泡沫前后的政府政策选择

在经济全球化的背景下,金融资本的国际化流动不断加强,促成了国际金融市场的联动性和互相影响程度不断加强.而金融市场的迅速发展和资产证券化程度的提高,使得金融对于经济的渗透程度和影响程度加大.伴随着经济周期的扩张和收缩,相应资产价格的泡沫的形成和破灭的过程也对经济产生巨大的影响,政府在这样的不同周期阶段的政策选择对于平滑经济和金融市场风险显得十分重要.文章作者试图探讨政府在泡沫形成期和泡沫破灭期的理性政策选择.     

Tax avoidance and ex ante cost of capital

This study examines the association between tax avoidance and ex ante cost of equity capital. Based on prior research, we develop two proxies for investors’ expectations of tax avoidance and explore whether deviations from those expectations result in higher ex ante cost of equity capital. We find that the ex ante cost of equity capital increases with tax avoidance that is either below or above investor expectations and that the increase is larger for tax avoidance that exceeds investors’ expectations. We then examine whether firms that alter their future tax avoidance exhibit a lowering of their ex ante cost of equity capital and find that tax avoidance decreases (increases) from the prior year for firms that were above (below) investors’ expectations in the prior year. These results are consistent with the trade‐off suggested by the Scholes and Wolfson framework and reinforce the notion that balancing tax benefits and non‐tax costs is an important feature of firms’ tax planning.     

Exchange rate contagion in Latin America

A regular vine copula approach is implemented for testing for contagion among the exchange rates of the six largest Latin American countries. Using daily data from June 2005 through April 2012, we find evidence of contagion among the Brazilian, Chilean, Colombian and Mexican exchange rates. However, there are interesting differences in contagion during periods of large exchange rate depreciation and appreciation. Our results have important implications for the response of Latin American countries to currency crises originated abroad.     

Optimal investment strategies in an international economy with stochastic interest rates

We investigate how investors should optimally choose to invest in a dynamically complete international market. We find closed-form solutions for the optimal investment strategy and for the wealth loss an investor suffers from not investing internationally. Theoretically, we show that the gain from international investment is due to the speculative investment only, and why it is important for an investor from a large economy to invest in a small economy. In a numerical example we compare the wealth losses investors from Denmark and the U.S. suffer due to home bias.     

Disaggregate Real Exchange Rate Behaviour

In this paper, we re-examine the “PPP Puzzle” using sectoral disaggregated data. Specifically, we first analyse the mean reversion speeds of real exchange rates for a number of different sectors in 11 industrial economies and then focus on relating these rates to variables identified in the literature as key determinants of CPI-based real exchange rates, namely: the trade balance, productivity and the mark up. In particular, we seek to understand to what extent the relationships existing at the aggregate level are borne out at the disaggregate level. We believe that this analysis can help shed light on the PPP puzzle.

Labour Market Adjustments to Exchange Rate Fluctuations: Evidence from Canadian Manufacturing Industries

This paper provides some of the first empirical evidence on labour market adjustments to exchange rate movements in Canadian manufacturing industries. Controlling for endogeneity using generalized method of moments estimation, it is found that during the 1981–1997 period, exchange movements have a substantial impact on labour input and that this impact has grown over time as the manufacturing industries have become more exposed to trade. In contrast, the exchange rate effect on real wages is estimated to be virtually zero for all manufacturing industries.

An empirical investigation into the gravitation and convergence of industry return rates in OECD countries

Tests are offered for the hypotheses that sectoral average profit rates and incremental return rates are gravitating around or converging towards a common value. We study data for various OECD countries relying on an econometric method able to account for residual autocorrelation and cross‐sector correlation. Our null hypotheses receive only a mixed empirical support. This is interpreted as the result of various kinds of limitations to capital mobility. Policy implications are discussed.     

央行加息对我国经济运行的影响

金融危机后的我国经济,通货膨胀的趋势日益增强。为了控制这种局面,我国央行从去年10月份开始采取加息的金融政策和手段,来直接影响到膨胀带来的CPI的不良上涨的局势。从经济发展的角度来看,利用加息的手段是不得已为为之的措施。本文通过对我国今年3次加息政策实施,以及对我国资本市场的变化以及对房地产和股市的影响等几方面展开论述,分析了加息手段应用的现实效应和利弊,在对目前即将开展的进一步加息政策提出自己的观点。     

Spatiotemporal Modeling of Asian Citrus Canker Risks: Implications for Insurance and Indemnification Fund Models

Asiatic citrus canker is a disease that poses a significant hazard to commercial citrus production. This article examines spatiotemporal models of the risks of citrus canker transmission. Models evaluate risks and are used to price annual contracts, which would pay producers a prespecified indemnity in the event that their grove is found to be infected with canker. Implications for risk management policy are discussed.     

Testing the null hypothesis of no regime switching with an application to GDP growth rates

This paper presents tests for the null hypothesis of no regime switching in Hamilton’s (Econometrica 57:357–384, 1989) regime switching model. The test procedures exploit similarities between regime switching models, autoregressions with measurement errors, and finite mixture models. The proposed tests are computationally simple and, contrary to likelihood based tests, have a standard distribution under the null. When the methodology is applied to US GDP growth rates, no strong evidence of regime switching is found. I thank Don Andrews, Peter Phillips, Yuichi Kitamura, Anat Bracha, Patrik Guggenberger, Orit Whiteman and three anonymous referees for useful comments and suggestions.