日本"泡沫经济"时期的货币与财政政策及其教训

日本80年代后期的"泡沫经济"引起了各国经济理论界与实际部门的重视.本文通过对日本"泡沫经济"形成、发展以及破裂三个时期货币与财政政策的考察,认为"泡沫经济"与宏观经济政策的运用与协调失误有很大关系.在80年代中期,过分强调内外经济协调,导致日元在短时期内急剧升值,为了防止由此而引发的经济衰退,在国内政策上又单纯依赖货币政策,财政政策过于保守;在"泡沫经济"形成与发展过程中,日本银行恪守传统的货币政策目标,在一般物价水平稳定的情况下,忽视了资产价格的上涨及其对经济的影响;在"泡沫"破裂之后,货币政策几乎无所作为,而单纯依靠扩张性财政政策的效果有限.     

STOCK PRICES AND INFLATION

Numerous empirical studies establish that inflation has a negative short‐run effect on stock returns but few studies report a positive, long‐run Fisher effect for stock returns. Using stock price and goods price data from six industrial countries, we show that long‐run Fisher elasticities of stock prices with respect to goods prices exceed unity and range from 1.04 to 1.65, which tends to support the Fisher effect. We also find that the time path of the response of stock prices to a shock in goods prices exhibits an initial negative response, which turns positive over longer horizons. These results help reconcile previous short‐run and long‐run empirical evidence on stock returns and inflation. Also, they reveal that stock prices have a long memory with respect to inflation shocks, such that investors should expect stocks to be a good inflation hedge over a long holding period. JEL Classification: G12     

货币金融政策与产业结构调整

"九五"后期,结构性矛盾已成为影响经济发展的主要障碍.当前经济发展中出现的产品过剩和市场有效需求不足的根源就在于经济发展和三大产业内部存在严重的结构性矛盾.因此,经济结构和产业结构调整将成为"十五"时期我国经济能否持续发展的关键,也将成为"十五"时期我国能否应对"入世"挑战和加快西部开发的重要一环.货币金融政策对于我国经济结构和产业结构的调整有着极为重要的作用,所以"十五"时期,货币金融政策的制定必须以经济结构和产业结构的调整为基础,通过加大有关货币信贷政策工具的有效运用和发展货币市场、资本市场,保持和促进我国国民经济长期健康稳定的发展.     

稳健货币政策灵活适度

宏观政策是稳定经济的重要手段。稳健,就是要保持政策的连续性、稳定性、可持续性。有效,就是要提高政策的针对性、操作性、管用性,抵御经济下行压力,使“六稳”稳得牢、“六保”保得住。日前召开的中央经济工作会议指出,我国经济发展面临需求收缩、供给冲击、预期转弱三重压力。针对这三重压力,会议提出了“七大政策”和“五个认识”。     

DEREGULATION AND THE VOLATILITY OF UK STOCK PRICES

This paper examines the behaviour of the UK stock market for significant changes in volatility over the four years surrounding Big Bang i.e. 27 October, 1986 when the market was substantially deregulated. The main findings are that after Big Bang but prior to Black Monday, the UK stock market was no more volatile than prior to Big Bang, but that after Black Monday, the UK market was more volatile than prior to Big Bang even after adjusting for increases in global volatility.     

THE INTERACTION OF MONETARY POLICY AND STOCK RETURNS

The “irrational exuberance” of the stock market in the late 1990s led to a discussion of the appropriate policy response by monetary authorities. Any response would be contingent on the stock market reaction to policy shocks. In this study, I employ a structural vector autoregression to estimate the response of the stock market returns to innovations in the federal funds rate. The role of the stock market in the Federal Reserve policy rule can also be examined empirically.     

RELATIVE STOCK PRICES AND THE FIRM SIZE EFFECT

A stock's relative price ratio, defined as the ratio of the current price to the average of the highest and lowest prices over some holding period, is shown to be a better predictor of future stock returns than firm size. The price ratio has an even stronger January seasonality than does firm size. After controlling for price ratio variations, firm size has no significant relationship to return. The abnormal returns for the price ratio effect are consistent with those predicted by optimal tax selling considerations.     

INVESTOR RELATIONS, LIQUIDITY, AND STOCK PRICES

Although the first investor relations department was established by General Electric as long ago as 1952, the role of investor relations (IR) is one that has largely escaped scientific analysis and academic scrutiny. This article attempts to demonstrate the importance of a company's IR activities for its stock price by establishing a clear chain of causation between the following:

• (1)

   corporate IR activities and the number of stock analysts who follow the firm;

       
  
  

STOCK RETURNS AND OPTION PRICES: AN EXPLORATORY STUDY

This study is an investigation of estimates of expected stock returns implicit in option data. The Lee-Rao-Auchmuty option valuation model provides a unique opportunity to examine whether return measurements derived by nonlinear estimation techniques show any correlation with future stock returns. During the short period covered in this study, the Lee-Rao-Auchmuty estimates give preliminary indications that they are better predictors of actual stock returns than are estimates obtained from historical data.