本文在Menkhoff et al.(2012)研究的基础上,以全球35个国家和地区的货币为样本,考察了外汇市场波动性风险的长期及短期成分对套息交易超额收益的差异定价能力。研究发现,低利率货币组合的超额收益对波动性风险的长期成分具有显著为正的...本文在Menkhoff et al.(2012)研究的基础上,以全球35个国家和地区的货币为样本,考察了外汇市场波动性风险的长期及短期成分对套息交易超额收益的差异定价能力。研究发现,低利率货币组合的超额收益对波动性风险的长期成分具有显著为正的敏感度,高利率货币组合则具有显著为负的敏感度。波动性风险的长期成分具有显著为负的风险价格,波动性风险的短期成分对货币组合的超额收益不具有解释力。根据波动性风险的定价结果,本文进一步设计了能产生显著超额收益且风险较低的组合交易策略。展开更多
Local and central governments are concerned to develop fiscal policies that are based on principles already enshrined in the literature as the principle of equity and/or the principle of fiscal appropriateness. Beyond...Local and central governments are concerned to develop fiscal policies that are based on principles already enshrined in the literature as the principle of equity and/or the principle of fiscal appropriateness. Beyond these principles, the governments want to make sure that all taxpayers have the capacity to pay at maturity the tax debts owed to the public budget. In crisis situations, as recent experience has shown, governments adopt fiscal policy measures, with the sole purpose of procuring financial resources to cover the huge government budget deficits. In this situation, a natural question arises： Do governments need, for the elaboration of their fiscal policy, an analysis that takes into account the taxpayer＇s budget？ Or is it sufficient that they confine only to the theoretical principles enshrined in the literature or the tax paying ability of the taxpayers？ The answer can only be affirmative, because any taxpayer＇s budget is an inexhaustible source of resources for the public budgets. It is undisputed that in the taxpayer＇s budget, the tax expenditures coexist with other categories of expenditures such as consumption expenditures, durable expenditures and public utilities expenditures. Each expenditure type is risk-bearing. To study the structure of budget expenditures within the taxpayer, the authors suggest the use of three indicators innovative for the science of public finance： the risk, the sensitivity coefficient and the coefficient of volatility. Depending on the values registered by the three indicators of fiscal policies, expenditures can be classified as risky, volatile and sensitive which may lead to risks of failure to collect the taxes and/or to tax evasion. Innovative for the science of public finances is that the fundamentation of the fiscal policies is realized using the three indicators, the budget of the taxpayer and the networking between the categories of expenditures that fall within its budget structure展开更多
文摘本文在Menkhoff et al.(2012)研究的基础上,以全球35个国家和地区的货币为样本,考察了外汇市场波动性风险的长期及短期成分对套息交易超额收益的差异定价能力。研究发现,低利率货币组合的超额收益对波动性风险的长期成分具有显著为正的敏感度,高利率货币组合则具有显著为负的敏感度。波动性风险的长期成分具有显著为负的风险价格,波动性风险的短期成分对货币组合的超额收益不具有解释力。根据波动性风险的定价结果,本文进一步设计了能产生显著超额收益且风险较低的组合交易策略。
文摘Local and central governments are concerned to develop fiscal policies that are based on principles already enshrined in the literature as the principle of equity and/or the principle of fiscal appropriateness. Beyond these principles, the governments want to make sure that all taxpayers have the capacity to pay at maturity the tax debts owed to the public budget. In crisis situations, as recent experience has shown, governments adopt fiscal policy measures, with the sole purpose of procuring financial resources to cover the huge government budget deficits. In this situation, a natural question arises： Do governments need, for the elaboration of their fiscal policy, an analysis that takes into account the taxpayer＇s budget？ Or is it sufficient that they confine only to the theoretical principles enshrined in the literature or the tax paying ability of the taxpayers？ The answer can only be affirmative, because any taxpayer＇s budget is an inexhaustible source of resources for the public budgets. It is undisputed that in the taxpayer＇s budget, the tax expenditures coexist with other categories of expenditures such as consumption expenditures, durable expenditures and public utilities expenditures. Each expenditure type is risk-bearing. To study the structure of budget expenditures within the taxpayer, the authors suggest the use of three indicators innovative for the science of public finance： the risk, the sensitivity coefficient and the coefficient of volatility. Depending on the values registered by the three indicators of fiscal policies, expenditures can be classified as risky, volatile and sensitive which may lead to risks of failure to collect the taxes and/or to tax evasion. Innovative for the science of public finances is that the fundamentation of the fiscal policies is realized using the three indicators, the budget of the taxpayer and the networking between the categories of expenditures that fall within its budget structure
