 ;我国单纯的国债风险并不高 ,但是我国政府的综合债务风险却相当大 ,控制我国综合债务风险的关键是控制存量 ;我国公共部门对民间投资的挤出效应不明显 ,当前民间投资不活跃的主要原因是另一种“挤出效应” ,即对民间投资的歧视和限制 ,要改变这种情况的主要方法是改革     

美国财政和货币政策的困境与出路

本文分析了美国财政和货币政策的局限和困境,并探讨了其政策出路。本文突破了财政政策对私有部门挤出效应的传统分析方法,采用宽松货币和财政政策的交互作用,从更广泛视角分析政府政策的挤出效应;以个人和企业资产负债表在不同时期的状态及调整为框架,并突破货币政策分析将利息作为负债成本的传统方法,将利息也作为资产收益评估政策效果;运用这一框架,并采用"核心GDP"作为经济增长质量和可持续性的指标,分析美国最近财政和货币政策的局限和出路。     

财政政策对宏观经济波动的影响研究——基于金融加速器模型的分析

本文将金融加速器机制嵌入财政DSGE模型,旨在分析当忽视金融加速器时,研究财政政策对宏观经济波动的影响存在哪些不足之处,并进一步探讨了财政政策对资本市场的乘数效应。研究发现,缺乏对金融加速器的考虑,会错估财政政策对经济造成的波动。一方面,会低估劳动收入税、资本收入税以及消费税对经济造成的波动;另一方面,会高估政府支出对经济造成的波动。进一步的乘数效应分析表明,政府支出的乘数效应最大,资本收入税次之,且乘数效应随着金融加速器效应的加强而增大,但增量不明显;另外,政府支出对资产净值具有"挤出效应"。这意味着政府在制定财政政策时,应充分考虑资本市场的金融加速器效应。     

财政政策与利率期限结构:一个经验研究

本文实证研究了我国财政政策对利率期限结构的影响特征。研究结果表明,财政政策与利率期限结构之间具有显著的双向Granger影响关系;财政政策冲击会引起利差变大,利差冲击则会引起财政支出增长率的提高;财政政策对利率期限结构的影响具有明显的时变性特征,影响强度逐渐减弱,并且伴随周期性变动特点;同时这种影响具有明显的非对称性,并且这种非对称性会使利差的波动性减小。因此,本文建议应着重分析利率期限结构中的政策信息,充分利用其政策应用价值。     

Who drives whom ‐ sukuk or bond? A new evidence from granger causality and wavelet approach

Sukuk is a highly appealing alternative instrument of conventional bond in the financial market over the last two decades. To a certain extent, the market players assume sukuk as the same as bond. However, sukuk has its own fundamental asset backed principles, whereas bond is backed by debt. The objective of the study is to examine the Granger‐causality and lead–lag relationship between sukuk and bond by using the data of the Malaysian Government securities return for both conventional and Islamic instruments. The data for every working day of 7 years covering the period from January 31, 2007 to December 31, 2013 were collected from Bloomberg database. The yield returns of both securities have been plotted for each six months of a year. This study applied both Granger‐causality and dynamic co‐movement techniques such as, continuous wavelet transforms (CWT) coherence for analyzing the temporal evolution of the frequency content of both securities by decomposing each period into different time scales. The empirical findings of the paper reveal that with a bit of exception, there is a causal relationship between sukuk securities and conventional bonds for a given period of time. For robustness, this study applied the wavelet coherence approach and found that bond is led by sukuk in the long term investment horizon rather than in the short term. Our findings relating to the lead‐lag relationship between sukuk and bonds have important implications in terms of policy regulations and investment management. Future research and market practices could reinvestigate the differences between these two securities across different markets and types.     

我国货币政策对股票市场收益率影响的实证研究

为检验我国货币政策对股票市场的有效性,本文在经典理论的基础上,运用协整检验、格兰杰因果检验、VECM检验方法,对货币政策与股票市场收益率关系进行实证分析。研究结果表明：货币供应量增长率与股票市场收益率呈正相关关系,但长期内影响效果不显著;利率的调整在短期内对股票收益率的影响较为显著,在长期内则表现为平稳,两者关系符合一般金融理论;进一步地,采用虚拟变量回归模型,分析了货币政策环境变化对收益率大小的影响。笔者根据我国的国情,分析这种传导效应的结果,做出了相应的判断,并对如何解决货币政策对股票市场传导中存在的问题提出了自己的看法。     

我国资产价格波动与通货膨胀关系的理论研究与实证分析

随着次贷危机引发全球性金融危机,学术界对于货币政策是否以及如何对资产价格做出反应的争议再起。本文根据协整分析技术、Granger因果检验方法和误差修正模型,利用1998—2008年中国的季度数据,对资产价格与通货膨胀之间的关系进行了实证研究。实证研究表明：第一,我国资产价格与通货膨胀之间确实存在长期的均衡关系,其中房价变动对通货膨胀的影响大于股价变动对通货膨胀的影响;第二,我国资产价格与通货膨胀之间存在着单向的因果关系,即股票价格与房价上涨是通货膨胀的原因。     

Investor attention and cryptocurrency: Evidence from wavelet-based quantile Granger causality analysis

This paper investigates the relationship between investor attention and the major cryptocurrency markets by wavelet-based quantile Granger causality. The wavelet analysis illustrates the interdependence between investor attention and the cryptocurrency returns. Multi-scale quantile Granger causality based on wavelet decomposition further demonstrates bidirectional Granger causality between investor attention and the returns of Bitcoin, Ethereum, Ripple and Litecoin for all quantiles, except for the medium. Among them, the Granger causality from investor attention to the returns is relatively very weak for Ethereum. In the short term, the Granger causality from these cryptocurrency returns to investor attention seems symmetric, but in the medium- and long- term, the causality shows some asymmetry. The Granger causality from investor attention to these cryptocurrency returns is asymmetric and varies across cryptocurrencies and time scales. Specifically, investor attention has a relatively stronger impact on the cryptocurrency returns in bearish markets than that in bullish markets in the short term.     

Foreign direct investment,exports and economic growth: ADRL and causality analysis for South Africa

The article empirically investigated economic growth as a function of foreign direct investment and exports in South Africa. The article applied the autoregressive distributed lag model, known as the ARDL bounds testing approach to cointegration for the long run relationship between economic growth, foreign direct investment and exports. The error correction model was used to examine the short run dynamics; and the VECM Granger causality approach was used to investigate the direction of causality. The article confirmed cointegration between economic growth, foreign direct investment and exports. The article indicates that both foreign direct investment and exports spur economic growth contrary to some studies, which found that FDI does not cause economic growth. The VECM Granger causality analysis found unidirectional causality between economic growth and foreign direct investment running from foreign direct investment to economic growth, unidirectional causality between foreign direct investment and exports running from foreign direct investment to exports and bidirectional causality between economic growth and exports. The article confirms the FDI-led growth hypothesis for South Africa. On the policy front, the government could stimulate foreign direct investment through incentives to investors, creation of a good macroeconomic environment and a careful utilisation of loose monetary policy to grow the economy.     

Macroeconomic determinants of stock market capitalization in an emerging market: fresh evidence from cointegration with unknown structural breaks

This article explores the macroeconomic determinants of stock market development in an emerging market (Pakistan) over the period of 1974–2010. We have applied Zivot–Andrews unit root test for integrating properties of the variables and the autoregressive distributed lag bounds testing for cointegration. The direction of causality between the variables is investigated by applying the vector error-correction model Granger causality approach. Our results revealed that variables are cointegrated for long run relationship. Economic growth, inflation, financial development and investment increase stock market development, but trade openness decreases it. The causality analysis confirms that stock market development is a Granger cause of economic growth, inflation, financial development, investment and trade openness. This article indicates the importance of trade openness while formulating a comprehensive financial policy.     

银行竞争与经济增长的协整和因果关系分析

文章运用中国1979—2006年的时间序列数据,从中国金融变革路径的角度,分析了经济增长和银行集中度的关系,考虑到中国金融体制改革的轨迹,用非国有银行的信贷余额占整个信贷余额的份额作为银行竞争的指标。利用协整和因果关系分析得出：非国有银行信贷余额的份额和经济增长存在长期的协整关系．其信贷余额的增加能够促进经济增长;非国有银行信贷余额比例的增加是促进经济增长的原因,而反之则不是。说明了由政府主导而不是由市场诱发的中国高度集中的银行体制改革促进了我国经济的发展,尤其在中国的劳动密集型行业大发展阶段。考虑到我国地区发展不平衡及沿海产业转移的背景,本文提出中西部地区应该发展中小银行,而东部地区应该适当加大银行的集中度等政策建议。     

A High‐Frequency Investigation of the Interaction between Volatility and DAX Returns

One of the most noticeable stylised facts in finance is that stock index returns are negatively correlated with changes in volatility. The economic rationale for the effect is still controversial. The competing explanations have different implications for the origin of the relationship: Are volatility changes induced by index movements, or inversely, does volatility drive index returns? To differentiate between the alternative hypotheses, we analyse the lead‐lag relationship of option implied volatility and index return in Germany based on Granger causality tests and impulse‐response functions. Our dataset consists of all transactions in DAX options and futures over the time period from 1995 to 2005. Analyzing returns over 5‐minute intervals, we find that the relationship is return‐driven in the sense that index returns Granger cause volatility changes. This causal relationship is statistically and economically significant and can be clearly separated from the contemporaneous correlation. The largest part of the implied volatility response occurs immediately, but we also observe a smaller retarded reaction for up to one hour. A volatility feedback effect is not discernible. If it exists, the stock market appears to correctly anticipate its importance for index returns.     

中国金融结构与产业结构关系研究

以我国1978～2011年金融结构与产业结构的关系作为研究对象,利用单位根检验、协整关系检验、误差修正模型以及格兰杰因果关系检验等方法,在理论分析的基础上,进行了模型的构造,找出二者之间的长期与短期关系。通过分析发现,二者互为因果,且存在稳定关系。但目前我国两种结构上还存在着滞后经济发展的问题,需要进行结构优化。