Applying a macro-finance yield curve to UK quantitative Easing

We estimate a macro-finance yield curve model for both the nominal and real forward curve for the UK from 1993 to 2008. Our model is able to accommodate a number of key macroeconomic variables and allows us to estimate the instantaneous response of the yield curve and so gauge the impact of Quantitative Easing on forward rates. We find that 10 year nominal interest rates on average are lower by 46 basis points which can largely be explained by three main channels: portfolio balance; liquidity premium and signalling but there is no sizeable impact on real interest rates.     

A comparison of the information in the LIBOR and CMT term structures of interest rates

We investigate the information contained in the London Interbank Offered Rate (LIBOR) and the U.S. Constant Maturity Treasury (CMT) term structure of interest rates and report three novel findings. First, we document that the information contained in term structures are significantly different from one another. Second, we provide evidence of a significant change in the nature of this difference as the financial crisis began. Third, we find that the significant changes in the information content of CMT and LIBOR are consistent with significant shocks to credit default swap rates and tenor swap rates.     

Inflation and output in New Keynesian models with a transient interest rate peg

A familiar result in the canonical Dynamic New Keynesian (DNK) model is that policymakers constrained by the zero bound can improve outcomes by promising to keep rates low after the zero bound is not binding. We examine a general class of interest rate pegs in a variety of DNK models. Standard versions of the model produce counterintuitive reversals where the effect of the interest rate peg can switch from highly expansionary to highly contractionary for modest changes in the length of the interest rate peg. This unusual behavior does not arise in sticky information models of the Phillips curve.     

我国货币政策对房地产市场的非对称影响——基于CARCH模型的实证分析

以货币政策在时间维度上存在的非对称性质作为研究的切入点,针对货币政策对房地产市场产生的时间非对称效应,利用CARCH模型进行实证分析,考察货币政策对房地产市场的非对称影响。实证结果表明,货币政策对房地产市场存在非对称效应,即存在关于经济周期、传导渠道、政策取向三个方面的非对称形式。     

Determining investment size and local embeddedness under host market uncertainty and growth rates

This study employs a growth options perspective to examine how multinational corporations (MNCs) design their investment attributes under the influence of host market uncertainty and growth rates. It specifically examines MNCs’ decisions on investment size and local embeddedness under host market conditions. Using data on Korean overseas manufacturing subsidiaries, we find that MNCs choose either more-local-embedded small investments or less-locally-embedded large investments under high demand uncertainty and GDP growth rates. We also find that this choice is moderated by host market political risk and competition. Our findings imply that MNCs consider both uncertainty-driven flexibility and growth rate-induced commitment when selecting international investment modes. This consideration allows MNCs to gain flexibility as well as an enhanced ability to expand in the future. This study contributes to the literature on real options and entry modes in the international business area by showing how host market conditions and investment decisions are related.     

浅析央行加息的影响

我国央行越来越重视利率在经济调节中的作用。2006年4月28日，央行宣布再一次加息。本文就是以这次加息为背景，分析此次加息的背景及其对经济的影响。     

论中国利率市场化进程与利率期货的推出

中国利率市场化的进程正在有步骤地加速推进,利率的市场化必然带来利率波动幅度的加大,如果没有有效的利率风险管理工具作为配套机制,必然会影响利率市场化的顺利进展,也影响到整个金融市场应有作用的发挥.发达国家的经验表明,利率市场化要求利率期货作为利率风险管理的机制予以配合,因此,在推进中国利率市场化的进程中应研究推出利率期货交易的问题.利率期货的最主要承载体是国债期货.根据中国目前利率市场化进展的实际情况,从各类经济实体已经或可能面临的利率风险看,对国债期货的需求日渐强烈.本文的主旨是,在论述中国利率市场化进程中,分析各类经济实体所面临的各种利率风险,以及国债期货对于这一风险管理所起的应有作用,从而得出应当推出国债期货的结论.     

日本人为低利率政策及其效应分析

人为低利率政策是日本金融体制的重要组成部分。它通过为民间部门创造租金机会,刺激了民间部门的发展,特别是通过降低企业投资成本,从金融层面有力地支撑了经济的高速增长。然而20世纪70年代以后,由于其形成强的路径依赖,未能随着日本经济结构的变化而及时地被废止,不仅助长了泡沫经济的形成,而且最终导致日本金融危机的爆发。     

利率市场化对保险业的影响及对策

改革开放二十年来,我国在商品价格领域的改革取得了巨大的成就,但资金价格—利率仍然受到管制,这一矛盾随着加入WTO而变得更加突出,因此利率市场化改革势在必行。利率市场化改革对保险业来讲:机遇与风险并存。这就要求保险业积极采取措施来应对利率市场化改革的挑战。     

个人住房抵押贷款的借款人风险分析

个人住房抵押贷款已逐渐成为个人买房的必由选择。对银行和借款人而言,住房消费贷款的长期风险都较高。本文对个人住房贷款中,借款人的潜在风险进行了深入分析,并联系当前实际提出相应的控制、防范风险的措施。