Risks and returns in international currency futures

Conclusion This paper analyzed the risk/return level of international currency futures traded on International Monetary Market of Chicago during 1972–1977 period. The empirical results indicate that relative risk and returns for each currency future studied are both close to zero during the sample period. The fact that the beta value for currency futures is close to zero implies its returns are uncorrelated with the market portfolio. Therefore, investors can reduce the risk level of their total portfolio significantly by adding currency futures.     

Seasonality and stock returns: some evidence from Japan

This paper examines the seasonal properties of Japanese stock prices using time series data from 1971 through 1997. Of interest are the influences of particular months of the year, which this study measures for the Tokyo stock price index (TOPIX), and indices that represent companies with large, medium, and small numbers of listed shares. The monthly effects in the various stock indices are confirmed for the total sample period. In contrast, such effects are not found for the latter half of the sample, and seasonal unit roots are rejected for all indices. That is, the seasonality of Japanese stock price indices is found to be deterministic but not stochastic.     

Real currency appreciation in accession countries: Balassa-Samuelson and investment demand

The Balassa-Samuelson effect is often seen as the prime explanation of the continuous real appreciation of Central and East European (CEE) transition countries' currencies against their western counterparts. A simple model shows that productivity shocks work not only through a Balassa-type supply channel but also through an investment demand channel. Therefore, empirical evidence apparently in favour of Balassa-Samuelson effects may require a re-interpretation. The model is estimated for a panel of CEE countries. The results are consistent with the model palusibly explain the observed real appreciation and support the existence of the proposed investment demand channel. JEL no. F31, F41, C33 The paper represents the author's personal opinions and does not necessarily reflect the views of the Deutsche Bundesbank.     

The winner–loser effect in Japanese stock returns

This study examines the winner–loser effect using stocks listed on the Tokyo Stock Exchange (TSE) from 1975 to 1997. We uncover significant return reversals dominating the Japanese markets, especially over shorter periods such as 1 month. No momentum effect is observed, however. The 1-month return reversal remains significant even after adjusting for firm characteristics or risk. While the 1-month return reversal is not related to industry classification, it is partially a result of higher future returns to loser stocks with low trading volume. Our results show that investor overreaction may be a possible explanation for the 1-month return reversal in Japan.     

Money stock control in the EEC countries

Zusammenfassung Kontrolle der Geldbest?nde in den EWG-L?ndern. — Der Aufsatz behandelt das allgemeine Problem, wie die Zuwachsrate der Geldbest?nde vorausgesch?tzt und kontrolliert werden kann unter der Annahme, da\ nur der Multiplikator eine stochastische Variable ist. Relativ einfache statistische Verfahren, bei denen die Ver?nderungen der Multiplikatoren in der Vergangenheit sowie die Ver?nderungen der Geldbasis in der Gegenwart und in der Vergangenheit als erkl?rende Variable verwandt werden, deuten darauf hin, da\ die europ?ischen Zentralbanken ihre monet?ren Ziele nur mit betr?chtlichen Fehlermargen erreicht haben. Diese Fehler k?nnen aber bis auf ein Drittel oder ein Viertel vermindert werden, wenn man statt eines viertelj?hrlichen ein j?hrliches Kontrollverfahren benutzt. Au\erdem sind die Fehler für die Zuwachsraten von M2 kleiner als für die von M1. Drei Aspekte der Arbeit erfordern eine weitere Untersuchung: der drastische Anstieg in der Variabilit?t des Multiplikators seit 1969, der betr?chtliche Unterschied in den Ergebnissen von Land zu Land sowie die Frage, ob die Geldbasis eine kontrollierte Variable ist oder nicht. Ein Strukturmodell oder Transferfunktionen mit mehreren Input-Variablen k?nnen bei der L?sung der ersten beiden Probleme hilfreich sein; eine bessere Kenntnis der Institutionen bei der L?sung des ersten Aspekts.

---

Résumé Le contr?le de stock de monnaie dans les pays de CEE. -Cet article s’occupe avec le problème de prévoir et de contr?ler le taux de croissance du stock de monnaie sous la supposition que seulement le multiplicateur est une variable stochastique. Des procédures statistiques relativement simples, qui utilisent les changements passés des multiplicateurs et les changements courants et passés de la base monétaire comme ressources, suggèrent que les banques centrales européennes devraient accepter les marges significatives d’erreur pour réaliser leurs buts monétaires. Ces erreurs, cependant, peuvent être réduites jusqu’a deux ou trois fois si on se dirige d’une procédure trimestrielle à une procédure annuelle. Additionellement, les erreurs sont plus petites pour les taux de croissance de M2 que pour ceux de M1. Trois aspects de l’étude exigent des investigations additionelles: l’augmentation expressive de la variabilité du multiplicateur depuis 1969, la différence substantielle inter-pays des résultats et la question si la base monétaire est une variable contr?lée ou non pas. Un modèle structurel ou des fonctions de transfert avec plusieurs inputs peuvent être adéquats pour la solution des deux premiers problèmes, une connaissance plus profonde des institutions pour la solution du dernier.

---

Resumen Control de la cantidad de dinero en los países del MCE. —Este trabajo trata el problema de la predictión y el control de la tasa de crecimiento de la cantidad de dinero bajo el supuesto que solamente el multiplicador es una variable estocástica. Procedimientos estadísticos simples que usan como inputs los cambios pasados en los multiplicadores y cambios corrientes y pasados en la base monetaria sugieren que los bancos centrales europeos tendrán que aceptar márgenes de error significativos para alcanzar sus objetivos monetarios. Estos errores, sin embargo, se pueden reducir hasta dos o tres veces en la medida que uno se mueva de un procedimiento de control trimestral a uno anual. Adicionalmente los errores sou menores para las tasas de crecimiento de M2 que M1. Tres aspectos del estudio requieren de investigación adicional: el drástico aumento en la variabilidad del multiplicador desde 1969, la diferencia sustancial de los resultados entre países y el tema de si la base monetaria es una variable controlada o no. Un modelo estructural fonciones de transferencia de inputs pueden sev apropiados para la resoluci?n de los dos primeros problemas; un conocimiento institutional más profundo para el último.

     

The situation in currency markets in the CIS countries in 2009

The situation with currency markets in the CIS countries in 2009 was characterized by considerable fluctuations in national currencies against the background of the major problems in the financial sector, economic recession in most countries, slowing inflation in the consumer market, and deflation in prices of manufactured goods.     

货币供应量作为我国货币政策中介目标的理论基础与实践

一、国际上关于货币供应量作为货币政策中介目标的主要理论以货币供应量作为货币政策的中间目标的理论是随着货币主义理论的兴起而产生和发展的。凯恩斯主义者认为货币政策传导机制以利率为关键环节,货币政策首先引起利率的变化,通过利率传导机制引起投资发生改变,从而引起总需     

The relationship between liquidity and returns on the Chinese stock market

The goal of this paper is to examine the impact of liquidity on returns on the Shanghai stock exchange (SHSE) and the Shenzhen stock exchange (SZSE). We proxy liquidity with the trading volume (TV), the turnover rate (TR), and the trading probability (TP). Using daily data for the period January 1997 and December 2003, we find mixed results on the relationship between liquidity and returns. There is greater evidence of liquidity having a negative effect on returns on the SHSE than on the SZSE. However, this evidence is not robust across the three proxies for liquidity that we use.     

Time variation paths of factors affecting financial institutions and stock returns

This study finds evidence that three risk factors relating to the stock market, bond market, and real estate market are important in explaining the risk premiums included in financial institutions and bank stock returns. Stock returns for insurance companies are not sensitive to changes in the bond market. The Flexible Least Squares (FLS) results indicate that the stock market factor has the most important and stable impact on risk premiums for financial institutions, banks, and insurance companies. The bond market is the primary source of instability in stock returns for these three groups of stocks. This research adds further support for using market discipline, especially as it relates to equity returns to enhance the prudential regulation of the financial sector.     

The Korean stock market volatility during the currency crisis and the credit crisis

This paper studies the volatility of the Korean stock market during the Asian currency crisis of 1997–1998 and the global credit crisis of 2008–2009. We use a fad model with Markov switching heteroskedasticity, which was first proposed by Kim and Kim (1996). Using the monthly data from January 1980 to October 2009, we find that the volatility of the transitory component of the stock return, or fads, increased during the currency crisis, but did not rise much during the credit crisis. It implies that the stock price fluctuations were not driven by irrational sentiments during the recent global crisis as much as during the former crisis. However, when we consider the dollar value of the Korean stock index in order to estimate the volatility that foreign investors confront, we find that the volatility of the transitory component was raised during the credit crisis as well as during the currency crisis. That is, foreign investors experienced greater volatility than domestic investors in the recent financial market turmoil. This asymmetric volatility that domestic and foreign investors face is one of the characteristics of the credit crisis.For more detailed analysis, the same model was applied to the weekly data from January 2005 to October 2009 and provided the result that the data measured by won–dollar exchange rates were more increased than the raw data. It holds that foreign investors confronted much greater volatility than domestic investors while the stock volatility was relatively lower in the credit crisis state than in the currency crisis state.     

多目标:中国转轨时期货币政策的现实选择

在转轨时期,中国国情的特殊性和复杂性以及政府宏观调控的特征决定了货币政策追求多目标具有其客观必然性,是一种现实的选择。中央银行应把币值稳定、经济增长、增加就业、经济结构均衡、国际收支平衡明确纳入最终目标集,并通过确定货币政策的首要目标和次要目标、设定货币政策的长期目标集与短期目标集、以目标区间取代目标单值来增强多目标的协调性。     

论我国货币政策中介目标的适用性及其选择

众所周知,货币政策中介目标是货币政策框架的一个重要环节。中介目标之所以重要,主要有两点原因,一是货币政策作用机理具有滞后性与动态性;二是为避免货币政策制订者的机会主义行为,需要货币当局设定一个名义锚。从1996年以来,我国就正式将货币M1的供应量作为货币政策中介目标,     

Gains and losses from trade when countries differ in public knowledge stock

Following the insight from endogenous growth theory, this paper assumes that countries with advanced production structures have high levels of public knowledge. The purpose of this paper is to analyze whether a developing country should trade with countries that are more or less advanced than itself. It is argued that it is particularly harmful to trade with advanced countries if international transaction costs are high and capital is internationally immobile, in which case welfare may be higher in autarchy than with trade. For low levels of transaction costs, it may be more beneficial to trade with relatively advanced countries, particularly if capital is internationally mobile.     

Volatility of industrial production growth and characteristics of optimal currency areas in EU-12 countries

This paper investigates how the introduction of the euro in the EU-12 countries influenced the short-term volatility of output, measured by the volatility of industrial production growth. It assesses whether more favorable criteria of optimum currency areas keep the volatility of industrial production growth constant. Finally, it investigates the impact of the global financial crisis on the volatility of industrial production growth and on the characteristics of the optimum currency areas of the EU-12 countries. This paper uses the Chow breakpoint test and the Quandt-Andrews test to check for structural breaks in the volatility obtained from ARMA (p,q) and AR(p)-EGARCH(1,1) models. The results suggest that after the introduction of the euro, the volatility of industrial production growth has not significantly changed in Austria, France, Luxembourg, the Netherlands and Spain. However, the volatility of industrial production growth did increase in Finland, Ireland, Italy, Luxembourg and Portugal after the adoption of the common currency. In Germany and Greece the volatility of industrial production increased after 2002 and 1997 respectively. This observation cannot be connected directly to the introduction of the euro. After the beginning of the financial crisis, the volatility of industrial production growth increased in all EU-12 countries except France and Greece. Criteria for optimum currency areas fail to explain why the volatility of some EU-12 countries remained unchanged after the introduction of the euro and after the start of the financial crisis. Those countries, where the volatility of industrial production has not changed significantly after the introduction of the euro, had a long history of fixed or pegged exchange rate regimes. This group of countries recovered faster after the financial crisis.     

Assessing the regulatory process in an international context: Mixed currency SDRS and U.S. bank equity returns

Conclusions This study used the cumulative prediction error methodology to determine if the equity returns of major U.S. banks were affected by the 1974 SDR change. This change by the IMF was viewed as an opportunity to study the adjustment process in international regulation as well as to focus on the policy's net impact. The results strongly support the contention that banks were adversely affected by the change from a dollar-based SDR to a mixed-currency SDR due to the expected increase in lending by the IMF and due to the expectation of inflation and increased exchange volatility.The results also show an expected regulatory pattern of reaction. The primary effect was on the announcement date which had reaction of –0.042 with a test statistic of –14.68. There was a negative drift from day –34 (the announcement day) to day 0 (the implementation day) with the primary decline between days –10 to 0. The implementation date had a smaller, but significant, negative return. These results support those of Davidson [1984] regarding reaction to regulatory change.A key implication of this research is the importance for international monetary agencies to exercise care in implementing policy changes. International repercussions on a country's banking system could occur as a result of a policy change. Evidence from this study indicates that one particular change, namely the recomposition of the SDR, adversely affected the stock values of U.S. banks.     

The usefulness of earnings versus book value for predicting stock returns and cross corporate ownership in Japan

Using a sample of Japanese firms, this paper evaluates the usefulness of the two fundamental products of an accrual accounting system, namely accrual earnings and book value of equity for predicting stock returns. Our analysis shows that both earnings and book value for Japanese firms have the ability to provide for profitable trading strategies or improved portfolio decisions, and that relative to the trading strategy based on earnings or book value alone, the trading strategy based on a combination of both earnings and book value generates substantially higher returns for all cases. This suggests that book value (or earnings) captures certain aspects of equity values that are not captured by earnings (book value). Our multivariate regression results further indicate that the predictive ability of earnings is dominated by that of book value. Finally, it is found that the predictive ability of book value is sensitive to the degree of cross corporate ownership, while it is insensitive to the degree of real estate holding.     

Private capital flows,stock market and economic growth in developed and developing countries: A comparative analysis

Empirically we investigate how three types of private capital flows could promote economic growth in recipient developed and developing countries. Our focus is on the role of stock markets as a channel through which foreign capital flows could promote growth. The findings reveal that FDI exhibits a positive impact on growth, while both foreign debt and portfolio investment have a negative impact on growth in all sample countries. However, our results indicate that stock markets might be a significant channel or leading institutional factor through which capital flows affect economic growth. The findings provide clear implications that the negative impact of private capital flows can be transformed into a positive one if the stock market development has attained a certain threshold level, regardless of whether it is in developed or developing countries.     

Reserve currency consolidation,gold policy and financial flows to developing countries: Mechanisms for an aid-augmented substitution account

This article examines various ways in which the consolidation of reserve currencies through the operation of a Substitution Account may be used to generate additional financial flows to developing countries. Minimum reference is made to current plans and developments and attention is instead focussed on the principal underlying issues. Section 1 describes the basic purpose of a Substitution Account and attempts to put this into the general context of international monetary reform. Section 2 catalogues the central problems that are associated with reserve currency consolidation and illustrates the range of differing versions of a Substitution Account that are available. Section 3 examines various ways in which an Account might be constructed to induce a flow of financial resources to developing countries, while Section 4 attempts to quantify the size of these flows. Section 5 demonstrates how the principle of substitution might also be applied to gold. Section 6 examines the likely acceptability of the various proposals discussed in this paper.