The role of the enhanced carry to risk on currency policy: the Mexican Peso

One of the most common measures of carry trade attractiveness is the carry-to-risk ratio. On analysing the speculative activity, this ratio presents two issues: First, emerging market currencies could merit a legitimate risk premium in a carry trade strategy due to the sovereign risks involved. In order to correct the measure, we include the credit risk in the measure using credit default swaps. Second, we gather more information about potential volatility asymmetries including a directional speculation indicator known as the risk reversal. We prove that the enhanced measure for the Mexican peso (MXN) is well represented by an ARIMA model with appropriate features since 2009. Due to the output of the analysis, we deduce that the Bank of Mexico might use this measure or a similar indicator, not only to understand the attractiveness of the carry trade strategy but to curb destabilizing carry trade activities. The case is compelling for the Mexican peso due to its dual role as emerging market currency and full convertible currency. We conclude that this institution may effectively manage the enhanced carry-to-risk measures in order to achieve financial stability and proper exchange credibility, and recognize its potential utility for other central banks.     

The two ways of FDI R&D spillovers: evidence from the French manufacturing industry

Using French firm-level panel data, this study investigates R&D spillovers from inward foreign direct investment (FDI) with respect to both horizontal and vertical linkages (backward and forward). Using a Crepon, Duguet and Mairesse (CDM) model, we estimate an R&D-augmented Cobb–Douglas production function to assess the impact of R&D spillovers on firm performance. The results emphasize that international spillovers (from foreign affiliates to local firms) have a greater effect on firm performance than reverse spillovers (from local firms to foreign affiliates) and are more likely to be backward than forward. Moreover, the effect of backward spillovers depends on a firm’s absorptive capacity and is amplified in the case of outsourcing relationships.     

Financial contracts as coordination device

We study the use of financial contracts as bid‐coordinating device in multi‐unit uniform price auctions. Coordination is required whenever firms face a volunteer's dilemma in pricing strategies: one firm (the “volunteer") is needed to increase the market clearing price. Volunteering, however, is costly, as inframarginal suppliers sell their entire capacity whereas the volunteer only sells residual demand. We identify conditions under which signing financial contracts solves this dilemma. We test our framework exploiting data on contract positions by large producers in the New York power market. Using a Monte Carlo simulation, we show that the contracting strategy is payoff dominant and provide estimates of the benefits of such strategy.     

黄金期货中的隐含远期人民币汇率及其运用研究

中国黄金市场已高度市场化与国际化,在按人民币即期汇率调整后,境内外黄金市场现货价格之间已没有明显的升贴水。基于黄金期货之间的隐含远期汇率与离岸人民币NDF市场远期汇率到期前的不一致性与临近到期日的一致性,运用黄金期货构建替代性的远期外汇头寸,为投资者提供了现行管制环境下实现外汇投资、跨市场套利以及对真实外汇敞口风险进行套期保值的新渠道。     

营商环境优化与全球价值链参与

为考察营商环境对全球价值链参与度的影响,利用行业层面的跨国面板数据进行计量检验。研究结果表明,第一,营商环境优化对于提升全球价值链参与度具有显著的促进作用,这一结论在充分考虑其他影响因素以及开展一系列稳健性检验后依然成立;第二,营商环境优化全球价值链不同参与方式的影响存在差异,具体而言,对前向参与度的影响作用要大于对后向参与度的影响作用;第三,在作用机制上,营商环境优化主要通过交易成本下降、技术进步、竞争强化以及价值链迁移等,对全球价值链参与度产生影响。综上,营商环境优化对全球价值链参与不仅具有“固链”功能,还具有“强链”作用。中国开放发展进入亟待进一步“扎根”全球价值链,并亟待迈向全球价值链中高端的新阶段,优化营商环境作为扩大开放的重要战略举措,有着坚实的理论依据和迫切的现实需要。     

《企业会计制度》实施及衔接

到2005年止,所有国有企业都必须执行《企业会计制度》,由于这次会计制度改革的力度大、内容变化多,具有一定的复杂性。本文主要阐述了《企业会计制度》与原制度相比的一些主要变化以及在施行过程中与原会计制度衔接需要掌握的一些问题,以保证新旧会计制度顺利衔接和《企业会计制度》的顺利实施。     

市场经济理论研究前沿的又一奇葩——评《中国市场经济问题研究》

管理会计自进入十九世纪八十年代中期后遭遇到各种各样的问题 ,会计界的一些学者和实务工作者对其知识体系提出了许多批评意见 ,认为管理会计的理论脱离实际 ,远离客观世界。案例研究充分体现了管理会计学科的特征 ,使企业管理人员在短时间内掌握处理各种复杂问题的方法 ,可以     

Effects of State-Dependent Forward Guidance,Large-Scale Asset Purchases,and Fiscal Stimulus in a Low-Interest-Rate Environment

We study the incidence and severity of periods with a binding effective lower bound on nominal interest rates and the efficacy of three types of state-dependent policies—forward guidance about the path of future interest rates, large-scale asset purchases, and spending-based fiscal stimulus—in mitigating the detrimental consequences of the lower bound for macro-economic stability. Based on the ECB's New Area-Wide Model of the euro area, our findings suggest that, if left unaddressed, the lower bound can cause substantial macro-economic distortions. In the near term, forward guidance, if fully credible, is most powerful and can largely undo these distortions. A combination of imperfectly credible forward guidance, asset purchases, and fiscal stimulus is almost equally effective, especially when asset purchases enhance the credibility of the forward-guidance policy via a signaling effect. In the long run, with an equilibrium real rate as low as zero, a combination of all three policies is needed to materially reduce the distortions.     

英国远期约定政府购买制度对中国的启示

探索实施创新产品与服务远期约定政府购买制度是政府推动科技创新的重要举措。在分析远期约定政府购买制度的定义、实施远期约定政府购买制度的必要性和重要意义的基础上，对英国“远期约定采购”政策进行探索借鉴。研究发现，研发政策对市场创新推动乏力、市场需求对研发创新拉动失灵、传统公共采购未能有效捕捉创新点是英国远期约定政府购买政策出台的背景。并对英国远期约定采购的3个基础条件和4个基本流程进行梳理和分析。同时，对中国部分省市开展远期约定政府购买制度的经验及存在问题进行深入分析。最后，针对中国远期约定政府购买制度的大范围实施提出方向性建议与展望：研究制定符合GPA（政府采购协议）国际规则的远期约定政府购买制度；加大对中小企业产品的采购；建立创新产品政府采购使用信息反馈机制和数据平台。     

Talking Over Time - Dynamic Central Bank Communication

This paper studies the optimal dynamic communication strategy of central banks using a Bayesian persuasion game framework. In a dynamic environment, financial market participants and the general public have misaligned interests because the present and future have different relevance in their optimization problems, leading to a novel trade-off for the monetary authority. Compared to the static benchmark, I show that the central bank (CB's) optimal dynamic communication policy should put a higher weight on talking about the present state than the future. In addition, the CB should strategically send more noisy signals than in the static benchmark.