我国国际收支对通货膨胀传导机制的经济计量检验

随着经济全球化程度的日益提高，我国的经济运行已经处于渐进的开放经济条件之下，这使得货币控制已经不完全取决于国内的经济因素。因此，研究来自外部经济因素的影响就越发显得重要。本文通过Granger影响关系、VAR模型的冲击反应和误差方差分解等方法证实了通货膨胀的外部传导机制，即我国国际收支状况的变化引致外汇储备变化，对以外汇占款形式的基础货币投放产生影响，从而对通货膨胀构成影响，最终对宏观经济运行产生作用。     

对人与自然和谐关系的思考

人与自然和谐相处是构建社会主义和谐社会的重要内容.马克思关于人与自然和谐关系的论述为我们正确认识和处理人与自然的关系,探求人与自然和谐发展的有效途径,提供了重要的哲学基础和方法论启示.人与自然和谐发展的实现路径是:端正态度,转变观念,自觉实现人类与自然的和谐;建设资源节约型社会,走可持续发展道路;转变经济增长方式,推广集约型经济发展模式;健全环境立法,提高人们的环保意识.     

Congress and the Federal Reserve

We examine legislative activity to determine when Congress threatens the Fed and whether this pressure affects monetary policy. By the late‐1980s Congress shifted from threatening when unemployment was high to threatening when inflation was high. We use the Romer and Romer monetary shocks to isolate changes in the federal funds rate that cannot be explained by economic conditions and ask whether these shocks respond to pressure. In the 1970s, the Fed responded to bills credibly threatening Fed powers by lowering the federal funds target below that prescribed by current and forecast economic conditions. However, this accommodation ceased in the mid‐1980s.     

How to choose the return model for market risk? Getting towards a right magnitude of stressed VaR

Value at Risk (VaR) and stressed value at Risk (SVaR) or expected shortfall are important risk measures widely used in the financial services industry for risk management and market risk capital computation. Fundamental to any (S)VaR model is the choice of the return type model for each risk factor. Because the resulting SVaR numbers are highly sensitive to the chosen return type model it is important to make a prudent choice on the return type modelling. We propose to estimate the return type model from historic data without making an a priori model assumption on the return model. We explain the fundamentals of return type modelling and how it impacts the magnitude of SVaR. We further show how to obtain a global return type model from a set of similar return type models by using geometric calculus. Numerical simulations and illustrations are provided. In this paper, we consider interest rate data, but the proposed methodology is general and can be applied to any other asset class such as inflation, credit spread, equity or fx.     

Do Federal Reserve Bank presidents’ interest rate votes in the FOMC follow an electoral cycle?

We find that Federal Reserve Bank presidents’ regional bias in their dissenting interest rate votes in the Federal Open Market Committee follows an electoral cycle. Presidents put more weight on their district’s economic environment during the year prior to their (re-)election relative to nonelection years.     

The Macro-prudential aspects of loan-to-deposit-ratio-linked reserve requirement

Micro-prudential regulation is sometimes more focused on the health of the financial institutions and pays less attention to the objective of sustainable intermediation and financial stability in the long run. A macro-prudential policy is formulated to reduce this myopic tendency. This article shows analytically how Loan-to-Deposit-Ratio (LDR)-linked Reserve Requirement (RR) can be used to apply counter-cyclical measures in banking industry by providing disincentive mechanism when a bank operates outside the preferred operational corridor. At the lower limit of LDR, a requirement of higher RR can push banks to extent more loans in order to support economic development in a period of economic bust. At the upper limit of LDR, a requirement of higher RR and/or capital can also provide disincentive to slow down its investment activities in an economic booming period and manage liquidity risk better.     

国际投资头寸表编制的国际比较研究

近二十年来经济、金融全球一体化的迅速发展,主要表现为全球贸易与投资规模的不断扩大以及资本流动的加剧,这些都会使一国经济面临的不确定性增大。为这种不确定性风险进行衡量和控制,编制一个完整的国际帐户体系就变得必不可少。通常我们所说的国际帐户是指国际收支平衡表(Balance of Payments,简称BOP),然而根据国际货币基金组织的规定,一个完整的国际帐户体系不仅包括国际收支平衡表,还应包括一个反映一国是否为债权国或债务国的国际投资头寸表(International Investment Position,简称ⅡP)。本文阐述了国际投资头寸表和国际收支平衡表的关系、ⅡP的编制原则；在此基础上对美英日等国的ⅡP进行了简要分析,并对中国编制和公布ⅡP进行了前瞻分析。     

Spatial distribution of species populations,relative economic values,and the optimal size and number of reserves

We examine the tradeoff between the number and average size of nature reserves. When the costs of enforcing reserve boundaries are negligible, we find analytically that the relative price of biodiversity has a positive impact on the optimal total reserved area but an ambiguous impact on the optimal number of reserves. Simulation modeling of floral diversity in a tropical timber concession reveals that the resolution of this ambiguity depends on spatial distributions of the populations of tree species: whether or not they are spatially aggregated (clumped). The impact of biodiversity price on optimal reserve number remains analytically ambiguous when enforcement costs are not negligible. Multiple reserves being economically superior to a single reserve now requires, in addition to aggregation, a biodiversity price that is sufficiently high to offset the effects of enforcement costs. Most of our simulation scenarios generate threshold biodiversity prices that do not exceed a leading estimate of the marginal value of a higher plant species in the bioprospecting literature. Several smaller reserves evidently can be economically superior to a single larger one even in the presence of enforcement costs.      

The role of international reserves holding in buffering external shocks

An extended literature analyses the accumulation foreign exchange holding observed in many developing and emerging countries since the 2000s. Empirical studies on the self-insurance motive suggest that high-reserves economies are more resilient to financial crises and to international capital inflows volatility. They show also that pre-crisis foreign reserve accumulation explains post-crisis growth. However, some papers suggest that the relationship between international reserves holding and reduced vulnerability is nonlinear, meaning that reserve holding is subject to diminishing returns. This article devotes more attention to the potential nonlinear relationship between the foreign reserves holding and macroeconomic resilience to shocks. For a sample of nine emerging economies, we assess to what extent the accumulation of international reserves allows to mitigate negative impacts of external shocks on the output gap. While a major part of the literature focuses on the global financial crisis, we investigate this question by considering two sub-periods: 1995–2003 and 2004–2013. We implement threshold VAR model in which the structure is allow to change if the threshold variable crosses a certain estimated threshold. We find that the effectiveness of reserve holding to improve the resilience of domestic economies to shocks has increased over time. Hence, the diminishing returns of foreign reserve holding stressed in the previous literature must be qualified.     

中国外汇储备投资组合的优化配置——基于欧美国债数据的实证研究

结合中国外汇储备的实际情况,借鉴平均收益率-VAR的思路框架和最新算法,构建相应组合优化配置方法,同时采用其他主流组合配置方法作为参照对比,基于欧美主要核心国家国债的历史数据,给出各自方法的中国外汇储备投资组合的配置策略。随后,利用历史数据验证了平均收益率-VAR组合优化方法及相应组合配置策略,相对其他方法及相应组合配置策略,在市场波动条件下的优越性,以期该方法以及相应的配置策略可以对于中国外汇储备的投资组合配置提供重要参考。