中国金融学术研究网
CHINA FINANCIAL RESEARCH NETWORK

资本市场--资产定价
工作论文
2012-04-12 第4卷 第8期

编: 麻省理工学院斯隆管理学院金融学讲席教授,清华大学经管学院特聘教授。

执行主编: 杨之曙清华大学经济管理学院金融学副教授。


本期目录

"再售期权"分析中的异质信念与股市泡沫------与陈国进教授等商榷

杜亚军 厦门大学王亚南经济研究院

On China’s Monetary Policy and Asset Prices

Shujie Yao University of NottinghamSchool of Contemporary Chinese Studies
Dan Luo University of NottinghamSchool of Contemporary Chinese Studies
Lixia Loh Centre of Global FinanceResearch Department

The External Impact of China's Exchange Rate Policy: Evidence from Firm Level Data

Barry Eichengreen International Monetary FundResearch Department
Hui Tong International Monetary FundResearch Department

Enter the Dragon: Interactions between Chinese, US and Asia‐Pacific Equity Markets, 1995‐2010

Richard C. K. Burdekin Claremont McKenna CollegeThe Robert Day School of Economics and Finance
Pierre L. Siklos Wilfrid Laurier UniversityEconomics

Understanding Chinese Bond Yields and their Role in Monetary Policy

Nuno Cassola International Monetary FundStrategy, Policy and Review Department
Nathan Porter International Monetary FundStrategy, Policy and Review Department


论文摘要

"再售期权"分析中的异质信念与股市泡沫------与陈国进教授等商榷

杜亚军 厦门大学王亚南经济研究院

《再售》一文使用了金融领域的前沿理论,但在理论的诠释与应用上产生了问题。首先,在未能正确理解异质信念概念的条件下,以错误方式选择了异质信念的代理变量,并且使用它来表示再售期权。其次,使用了一种动态剩余收益模型来估算投机泡沫的,却忽略了该模型关键性假定前提在中国股市基本不具备的事实。此外,在设计模型解释现象时,未能立足实际把握中国股市的深层问题和矛盾,却把研究重点转至投资者心理预期上。最后,使用异质信念来表示再售期权,却基于隐含了同质信念假定的动态剩余收益模型来估算投机泡沫,并将这样产生的两个变量整合进入核心模型中。这样,在模型中便包含了两个对立的假定前提。这一系列错误最终导致陈国进教授等无法自圆其说。

On China’s Monetary Policy and Asset Prices

Shujie Yao University of NottinghamSchool of Contemporary Chinese Studies
Dan Luo University of NottinghamSchool of Contemporary Chinese Studies
Lixia Loh Centre of Global FinanceResearch Department

This paper investigates the dynamic and long-run relationships between monetary policy and asset prices in China using monthly data from June 2005 to September 2010. Johansen’s cointegration approach based on vector autoregression (VAR) and Granger causality test are used to identify the long-run relationships and directions of causality between asset prices and monetary variables. Empirical results show that monetary policies have little immediate effect on asset prices, suggesting that Chinese investors may be ‘irrational’ and ‘speculative’. Instead of running away from the market, investors rush to buy houses or shares whenever tightening monetary actions are taken. Such seemingly irrational and speculative behavior can be explained by various social and economic factors, including lack of investment channels, market imperfections, cultural traditions, urbanization and demographic changes. The results have two important policy implications. First, China’s central bank has not used and should not use interest rate alone to maintain macro-economic stability. Second, both monetary and non-monetary policies should be deployed when asset bubbles loom large to avoid devastating consequences when they burst.

The External Impact of China's Exchange Rate Policy: Evidence from Firm Level Data

Barry Eichengreen International Monetary FundResearch Department
Hui Tong International Monetary FundResearch Department

We examine the impact of renminbi revaluation on foreign firm valuations, considering two surprise announcements of changes in China’s exchange rate policy in 2005 and 2010 and employing data on some 6,000 firms in 44 economies. Stock returns rise with renminbi revaluation expectations. This reaction appears to reflect a combination of improvements in general market sentiment and specific trade effects. Expected renminbi appreciation has a positive effect on firms exporting to China but a negative impact on those providing inputs for the country’s processing exports. Stock prices rise for firms competing with China in their home market but fall for firms importing Chinese products with large imported-input content. There is also some evidence that expected renminbi appreciation reduces the valuation of financially-constrained firms, presumably because appreciation implies reduced Chinese purchases of foreign securities. The results carry over when we consider ten instances of market-perceived changes in prospective Chinese currency policy.

Enter the Dragon: Interactions between Chinese, US and Asia‐Pacific Equity Markets, 1995‐2010

Richard C. K. Burdekin Claremont McKenna CollegeThe Robert Day School of Economics and Finance
Pierre L. Siklos Wilfrid Laurier UniversityEconomics

This paper applies a variety of short‐run and long‐run time series techniques to data on a broad group of Asia‐Pacific stock markets and the United States extending to 2010. Our empirical work confirms the importance of crises in affecting the persistence of equity returns in the Asia‐Pacific region and offers some support for contagion effects. Post‐Asian financial crisis quantile regressions yield substantial evidence of long‐run linkages between the Shanghai market, the US market and many regional exchanges. Cointegration is particularly prevalent at the higher end of the distribution. Our results suggest that the enormous growth of the Shanghai market in the new millennium has been accompanied by a meaningful level of integration with other regional and world markets in spite of ongoing capital controls.

Understanding Chinese Bond Yields and their Role in Monetary Policy

Nuno Cassola International Monetary FundStrategy, Policy and Review Department
Nathan Porter International Monetary FundStrategy, Policy and Review Department

China’s financial prices are informative enough for the PBC to introduce a monetary policy framework centered around interest rates. While bond yields are not fully efficient—reflecting regulation, liquidity, and segmentation—we find they contain considerable information about the state of the economy as well as evidence of an emerging transmission channel: changes in PBC rates influence the structure of Treasury, financial, and corporate bond yield curves, which are then associated with changes in growth and inflation. Coporate spreads are also a leading indicator of growth and inflation. While further liberalization will strengthen both efficiency and transmission, several necessary elements to move towards indirect monetary policy are already in place.


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