Unconventional monetary policy and financialization of commodities

Our paper has two stages of analysis. First of all, we examine whether volatility spillover between US equity and commodity markets has significantly changed with the heavy influx of index traders in commodity derivatives markets, which is a phenomenon referred to as financialization. Given that previous findings show institutional traders enter into commodity markets at high liquidity episodes, in the second stage of our analysis, we investigate the particular impact of US quantitative easing policy on spillover between commodity and US stocks. Our results indicate that during financialization period, spillover from stocks to commodities have significantly increased for almost all commodities. More importantly, we show that quantitative easing is one of the underlying reasons for increasing volatility spillover between markets. Including interest rate, currency factors or default spread does not diminish the explicit role of quantitative easing on spillovers.     

The Myth of Market Neutrality: A Comparative Study of the European Central Bank’s and the Swiss National Bank’s Corporate Security Purchases

ABSTRACT

Monetary policy operations in corporate security markets confront central banks with choices that are traditionally perceived to be the prerogative of governments. This article investigates how central bankers legitimise corporate security purchases through a comparative study of the European Central Bank (ECB) and the Swiss National Bank (SNB). As we show, central bankers downplay the novelty of corporate security purchases by relying on familiar pre-crisis justifications of Central Bank Independence. Citing an ideal of ‘market neutrality’, central banks present corporate security purchases as pursuing a narrow objective of price stability and obfuscate their distributive consequences. In this way, central bankers depoliticise corporate security purchases: they reduce the potential for choice, collective agency, and deliberation concerning both the pursuit of corporate security purchases and the choices made in implementing these policies. We also describe the undesirable democratic, social and environmental dimensions of these practices, which we propose to address through enhanced democratic accountability.     

Risk assessment along the gas pipelines and its application in urban planning

With the rapid development of industry in China, the number of gas pipelines that are proposed or under construction is increasing year by year. Accidents such as fire, explosion, and toxic diffusion inevitably happen, which often cause a large number of casualties and property losses. It is increasingly important to analyze the risk along the gas pipelines realistically and to suitably plan, and utilize the surrounding land based on the risk analysis results, thereby reducing the hazards. A theoretical system for risk assessment along the gas pipelines is proposed in this paper. Risks of various major accidents are considered together, superposition effect is analyzed. After the individual risk distribution is obtained, risk zones are divided according to corresponding individual risk value of HSE, and land-use planning suggestions are proposed. Finally, a natural gas pipeline in China is used as an example to illustrate the risk assessment process and its application in urban land-use planning. The proposed method has a certain theoretical and practical significance in establishing and improving risk analysis along the gas pipeline and urban land-use planning.     

Toward integrated water and agricultural land management: Participatory design of agricultural landscapes

One of the great challenges of developing sustainable water management is to integrate water and land use issues, and to favor stakeholders’ involvement in the process of designing a solution to the specific issues of water basins. This study aims to help reach these objectives: we present the outcomes of a methodology that aims to design, with stakeholders of a watershed facing quantitative water management issues, alternative agricultural landscapes that they each consider as potential solutions. Our design approach combines (1) facilitation of participatory workshops for designing changes in cropping systems and their spatial distributions at the landscape level with (2) formalization of these alternatives in a GIS. The formalized alternatives provide precise information about fields, farms and areas concerned by the designed changes. We present two sample results of this methodology implemented in a 840 km² irrigated landscape located in a water-deficient watershed in southwestern France. We discuss how our design approach may be useful for a wider design-and-assessment methodology involving researchers and stakeholders with conflicting interests. We show that our co-design approach provides fertile ground for the emergence of salient, credible and legitimate change options.     

A quantitative theory of the gender gap in wages

This paper measures how much of the gender wage gap over the life cycle is due to the fact that working hours are lower for women than for men. We build a quantitative theory of fertility, labor supply, and human capital accumulation decisions to measure gender differences in human capital investments over the life cycle. We assume that there are no gender differences in the human capital technology and calibrate this technology using wage–age profiles of men. The calibration of females assumes that children involves a forced reduction in hours of work that falls on females rather than on males and that there is an exogenous gender gap in hours of work. We find that our theory accounts for all of the increase in the gender wage gap over the life cycle in the NLSY79 data. The impact of children on the labor supply of females accounts for 56% and 45% of the increase in the gender wage gap over the life cycle among non-college and college females, while the rest is due to the exogenous gender differences in hours of work.     

An information-based model of target stock price runup in the market for corporate control

The stock price runup of target firms in the market for corporate control has been anecdotally attributed to inside trading. Moreover, the empirical merger and acquisitions literature documents a time-varying level and duration of the stock price runup of target firms. Using a market microstructure approach, we model stock price runup as a stochastic process that shifts between a random walk without drift and a predictable process dependent on a parsimonious set of state variables. Consistent with the market microstructure literature, predictability in prices can be exploited only by the informed trader. The model is capable of explaining the complex stylized facts observed in stock price runup. It is also consistent with the merger wave literature, as we find that capital liquidity, economic growth, and market valuations drive the complex dynamics of stock price runup.     

The profitability of pairs trading strategies: distance,cointegration and copula methods

We perform an extensive and robust study of the performance of three different pairs trading strategies—the distance, cointegration and copula methods—on the entire US equity market from 1962 to 2014 with time-varying trading costs. For the cointegration and copula methods, we design a computationally efficient two-step pairs trading strategy. In terms of economic outcomes, the distance, cointegration and copula methods show a mean monthly excess return of 91, 85 and 43 bps (38, 33 and 5 bps) before transaction costs (after transaction costs), respectively. In terms of continued profitability, from 2009, the frequency of trading opportunities via the distance and cointegration methods is reduced considerably, whereas this frequency remains stable for the copula method. Further, the copula method shows better performance for its unconverged trades compared to those of the other methods. While the liquidity factor is negatively correlated to all strategies’ returns, we find no evidence of their correlation to market excess returns. All strategies show positive and significant alphas after accounting for various risk-factors. We also find that in addition to all strategies performing better during periods of significant volatility, the cointegration method is the superior strategy during turbulent market conditions.     

The central-bank balance sheet as an instrument of monetarypolicy

We extend a standard New Keynesian model to allow an analysis of “unconventional” dimensions of policy alongside traditional interest-rate policy. We find that quantitative easing in the strict sense is likely to be ineffective, but that targeted asset purchases by a central bank can instead be effective when financial markets are sufficiently disrupted, and we discuss the conditions under which such interventions increase welfare. We also discuss optimal policy with regard to the payment of interest on reserves.     

沪深300股指期货跨期套利实证研究——基于真实交易数据的计量分析

沪深300股指期货的上市为股指期货跨期套利研究的实证分析提供了真实的数据基础。本文在对期货套利的概念和种类进行介绍的基础上,构建股指期货跨期套利模型,最后,以沪深300股指期货真实交易数据为基础进行了实证分析,结果显示,目前,国内股指期货市场存在较多的跨期套利机会,市场有效性缺失,并对此结果提出了相应的政策建议。     

美国量化宽松政策的溢出效应及对中国的影响

次贷危机爆发后,美联储为促进经济复苏,采取了扩张性财政政策和货币政策及非常规的量化宽松政策,向经济注入大量的流动性。现行的国际货币体系是以美元为主导的国际货币体系,美元作为国家货币充当国际货币使得位于中心的美国获得了铸币税,而其它国家则更多地承担了通货膨胀和金融危机的成本。当前美国量化宽松货币政策的溢出效应对中国的影响包括通货膨胀、人民币升值压力和外汇储备的损失。