Exchange Rate Flexibility and Current Account Adjustment: A Threshold VAR Analysis

Global imbalances (current account imbalances) have become an important issue for economists and policy makers. Greater exchange rate flexibility is often suggested as a means to achieve faster and more efficient adjustment in the current account. However, previous empirical studies show little support for this hypothesis. This paper revisits this issue with a large panel dataset and a threshold VAR model and finds that (1) some existing popular exchange rate classifications may not capture actual exchange rate variability as well as expected; (2) Once exchange rate variability is correctly identified, the speed of mean reversion in the current account balance is indeed higher in a regime with greater exchange rate variability.     

当前资本市场的风险传导机制--基于传染效应的实证分析

本文通过理论模型构建和实证研究,从理论和实证两个方面分析了当前我国股票市场、债券市场等狭义资本市场与银行系统的传染效应,得出其风险相互传递的效应关系结论,并对当前我国资本市场改革时机提出了建议.     

人民币汇率变动对地产指数影响的实证分析

本文采用VAR模型分析人民币汇率与地产指数的内在相互关系,结果显示,汇率变动对地产行业指数波动有一定的滞后影响,但是所表现的脉冲响应波幅较窄;地产行业指数的预测误差方差被汇率变动解释的比例一般较小;房地产作为经济的一个部门具有较强的外生性。     

中国货币政策对股票市场影响的再考察

本文运用DAG方法、VAR模型和马尔科夫转换模型考察了货币政策对股市价格水平的影响,结果表明中短期内货币政策对股票市场价格水平存在影响显著,并表现出较强的非对称效应。股市低迷期的紧缩性货币政策会进一步降低股市收益率,减小股市从熊市转入牛市的概率;相反,股市繁荣期的紧缩性货币政策将增加股市从牛市转入熊市的概率。     

中国A股量价之间动态关系的实证研究

本文采用了VAR模型以及Granger因果检验的方法来考察量价之间的动态相关关系。我们选定1996年12月16日至2008年12月31日作为样本研究区间,实证发现滞后期的交易量和收益对当前期交易量与收益的解释力度存在下降趋势;同时,交易量同收益之间由收益对交易量的单向引导发展为双方互为Granger原因。本文得到的交易模式的动态演变轨迹反映了我国投资者式逐步趋于理性成熟。     

影响我国农业保险发展的多因素实证分析

我国是一个自然灾害发生频繁的国家,每次重大自然灾害都会对我国的农业生产带来巨大的影响。农业保险通过建立对农业损失的补偿机制,在分散农业风险、减少农业灾害损失、增加农民收入等方面都具有重大的作用。本文首先用文献的方法析出影响农业保险发展的因素,然后运用计量工具对影响我国农业保险发展的因素进行了实证分析,得出政府的财政补偿性支出是决定我国农业保险发展的最显著因素。     

中国的通货膨胀:外部冲击抑或货币超发——基于贝叶斯向量自回归样本外预测模型的实证

本文运用贝叶斯向量自回归样本外预测模型分析了中国通货膨胀的诱发因素,发现本轮通货膨胀的最主要原因是近年来中国货币过度发行,而外部冲击则是次要原因。在外部冲击中,国际食品价格变化对中国通货膨胀的影响较大,国际石油价格变化影响较弱。Diebold-Mariano(D-M)检验也表明包含货币供应量的贝叶斯向量自回归样本外预测模型对通货膨胀的预测能力要高于其他模型,开放经济模型对中国通货膨胀分析有较好的适用性。     

Consumption smoothing channels in open economies

Many intertemporal open economy macro models imply a theory of consumption smoothing channels; thus we build an empirical model to analyze the intertemporal smoothing role of saving components (fixed investments, inventories and trade balance) through the use of VAR impulse responses to different types of shocks. We find that for the OECD countries the bulk of intertemporal smoothing has been carried out domestically, via gross fixed investments and inventories, but the trade balance has also played a relevant – albeit volatile – smoothing role. We also characterize the dynamic behavior of each component: the trade balance and inventories are mostly used as short-run smoothing tools while fixed investment provides more and more smoothing over time. We can also address some empirical puzzles, such as the “excess sensitivity of investment” anomaly (Glick, R., Rogoff, K., 1995. Global versus country-specific productivity shocks and the current account. Journal of Monetary Economics, 35, 159–192) and the “saving-investment correlation puzzle” (Feldstein, M., Horioka, C., 1980. Domestic saving and international capital flows. Economic Journal, 90, 314–329).     

Monetary and financial stability in the euro area: Pro-cyclicality versus trade-off

This paper investigates the nexus between monetary stability and financial stability. We examine, in the experience of EMU between 1994 and 2008, first, the response of the term structure of interest rates, share prices, exchange rates, property price inflation and the deposit–loan ratio of the banking sector (our proxies for financial stability) to changes in the consumer price level and ECB policy rate (our proxies for monetary stability); second, whether and to what extent lower inflation has caused share price stability and how ECB policy rate has reacted to inflation. Using a sign-restriction-based VAR approach, we find that there is a pro-cyclical relationship between monetary and financial stability in the long-run. With a positive inflation shock, we find on average a 2% estimated decline in share prices. This suggests that the interest rate instrument used for inflation targeting is conducive to financial stability.     

消费信贷对江苏省经济增长的影响研究——基于期限结构视角

从期限结构视角对江苏省2010—2020年短期消费信贷与中长期消费信贷的发展特点进行分析.采用江苏省2015—2020年不同期限消费信贷余额和GDP的时间序列数据,建立VAR模型.研究结果表明,短期消费信贷与中长期消费信贷均是江苏省经济增长的原因,且中长期消费信贷对经济增长的推动作用大于短期消费信贷对经济增长的推动作用.