FX Intervention in the New Keynesian Model

We develop an open-economy New Keynesian Model with foreign exchange (FX) intervention in the presence of a financial accelerator and shocks to risk appetite in international capital markets. We obtain closed-form solutions for optimal monetary and FX intervention policies assuming the central bank cannot commit to future policies, and we compare the solution to that under policy commitment. We show how FX intervention can help reduce the volatility of the exchange rate, of inflation, and of the output gap, thus mitigating welfare losses associated with shocks in the international capital markets. We also show that, when the financial accelerator is strong, there is a risk of indeterminacy (self-fulfilling currency and inflation movements) although FX intervention can reduce this risk and thus reinforce the credibility of the inflation targeting regime. Model simulations match well the impact of a VIX shock obtained by local projections on a panel of inflation targeting emerging markets.     

Existence of Sparsely Supported Correlated Equilibria

We show that every N-player K ₁ × ... × K _N game possesses a correlated equilibrium with at least zero entries. In particular, the largest N-player K × ... × K games with unique fully supported correlated equilibrium are two-player games. We thank an anonymous referee for most useful comments. The first author acknowledges financial support from Spanish Ministry of Science and Technology, grant SEJ2004-03619, and in form of a Ramón y Cajal fellowship. The second author acknowledges support by the PASCAL Network of Excellence under EC grant no.506778, as well as from Spanish Ministry of Science and Technology and FEDER, grant BMF2003-03324. Both authors also acknowledge financial support from BBVA grant “Aprender a jugar.”     

Remittances as a social status signaling device

Like all human beings, migrants may have a concern about their prestige or social status in the eyes of left-home family and friends. They can remit money in order to signal their economic success and increase their status. We show that if migrants’ income is private information, unsuccessful migrants might accept a worsening of their living conditions and send back home large amounts of remittances only in order to make residents believe that they are successful. In some cases, successful migrants can signal their true favorable economic situation by remitting an even larger amount. The game presents various equilibria that differ with respect to the proportion and nature of the migrants who sacrifice consumption opportunities to status revealing actions.     

Distance measures between free trade and autarky for the world economy

We develop a methodology to determine numerically how globalized the world economy is. We present a global general equilibrium model capturing major OECD economies and a residual rest of world for which alternative metrics of distance between observed, free trade and autarky equilibria can be developed. We use data for 2000 and report a number of distance measures between the 2000 observed trade restricted equilibrium and both free trade and autarky equilibria noting the absence of prior literature on metrics of distance between equilibria. The measures are used to determine the degree to which the world economy is globalized.     

全流通环境下投资者利益保护研究——控股股东、中小股东和经理人三方博弈分析

随着上市公司控制权的转移,投资者保护在全流通环境下有了新的内涵。文章从公司的委托代理问题出发,构建了控股股东、中小股东和经理人的三方博弈模型。各方决策的混合策略纳什均衡结果显示,股权的集中在一定程度上可以抑制公司的内部人控制;为保护投资者利益,应对控股股东和经理人的违规操作进行严厉惩罚,降低投资者的监督稽查成本,健全上市公司的治理机制。     

金融稳定分析的宏观模型综述及展望

金融系统的稳定性水平是金融功能是否有效发挥的反映,加入WTO后中国政府对经济系统进行了诸多方面的改革,金融系统的稳定性得到明显提升,但也存有压力与风险。金融稳定分析的宏观模型包括扩展的宏观经济模型、动态随机一般均衡模型和网络模型。其中,动态随机一般均衡模型具有较好的现实拟合度,应用性较强。应根据中国的社会背景和特殊的金融制度,构建中国特色的动态随机一般均衡模型。     

金融危机下中美欧货币政策博弈研究

文章以国际货币政策协调理论为依据,结合中美欧货币政策三方博弈模型为当前全球金融危机应对过程中大国有效参与国际货币政策合作寻求理论和政策上的支持。通过模型论证发现,要治理当前的全球性金融危机,中美欧三方之间货币政策不协调是无效的,美欧领导、中国追随(斯塔克尔伯格协调方式)会使得博弈方的损失提高,美欧合作、中国不参与时的博弈均衡结果是各方得到帕累托改善,中美欧三方合作时的博弈均衡结果则是各方损失进一步减少。因此,中美欧三方货币政策的通力协作是共赢的,有利于三方及世界经济整体的恢复。     

房地产抵押价值评估中被动高估风险的成因分析

2010年以来,中国人民银行和银监会多次提示各家商业银行关注资产泡沫上涨等原因造成的贷款系统性风险,一再收紧银根并加强对存量贷款的风险管理。本文剖析了房地产抵押贷款评估中三个关键概念的混淆,指出这是造成被动高估风险的主要成因。建议重新审视现有抵押评估技术准则,以非公开市场基准下的抵押价值代替市场价值,并更多地考虑成本法和收益法的应用,以防止上述风险在新增房地产抵押贷款中的产生和扩散。     

Bioelectricity in Malaysia: economic feasibility,environmental and deforestation implications

We investigate the economic feasibility of bioelectricity production from biomass in Malaysia and its impact on greenhouse gas (GHG) emissions and storage, agricultural prices, agricultural employment and deforestation. For this purpose, we develop a partial equilibrium model that projects agricultural prices, production, imports, exports, domestic consumption and land use in 5‐year increments between 2015 and 2065. Our results show that by 2030 biomass‐generated electricity can supply 36.5 per cent of the electricity generated in Malaysia, 16 times more than the 2016 electricity supply from biomass. Increased bioelectricity production from biomass will significantly reduce GHG emissions and will help Malaysia meet its commitment in the Paris Agreement to mitigate GHG emission by 45 per cent before 2030. Our modelling shows that biomass‐generated electricity creates a derived demand for waste biomass that expands the area of oil palm plantations. The expansion lowers agricultural prices, boosts agricultural employment and leads to some deforestation as landowners clear rainforest to plant oil palm trees. Nonetheless, the deforestation does not increase GHG emissions since GHG gains from bioelectricity significantly exceed GHG losses from deforestation.     

2005年以来的人民币汇率制度改革：成效、问题和对策

2005年以来,人民币汇率制度改革取得一定的成效,人民币汇率已经趋近于均衡汇率,汇率市场化明显提高,国际收支失衡有所缓解.但是在金融危机的影响之下,最近人民币汇率的波动幅度明显下降,又呈现出固定钉住制度的特征,而且我国货币政策的独立性依旧受到制约,过度依赖外需的经济增长模式还没有转变.进一步推进人民币汇率制度改革,必须扩大汇率弹性,灵活调整货币篮子,深化产权改革,进一步完善外汇市场,稳步推进资本账户开放.