1980-2006年东亚经济波动的原因——基于面板VAR的分析

东亚经济波动及其协同性的存在已得到学术界的认同,文章通过构建面板向量自回归模型,检验了6种冲击对东亚经济波动的影响,并考察了宏观经济各变量在面时冲击时的动态反应,以及汇率和通货膨胀对经济波动的传导作用.研究表明,国内的供给冲击、汇率冲击,国外的利率冲击、需求冲击都会对东亚经济波动产生较大影响,汇率是外部冲击的重要传导渠道,而通胀是内部冲击的重要传导渠道.随着东亚经济一体化进程的推进和金融市场不断开放,东亚各经济体对外部需求变动和世界利率变动所产生的冲击应予以重视.     

Impact of state-dependent oil price on US stock returns using local projections

In this paper, we investigate the impact of oil prices on both aggregate and industry US real stock returns over the period 1973–2017. The empirical analysis contributes to the related literature introducing a state-dependent oil price (high and low) and the local projections approach. Our main finding is that, depending on the nature of the shock and industry, the negative effects of oil price shocks become exacerbated -and the positive effects get moderated- if oil prices are already high.     

Security design,market risk and round quotes in the treasury bond market

Prior literature finds that the tendency of price-endings to cluster on rounder fractions increases with price volatility. We estimate the separate influences and relative importance of the determinants of price volatility, security design and market risks. Our data is from a market setting that is ideal for isolating and studying the relations of interest. Results for both quote and trade prices indicate that the tendency to use round price-endings increases with both a security’s inherent risk, attributable to security design, and variation over time in market risks. Security design influences clustering more than market risks, but market risks are influential in determining clustering once security design is fixed. The estimated effects are strongest in the on-the-run market segment where liquidity facilitates the aggregation of information into price.     

Codetermination,Price Competition and the Network Industry

This research develops a tractable two‐stage non‐cooperative game with complete information describing the behaviour of price‐setting firms that must choose to be profit maximisers or bargainers under codetermination in a network industry with horizontal product differentiation. The existing theoretical literature has already shown that codetermination might arise as the endogenous market outcome in a strategic competitive quantity‐setting duopoly. In sharp contrast with this result, the present article shows that codetermination does never emerge as a Nash equilibrium in a price‐setting non‐network duopoly. Then, it aims at highlighting the role of network externalities in determining changes of paradigm of the game and letting codetermination become a sub‐game perfect Nash equilibrium when prices are strategic substitutes or strategic complements. This equilibrium may be Pareto efficient. Results allow distinguishing between mandatory codetermination and voluntary codetermination. The article also proposes a model of endogenous codetermination according to which every firm may choose to bargain with its own corresponding union bargaining unit only whether the firm's bargaining strength is exactly the profit‐maximising one. The equilibrium outcomes emerging in this case range from a uniform Nash equilibrium, in which both firms are codetermined, to mixed Nash equilibria, in which only one of them chooses to be codetermined. These results are ‘network depending’ and do not hold in a non‐network duopoly.     

Pro-cyclical effect of sovereign rating changes on stock returns: a fact or factoid?

This article examines the effect of changes in sovereign credit ratings and their outlook on the stock market returns of European countries at different phases of business cycle. Using standard four-factor model, it records a significant average marginal effect of credit rating announcements on stock market returns. Both magnitude and significance of the effect vary with business cycle and across announcement types. However, we do not find evidence of pro-cyclical effect of sovereign rating and outlook changes on stock returns. Our results show that stock markets react more negatively to rating downgrades in recovery phases and more positively to rating upgrades in contractionary period. Both results are statistically significant and robust to various sensitivity tests.     

Asymmetric effects of industrial production,money supply and exchange rate changes on stock returns in Turkey

The aim of this article is twofold: First, it examines the asymmetric effects of industrial production, money supply and RER on stock returns in Turkey by using the non-linear autoregressive distributed lag (NARDL) model over the periods of 1994:01–2017:05 and 2002:01–2017:05. Second, it tries to determine whether there is a change of these macroeconomic variables’ effects on stock returns after the 2001 financial crisis since after 2002 period represents a structural break from the past in terms of economic, political and macroeconomic policy approaches. The study finds that the effects of the changes in industrial production, money supply and RER on stock returns are asymmetric, and the asymmetries are larger after the 2002 subsample compared to the full sample period. The empirical results further suggest that tight monetary policies appear to retard the stock returns more than easy monetary policies that stimulate them.     

Information in stock prices: the case of the 2016 U.S. presidential election

On the day before the 2016 U.S. presidential election, the odds of Hillary Clinton winning the presidency, according to political prediction markets, were above 90%. Surprisingly, Donald Trump won the Electoral College handily. In this study, we examine how movements in specific stock prices foreshadowed the eventual outcome. Specifically, we conduct a series of standard event-study tests focused on pharmaceutical companies, which became a focal point during the presidential campaign. Results show that while stocks of pharmaceutical companies significantly underperformed the market prior to the election, prices substantially increased beginning three days before the election outcome. This increase is both statistically significant and economically meaningful and robust to various event-study methodologies. These results suggest that some sectors of the stock market seemed to anticipate the election outcome.     

Real estate prices and systemic banking crises

The collapse of real estate prices has historically jeopardized banking stability and triggered systemic banking crises. This paper studies risk contagion in a banking system in real estate price shock by adopting complex network theory. Modelling the real estate-related asset as a common exposure of banks to the real estate market, we propose a model that incorporates two main risk contagion channels, i.e., the financial network and asset fire sales, and reveal how the real estate price shock is transmitted and propagated across banks. We demonstrate that banking stability is highly sensitive to the real estate price shock. Moreover, due to the particularly low liquidity of the real estate market, the asset fire-sales of real estate assets overwhelms the financial network, playing the dominant role in risk contagion. Our model can be adopted by regulators to conduct stress testing and to forge effective risk management strategies.     

Oil price and automobile stock return co-movement: A wavelet coherence analysis

This paper explores possible co-movement between oil price and automobile stock return in a joint time-frequency domain. Daily price series from August 01, 1996 to June 20, 2017 is used in this analysis. The results indicate that the co-movement between oil price and automobile stock return is strong during November, 2000–December, 2002 and March, 2006–December, 2009. The co-movement is found to be more pronounced in the long-term and stock return is sensitive to the higher oil price emanating from the demand shock. This contravenes the conventional wisdom that crude oil is always counter-cyclical to the automobile stocks. For investor, this weakens the probable gain from including oil asset in a portfolio of automobile stocks as crude oil does not offer cushion against bearish automobile stock markets during the crisis period.     

Revisiting global economic activity and crude oil prices: A wavelet analysis

Based on the wavelet analysis approach, this paper firstly examines the dynamic relationship between global economic activity (proxied by the Kilian economic index) and crude oil prices in both time- and frequency-domains. Our empirical results demonstrate significant correlation between crude oil prices and global economic activity at high frequencies (in the short run) during the entire sample period; however, the co-movement between the two at low frequencies (in the long run) is weaker and exists only during certain proportions of the sample period. We also document evidence that global economic activity and oil price are positively correlated, with dynamic lead-lag relationships across time. Our findings are robust to alternative choices of oil price indexes and controlling for other confounding factors such as geopolitical risk, armed conflicts, economic policy uncertainty and equity market uncertainty. The current study provides valuable implications for oil market investors based on the information of global economic situation and its dynamic relationships with oil prices.