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Exchange Rate Uncertainty and International Portfolio Flows 汇率不确定性与国际投资组合流动
Pub Date : 2013-05-21 DOI: 10.2139/ssrn.2264178
G. Caporale, F. Menla Ali, Nicola Spagnolo
This paper examines the impact of exchange rate uncertainty on different components of portfolio flows, namely equity and bond flows, as well as the dynamic linkages between exchange rate volatility and the variability of these two types of flows. Specifically, a bivariate GARCH-BEKK-in-mean model is estimated using bilateral data for the US vis-a-vis Australia, the UK, Japan, Canada, the euro area, and Sweden over the period 1988:01-2011:12. The results indicate that the effect of exchange rate uncertainty on equity flows is negative in the euro area, the UK and Sweden, and positive in Australia, whilst it is negative in all countries except Canada (where it is positive) in the case of bond flows. Under the assumption of risk aversion, this suggests that exchange rate uncertainty induces a home bias and causes investors to reduce their financing activities to maximise returns and minimize exposure to uncertainty. Furthermore, since exchange rate volatility and the variability of flows are interlinked, exchange rate or credit controls on these flows can be used to pursue economic and financial stability.
本文考察了汇率不确定性对投资组合流动的不同组成部分的影响,即股票和债券流动,以及汇率波动与这两种流动的可变性之间的动态联系。具体来说,我们使用1988:01-2011:12期间美国相对于澳大利亚、英国、日本、加拿大、欧元区和瑞典的双边数据估算了一个双变量GARCH-BEKK-in-mean模型。结果表明,汇率不确定性对股权流动的影响在欧元区、英国和瑞典是负的,在澳大利亚是正的,而在债券流动的情况下,除了加拿大(它是正的),它在所有国家都是负的。在风险厌恶的假设下,这表明汇率不确定性导致了一种本土偏见,并导致投资者减少融资活动,以实现收益最大化和不确定性风险最小化。此外,由于汇率波动和资金流的可变性是相互关联的,因此可以利用对这些资金流的汇率或信贷控制来追求经济和金融稳定。
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引用次数: 12
The Trend is Our Friend: Risk Parity, Momentum and Trend Following in Global Asset Allocation 趋势是我们的朋友:全球资产配置中的风险平价、动量和趋势跟踪
Pub Date : 2013-05-01 DOI: 10.2139/ssrn.2126478
A. Clare, Peter N. Smith, Steve Thomas
We examine applying a trend following methodology to global asset allocation between equities, bonds, commodities and real estate. This strategy offers substantial improvement in risk-adjusted performance compared to buy-and-hold portfolios and a superior method of asset allocation than risk parity. We believe the discipline of trend following overcomes many of the behavioural biases investors succumb to, such as regret and herding, and offers a solution to the inappropriate sequence of returns which can be problematic for decumulation portfolios. The other side of behavioural biases is that they may be exploited by investors: an example is momentum investing where herding leads to continuation of returns and has been identified across many assets. Momentum and trend following differ as the former is a relative concept and the latter absolute. Combining both can achieve the higher return levels associated with momentum portfolios with much reduced volatility and drawdowns due to trend following. Measures based on utility of a representative investor reinforce the superiority of combining trend following with momentum strategies. These techniques help address the sequencing of returns issue which can be a serious issue for financial planning.
我们研究了将趋势跟踪方法应用于股票、债券、大宗商品和房地产之间的全球资产配置。与买入并持有的投资组合相比,这种策略在风险调整后的表现上有了实质性的改善,也是一种比风险平价更优越的资产配置方法。我们认为,趋势追随的原则克服了投资者屈服于的许多行为偏见,如后悔和羊群效应,并为不适当的回报顺序提供了解决方案,而不适当的回报顺序可能会给累积投资组合带来问题。行为偏差的另一面是,它们可能会被投资者利用:一个例子是动量投资,在这种投资中,羊群效应会带来持续的回报,这在许多资产中都得到了证实。动量与趋势跟随不同,前者是相对概念,后者是绝对概念。将两者结合起来,可以实现与动量投资组合相关的更高回报水平,同时大大减少波动性和由于趋势跟随而导致的回调。基于代表性投资者效用的测度强化了趋势跟随与动量策略相结合的优势。这些技术有助于解决回报顺序问题,这对财务规划来说可能是一个严重的问题。
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引用次数: 54
Long-Run Price Elasticities of Demand for Credit: Evidence from a Countrywide Field Experiment in Mexico 信贷需求的长期价格弹性:来自墨西哥全国实地试验的证据
Pub Date : 2013-05-01 DOI: 10.2139/ssrn.2272723
Dean S. Karlan, Jonathan Zinman
We use randomized interest rates, offered across eighty geographically distinct regions for twenty-nine months by Mexico’s largest microlender, to sketch the adjustment from a price change to a new equilibrium. Demand is elastic, and more so over the longer run; e.g. the dollars-borrowed elasticity increases from $-$1.1 in Year one to $-$2.9 in Year three. Credit bureau data do not show evidence of crowd-out, although this and other null results are imprecisely estimated. The lender’s profits increase, albeit noisily, starting in Year two. But competitors do not respond by reducing rates. These findings, together with other results, suggest that informational frictions are important, and that cutting rates furthered Compartamos Banco’s “double bottom line” of improving social welfare subject to a profitability constraint.
我们使用随机利率,由墨西哥最大的小额贷款机构在80个地理上不同的地区提供29个月的利率,来描绘从价格变化到新的均衡的调整。需求是有弹性的,从长期来看更是如此;例如,美元借贷弹性从第一年的- 1.1美元增加到第三年的- 2.9美元。信用局的数据没有显示挤出的证据,尽管这和其他无效的结果是不精确的估计。从第二年开始,这家银行的利润开始增长,尽管增幅很大。但竞争对手并没有以降价作为回应。这些发现与其他结果一起表明,信息摩擦很重要,降息进一步推动了西班牙国家银行在盈利能力受限的情况下提高社会福利的“双重底线”。
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引用次数: 52
Capital Account Policies in Chile Macro-Financial Considerations Along the Path to Liberalization 智利资本账户政策:自由化道路上的宏观金融考量
Pub Date : 2013-05-01 DOI: 10.5089/9781484331460.001.A001
Yan Carrière-Swallow, Pablo Garcia-Silva
This paper recounts Chile’s experience with capital account policies since the 1990s. We present how two external shocks were confronted under very different macroeconomic and capital account frameworks. We show that during the 1997-98 Asian-LTCM-Russia crisis, a closed capital account and relatively rigid exchange rate severely constrained the monetary policy response to the shock, aggravating the fall in domestic demand. During the 2008-09 crisis, a full-fledged inflation targeting framework allowed the authorities to implement a significant countercyclical response. We argue that domestic stability considerations lay behind the policy regime switch toward capital account liberalization from 1999 onwards.
本文回顾了智利自上世纪90年代以来的资本账户政策经验。我们将介绍在非常不同的宏观经济和资本账户框架下如何面对两种外部冲击。我们表明,在1997-98年亚洲-长期资本主义-俄罗斯危机期间,封闭的资本账户和相对刚性的汇率严重限制了货币政策对冲击的反应,加剧了国内需求的下降。在2008-09年危机期间,成熟的通胀目标制框架使当局得以实施重大的反周期对策。我们认为,自1999年以来,政策体制转向资本账户自由化的背后是对国内稳定的考虑。
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引用次数: 34
Impact of International Financial Flows on Indian Stock Markets – An Empirical Study 国际资金流动对印度股市影响的实证研究
Pub Date : 2013-04-23 DOI: 10.2139/ssrn.2255404
K.S.Venkateswara Kumar, V. R. Devi
FDI and FII have become instruments of international economic integration and stimulation. Fast growing economies like Singapore, China, Korea etc have registered incredible growth at onset of FDI. Though US captures most of the FDI inflows, developing countries still account for significant growth of FDI and rise in FII. FDI not only gives access to foreign capital but also provides domestic countries with cutting edge technology, desired skill sets, tools of innovation and other complementary skills. The policies drafted to stimulate the flow of foreign capital in to India provided much needed impetus for India to emerge as an attractive destination for foreign investors. External factors such as global economic cues, FDI & FII, Exchange rate and Internal factors such as demand and supply, market cap, EPS generally drive and dictates the Indian stock market. The current paper makes an attempt to study the relationship and impact of FDI & FII on Indian stock market using statistical measures correlation coefficient and multi regression for 12 years data starting from 2001 to 2012. Sensex and Nifty were considered as the representative of stock market as they are the most popular Indian stock market indices.
外国直接投资和外国投资已成为国际经济一体化和刺激的工具。快速增长的经济体,如新加坡、中国、韩国等,在外国直接投资开始时就出现了令人难以置信的增长。尽管美国吸引了大部分外国直接投资流入,但发展中国家仍占外国直接投资和外国直接投资增长的显著比例。外国直接投资不仅提供获得外国资本的机会,而且还向本国提供尖端技术、所需的成套技能、创新工具和其他补充技能。为刺激外国资本流入印度而起草的政策为印度成为吸引外国投资者的目的地提供了急需的动力。外部因素,如全球经济线索,外国直接投资和外国投资,汇率和内部因素,如需求和供应,市值,每股收益,通常驱动和决定印度股市。本文试图利用2001 - 2012年12年的数据,采用统计方法、相关系数法和多元回归法研究FDI和FII对印度股市的关系和影响。Sensex和Nifty被认为是股市的代表,因为它们是印度最受欢迎的股市指数。
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引用次数: 7
Impact of the Foreign Exchange Rates Fluctuations on Returns and Volatility of the Bucharest Stock Exchange 汇率波动对布加勒斯特证券交易所收益和波动性的影响
Pub Date : 2013-04-15 DOI: 10.2139/ssrn.2250937
R. Stefanescu, Ramona Dumitriu
This paper explores the influence of the foreign exchange rates variation on the returns and volatility of the stock prices from the Romanian capital market for the period of time January 2000 - December 2012. This period was split in four sub-samples corresponding to different stages of the Romanian financial markets evolution. The GARCH models employed in this investigation provided different results. For the transition period January 2000 - December 2007 we found no evidence of the foreign exchange market on the Bucharest Stock Exchange. During a period of time between the Romania’s adhesion to European Union and the announcement of Lehman Brothers’ bankruptcy the results indicate a significant impact of the foreign exchange rates on the stock returns. For the period from September 2008 to February 2010 we find that foreign exchange rates influenced not only the stock returns but also their volatility. However, between March 2010 and December 2012 the impact of the foreign exchange market on the Romanian capital market was limited to the returns. We conclude that influence of the foreign exchange rates variation on the returns and volatility of the stock prices depended on the factors such as the foreign capitals inflows, the global crisis effects and the perceptions of the national economy.
本文探讨了2000年1月至2012年12月期间罗马尼亚资本市场外汇汇率变动对股票价格收益和波动性的影响。这一时期被分为四个子样本,对应于罗马尼亚金融市场演变的不同阶段。本研究采用的GARCH模型提供了不同的结果。在2000年1月至2007年12月的过渡期间,我们没有发现布加勒斯特证券交易所存在外汇市场的证据。在罗马尼亚加入欧盟和雷曼兄弟宣布破产之间的一段时间内,结果表明外汇汇率对股票收益有显著影响。在2008年9月至2010年2月期间,我们发现外汇汇率不仅影响股票收益,而且影响其波动性。然而,在2010年3月至2012年12月期间,外汇市场对罗马尼亚资本市场的影响仅限于回报。我们得出结论,外汇汇率变动对股票价格收益和波动性的影响取决于外资流入、全球危机效应和国民经济认知等因素。
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引用次数: 8
Deleveraging from Emerging Markets: The Case of Euro-Area Banks 新兴市场去杠杆化:以欧元区银行为例
Pub Date : 2013-03-21 DOI: 10.2139/ssrn.2253121
A. Garcia-Herrero, F. Chen
This paper shows stylized facts on the rather large retrenchment of cross-border lending by Euro-area banks into emerging markets. The clearest case is Asia where Euro-area banks have massively lost market share. The reason, however, is not only related to their retrenching but also to the surge in lending from others banks, especially from Emerging Asia. As a second step, we investigate empirically the determinants of cross-border bank flows with a gravity model and differentiate across Euro-area, US and Asian banks. We find a number of home factors behind the retrenchment in lending. Two are common to all home countries analyzed, namely global risk aversion and trade which, respectively, discourage and foster banksA¢â‚¬â„¢ overseas lending. Other factors, however, are specific of Euro-area banks, such as the higher cost of funding which is found to discourage lending while poor economic growth tends to foster it. The latter result would indicate that economic weakness of the last few years may have actually cushioned Euro-area banksA¢â‚¬â„¢ deleveraging from emerging markets. All in all, Euroarea banksA¢â‚¬â„¢ cross border lending appear to be more dependent on their cycle (both in terms of growth and external cost of funding) when compared with US and Asian banks.
本文展示了欧元区银行向新兴市场大幅缩减跨境贷款的风格化事实。最明显的例子是亚洲,欧元区银行已经大量失去了市场份额。然而,其原因不仅与它们的紧缩有关,还与其它银行(尤其是新兴亚洲银行)的贷款激增有关。作为第二步,我们用重力模型对跨境银行流动的决定因素进行实证研究,并对欧元区、美国和亚洲银行进行区分。我们发现在贷款紧缩的背后有许多国内因素。所有分析的母国都有两个共同点,即全球风险厌恶和贸易,这两个因素分别阻碍和促进了银行向海外放贷。然而,其他因素是欧元区银行特有的,比如较高的融资成本阻碍了放贷,而糟糕的经济增长往往会促进放贷。后一种结果将表明,过去几年的经济疲软可能实际上缓冲了欧元区银行从新兴市场去杠杆化的过程。总而言之,与美国和亚洲银行相比,欧元区银行的跨境贷款似乎更依赖于它们的周期(在增长和外部融资成本方面)。
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引用次数: 2
Libor Market Model with Stochastic Basis - Calibration Using OIS Yield and Money Market Basis Spreads Libor市场随机基差模型-使用OIS收益率和货币市场基差进行校准
Pub Date : 2013-02-04 DOI: 10.2139/ssrn.2211175
Joerg Kienitz
Usually a Libor Market model with a stochastic basis as speci ed for instance by Mercurio, F. (2009) lacks of a suitable calibration since there are not enough market quotes available. To this end we suggest to take a low parametric model which essentially is calibrated to the current OIS curve. Then, for the forwards we use a Libor Market model for which enough quoted instruments such as caps, swaptions, CMS or CMS spread options are available. The dependency of the OIS curve and the Libor model is given by the money market basis spread.The idea for taking a low factor model for the OIS dynamic is presented in Mercurio, F. and Xie, Z. (2012). But they also propose to use a low factor model for the forwards. In this note we combine a low factor dynamic for the OIS zero coupon bonds with the framework presented in Mercurio, F. (2009) for a multi-curve Libor Market model by a somewhat di erent modelling approach.We show how to obtain all model parameters and for the rst time an example of a calibration of a multi-curve Libor Market model using the current market quotes.
通常,如Mercurio, F.(2009)所指定的具有随机基础的Libor市场模型缺乏适当的校准,因为没有足够的市场报价可用。为此,我们建议采用低参数模型,本质上是校准到当前OIS曲线。然后,对于远期,我们使用Libor市场模型,其中有足够多的报价工具,如上限、掉期、CMS或CMS价差期权。OIS曲线与Libor模型的依赖关系由货币市场基差给出。Mercurio, F.和Xie, Z.(2012)提出了对OIS动态采用低因子模型的想法。但他们也建议对远期使用低因子模型。在本文中,我们将OIS零息债券的低因素动态与Mercurio, F.(2009)中提出的多曲线Libor市场模型的框架结合起来,采用了一种不同的建模方法。我们展示了如何获得所有模型参数,并首次使用当前市场报价校准多曲线Libor市场模型的示例。
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引用次数: 1
Dual Liquidity Crises - A Financial Accounts Framework 双重流动性危机-金融账户框架
Pub Date : 2013-02-01 DOI: 10.1111/roie.12026
U. Bindseil, A. Winkler
This paper analyzes dual liquidity crises, i.e. funding crises which encompass the private and the public sector, and the shock absorbing capacity of central banks within a closed system of financial accounts. We find that a central bank that operates under a flexible exchange rate is most effective in containing a dual liquidity crisis. A central bank of a euro area type monetary union has a similar capacity as long as the integrity of the union is beyond doubt. By contrast, within any fixed exchange rate system the availability of inter‐central bank credit determines the elasticity of a central bank in providing liquidity. Finally, domestic constraints, i.e. collateral rules, risk taking ability or legal prohibitions, can limit the elasticity of the central bank's response to liquidity shocks.
本文分析了双重流动性危机,即包括私营部门和公共部门的资金危机,以及中央银行在封闭金融账户体系中的减震能力。我们发现,在浮动汇率下运作的央行在遏制双重流动性危机方面最为有效。只要联盟的完整性不容置疑,欧元区式货币联盟的央行也具有类似的能力。相比之下,在任何固定汇率制度下,中央银行间信贷的可用性决定了中央银行提供流动性的弹性。最后,国内约束,即抵押品规则、风险承担能力或法律禁令,可能会限制央行应对流动性冲击的弹性。
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引用次数: 8
Gravity, Scale and Exchange Rates 重力、规模和汇率
Pub Date : 2013-02-01 DOI: 10.3386/W18807
James E. Anderson, Mykyta Vesselovsky, Y. Yotov
We develop a structural gravity model that introduces scale effects in bilateral trade. Scale effects and incomplete passthrough give two channels through which exchange rates have real effects on trade patterns. Estimates from Canadian provincial trade data identify these effects through their interaction with the US border. We find statistically and quantitatively significant economies of scale in cross-border trade in almost 2/3 of sectors. Real effects of exchange rate changes on trade are found for 12 of 19 goods sectors and none of 9 services sectors.
我们建立了一个结构性重力模型,引入了双边贸易的规模效应。规模效应和不完全传递提供了汇率对贸易模式产生实际影响的两个渠道。根据加拿大各省贸易数据的估计,通过它们与美国边境的相互作用,可以确定这些影响。我们发现,在近三分之二的行业中,跨境贸易的规模经济在统计上和数量上都很显著。19个商品部门中有12个部门发现汇率变化对贸易的实际影响,9个服务部门中没有发现汇率变化对贸易的实际影响。
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引用次数: 14
期刊
ERN: International Finance (Topic)
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