换衡国际货币体系下的我国宏观金融政策组合探析

近年来中国面临着严重的内外经济的失衡，这与美元作为主要的国际储备货币而美国又在90年代以来长期实行的宽松的货币政策不无关系。我国的宏观金融政策应该本着把人民币国际化作为改进现行国际货币体系的出路之一。遵循着这一原则和方向，我国应采取人民币汇率稳中有升、稳步提高基准利率、多渠道管理流动性、积极推进金融创新、建立现代化的金融体系等组合措施,以应对失衡的国际货币体系和失衡的内外经济。     

美元霸权体系的中国流动性过剩

随着金融资本全球化,美元霸权在其国际信用货币背景下得以确立。全球经常项目逆差逐渐集中于美国,而经常项目顺差则主要分布于中国、日本、中东、亚洲新兴经济体等国家和地区,全球经济失衡的局面开始形成。这是美元霸权的直接体现,等同于美元绑架了世界。中国、亚洲新兴经济体等被动持有大量美元储备,外汇储备大幅增长使得中国货币政策丧失了部分独立性,造成了中国M2增长过快和以存贷差为指标的流动性过剩,形成了房地产市场和资本市场的双重泡沫。     

从汇率制度视角看我国商业银行的流动性过剩

从汇率制度角度透视我国当前的商业银行流动性过剩现象，目的在于为经济金融的进一步开放提供理论依据和决策参考。本文通过对“三元悖论”理论的解读和1998～2006年各季度数据的实证检验，揭示了我国商业银行流动性过剩与汇率制度之间存在密切相关性，即在我国现行的；汇率制度下，外汇储备的不断增加直接导致了商业银行存差的扩大，造成金融系统乃至整个社会的流动性过剩。基于上述研究，作者提出了如下相关建议：完善我国汇率形成的市场机制，培育相对均衡汇率；深化我国外汇管理体制改革，有序开放资本市场；汇率制度改革要与其他政策改革协调配合。     

The Trade-off Between the Selling Price of Residential Properties and Time-on-the-Market: The Impact of Price Setting

When a house is placed on the market, the seller must choose the initial offer price. Setting the price too high or too low affects the marketability of the property. While there is near universal agreement that the seller faces a trade-off between selling at a higher price and selling in less time, there is less agreement about how to measure this trade-off. This paper offers a framework for analysis and shows that an increase in the list price increases expected time-on-the-market (TOM). Because house buyers must solve a type of signal extraction problem, the effect of a higher list price is magnified for houses in a market segment having a low predicted variance of the list price. This paper also shows that the list price of houses which are withdrawn before sale has a higher mean and variance, and that the possibility of withdrawal censors information about the time-on-the-market.     

Analysis of REIT IPOs Using a Market Microstructure Approach: Anomalous Behavior or Asset Structure

In this research, we examine and present new evidence on the market activity following the initial public offering (IPO) of a real estate investment trust (REIT) using microstructure data. We analyze the bid-ask spread differences for REIT securities compared to common stocks and closed-end funds for all IPOs between 1985 and 1988. Our results show that REITs, as a whole sample, experience significantly greater bid-ask spreads immediately following the IPO compared to common stocks and funds. However, this outcome is driven by the equity REIT sample, with the mortgage REIT sample having significantly smaller bid-ask spreads. This is in contrast to the evidence documented by Nelling, Mahoney, Hildebrand, and Goldstein (1995). We attribute our result to the underlying asset structure (such as equity, hybrid, and mortgage portfolios) of the various REITs. Overall, however, we find that bid-ask spreads for REITs are similar to those of common stock when both asset structure and the traditional determinants of the spread (share price, trade volume, and returns variance) are considered.     

Price spreads and residential housing market liquidity

Most studies of housing market liquidity have measured liquidity in terms of time on the market (TOM), and have sought to explain TOM in terms of property characteristics and measures of market conditions. This paper departs from past studies of housing market liquidity by examining the spread between the listing and contract prices.We develop theory to explain the price spreads in the residential housing market. The model includes the list price of the home, the cost of the search, the standard deviation of offer prices, and TOM. Empirical tests using 3,597 sales for 25 months show a robust relationship of housing market spreads and these variables. Listing price and cost of search have the predicted positive coefficients, and the standard deviation of price offers is found to be negatively related to the price spread.     

A MODEL OF OPTIMAL CONSUMPTION UNDER LIQUIDITY RISK WITH RANDOM TRADING TIMES

We consider a portfolio/consumption choice problem in a market model with liquidity risk. The main feature is that the investor can trade and observe stock prices only at exogenous Poisson arrival times. He may also consume continuously from his cash holdings, and his goal is to maximize his expected utility from consumption. This is a mixed discrete/continuous stochastic control problem, non‐standard in the literature. The dynamic programming principle leads to a coupled system of Integro‐Differential Equations (IDE), and we provide a convergent numerical algorithm for the resolution to this coupled system of IDE. Several numerical experiments illustrate the impact of the restricted liquidity trading opportunities, and we measure in particular the utility loss with respect to the classical Merton consumption problem.     

LIQUIDITY IN A BINOMIAL MARKET

We study the binomial version of the illiquid market model introduced by Çetin, Jarrow, and Protter for continuous time and develop efficient numerical methods for its analysis. In particular, we characterize the liquidity premium that results from the model. In Çetin, Jarrow, and Protter, the arbitrage free price of a European option traded in this illiquid market is equal to the classical value. However, the corresponding hedge does not exist and the price is obtained only in L² ‐approximating sense. Çetin, Soner, and Touzi investigated the super‐replication problem using the same supply curve model but under some restrictions on the trading strategies. They showed that the super‐replicating cost differs from the Black–Scholes value of the claim, thus proving the existence of liquidity premium. In this paper, we study the super‐replication problem in discrete time but with no assumptions on the portfolio process. We recover the same liquidity premium as in the continuous‐time limit. This is an independent justification of the restrictions introduced in Çetin, Soner, and Touzi. Moreover, we also propose an algorithm to calculate the option’s price for a binomial market.     

RISK HORIZON AND REBALANCING HORIZON IN PORTFOLIO RISK MEASUREMENT

This paper analyzes portfolio risk and volatility in the presence of constraints on portfolio rebalancing frequency. This investigation is motivated by the incremental risk charge (IRC) introduced by the Basel Committee on Banking Supervision. In contrast to the standard market risk measure based on a 10‐day value‐at‐risk calculated at 99% confidence, the IRC considers more extreme losses and is measured over a 1‐year horizon. More importantly, whereas 10‐day VaR is ordinarily calculated with a portfolio’s holdings held fixed, the IRC assumes a portfolio is managed dynamically to a target level of risk, with constraints on rebalancing frequency. The IRC uses discrete rebalancing intervals (e.g., monthly or quarterly) as a rough measure of potential illiquidity in underlying assets. We analyze the effect of these rebalancing intervals on the portfolio’s profit and loss distribution over a risk‐measurement horizon. We derive limiting results, as the rebalancing frequency increases, for the difference between discretely and continuously rebalanced portfolios; we use these to approximate the loss distribution for the discretely rebalanced portfolio relative to the continuously rebalanced portfolio. Our analysis leads to explicit measures of the impact of discrete rebalancing under a simple model of asset dynamics.     

Determinants of Trading Profits: The Liquidity Provision Decision

Theories show that liquidity provision implies negative contemporaneous correlation between trades and returns. Dealers on the Taiwan Stock Exchange are granted typical dealer trading advantages without obligations to provide liquidity and, thus, are ideal to test whether these advantages lead to voluntary liquidity provision (earning bid-ask spreads) or information trading (trading in the direction of the market). We find a strong positive correlation in aggregate, implying that these unrestricted dealers prefer information trading. We also find that smaller dealers are more likely to provide liquidity and that small-cap stocks (with larger bid-ask spreads) are more profitable for liquidity provision.