Based on the global asset portfolio model,this paper created a panel threshold model using EPFR fund data to empirically test the non-linear spillover effects of US economic policy uncertainties on cross-border capita...Based on the global asset portfolio model,this paper created a panel threshold model using EPFR fund data to empirically test the non-linear spillover effects of US economic policy uncertainties on cross-border capital flow for emerging economies.Our study led to the following findings:(1)When the level of global investor risk tolerance is high,rising US EPU will induce a capital inflow into emerging economies,as manifested in the“portfolio rebalancing effect.”When the level of global investor risk tolerance is below a critical threshold,this gives rise to risk aversion and emerging economies will experience net capital outflow,i.e.the“flight to quality effect”.(2)Equity fund investors have a lower risk tolerance threshold than bond fund investors.(3)According to our heterogeneity analysis,more attention should be paid to monitoring capital flow through actively managed funds,ETF funds,and retail investor funds.The economy should increase financial efficiency and economic resiliency to mitigate capital outflow pressures from the external environment.展开更多
内部资金转移定价系统在一定程度上决定了国内商业银行未来竞争力,而收益率曲线的构建是其中的关键所在。但是由于国内金融市场的特殊性,缺乏可用的人民币收益率曲线,本文对这一重要问题进行了探讨。本文首先对相关文献和收益率曲线的...内部资金转移定价系统在一定程度上决定了国内商业银行未来竞争力,而收益率曲线的构建是其中的关键所在。但是由于国内金融市场的特殊性,缺乏可用的人民币收益率曲线,本文对这一重要问题进行了探讨。本文首先对相关文献和收益率曲线的应用进行了评述,在此基础上,提出了基于M cCu lloch模型的人民币收益率曲线构建的具体方法,并采用实际数据进行了检验。展开更多
This research empirically examines the impact of China’s renminbi(RMB)Bilateral Swap Agreements(BSAs)on the usage of the currency in cross-border trade transactions.By using a unique dataset from SWIFT including cros...This research empirically examines the impact of China’s renminbi(RMB)Bilateral Swap Agreements(BSAs)on the usage of the currency in cross-border trade transactions.By using a unique dataset from SWIFT including cross-border settlement messages of 91 countries/regions between October 2010 and November 2015,we confirm that the signing of an RMB BSA helps increase the number,value and proportion of the RMB settlement in cross-border trade.Our results are robust with respect to the choice of different models,including multi-level mixed model,two-stage regression model,and difference-in-difference model.In addition to justifying the effectiveness of China’s BSA-signing strategy to promote the RMB usage in trade settlement,our results clarify that the signing of those RMB BSAs is not purely for China’s political ends as some scholars claim.展开更多
基金sponsored by the Natural Science Foundation of China(NSFC)2018 Emergency Management Project“Exchange Rate Market Variation,Cross-Border Capital Flow and Financial Risk Prevention”(Grant No.71850005)the NSFC Youth Program“Dynamic Estimation of Foreign Exchange Market Pressure in the Process of Capital Account Opening and Evaluation of the Central Bank’s Intervention Policy Effects”(Grant No.71803204).
文摘Based on the global asset portfolio model,this paper created a panel threshold model using EPFR fund data to empirically test the non-linear spillover effects of US economic policy uncertainties on cross-border capital flow for emerging economies.Our study led to the following findings:(1)When the level of global investor risk tolerance is high,rising US EPU will induce a capital inflow into emerging economies,as manifested in the“portfolio rebalancing effect.”When the level of global investor risk tolerance is below a critical threshold,this gives rise to risk aversion and emerging economies will experience net capital outflow,i.e.the“flight to quality effect”.(2)Equity fund investors have a lower risk tolerance threshold than bond fund investors.(3)According to our heterogeneity analysis,more attention should be paid to monitoring capital flow through actively managed funds,ETF funds,and retail investor funds.The economy should increase financial efficiency and economic resiliency to mitigate capital outflow pressures from the external environment.
文摘内部资金转移定价系统在一定程度上决定了国内商业银行未来竞争力,而收益率曲线的构建是其中的关键所在。但是由于国内金融市场的特殊性,缺乏可用的人民币收益率曲线,本文对这一重要问题进行了探讨。本文首先对相关文献和收益率曲线的应用进行了评述,在此基础上,提出了基于M cCu lloch模型的人民币收益率曲线构建的具体方法,并采用实际数据进行了检验。
文摘This research empirically examines the impact of China’s renminbi(RMB)Bilateral Swap Agreements(BSAs)on the usage of the currency in cross-border trade transactions.By using a unique dataset from SWIFT including cross-border settlement messages of 91 countries/regions between October 2010 and November 2015,we confirm that the signing of an RMB BSA helps increase the number,value and proportion of the RMB settlement in cross-border trade.Our results are robust with respect to the choice of different models,including multi-level mixed model,two-stage regression model,and difference-in-difference model.In addition to justifying the effectiveness of China’s BSA-signing strategy to promote the RMB usage in trade settlement,our results clarify that the signing of those RMB BSAs is not purely for China’s political ends as some scholars claim.
