The relationship between stock prices and exchange rates in South Africa and Nigeria: structural breaks analysis

The relationship between stock prices and exchange rates has continued to generate interest from both the academia and financial industry players for many years. This study conducts an empirical investigation into the relationship between stock prices and exchange rates for the two largest economies in Sub-Saharan Africa – South Africa and Nigeria. Our methodology accounts for structural breaks in the data and the long-run relationship between stock and foreign exchange markets. The results of multivariate causality tests with structural breaks showed that causality runs from exchange rates to domestic stock prices in Nigeria (flow channel) while in South Africa, no causality exists between domestic stock prices and exchange rates. The results also reveal that there is causality from the London stock market to both countries’ stock markets, thus showing that international stock markets are driving both the Nigerian and South African stock markets.     

面对WTO冲击的货币政策调控

加入WTO后 ,我国货币政策面临的问题 ,一方面是国内金融机制还很不健全 ,另一方面是国际金融风险更容易波及我国 ,这对中央银行的监管形成了一个全新的挑战。为了更好地实现货币政策的效果 ,相关各方面进行的改革及采取的措施 ,应力求在成本最小化下的前提下 ,发挥货币政策对经济增长的促进作用。     

A fractional cointegration var analysis of exchange rate dynamics

In their seminal work, Baillie and Bollerslev (1994) carried out an analysis of deviations from the cointegrating relationship of seven important exchange rates. They suggested that the exchange rate series possess long memory and therefore such processes could be well described as fractionally integrated processes. Hence, the influence of shocks to the equilibrium exchange rates may only vanish at very long horizons. In this work we analyze the cointegrating structure of five exchange rates to the US dollar, namely the British pound, the Euro, the Swedish Krona, the Canadian Dollar and the Swiss Franc. The series possess long memory and we show that they can be modeled through fractional integration. In fact, standard cointegration is rejected with the more traditional Johansen CVAR methodology. By using the recently introduced Fractionally Cointegrated VAR by Johansen and Nielsen (2012) we provide a cointegrating relationship taking into account fractional integration.     

On the joint Fourier–ESTAR testing of PPP

The purchasing power parity (PPP) is the hypothesis that the real exchange rate series are stationary. This study briefly reviews and applies six competing unit root test procedures to test PPP. Reflecting the existing literature, the results are mixed. The Kiliç test is the most favourable while the Kapetanios, Shin, and Snell (KSS) test is the least favourable to PPP and the standard ADF test lies in between. The same conclusion applies to the Fourier extensions of those three tests. The results support a recently suggested F-test for the significance of Fourier terms in unit root test equations.     

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.     

随机利率下的复合Poisson-Geometric风险模型及破产概率

本文主要研究的是在随机利率下保费收入为复合Poisson-Geometric过程的风险模型,在随机利率为levy过程的情况下,得到了破产概率满足的积分方程,以及得到最终破产概率的上下界所满足的积分不等式,以此作为保险公司经营的预警信号更具有现实意义。     

Exchange rate volatility and regime change: A Visegrad comparison

We analyze exchange rate volatility in the Visegrad Four countries during the period in which they abandoned tight regimes for more flexible ones. We account for path dependency, asymmetric shocks, and movements in interest rates. In addition, we allow for a generalized error distribution. The overall findings are that path-dependent volatility has a limited effect on exchange rate developments and that the introduction of floating regimes tends to increase exchange rate volatility. During the period of flexible regimes, volatility was mainly driven by surprises. Asymmetric effects of news tend to decrease volatility under the floating regime. Interest differentials impact exchange rate volatility contemporaneously under either regime, although we find no intertemporal effect of interest differentials. Journal of Comparative Economics 34 (4) (2006) 727–753.     

基于降息环境下分期还贷利率调整的弹性分析

从央行五次降息,到商业房贷利率下限可打七折,每个购房者都在计算这笔或多或少的息差。这次调整能给购房者以多大的实惠,对于还款的具体偿还过程的本息金额又是怎样的影响,文章基于Excel的分析,对利率调整的弹性进行剖析。     

线性和非线性视角下的费雪效应实证检验

基于2000年1月~2009年12月我国名义利率和通货膨胀率均为非平稳时间序列的事实,采用Johansen协整检验和门限协整(threshold cointegration)两种方法对我国是否存在费雪效应进行检验;实证发现,两种方法均支持我国存在弱费雪效应,但得出来的弱费雪效应程度却存在差别,前者认为我国通货膨胀率的变化只有6%反应到名义利率上面,而后者认为这个比例达到42.4%。