中央银行外汇干预:操作方式与效用评价

本文将外汇干预、货币政策转型纳入到NK-DSGE理论模型框架中,引入风险规避的外汇交易者,在传统非抛补利率平价表达中加入资本管制因素,研究不同类型冲击、不同外汇干预情景下宏观经济变量的反应。研究结果表明:中央银行进行外汇干预时,采用不同的干预方式对汇率波动程度的影响有所不同;相较于任意干预,基于规则的干预对汇率的调整过程更为稳健,且比任意干预成本更小;在应对冲击方面,任意干预效果不显著,基于规则的干预则具有较强的稳定作用;外汇干预与货币政策在一般均衡框架下具有很强的互动性。中央银行应构建外汇干预策略框架,建立外汇干预目标体系,设定人民币汇率干预区间,并在此基础上选择合理的干预方式,量化干预效果,做好外汇干预的事后评估,以保障宏观经济的稳健运行。     

财政专户存款、地方金融机构贷款行为及其经营效率

地方财政专户的存在不仅造成政府公共资金使用效率低下,更可能成为地方政府干预市场经济运行的工具。本文对陕西、吉林和江苏三省27个县的80家金融机构进行分析,发现地方政府存在利用其掌握的财政专户存款资源影响金融机构贷款投向的证据。进一步的研究显示,地方政府这种隐性金融干预会显著降低金融机构的经营效率;相对于农村信用合作社等合作金融机构,工商银行、农业银行等大型金融机构的分支机构经营效率会因政府导向贷款而下降更多。因此全面清理财政专户不仅是提高财政资金使用效率的必然要求,更是促使地方政府尊重市场规律的有效手段。     

Automatic ARIMA modeling including interventions, using time series expert software

This article has three objectives: (a) to describe the method of automatic ARIMA modeling (AAM), with and without intervention analysis, that has been used in the analysis; (b) to comment on the results; and (c) to comment on the M3 Competition in general. Starting with a computer program for fitting an ARIMA model and a methodology for building univariate ARIMA models, an expert system has been built, while trying to avoid the pitfalls of most existing software packages. A software package called Time Series Expert TSE-AX is used to build a univariate ARIMA model with or without an intervention analysis. The characteristics of TSE-AX are summarized and, more especially, its automatic ARIMA modeling method. The motivation to take part in the M3-Competition is also outlined. The methodology is described mainly in three technical appendices: (Appendix A) choice of differences and of a transformation, use of intervention analysis; ( Appendix B) available specification procedures; ( Appendix C) adequacy, model checking and new specification. The problems raised by outliers are discussed, in particular how close they are from the forecast origin. Several series that are difficult to deal with from that point of view are mentioned and one of them is shown. In the last section, we comment on contextual information, the idea of an e−M Competition, prediction intervals and the possible use of other forecasting methods within Time Series Expert.     

Communication and exchange rate policy

Monetary authorities in the G3 economies have shifted in recent years towards communication as their primary policy tool to influence exchange rates. The paper assesses the effectiveness of communication, or oral interventions, by the G3 monetary authorities. It provides two key findings. First, G3 communication policies have constituted an effective policy tool in influencing exchange rates in the desired direction. And second, communication has been effective independently from the stance and direction of monetary policy and the occurrence of actual interventions. By contrast, the effectiveness of communication is strongly related to the degree of uncertainty and the positioning of participants in FX markets. Taken together, the results provide support for micro-based approaches to exchange rate modeling and are consistent with the argument that interventions affect exchange rates primarily through a coordination channel rather than a signaling channel.     

Multimodality in GARCH regression models

It is shown empirically that mixed autoregressive moving average regression models with generalized autoregressive conditional heteroskedasticity (Reg-ARMA-GARCH models) can have multimodality in the likelihood that is caused by a dummy variable in the conditional mean. Maximum likelihood estimates at the local and global modes are investigated and turn out to be qualitatively different, leading to different model-based forecast intervals. In the simpler GARCH(p,q) regression model, we derive analytical conditions for bimodality of the corresponding likelihood. In that case, the likelihood is symmetrical around a local minimum. We propose a solution to avoid this bimodality.     

Bundesbank intervention effects through interest rate policy

This paper investigates the effects of the changes in the Bundesbank's discount and Lombard interest rates on the volatility of European Union country exchange rates relative to the German mark during 1987–93. The first year of the sample period contains the last major realignment in the ERM before its ‘breakdown’ in 1993. Using a parsimonious EGARCH model, we find that the conditional volatility of these exchange rates increased in response to interest rate changes, regardless of the rate change direction. This finding is in direct conflict with Bundesbank's public statements that indicate that its interest rate policy was designed to calm its foreign exchange markets.     

Facilitating Collaboration with Problem Structuring Methods: A Case Study of an Inter-Organisational Construction Partnership

Despite the potential of inter-organisational collaboration to create ‘collaborative advantage’ among participant organisations, not all collaborations realise this potential due to the complexities and challenges faced by potential collaborators. To address these difficulties and increase the likelihood of collaborative success, different forms of intervention approaches for fostering inter-organisational collaboration has been advocated by collaboration researchers and practitioners. These intervention approaches all facilitate interaction and consensus formation among the participants. However their ‘added value’ is procedural rather than substantive in nature. They do not incorporate tools which can enable participants to structure the complexity of the web of factors that are implicated in their collaboration, and thus make it more manageable. This paper argues that problem structuring methods (PSMs), a family of model-based approaches to group decision and negotiation support, are a form of intervention which can provide a balanced attention to both the process and the content of inter-organisational collaboration, and reports the experience of applying a particular PSM to an inter-organisational collaborative partnership in the UK construction industry. Drawing on the rich data generated from the intervention, the paper discusses the impact of the PSM in supporting the joint appreciation activities carried out by collaborators to address their problematic situation. Implications of the experience for the research and practice of PSMs within collaborative contexts are then presented.     

市场化、政府干预与股票流动性溢价的分配

本文运用博弈论的思想和方法,结合股改实际,分别构建在市场化和政府干预下"均衡对价"的理论模型,分析了政府干预对流通股东利益流失的影响,并收集1004家股改公司的数据对政府干预与股改对价之间的关系进行实证检验,以此考察市场、政府干预与股票流动性溢价分配三者之间的关系。本文理论模型分析表明,与市场化情况相比,政府干预压缩了博弈双方的对价策略空间,进而降低了"均衡对价"水平,造成流通股东利益的流失;以宝钢股份为例对流通股东利益流失程度的数据模拟表明,与市场化情况相比,政府干预给流通股东每股所能获得的对价带来的损失达到1/4;实证结果表明,政府干预会影响股改对价的高低,随着政府干预力度的增强,国有控股公司所支付的对价降低,从而支持了本文的理论模型和研究假设。     

中央银行沟通、实际干预与通货膨胀稳定

近年来,中央银行沟通已成为一种重要的货币政策工具。本文把中央银行沟通因素引入修正的卢卡斯总供给函数,发现加大中央银行沟通力度有利于引导通货膨胀预期,稳定通货膨胀。采用2003-2009年月度数据,利用结构向量自回归方法对中央银行沟通及实际干预在稳定通货膨胀中的作用进行实证研究,主要结论如下:(1)正的中央银行沟通冲击能有效降低通货膨胀预期以及名义通货膨胀率,且时滞短;(2)正的实际干预(包括银行贷款利率、央票利率及货币供应量)冲击,在短期内不但不能降低通货膨胀预期及名义通货膨胀率,反而会加剧通货膨胀,出现"价格之谜"现象。此外,本文对大多数情况下我国中央银行沟通模棱两可的合理性进行了解释。