Do interventions in foreign exchange markets modify investors' expectations? The experience of Japan between 1992 and 2004

The purpose of this paper is to analyze the impact of the Bank of Japan's official interventions on the JPY/USD parity during the period 1992–2004. The novelty of our approach is to combine two recent advances of the empirical literature on foreign exchange interventions: (i) drawing on over-the-counter option prices to characterize more precisely the distribution of market expectations; (ii) redefining interventions in terms of events as they tend to come in clusters. Moreover, in order to deal with the features of the data (small sample size, non-standard distribution), we use bootstrap tests.We show that interventions have a significant impact on the mean expectation (the forward rate). The results are more ambiguous for variance. Additionally, we find that the effect of interventions on skewness is significant, robust to different definitions of skewness, and consistent with the direction of interventions. On the contrary, our results clearly show that kurtosis is not affected by interventions. We finally show that: (i) coordination increases effectiveness of interventions; (ii) results are not altered when controlling for other economic and political news.     

Linking of U.S. monetary policy and exchange rates to world soybean markets

The linkage between macroeconomic policies and agricultural commodity trade has become an important research issue of agricultural economists. This paper investigates the macroeconomic linkage of soybean trade competition between the exporting countries of the United States, Brazil, and Argentina in the EC-12 and Japan import markets. It is argued that U.S. monetary growth may have important impacts on the competitive position of U.S. soybean exports through exchange rates. Two relationships are investigated: (a) the effects of U.S. monetary growth on the agricultural trade weighted exchange rates, and (b) the responsiveness of agricultural commodity prices and U.S. exports to exchange rate movements. Results indicate that a weak dollar increases imports of soybeans and soymeal significantly which serves to increase the equilibrium world price and increase both U.S. and Brazil/Argentina exports in the long run. However, during periods of more expansionary U.S. monetary policy there is little evidence of significant increases in market share position for U.S. soybeans and soymeal in world markets.     

证券法上的民事责任功能研究

我国证券市场在短短十几年的时间内,在募集资金、推动国有大中型企业改制、优化资源配置等方面发挥了不可替代的重要作用.但不容乐观的是伴随着证券市场的发展各种违法违规现象在不断发生.尽管我国对证券违法行为明令禁止,并对严重的违法行为加以行政处罚甚至刑事制裁,然而证券市场上的违法行为仍然禁而不止.究其原因,除了管理层对证券市场发展的总体政策摇摆不定,监管者对违法行为处理不力等因素外,证券法上未建立完善的民事责任制度是重要的原因.本文从证券法上的民事责任功能的探讨入手,阐述了证券法上的民事责任具有的功能是证券刑事责任、行政责任所不能替代的原因,进而论证了建立完善的证券民事责任的必要性.     

Production-location decision and free entry oligopoly: A correction

This paper shows that there is no interior solution in Mai–Hwang's 1992 oligopolistic location model with free entry when the production function exhibits constant or decreasing returns to scale. The comparative static results of the impact of a demand change on the location decision only apply to the case where the production function exhibits increasing returns to scale. It re-examines the impact of a demand change on the location decision of an oligopolistic firm and corrects the propositions derived by [C.C. Mai, H. Hwang, Production-location decision and free entry oligopoly, Journal of Urban Economics 33 (1992) 252–271. Reprinted in: M.L. Greenhut, G. Norman (Eds.), The Economics of Location, vol. I: Location Theory, Edward Elgar, Aldershot, 1995].     

Hedging Housing Risk*

An unusually rich source of data on housing prices in Stockholm is used to analyze the investment implications of housing choices. This empirical analysis derives market-wide price and return series for housing investment during a 13-year period, and it also provides estimates of the individual-specific, idiosyncratic, variation in housing returns. Because the idiosyncratic component follows an autocorrelated process, the analysis of portfolio choice is dependent upon the holding period. We analyze the composition of household investment portfolios containing housing, common stocks, stocks in real estate holding companies, bonds, and t-bills. For short holding periods, the efficient portfolio contains essentially no housing. For longer periods, low-risk portfolios contain 15 to 50 percent housing. These results suggest that there are large potential gains from policies or institutions that would permit households to hedge their lumpy investments in housing. We estimate the potential value of hedges in reducing risk to households, yet yielding the same investment returns. The value is surprisingly large, especially to poorer homeowners.     

无界时滞中立型系统(非Razumikhin型)的稳定性

本文利用 Liapunov 函数法,建立无界时滞线性和非线性中立型系统(非 Razumikhin 型)稳定性的简单判据。     

A bootstrap test for jumps in financial economics

An i.i.d. bootstrap is applied for the ratio test of Barndorff-Nielsen and Shephard (2006) for jumps in jump diffusion processes. Asymptotic validity is established for the bootstrap test both under the null of no jump and under the alternative of jumps. Finite sample simulation shows that the bootstrap test has more stable size than the ratio test of Barndorff-Nielsen and Shephard (2006).     

Vertical Specialization and Trade Growth in Northeast Asia

As the global economy has become further integrated, the international production chain has become more sophisticated, with diversified stages of production located in different countries. Economic theorists have argued that the fragmentation of the global production chain is partly attributable to the high growth in international trade over the past several decades. In this study, we examine vertical specialization in China, Japan and Korea, and its contribution to these nations' trade. Using a multilevel model, it is illustrated that vertical specialization has encouraged increases in trade among all three countries. In particular, China's outcome is remarkable considering how recently it became a member of the WTO.     

Tariff and Quota Equivalence in Vertically Related Markets

This paper re‐examines the issue of tariff and quota equivalence by introducing an upstream market into the Hwang and Mai (1988 ) model, and then allowing the two downstream firms to cross‐haul within each other's market. We assume the upstream monopolist can select either a two‐part or a one‐part tariff pricing strategy. It is found that if the upstream firm adopts a two‐part (one‐part) tariff pricing strategy, then the market price of the final good under a tariff will be higher (lower) than that under an equivalent quota; that is, the quota is set at the import level under the tariff regime. This result stands in stark contrast to the prior findings of both Hwang and Mai (1988 ) and Fung (1989 ). Moreover, if the quota rent is set as being equal to the tariff revenue, the social welfare under a tariff will necessarily be lower than that under an equivalent quota.     

基于Flexsim的社区蔬菜直销配送流程仿真优化研究

文章以乌鲁木齐沙依巴克区社区蔬菜直销配送流程为仿真对象,运用Flexsim仿真软件对其进行模拟,对配送流程涉及到的关键设备利用率、人员空闲率等数据比较分析,提出社区蔬菜直销配送流程合理的运营模式。