货币政策冲击对实体企业投资选择影响的“宿醉效应”

本文研究货币政策冲击对实体企业投资选择的动态影响效应。与传统分析方法不同,本文运用利率衍生品价格数据来识别中国货币政策冲击,利用工具变量局部投影法获得货币政策冲击对微观实体企业投资选择的动态影响效应。研究表明,动态效应呈现出更丰富的信息:货币政策冲击对企业金融资产占比有显著驱动效应,效应大小表现出先升后降趋势,在冲击发生一年半后达到峰值。值得注意的是,货币政策冲击会导致企业货币资金占比在短期内显著减少,而在中长期显著增加。进一步分析表明,货币政策冲击使实业投资和金融投资在短期内都更有利可图,所以在短期内企业倾向于减少货币资金占比,增加非货币金融资产投资和实业投资;政策冲击在中长期对企业资产收益率的提升作用消退,盈余效应使企业在中长期的金融资产占比提高,表现出一定的“宿醉效应”。     

Stock index futures hedging in the emerging Malaysian market

The paper investigates hedging effectiveness of dynamic and constant models in the emerging market of Malaysia where trading information is not readily available and market liquidity is lower compared to the developed equity markets. Using daily data from December 1995 to April 2001 and bivariate GARCH(1,1) and TGARCH models, the paper uses differing variance–covariance structures to obtain hedging ratios. Performance of models is compared in terms of variance reduction and expected utility levels for the full sample period as well as the three sub-periods which encompass the Asian financial crisis and introduction of new capital control measures in Malaysia. Findings show that rankings of the hedging models change for the in-sample period depending on evaluation criteria used. TGARCH based models provide better hedging performance but only in the period of higher information asymmetry following the imposition of capital controls in Malaysia. Overall, despite the structural breaks caused by the Asian financial crisis and new capital control regulations, out of sample hedging performance of dynamic GARCH models in the Malaysian emerging market is as good as the one reported for the highly developed markets in the previous literature. The findings suggest that changes in the composition of market agents caused by large scale retreat of foreign investors following the imposition of capital control regulations do not seem to have any material impact on the volatility characteristics of the Malaysian emerging market.     

外汇储备币种结构理论的研究评述及展望

我国的外汇储备主要以美元为核心,随着近年来美元的不断贬值,我国的外汇储备迅速缩水,因此,加强币种结构管理成为了当前我国外汇储备管理中的最重要一环。本文首先系统地介绍了关于外汇储备币种结构选择的三大理论：资产组合理论、海勒——奈特模型和杜利模型。然后总结了基于以上理论,国内外学者对外汇储备币种结构进行的研究,并指出了现有理论的不足。最后,对今后的研究方向进行了展望。     

对冲基金风险收益特征的实证分析

对冲基金是一种高风险的投资工具.本文采用马科维茨的资本资产定价理论及相关的投资组合风险收益分析工具,对对冲基金的收益和风险特征进行了分析,结果表明:(1)对冲基金全行业平均收益率高于标准普尔和全球债券指数收益率;(2)对冲基金收益率的时间序列不服从正态分布,其三维和四维的分布特征表明其历史收益率虽然出现异常波动的概率较低,但一旦出现,损失很大;(3)对冲基金收益率与代表传统投资工具的股票、债券收益率之间没有稳定的相关性,对冲基金在牛市和熊市都能获得绝对收益.因此,在不考虑数据偏差的条件下,投资对冲基金期望收益更高,但并不比传统投资工具"危险".     

Evaluating the bases of supplier segmentation: A review and taxonomy

A taxonomy of segmentation bases is presented which builds a multi-disciplinary approach to the categorization of suppliers. Supplier segmentation, from a purchasing perspective, still appears to be in the early stages of providing a coherent strategic intent behind supplier assessment. Whilst fragmentary in nature, current portfolio models are grouped into two principal taxonomic constructs of power and dependence and relational factors. In particular, the prevalent use of transaction cost economics (TCE) in portfolio modelling provides a foundation for purchasers to appraise risks from supplier opportunism. We augment existing approaches with reference to inter-organisational theory and the resource-based view to show different modes of inter-firm value creation that act as constituents of a strategic intent for segmentation. Our resulting taxonomy draws together a holistic view of supplier segmentation covering supply market conditions, product/service characteristics, supplier characteristics, buyer characteristics, and buyer-supplier relational factors.     

Efficiency, competition, and the development of life insurance in France (1870-1939): Or: should we trust pension funds?

French life insurance remained underdeveloped in comparison with other countries of similar financial development during the period between 1870 and 1939. We show that technical peculiarities of the contracts used and their interaction with macroeconomic fluctuations explain the wide fluctuations we observe in insurance operations. Nevertheless, these fluctuations are not sufficient to explain the industry’s long-term stagnation. Low returns paid to clients, resulting from very conservative investment strategies, were the main reason for that stagnation, since only those interested by the life-cycle related aspects of insurance contracts continued to put money in these institutions, while most savers invested directly in the market or through State-owned financial institutions. The main reason for such an investment (and then low-growth) strategy is the existence of a set of conservative regulations and a stable oligopoly in the industry from the 1880s onwards. We suggest that established insurance companies were able to impose regulations and barriers to entry blocking the access of competitors to their market, so maintaining a hold on a small but very profitable market.     

Portfolio Optimization in Discontinuous Markets under Incomplete Information

We consider the problem of maximization of expected utility from terminal wealth for log and power utility functions in a market model that leads to purely discontinuous processes. We study this problem as a stochastic control problem both under complete as well as incomplete information. Our contribution consists in showing that the optimal strategy can be obtained by solving a system of equations that in some cases is linear and that a certainty equivalence property holds not only for log-utility but also for a power utility function. For the case of a power utility under incomplete information we also present an independent direct approach based on a Zakai-type equation.      

The social and private micro-level consequences of homeownership

This paper reviews the literature that describes the micro-level economic and social consequences of homeownership. We adopt an interdisciplinary approach and include studies from economics, sociology, geography, political science, psychology, and other disciplines. Our focus is on the set of consequences of homeownership in developed countries. Our list of potential outcomes of homeownership includes the impact on household wealth and portfolio choice, mobility, labor force participation, urban structure and segregation, home maintenance, political and social activities, health, demographics, self-esteem, and child outcomes. There is substantial evidence that homeownership has important effects on some household behaviors and outcomes. However, we find that much of the past 30-year's literature on consequences of homeowning is deficient from a theoretical or econometric perspective. We suggest solutions and identify research gaps present in the literature.