Two currencies,one model? Evidence from the Wall Street Journal forecast poll

We use the foreign exchange forecasts of the Wall Street Journal (WSJ) poll to analyze the expectation formation process of forecasters for the exchange rates of the euro and the yen vis-à-vis the U.S. dollar for the period 1999–2005. We also compare the expectation formation process with the actual exchange rate process. We find that most forecasters have contrarian exchange rate expectations, but our results also indicate significant heterogeneity between forecasters. While the actual exchange rate process of the yen/dollar exchange rate shows negative autocorrelation, the dollar/euro exchange rate exhibits positive autocorrelation.     

Forecasts of US short-term interest rates: A flexible forecast combination approach

This paper develops a flexible approach to combine forecasts of future spot rates with forecasts from time-series models or macroeconomic variables. We find empirical evidence that, accounting for both regimes in interest rate dynamics, and combining forecasts from different models, helps improve the out-of-sample forecasting performance for US short-term rates. Imposing restrictions from the expectations hypothesis on the forecasting model are found to help at long forecasting horizons.     

基于VAR模型的CCI影响因素分析

本文运用包含消费者预期指数、消费者满意指数的消费者信心指数的月度时间序列数据,利用VAR模型方法分析了消费者满意指数和预期指数的影响关系,同时,分析了它们与物价、消费、储蓄、股票市场的相互影响关系.分析结果显示:消费者满意指数和消费者预期指数有影响关系,滞后一期消费者预期指数对当期消费者满意指数和消费者预期指数都有正的影响,滞后二期的预期指数对当期满意指数有负的影响;物价指数对消费者信心指数的影响有明显的滞后,当期物价指数对下一期的满意指数和预期指数都有正的影响,对于下两期的有负的影响;无论从长期角度还是短期角度看,存款总额对消费者预期指数、消费者满意指数的影响都是正向的.同时,本文验证了消费者信心指数的信号引导功能,消费者预期指数有消费引导功能,其提升会导致以后的消费总额的增长;储蓄增长有助于信心指数的增长;股票市场对信心指数影响不显著.     

广东省对外直接投资对其人均GDP水平影响的实证研究

广东省对外直接投资对净出口拉动当地人均GDP起到了促进作用。与其他地区相比,广东省外向型经济特征明显,对外投资的主体是颇具市场活力的民营经济,对外直接投资与出口之间存在互补关系。没有明确证据表明对外直接投资替代了出口。这个结论在OLS、2SLS和SEM三种计量模型中均得到了支持。因此在市场化进程加快的地区,企业自发的对外直接投资对整体经济水平提升会起到积极作用。     

Regime shifts in the Danish term structure of interest rates

Within a bivariate VAR model allowing for two-state Markov regime switching we test and evaluate the Expectations Theory (ET) of the term structure using Danish 1- and 3-months interest rates covering the period 1976–1997. A regime-shift approach is used in order to account for the change in monetary policy and the 1992–93 exchange rate crises that occured during this period. The basic findings are that these episodes did change the term structure, and, although we do find departures from the ET, several of the implications of the theory are consistent with the data, especially in the later part of the sample. First version received: June 1997/Final version received: March 1998     

雄安新区规划建设的示范价值、理论创新与未来展望

雄安新区规划建设在体制机制创新、经济高质量发展、新兴产业集聚、科技协同创新、城市空间布局、区域协调发展等方面具有重要的示范价值。雄安新区的规划建设启示我们,可在尝试贯通多个经济发展理论的基础上,构建适用于后发赶超地区的理论分析框架,为后发地区经济高质量发展、新兴产业集聚和区域协调提供理论指导。展望未来,雄安新区将在高标准建设、高质量发展方面形成更多可复制推广的制度创新成果和经验模式,引领国家级新区和未来城市发展。     

HYPERINFLATIONS: THEIR ORIGINS, DEVELOPMENT AND TERMINATION

Abstract. This paper summarizes and critically surveys research on hyperinflation. Appraisal and review of the literature considers the origins, development, termination, and the lessons to be learned from hyperinflations. The historical evidence as well as the econometric evidence is analyzed. It is concluded that while the lessons to be learned from such episodes perhaps have been overstated a number of useful implications may be derived from studying hyperinflations, such as an understanding of the forces which link monetary and fiscal policies to inflation, and policy makers'role in influencing individuals'expectations.     

FOREIGN EXCHANGE RATE EXPECTATIONS: SURVEY AND SYNTHESIS

Abstract.  This paper reviews the empirical literature on foreign exchange rate expectations. Prominent issues are the forward premium puzzle, expectations formation in financial markets, heterogeneity of expectations, market microstructure, time-varying risk premiums and forecast performance. Although much has been learned in each field, this survey highlights the areas of research in which our understanding of the mechanism of exchange rate expectations is still incomplete. Our survey suggests that both irrational expectations and time-varying risk premiums account for the forward discount anomaly, that long-term expectations reverse towards their long-run equilibrium values and that heterogeneous behaviour of market participants has the potential of explaining some of the empirical regularities in the international finance literature.     

中国封闭式基金投资心理及其对市场的影响——基于锚定启发式偏差的实证研究

本文根据行为金融学的理论,通过构造合理反映投资者心理预期的指标,利用最小二乘法和Granger因果检验法对中国封闭式基金的投资看涨情绪变动指标和市场走势的相关关系进行检验,以考察封闭式基金是否具有锚定启发式偏差,并进一步考察其投资心理预期对未来市场走势的影响。研究发现,中国封闭式基金具有锚定启发式偏差,并且封闭式基金这种投资心理会对市场的短期走势产生显著影响。