基于GARCH-VaR模型的互联网货币基金风险分析

2013年,以余额宝为首的互联网货币基金产品诞生,它们以互联网为依附,以其独特的营销平台、便利的交易方式、高流动性吸引了大量的客户。目前加入到这个行列中的有支付宝、网易、苏宁、腾讯、百度、京东等公司。互联网货币基金的发展对传统基金行业以至整个金融业都产生了深刻的影响,基于此,对互联网货币基金的发展现状、运作机制以及风险进行分析尤为重要。通过数据统计性检验和ARCH效应检验进行实证分析,能够更有效地分析风险,帮助投资者了解互联网货币基金产品,以便于更好地进行投资。     

钉住汇率制下货币政策有效性分析

本文运用蒙代尔--弗莱明模型分析了在钉住汇率制度下货币政策的有效性问题;提出了我国虽然实行钉住汇率制,但由于目前并没有满足蒙代尔--弗莱明模型所设定的假设条件,所以我国的货币政策目前仍是有效的;最后对我国钉住汇率制度的改革提出了政策建议.     

货币供应量变动对家庭风险资产持有比例的影响研究——基于利率渠道视角

构建跨期投资决策模型,运用CHFS微观数据和相关的宏观数据,基于利率渠道研究了货币供应量变动对家庭金融参与及风险资产持有比例的影响。理论分析表明,货币供应量增加导致货币市场利率降低时,各类风险偏好家庭的金融参与及风险资产持有比例均会提高。实证结果表明：货币供应量变动对货币市场利率的影响较弱,利率渠道可能存在堵塞;货币供应量变动通过利率渠道对风险喜好家庭的金融参与及风险资产持有比例有部分中介效应,但对风险规避家庭有完全中介效应。     

宏观经济形势、管理层激励与营运资金融资策略

营运资金融资策略是企业财务决策的重要内容。利用我国上市公司财务数据实证研究了宏观经济形势、管理层激励与营运资金融资策略三者之间的关系,研究结果表明：从总体上来看,我国上市公司营运资金融资偏于激进;货币薪酬激励会使得企业的营运资金融资策略更稳健,而股权激励会引发管理层做出激进的营运资金融资策略;在宏观经济发展趋势较好时,货币薪酬引起稳健型融资策略的作用减弱,股权激励诱发激进型融资策略的作用增强。     

我国信贷传导机制有效性研究

本文首先对西方信贷传导机制作了简要描述,后对我国的信贷传导机制进行分析,得出:①金融机构对外贷款量以及各类经济主体的固定资产投资额,全社会零售总额基本上不受利率的影响;金融机构对外贷款量受货币供应量的影响较大;②固定资产投资额,全社会零售总额,国内生产总值受金融机构对外贷款量的影响很大,表明了信贷传导机制是我国目前主要传导渠道。为提高信贷传导的效力,需要:①推进金融机构改革;②发展消费信贷;③建立健全中小企业信用担保体系;④加强社会信用体系建设;⑤解决国有企业资金来源单一的局面;⑥促进利率市场化。     

Optimal money growth in a limited participation model with heterogeneous agents

This paper studies optimal money growth in a cash-in-advance production economy with heterogeneity in patience levels and know-how. We show that the rate of deflation suggested by the Friedman rule is limited by the subjective discount rate of the most patient agent in the economy. The output distortion due to cash-in-advance constraints on firms can completely be eliminated by means of the Friedman rule if and only if firms are run by the most patient agents.Received: 16 August 2003, Accepted: 22 March 2005, JEL Classification: D52, D90, E21, E41, E52Parts of this paper were completed while the first and second authors were visiting the University of York and Princeton University respectively. We are thankful for the hospitality of these institutions. The second author also acknowledges the hospitality and support of Bilkent University that he is currently visiting, the support from the Turkish Academy of Sciences in the framework of the ‘Distinguished Young Scientist Award Program’ (TUBA-GEBIP/2004), the grant awarded by the Scientific and Technical Research Council of Turkey (TUBITAK) under the NATO Science Fellowship Program as well as the support from the Center for Economic Design of Bogaziçi University. This paper was presented in the ERC/METU Second International Conference on Economics, Ankara, September 1998, and at seminars in Bilkent, Bogaziçi and Ohio State Universities. We thank, in particular, Emre Alper, Sumru Altug, Huw Dixon, Tatsuro Ichiishi, Ivan Pastine, Murat Sertel and Alan Sutherland for useful comments. We also thank two anonymous referees for comments and suggestions. The views expressed in this paper are those of the authors and do not necessarily reflect that of the Central Bank of Republic of Turkey.     

The Performance of Structural Change Tests

This paper provides analytical and Monte Carlo studies of the effect of different types of structural change (residual variance, process mean and process persistence) on the performance of the Chow/Wald stability test. We focus on the first-order autoregressive model, which has been used to estimate and assess changes in inflation persistence. Our results show that the autoregressive model is a difficult subject for the Chow test.     

Are Indexed Bonds Really Inflation Proof? A Model of Real and Nominal Term Structures when Money has Real Effects

This paper studies the general behavior of the nominal and real term structures of interest rates in a general equilibrium framework. A central bank is introduced in the model as an agent facing a tradeoff between inflation and output and choosing a monetary policy variable. Prices and output are jointly determined in our model endogenously. Two multi-factor nominal and real term structure models are given as examples to illustrate the general model. In our economies, inflation indexed bonds are not completely inflation proof, but are still subject to the influence of inflation uncertainties. The models offer us an empirical framework that can be studied with indexed bond data and nominal bond data together in a single estimation.     

国际货币制度变迁的系统相容性分析

从系统相容性的角度分析国际货币制度变迁的百年历史 ,为关于国际货币制度的探讨提供了一个新的视角和平台。迄今为止的国际货币制度采取的形式都位于相容性模型的解集中。当系统的不相容性累计到一定程度之后 ,系统均衡被打破 ,货币金融危机频仍 ,新的系统则应运而生。实物本位终将为信用本位所取代 ,货币本位的虚拟化不可避免。全球化背景下浮动汇率制将以货币联盟的形式向固定汇率制复归。国际货币制度的最终演进方向是全球统一货币     

当前我国"负利率"现状及货币政策选择

在当前的宏观经济形势下,我国的负利率对居民消费和储蓄、企业投资、商业银行的经营管理和资本市场等具有不同影响。综合考虑这些影响,央行目前不宜提高名义利率,而应该提高宏观经济调控水平,确保经济能够长期健康发展。