Some Potential Linkages for Input-Output Analysis with Flow-of-Funds

Three major, interrelated accounting statements, at the frontiers of quantitative economic analysis, are three interrelated systems, namely: (1) National income and product accounts (NIPA), (2) The input-output tableaux, (IO), and (3) flow-of- funds accounts (FF). The third-mentioned system is somewhat less available and used in only limited areas of macroeconomic analysis. This paper is mainly concerned with use of FF accounting systems. This system shows where financial resources originate, and where they go in support of real capital formation. In this respect, interest rates and other market-based financial rates are of key importance. While much macroeconomic analysis is based on the rates that fit the yield curve, showing the interest rate structure over various maturities of debt associated with a given degree of risk. In contrast, the FF accounts throw light on the whole spectrum of interest rates, across maturities and debt qualities. For example, in analysis of the real estate market and funding of capital formation there, it is important to have a full understanding of the course of mortgage rates of different maturities and qualities. In short, it is necessary to develop a full appreciation of supply and demand forces in the mortgage market, which often is not obviously related to movements of the operative rate for monetary policy, such as very short-term inter bank rates or call money rates. This paper attempts to provide material from the flow-of-funds accounts that would make it possible to analyze the movement of relevant mortgage rates or whatever other rates are needed to understand the financing of capital formation in real estate.     

含跳跃过程单因子利率模型的估计——基于中国国债回购利率的实证分析

在CKLS模型的基础上,我们提出了一个加入跳跃过程的单因子利率期限结构模型。通过对我国国债回购利率的实证检验,发现加入跳跃过程后,模型不但能更好地拟合实际数据．而且揭示了利率均值回复和水平效应的部分原因,从而增强了模型的解释能力。     

汇率冲击和行业就业调整

根据Campa和Goldberg的贸易结构理论,我们对国内15个行业就业和汇率间的关系进行了实证研究。结果发现大多数行业在汇率冲击后的反应和理论一致,即人民币升值会抑制其就业增长,而贬值有利于其就业扩张,尤其是对高开放度和劳动密集型行业影响显著。但由于其他行业就业汇率弹性并不显著,因此降低了整体就业汇率弹性的显著性。此外,由于我国各行业开放度高于美国,因此就业汇率弹性也较大。     

利率期限结构曲线的估计方法——基于上交所国债的实证分析

本文系统地论述了各种利率期限结构曲线估计方法的原理．提出了估计方法需满足的原则,并采用上海证券交易所的国债市场数据,比较了四种主要估计方法的拟合效果,提出了适合我国债券市场的利率期限结构估计方法。     

利率市场化改革与货币政策银行利率传导

现代货币政策框架的内涵之一是畅通的货币政策传导机制。在货币政策对银行利率的传导中,政策利率尤其是再融资工具利率能够通过市场利率向贷款利率和存款利率顺畅传导。本文构造了一个多部门局部均衡模型,刻画利率市场化程度的时变特征,从理论上讨论利率市场化程度与货币政策银行利率传导之间的内生关系,两者共同决定了利率市场化改革的成效。基于时变因子扩展向量自回归模型,本文进一步验证了理论分析的结论。研究发现:(1)利率市场化改革具有阶段性波动特征,利率市场化程度不是一直上升的,改革可能会曲折迂回。(2)利率市场化改革具有动态政策效应,多种改革政策共同推动渐进的利率市场化,但从货币政策银行利率传导的有效性进行考察,利率市场化改革仍然存在进一步推进的空间。因此,有必要完善贷款市场报价利率的形成、传导与调控机制,理顺不同利率之间的联动关系,疏通货币政策对银行利率的传导,充分发挥利率市场化改革的潜力。     

On Choosing and Bounding Probability Metrics

When studying convergence of measures, an important issue is the choice of probability metric. We provide a summary and some new results concerning bounds among some important probability metrics/distances that are used by statisticians and probabilists. Knowledge of other metrics can provide a means of deriving bounds for another one in an applied problem. Considering other metrics can also provide alternate insights. We also give examples that show that rates of convergence can strongly depend on the metric chosen. Careful consideration is necessary when choosing a metric.     

人口结构变迁与经常账目失衡

世界范围内持续多年的经常账目失衡并不鲜见,以往研究多关注汇率和净出口的关系,而忽视了经常账目余额的另外一种属性——本国在外国的储蓄。本文尝试从人口结构变迁的角度对这一问题给出新的解释。本文通过构建包括幼年抚养比和老年抚养比的世代交替模型,理论分析和预测了：幼年抚养比上升会降低储蓄率、增加投资率,从而减少经常账目余额;而老年抚养比下降会提高储蓄率,增加经常账目余额;试图填补人口结构对经常账目影响的理论空白。接下来,本文利用1990年至2011年全球110个国家的强平衡面板数据进行实证分析,在静态和动态模型下均得到了与理论预测相一致的稳健结果。根据实证结果进行定量分析,本文发现中国抚养比的变化可以解释1990年至2007年间经常账目余额占GDP比重16.6%的变动。     

准据法新说

确定方法的革新必然改变准据法的面貌,故有必要重新审视准据法的传统定义。如果下一个新的定义,准据法应该是指为解决识别问题和实体权利争议问题而适用的法律的表述公式或其组合。从广义上或学理上说,准据法还应包括在寻找上述公式过程中作为分析工具使用的国际私法上的若干表述公式以及这些公式所指称的实体法律。     

Asymmetries between Rich and Poor Countries in Financial Crisis Responses: The Need for a Flow-of-Funds Approach

This paper focuses on the manner in which interest rates have been raised to, and sustained at, extremely high levels in developing and emerging market economies as a consequence of recent financial crises. By contrast rich market economies have typically lowered interest rates and injected liquidity in response to incipient financial crises. The paper first sketches the logic that lies behind extremely high interest rates (nominal and real) as an element of crisis resolution. It suggests that this reflects a money-phobic view of financial markets and also conflicts with some well-established economics. It then reviews the conventional wisdom about why richer economies have enjoyed sustained price stability in recent years and why this in turn has allowed their monetary authorities to be relaxed about injecting additional liquidity in response to LTCM (1998) and September 11 (2001)-type crises. It is pointed out that this conventional wisdom is also money-phobic in that it neglects the build up of corporate and government debt in bond and financial derivative form that has been associated with recent financial developments. This analysis helps to contest the common view that emerging market economies pay a higher price merely because their polices are "bad'. Finally, the paper reviews the manner in which the financial systems of developing and emerging market economies respond to the destabilization created by corrosively high real rates of interest. Even when bankruptcy arrangements are well established, certain new forms of financial flows and instruments are implicit in this response, but are invariably ignored in formal modelling.     

Sources of exchange rate fluctuations: Are they real or nominal?

I analyze the role of real and monetary shocks on exchange rate behavior using a structural vector autoregressive model of the US vis-à-vis the rest of the world. The shocks are identified using sign restrictions on the responses of the variables to orthogonal disturbances. These restrictions are derived from the predictions of a two-country DSGE model. I find that monetary shocks are unimportant in explaining exchange rate fluctuations. By contrast, demand shocks explain between 21% and 37% of exchange rate variance at 4-quarter and 20-quarter horizons, respectively. The contribution of demand shocks plays an important role but not of the order of magnitude sometimes found in earlier studies. My results, however, support the recent focus of the literature on real shocks to match the empirical properties of real exchange rates.