我国股市波动趋势分析与预测——基于马尔科夫区制转换模型

股市波动状态和趋势分析,既可以为投资者投资行为提供信息,又可为监管部门市场调控提供决策参考。文章通过多个检验指标选择最优马尔科夫区制转换模型对我国股市波动状态和未来趋势进行分析。研究发现我国股市大部分时候以熊市和平稳市场为主,牛市出现的频率虽然比较低但是持续时间却比较长。我国股市状态在熊市和平稳市间容易出现相互转移,从平稳市场转变为熊市的概率明显高于转变为牛市的概率。从当前的股市状态情况来看,我国股市在未来一定时期内仍然以熊市为主,随着熊市状态的持续平稳市场出现的概率将逐渐加大。     

我国货币政策是否关注资产价格？--基于马尔科夫区制转换BEKK多元GARCH模型北大核心CSSCISSCI

本文借鉴并扩展现有宏观经济模型,导出含有多种资产价格关注特征的货币政策规则。然后分别将房地产、股票价格以及金融状况指数(FCI)作为资产价格变量,使用包含马尔科夫区制转换的BEKK多元GARCH模型来研究我国货币政策对资产价格的反应,以捕捉货币政策的时变特征。研究发现:(1)货币政策对资产价格的关注具有马尔科夫区制转换特征;(2)使用综合性的FCI指标,效果要优于使用单一的房价指数或股价指数;(3)货币政策仅在资产价格波动剧烈时才对其进行关注,在其他时期仍符合传统泰勒规则,仅关注产出缺口和通货膨胀率。分时段检验发现以上结论是稳健的。这说明,央行确实关注了资产价格并体现出维护金融稳定的宏观审慎管理特征。     

企业债“信用价差之谜”的最新研究与未来展望

企业债的信用价差和预期违约损失之间的巨大差异，正在引起人们对“信用价差之谜”的日益关注。对“信用价差之谜”的代表性解释之一为信用价差分解理论，该理论的最新研究已经触及到了税收、风险溢价和流动性溢价等方面；代表性解释之二为信用风险分散困境理论，包括系统风险的不可分散性和可分散风险的难以分散性。此外，对“信用价差之谜”的探讨已经从发达债券市场过渡到新兴债券市场，并仍有待于进一步的研究。     

人民币汇率与RCEP国家货币汇率联动及其成因——基于马尔科夫区制转换模型的实证分析

本文将我国推进人民币国际化进程与境外自贸区建设相结合,从人民币汇率的区域影响力角度研究人民币的国际化地位。通过两区制FTP-MS和TVTP-MS马尔科夫区制转换模型,实证分析人民币汇率与RCEP区域10个目标经济体货币汇率间的联动关系。实证研究发现：人民币汇率不仅影响RCEP区域内新兴经济体货币汇率的波动,还会在一定程度上影响新西兰等发达经济体货币汇率的波动,且人民币汇率对这些货币汇率的影响具有明显的时变性区制转换特征。本文建议,我国政府应充分发掘RCEP红利空间,积极支持人民币在RCEP区域内发挥融资货币、结算货币和储备货币作用,成为该区域的“货币锚”,并在亚太区域经济一体化过程中进一步推动人民币国际化进程。     

人民币名义汇率与中国通胀的区制转换特征研究

我们通过扩展巴拉萨—萨缪尔森假说,对名义汇率升值和通胀的相互替代作用进行了理论解释,并使用马尔科夫区制转换模型研究了1983年1月至2010年11月间人民币/美元汇率和中国通胀率的时间序列行为。经验研究显示,在缩小中美之间价格差距的过程中,结构性通胀与名义汇率升值有着相同的作用。人民币外在升值压力与国内通胀并存的问题,对于宏观经济平衡和货币政策制定者来说,既意味着机遇,也意味着挑战。我们认为,通胀与名义汇率升值的合适政策搭配会降低人民币升值预期,并逐步缓解人民币升值压力。     

经济周期、通货紧缩与信用萎缩北大核心

本文从经济周期角度入手进行分析 ,发现了我国经济中通货紧缩、经济周期、复杂结构性矛盾以及信用萎缩之间高度的逻辑一致性现象 ,并在以下几方面突出了自己的看法 :( 1 )提出新的周期划分方法 ,进而判断我国总体的通货紧缩大致发生在朱格拉周期的尾声 ;( 2 )论证了我国经济中决定经济周期的结构性矛盾的多层次传递特征 ,为寻找可行的经济运行轨迹提供了相应对策思路 ;( 3)分析了因金融体制改革滞后所引致的信用萎缩及其长短期效应以及培育和发展民营中小金融机构的必然性。     

基于信用价差结构的最优对宏观经济预测模型的研究

在已有研究的基础上,本文改进了基于信用价差的宏观经济预测模型,首次将不同信用等级企业债的信用价差引入模型,并利用中国国内银行间债券市场交易数据进行实证检验。结果表明,相对于不区分信用等级的企业债信用价差,AA级与AAA级企业债间信用价差的线性组合对宏观经济变量变动具有较强的解释和预测能力;相对于基于利率期限结构的宏观经济预测模型,本文构建的基于信用价差的预测模型的预测效果更好。本文同时构建了基于协整理论的长期均衡模型,进行了脉冲响应分析,结果表明长期企业债信用价差对宏观经济变动的解释和预测能力较稳定。     

货币政策冲击对股票市场流动性的影响——基于Markov区制转换VAR模型的实证研究

本文首先对货币政策影响股市流动性的机理进行分析,在此基础上,尝试构建了一个新的股票市场流动性指标,通过引入MS-VAR模型,考察了货币政策在不同区制下对股市流动性的动态影响。基于MSIH(3)-VAR(4)模型和累积脉冲响应的结果表明,货币政策扩张有助于提高市场流动性,货币政策收紧,会导致市场流动性降低。但在不同区制下,影响程度存在显著差异,当股市处于膨胀期时,货币政策冲击对市场流动性的影响比股市处于低迷期时表现得更加明显。同时,股市收益率和股市波动率对股市流动性也存在显著影响。     

我国外汇市场压力研究——基于马尔可夫区制转换方法

本文基于1996~2010年月度数据,采用马尔可夫三区制转换模型对人民币外汇市场压力进行了区制识别,并考察了货币扩张、通货膨胀、外汇储备、经济增长及人民币名义有效汇率变动5个变量在不同区制及区制转换过程中的动态变化情况。实证结果表明,MSIH(3)-VAR(1)模型能较好识别人民币外汇市场压力区制,人民币外汇市场经历了适度升值压力区制、贬值压力区制及较强升值压力区制三个阶段;其中,外汇储备是外汇市场压力区制转变的关键因素,较强升值压力区制向其他两种区制转换过程中会伴随着汇率的升值和外汇储备的减少。     

货币政策的信贷渠道:基于“金融加速器模型”的中国经济周期分析

本文在一个带有金融加速器的DSGE模型中讨论了我国宏观经济波动背后的信贷因素,并检验了金融加速器模型对我国宏观经济波动的解释能力。在此基础上,本文进而分析了货币政策通过信贷因素对我国宏观经济的影响。本文分析的结果表明,受信贷市场中不对称信息的影响,宏观经济变量都表现出较大的波动性,模型模拟出的产出、实际利率和投资等主要变量的相对标准差都与实际经济数据相似;同时,脉冲响应分析的结论显示,相对产出等其他变量,货币政策对于价格水平和通货膨胀有着更好的控制力。从这个意义上说,本文的研究也为我国货币政策的目标明确了方向。     

A Multifactor Model of Credit Spreads

We represent credit spreads across ratings as a function of common unobservable factors of the Vasicek form. Using a state-space approach we estimate the factors, their process parameters, and the exposure of each observed credit spread series to each factor. We find that most of the systematic variation across credit spreads is captured by three factors. The factors are closely related to the implied volatility index (VIX), the long bond rate, and S&P500 returns, supporting the predictions of structural models of default at an aggregate level. By making no prior assumption about the determinants of yield spread dynamics, our study provides an original and independent test of theory. The results also contribute to the current debate about the role of liquidity in corporate yield spreads. While recent empirical literature shows that the level and time-variation in corporate yield spreads is driven primarily by a systematic liquidity risk factor, we find that the three most important drivers of yield spread levels relate to macroeconomic variables. This suggests that if credit spread levels do contain a large liquidity premium, the time variation of this premium is likely driven by the same factors as default risk.     

Nonlinear Effects of Mortgage Spreads Over the Business Cycle

This paper provides robust evidence for the nonlinear effects of mortgage spread shocks during recessions and expansions in the United States. Estimating a smooth-transition vector autoregression (STVAR) model, we show that mortgage spread shocks hitting in a recessionary phase create significantly deeper and more protracted declines in consumption and housing market variables. In addition, we provide evidence that these mortgage spread shocks could be largely interpreted as credit supply shocks in the mortgage market. Our empirical results imply that unconventional monetary policy, such as the Federal Reserve's mortgage-backed security purchase program, would be a more effective tool for stabilizing the economy during recessions than in expansions.     

Anchoring on Credit Spreads

This paper documents that the path of credit spreads since a firm's last loan influences the level at which it can currently borrow. If spreads have moved in the firm's favor (i.e., declined), it is charged a higher interest rate than is justified by current fundamentals, whereas if spreads have moved to the firm's detriment, it is charged a lower rate. We evaluate several possible explanations for this finding, and conclude that anchoring to past deal terms is most plausible.     

Credit Spreads in Illiquid Markets: Model and Implementation

This paper presents a methodology for estimating a family of credit spread term structures in a market with few transactions. The authors propose partitioning the market into risk classes and modeling credit spread term structures for each risk class using a multifactor Vasicek model with some common and some risk class-specific factors. The approach uses information on the cross section and time series of corporate bonds in all the risk classes to estimate the term structure of credit spreads in each risk class. The model is jointly estimated using an extended Kalman filter and implemented using Chilean corporate and government bonds.     

基于完整经济周期的商业银行贷款损失准备计提

金融危机的产生过程表明:商业银行的信贷投放行为及其贷款损失准备的计提具有明显的顺周期特征.这导致商业银行在经济繁荣期减少贷款损失准备金的计提,在经济萧条期反而不得不大量计提拨备,从而大大增加了其在经济衰退期的风险水平.巴塞尔协议下的风险管理机制只是一种微观风险管理机制.要降低银行面临的系统性风险就要建立起反周期的着眼于规避宏观经济周期性风险的贷款损失准备金制度.     

Credit Spreads and Monetary Policy

We consider the desirability of modifying a standard Taylor rule for interest rate policy to incorporate adjustments for measures of financial conditions. We consider the consequences of such adjustments for the way policy would respond to a variety of disturbances, using the dynamic stochastic general equilibrium model with credit frictions developed in Cúrdia and Woodford (2009a) . According to our model, an adjustment for variations in credit spreads can improve upon the standard Taylor rule, but the optimal size of adjustment depends on the source of the variation in credit spreads. A response to the quantity of credit is less likely to be helpful.     

基于拒绝推论的小企业信用评分模型研究

在小企业信用评分模型的构建中,因数据缺失和样本选择性偏差可能导致模型参数估计有偏,对模型的预测能力和应用会有很大影响。本文利用从万德数据库中筛选出的小企业信息资料,模拟银行信贷筛选,产生带有缺失数据的模拟信贷样本,利用Heckman二阶段模型预测新的信用评分模型,将其结果与忽略缺失数据的审查模型和基于完全信息的标准模型进行比较。结果显示,Heckman二阶段模型的表现优于直接忽略缺失样本数据的审查模型,更接近标准模型的结果。这表明拒绝推论能够有效解决信用评分建模中数据缺失导致的样本选择偏差,提高信用评分模型的有效性和预测能力。     

Limited Investment Capital and Credit Spreads

Using proprietary credit default swap (CDS) data, I investigate how capital shocks at protection sellers impact pricing in the CDS market. Seller capital shocks—measured as CDS portfolio margin payments—account for 12% of the time‐series variation in weekly spread changes, a significant amount given that standard credit factors account for 18% during my sample. In addition, seller shocks possess information for spreads that is independent of institution‐wide measures of constraints. These findings imply a high degree of market segmentation, and suggest that frictions within specialized financial institutions prevent capital from flowing into the market at shorter horizons.     

Market and Model Credit Default Swap Spreads: Mind the Gap!

Structural models of default establish a relation across the fair values of various asset classes (equity, bonds, credit derivatives) referring to the same company. In most circumstances such relation is verified in practice, as different financial assets tend to move in the same direction at similar speed. However, occasional deviations from the theoretical fair values occur, especially in times of financial turmoil. Understanding how the dynamics of the theoretical fair values of various assets compares to that of their market values is crucial to a number of market participants. This paper investigates whether a popular structural model, the CreditGrades approach proposed by Finger (2002) , Stamicar and Finger (2005) , succeeds in explaining the dynamic relation between equity/option variables and Credit Default Swap (CDS) premia at individual company level. We find that CDS model spreads display a significant correlation with CDS market spreads. However, the gap between the two is time varying and widens substantially in times of financial turbulence. The analysis of the gap dynamics reveals that this is partly due to episodes of decoupling between equity and credit markets, and partly due to shortcomings of the model. Finally, we observe that model spreads tend to predict market spreads.