Monetary Policy and the Lost Decade: Lessons from Japan

I investigate how monetary policy can avoid a deflationary slump when policy rates are near zero by studying interest rate policy during Japan's “Lost Decade.” Estimation results suggest that the Bank of Japan's interest rate policy fits a conventional reaction function with an inflation target near 1%. The disapointing economic performance thus seems primarily due to adverse economic shocks rather than extraordinary policy errors. Also, counterfactual policy simulations suggest that simply raising the inflation target would not have substantially improved performance. However, price‐level targeting or combining a higher inflation target with an aggressive output response would have achieved superior stabilization results.     

流动性预警：模型、方法与检验

对流动性状态的判断已成为当前各国调控经济的一个重要着力点,本文采用真实货币缺口系数判断流动性状态,运用因子分析法提取预警因子,建立了流动性预警的序次Logit模型,并以中国2003～2008年数据进行了相关检验。结果显示,预警模型可以预测中国流动性处于正常、过剩或短缺的状况及其可能性,模型预测效果较好,分析结论有较强政策意义。     

我国开放式基金流动性风险管理研究

从我国开放式基金发展的现状及其存在的问题出发,阐述了它存在的主要风险。重点分析了流动性风险产生原因及我国开放式基金流动性风险管理的特殊性;分别从资产和负债两个角度论述了流动性风险管理的对策。从理论上提出了流动性风险管理模型,并提出了帮助基金公司规避流动性风险的有关政策建议。     

企业家为何要进行媒体呈现*——基于企业家微博的实证检验

随着社交媒体的广泛应用,越来越多的企业家从企业幕后走向台前。本文利用中国上市公司2010—2017年企业家新浪微博的使用数据进行了实证检验。结果发现：（1）高科技企业更倾向于企业家媒体呈现;（2）企业家媒体呈现能够提升企业股票流动性,且微博发布数量越多,股票流动性上升越明显;（3）进一步对企业家微博内容进行文本分析后发现,相比于披露式微博,个性化微博更有助于提升股票流动性,正向情感倾向和负向情感倾向微博均会导致股票流动性的提升。本文结论为信息化时代企业转型升级过程中的企业家行为提供重要参考。     

股票流动性溢价理论研究综述

通过介绍证券市场流动性溢价理论的主要内容和理论观点,对国内外学者在此领域的主要研究成果进行了分类概括,并简要分析了现有研究存在的主要问题以及需要进一步解决的问题.     

基于动态VaR模型的我国银行间拆借市场风险度量研究

本文介绍了一种基于GARCH和非参数法的动态VaR模型——L_VaR模型,用来度量市场风险与流动性风险两者综合风险的大小。并通过采样我国银行间隔夜拆借的高频交易数据,以及SAS软件的数据处理分析发现,GARCH（1,1）模型能较好地拟合隔夜拆借利率的波动情况,而非参数估计法（Boot- strap）能较准确地估计拆借市场流动性的波动水平。实证结果表明。基于动态VaR模型对于市场风险与流动性风险两者综合风险的短期预测效果较为理想。     

Bank liquidity risk and monetary policy. Empirical evidence on the impact of Basel III liquidity standards

We extend the literature on the bank lending channel in two aspects. First, rather than following the literature by analyzing the impact of banks’ liquidity (measured via their asset portfolio) on monetary policy transmission, we study the role of banks’ actual liquidity risk, as measured by the Basel III liquidity regulations. Second, we investigate the effect of complying with the Basel III liquidity standards on monetary policy transmission. We use highly detailed bank-level data from Luxembourg for the period 2003q1--2010q4. Our findings are that monetary policy transmission works its way through small banks that also have a large maturity mismatch, as measured by the Net Stable Funding Ratio. In contrast, large banks with a small maturity mismatch increase their lending following a monetary policy shock, which confirms existing results that Luxembourg’s banks are liquidity providers to the European market. Based upon in-sample predictions and upon simulated data from an optimization model that takes the banks’ business models into account, we conclude that the bank lending channel will no longer be effective once banks adhere to the new Basel III liquidity regulations.     

Liquidity Cost Premia

The purpose of the paper is to find out the borrowing cost premia for those individuals who are liquidity-constrained, or who are first-time buyers of real estate. The analysis uses the similarity of a leveraged purchase with the exercise of a call option to defer the purchase of the asset. Sensible parameters are selected for the option, and simulations are run to identify the cost premia. The main conclusion is that these borrowing costs are prohibitive in central tendency and in dispersion. This means that liquidity-constrained individuals may be given borrowing quotations, but these quoted rates are so high and variable that these individuals are unwilling to borrow.     

2006-2007年中国经济形势分析和展望

2006年经济增长明显超出预期。从国际环境和经济增长动力来看，2007年中国经济仍可保持10％左右的增长。由于输入型通货膨胀压力的减轻，生产资料价格涨幅会有所回落；粮食及相关商品涨价将使得居民消费价格涨幅提高。由于顺差的增加，国际收支失衡的情况有所加剧。2007年中国的政策重点是采取综合措施控制流动性过剩。     

Stock Splits and Liquidity: The Case of the Nasdaq-100 Index Tracking Stock

In an attempt to disentangle the signaling effect from the liquidity effect of stock splits, I examine the liquidity changes following the two‐for‐one split of the Nasdaq‐100 Index Tracking Stock. Since there can be no signaling with an index stock split, any difference between pre‐ and postsplit trading may be driven by liquidity but not signaling effects. I find that though the postsplit relative bid‐ask spread is higher and daily turnover is unchanged, the frequency, share volume, and dollar‐volume of small trades all increased after the split, indicating that the split improved liquidity for small trade‐sizes.