经济政策主要变量对控制中国失业率有效性的实证检验

随着中国经济的增长,失业率却一直居高不下,因此国家采取各种手段进行宏观调控。在回顾各种经济学派对失业理论研究的基础上,着眼于经济政策对控制失业率是否有效,在简要分析货币政策和财政政策对失业率影响的基础上,选取1991—2011年中国城镇登记失业率、货币发行量以及财政支出,通过对三者进行单位根检验和Johansen协整检验,得到三者存在唯一的协整关系,并建立误差修正模型,得出货币发行量对失业率影响较大并且较稳定的结论,并通过格兰杰因果检验,得出货币发行量和财政支出与失业率之间都不存在因果关系,最后在实证研究的基础上对当前中国如何控制失业率提出相应的对策。     

关于欧元在未来国际储备中地位的探讨

依托欧洲雄厚的经济实力，欧元的诞生有力推动了国际储备货币多元化发展，但作为形成日寸间不长的超主权货币，欧元也面临着需不断改革自身财政金融基础运行框架的要求。文章回顾了欧元在国际储备货币中份额的变化，探讨了影响欧元国际储备货币地位的积极因素和不利因素，并对欧元储备货币地位的前景进行了展望。     

A Bayesian approach to excess volatility,short-term underreaction and long-term overreaction during financial crises

In this paper, we introduce a new Bayesian approach to explain some market anomalies during financial crises and subsequent recovery. We assume that the earnings shock of an asset follows a random walk model with and without drift to incorporate the impact of financial crises. We further assume the earning shock follows an exponential family distribution to accommodate symmetric as well as asymmetric information. By using this model setting, we develop some properties on the expected earnings shock and its volatility, and establish properties of investor behavior on the stock price and its volatility during financial crises and the subsequent recovery. Thereafter, we develop properties to explain excess volatility, short-term underreaction, long-term overreaction, and their magnitude effects during financial crises and the subsequent recovery. We also explain why behavioral finance theory could be used to explain many of the asset pricing anomalies, but traditional asset pricing models cannot achieve this aim.     

Explaining banking stability in Sub-Saharan Africa

The study examined banking stability in Sub-Saharan Africa. The results reveal that banking spread (Net Interest Margin – NIM) is the main determinant of stability and the major means to achieve stability during crises periods. We however find the existence of a threshold effect in NIM.Crises in the banking sector consistently showed to reduce stability. While the results show that high percentage of foreign banks reduce stability, we find foreign banks help stabilize the banking sector in periods of crises. The results show that diversification could also have a positive impact on stability (Z-score) even though this relationship was not robust enough. The results also largely support the competition-fragility view. Particularly, we find that less competition during crises periods can help improve stability. Again, we find evidence for both concentration-stability and concentration-fragility hypotheses depending on the stability measure used. We however find that when large banks in concentrated markets are well regulated, stability could be improved. Weak regulatory environment reduces stability (Z-score) directly and matters during crises periods. Our results are robust to the use of different indicators of stability and estimation methods.     

Reducing reporting risk: Designating foreign currency forward contracts as cash flow hedges

We present an example that compares the effects on earnings of designating a foreign currency forward contract as either a cash-flow or fair-value hedge of a foreign currency denominated receivable. Entities engaging in exchange transactions not denominated in their functional currency frequently enter into foreign currency forward contracts in order to mitigate their foreign exchange rate risk exposure. The aggregate effect on earnings of the transaction gain or loss on the foreign currency receivable and the gain or loss on the forward contract is known on the date the forward contract is initiated. The effect on each period’s earnings during the term of a forward contract designated as a cash-flow hedge is also known on the date the contract is initiated; whereas the effect on each periods’ earnings from a fair-value hedge cannot be determined until the respective balance sheet dates. Therefore, designating forward contracts as cash-flow hedges may suppress volatility in reported earnings compared to designating forward contracts as fair-value hedges. In addition, the reporting risk (the amount of uncertainty surrounding the pending measure of an item to be reported in the financial statements) is lower when a forward contract is designated as a cash-flow hedge relative to designating it as a fair-value hedge. This suggests foreign currency forward contracts designated as cash-flow hedges are more consistent with the purpose of hedge accounting: to mitigate the effects on earnings of applying different measurement criteria for the hedge and the hedged item.     

Cointegration as an explanation for the Meese–Rogoff puzzle

Some economists suggest that the failure of exchange-rate models to outperform the random walk in exchange rate forecasting out of sample can be attributed to failure to take into account cointegration when it is present. We attempt to find out if cointegration matters for forecasting accuracy by examining the relation between the stationarity and size of the forecasting error. Results based on three macroeconomic models of exchange rates do not provide strong support for the proposition that cointegration matters for forecasting accuracy. The simulation results show that while stationary errors tend to be smaller than non-stationary errors, this is not a universal rule. Irrespective of the presence or absence of cointegration, none of the three models can outperform the random walk in out-of-sample forecasting, which means that cointegration cannot solve the Meese–Rogoff puzzle.     

Turning values concrete: the role and ways of business selection in local currency schemes

Alternative consumption schemes require the selection of producers and traders according to criteria and through processes that should make alternative values concrete. The way values turn concrete is crucial for the effectiveness of such projects. This paper investigates the ways criteria and processes are defined and their real meanings and uses through the case of associative local currencies. Drawing on the framework of proximities, it analyses local currency schemes as combining proximities (geographical and non-geographical) and selection processes set up for providers wishing to join. Selection processes may be based on a charter, an approval committee and screening criteria. The objectives of the selection, its measures in principle, the way in which it is applied as well as the practical consequences are discussed. Even when charters and formal participatory schemes for selecting providers are established, proximities appear as the keystone of selection and trust.     

Flight-to-quality and correlation between currency and stock returns

We document that capital flows in and out of emerging or developed markets are sensitive to global equity market conditions. Capital tends to move out of emerging into developed countries in global down markets, leading to depreciation (appreciation) of emerging (developed) currencies. This generates a positive (negative) correlation between currency and equity in emerging (developed) markets which is amplified by the magnitude of the capital movement. We also verify that hedging currency risks may undo the natural hedge and increase the total return volatility under negative correlation.     

Does easing monetary policy increase financial instability?

This paper develops a model featuring both a macroeconomic and a financial friction that speaks to the interaction between monetary and macro-prudential policy and to the role of US monetary and regulatory policy in the run up to the Subprime mortgage crisis. There are two main results. First, interest rate rigidities in a monopolistic banking system increase the probability of a financial crisis (relative to the case of flexible interest rate) in response to contractionary shocks to the economy, while they act as automatic macro-prudential stabilizers in response to expansionary shocks. Second, when the interest rate is the only available instrument, monetary policy faces a trade-off between macroeconomic and financial stability. This trade off is both qualitative and quantitative in response to contractionary shocks, while it is only quantitative in response to positive shocks. We show that a second instrument, such as a Pigouvian tax on credit to households on the demand side of the market, is needed to restore efficiency in the economy when both frictions are at work.     

货币信用属性演化的历史与逻辑

通过讨论主要货币起源与演化理论的矛盾与不足,从货币取得人们信任的角度,尝试整合了货币起源与演化的事实与逻辑,由此可以认为货币的本质是信用,(商品、金属)货币和纸币一样都是信用货币,货币演化是货币内涵的威权因素和物的因素相互竞争的结果;且货币制度的核心是信用。维持人们对货币的信心与币值稳定应当是任何货币调控的出发点和归宿。