Nonlinearity and time-variation in the monetary model of exchange rates

In this paper we analyze the existence of nonlinear relationships between macroeconomic fundamentals and exchange rates for some major industrialized countries using an error correction model with time-varying parameters for the post Bretton Woods period. We find that inflation rate differentials with respect to the US inflation rate are the driving forces for the nonlinear relationships in the monetary model for exchange rates for the data from Germany, the UK, Canada, France and Italy. In addition to the variables in the traditional monetary model, also the relative interest rates are relevant in determining exchange rate changes only when the inflation differentials are either very large or very small. In contrast to previous studies we find significant long-run effects in the error correction representation of the monetary model for exchange rates when the nonlinear dynamics is taken into account in the analysis.     

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.     

利率决定论的发展和利率市场化的推进

在20世纪30年代之前,西方学者分析了决定和影响利率的实体经济、货币和主观心理等因素,但着重分析实体经济因素。20世纪30年代以来,西方学者又提出流动偏好、可贷基金、债券供求等众多利率决定论的观点,还提出与利率决定有关的IS—LM模型和宏观一金融模型等。要对西方利率决定沦进行总结。要根据利率决定和形成的机理以及社会主义市场经济发展的需要,推进我国利率市场化改革,为此要有较为稳定的宏观经济环境,并深化经济体制改革。     

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.     

基于降息环境下分期还贷利率调整的弹性分析

从央行五次降息,到商业房贷利率下限可打七折,每个购房者都在计算这笔或多或少的息差。这次调整能给购房者以多大的实惠,对于还款的具体偿还过程的本息金额又是怎样的影响,文章基于Excel的分析,对利率调整的弹性进行剖析。     

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.     

资本渐进开放下我国与国际利率的联动分析——基于中国和美国的比较

一般来说,利率在国家间的传导主要有两条渠道:国际贸易间的传导和资本自由流动下的利率平价机制。本文采取分阶段考察,通过建立计量经济学模型,利用单位根检验和协整分析加以验证,发现在资本项目部分开放后,中美利率开始具有联动效应,作用方式又具有自身的特点。目前资本项目开放度不够高是阻碍我国同世界利率联动的主要原因。     

预期寿命、生育率变动与基本养老保险统筹账户调整

在构建三期世代交叠模型的基础上,通过选取相关制度指标来模拟分析在未来预期寿命和生育率变动下,基本养老保险统筹账户如何基于参数调整来维持收支平衡。研究结果表明：（1）我国居民预期寿命增长过快,统筹账户收支平衡受预期寿命变化影响较大;（2）在现阶段的预期寿命和生育率条件下,统筹账户能实现自身收支平衡,而且可在短期内通过阶段性降低缴费率来促进制度长远发展;（3）在长期内需通过提高缴费率或降低养老金替代率来保证统筹账户收支平衡,预期寿命为87.828岁且总和生育率为1.79作为参数调整临界点;（4）以现有制度设计为基准,参数调整临界点之前保证35%的基础养老金平均替代率不降,临界点之后保证20%的缴费率不升可以最大程度促进经济和社会发展。     

Impacts of short-term interest rates on stock returns and exchange rates: Empirical evidence from EAGLE countries

In this study, we estimate Bayesian vector autoregression (BVAR) and time-varying structural VAR (TVP-VAR) models for Brazil, Indonesia, Mexico and Turkey to analyze the impacts of short-term interest rates on stock prices and exchange rates considering the relationships between these variables. BVAR and TVP-VAR models’ estimations indicate that monetary policy decisions of these countries lead to capital movements as well as capital movements may create a considerable amount of variation in exchange and stock markets both in the periods of economic stability and financial crisis. We also reveal that increases in interest rates intending to prevent capital outflows may lead to decrease in stock returns, which in turn may deteriorate the real economic activity in Indonesia, while changes in short-term interest rates in Brazil, Indonesia and Turkey cannot be used as a tool to stabilize the value of their home currencies against the USD. Our study highlights the importance of formulating an optimal monetary policy framework accompanied by macro-prudential polices, which help to reach inflation target and smooth the possible variations in exchange rates and stock prices during economic crisis conditions in Brazil, Indonesia, Mexico and Turkey.