浮动汇率制度下货币政策的独立性

自2005年7月21日人民币汇率形成机制改革以来至2012年9月末,人民币对美元汇率累计升值30.52%。2012年第三季度,人民币名义有效汇率贬值1.41%,实际有效汇率贬值0.99%。期间央行为进一步推进人民币汇率形成机制的改革,增强人民币波动的弹性,决定自2012年4月16日起,银行间即期外汇市场人民币兑美元交易价浮动幅度由千分之五扩大至百分之一。汇率弹性的增大,增强了汇率对市场作用的敏感度,通过双边波动效果的增强以应对单边波动可能产生的套利风险。人民币汇率的变动越来越反映市场供需情况的变动,在这种情况下货币政策的独立性得到了改善。本文通过以Girton-Roper模型为基础引入虚拟变量D对2001年1月至2012年11月数据进行回归后发现政策改变后模型中影响因素的作用改变,再分别对2001年1月至2005年7月以及2005年8月至2012年11月的数据进行回归,得出不同时期的影响因素有所不同。改革前我国的货币政策受国际物价水平的影响较大,而在浮动汇率制度下,其不再受国际物价水平的影响,而且与国内市场利率产生了一定的正相关关系,这足以说明人民币汇率弹性加大后,我国的货币政策的独立性有所增强。     

基于状态空间模型的人民币均衡汇率研究

本文改进传统回归均值系数分析的缺陷,引进汇率风险变量和适应性预期变量,通过构建行为均衡汇率(BEER)的状态空间模型,利用卡尔曼滤波估计时变系数,同时估计了人民币汇率的ECM模型,研究2000年1月～2011年12月各因素对人民币均衡汇率的动态影响,并测算了人民币均衡汇率.研究发现:政府支出、TOT、FDI对人民币的升值影响显著增强,其中贸易条件对人民币升值贡献最大;利率差R、汇率风险RIS和适应性预期变量,逐渐符合理论预测.人民币均衡汇率失衡均在6％以内,不存在较大偏差.近期人民币升值压力主要来自热钱流入,非经济基本因素的内在需求.解释变量对人民币汇率的长期影响符合理论预期,但短期内各因素对人民币汇率的影响与长期影响有一定的冲突.     

完善人民币汇率形成机制对中国宏观经济影响的情景分析——一般均衡分析

本文采用社会核算矩阵技术,从一般均衡分析角度,以2005年中国社会核算矩阵为冲击对象,在以实际有效汇率为基础形成人民币汇率形成机制的假设前提下,对中国宏观经济影响进行了情景分析,主要研究结论是:第一,人民币升值并不会改变中国的贸易顺差状况,同时,可以改善自1999年以来我国对外贸易状况恶化的现状;第二,FDI对人民币升值呈中性特征,但人民币升值对国际游资具有一定的吸引作用;第三,人民币升值有利于居民消费水平的结构升级;但是,人民币升值有可能会加大贫富差距,对当前的严峻就业形势无疑会“雪上加霜”;第四,人民币的升值对提高政府收入水平、增加中国的总体经济的存量水平是十分有利的;第五,人民币升值无论是对采用支出法还是采用收入法计算得到的GDP的影响都不大。     

人民币购买力平价均衡汇率实证检验——基于VECM协整的因素分析

本文首先对2007年6月至2012年11月的人民币/美元汇率分别进行了严格的和弱化的购买力平价的单位根检验,得出的结论为:在此期间的人民币/美元汇率不存在严格的购买力平价均衡汇率,但存在弱化的购买力平价均衡汇率。在此结论上,本文在此基础上运用协整方法进行实证分析,并运用脉冲响应函数分析了长期均衡因素的短期影响效果。     

离岸与在岸人民币汇率:联动机制和溢出效应——基于VAR-GARCH-BEKK模型的分析

随着人民币国际化进程的推进,人民币离岸市场规模不断扩大,研究离岸与在岸市场汇率的联动机制与相互影响,对于探讨人民币定价权和人民币国际化进程中的风险管理具有重要意义.通过建立VAR-GARCH(1,1)-BEKK模型,在控制美元汇率、全球投资者恐慌情绪、宏观经济走势等变量后,分析了在岸与离岸人民币即期汇率、远期汇率之间的冲击传导效应、均值溢出效应和波动溢出效应,深入探讨了两个市场的联动性.结果表明:1)两个市场存在明显的均值溢出和波动溢出效应,在岸市场对离岸市场的冲击更大,而离岸市场的远期汇率引导着在岸远期汇率的形成; 2)“8. 11汇改”后离岸市场对在岸市场的影响增强,两个市场的联动性更加明显; 3)美元走势对在岸和离岸人民币汇率影响都非常显著,但即使控制美元走势后两个市场之间的汇率联动关系仍然存在.     

中国“人民币外交”进入新时期

<正>近日,中国人民银行分别将人民币兑美元汇率中间价下调2%和1.6%,导致人民币汇率跌至2011年来新低。对此中国央行发言人表示,中国实行的是以市场供求为基础的、有管理的浮动汇率制度,汇率波动是正常的,对此应客观看待。未来中国人民银行将进一步完善人民币汇率市场化形成机制,维护汇率的正常浮动,保证人民币汇率在合理均衡水平上的基本稳定,并强调"当前不存在人民币汇率持续贬值的基础"。     

相对购买力平价与人民币均衡汇率

本文简单回顾了购买力平价理论及其实证研究的发展,并用单位根检验和协整检验两种方法对人民币汇率进行了相对购买力平价检验,结果证明人民币与美元之间的相对购买力平价是成立的。在此基础上按照相对购买力平价均衡汇率模型计算了人民币均衡汇率,结论为用这种方法求解均衡汇率是根本不可取的。     

人民币均衡汇率的实证研究——基于购买力平价理论

随着我国开放程度的不断提高,汇率必然政府的宏观经济政策的一个重要手段。鉴于汇率对现代经济的独特影响,许多学者一直在探求最合理的人民币汇率水平,这也是困扰政府的难题之一。本文试图通过实证研究来得出人民币均衡汇率水平,并期待能为相关方面的研究和工作提供一定的参考和帮助。     

基于CAViaR模型的汇率隔夜风险研究

针对目前缺乏美元当日汇率对其他汇率市场隔夜风险影响的研究,本文在CAViaR模型中的AS模型和SAV模型基础上提出隔夜-AS模型和隔夜-SAV模型来测量汇率隔夜风险,并对日元汇率,人民币汇率和港币汇率2009年到2014年的数据进行实证分析,研究结果表明隔夜-AS模型和隔夜-SAV模型均优于AS模型和SAV模型,且隔夜-AS模型又优于隔夜-SAV模型。这三个汇率的隔夜风险均受到滞后风险的影响,且人民币汇率所受滞后风险最大,美元指数的波动都将加大这三个汇率市场的隔夜风险,美元对日元和港币汇率的冲击大于对人民币汇率的冲击,美元走弱对这三个市场隔夜风险影响大于美元走强所带来的影响,这些都为我国汇率隔夜风险的管理提供了新的方法和思路。     

官方新闻对人民币汇率变动的影响——基于TVP-VAR模型的研究

以中国官方发布的汇率新闻为对象的研究,从文本措辞角度对2010年至2023年中国央行和外汇局的官方网站新闻进行分类,构建“汇率升贬”、“汇率弹性”、“汇率制度”、“人民币国际化”和“美元相关”五种新闻措辞指数,进而利用TVP-VAR模型研究官方新闻对人民币汇率的影响。研究表明,官方新闻对人民币汇率存在明显时变特征,产生的冲击效应在短期尤为明显,长期趋近于零;官方新闻中不同措辞类型对人民币汇率的影响存在异质性;在进一步研究中发现,官方新闻指数对人民币汇率有升值影响,对汇率波动有增强效果,且离岸市场受到的影响更大。     

Contract,Mechanism Design,and Technological Detail

This paper develops a theoretical framework for studying contract and enforcement in settings with nondurable trading opportunities and complete but unverifiable information. The framework explicitly accounts for the parties' individual trade actions. The sets of implementable state‐contingent payoffs, under various assumptions about renegotiation opportunities, are characterized and compared. The results indicate the benefit of modeling trade actions as individual, rather than as public, and they highlight the usefulness of a structured game‐theoretic framework for applied research.     

含有违约风险的利率风险管理

旨在解决含有违约风险的利率风险管理问题,指出了在商业银行资产负债管理中含有违约风险债券利率风险管理问题研究的必要性,获得了违约风险债券久期的一般公式,建立了含有对违约风险的控制、平均绝对离差约束、平衡表其它相关约束以及目标约束等在内的商业银行利率风险管理的目标规划模型;并在给出数值实例的基础上,讨论了违约风险的存在对银行利率风险管理的影响.     

Service-oriented e-Marketplace: an agent-based model

This paper develops a cooperative distributed systems framework for e-Marketplaces. We propose a business-centric knowledge-oriented architecture (BCKOA) framework. In this framework, we envision the e-Marketplace as a collection of economically motivated software agents that support the trading processes of several e-Business models. It enables and supports common integration and economic services between market participants, such as brokering, pricing and negotiation. The proposed architecture accommodates mechanisms of various market structures. This paper, however, will focus on commodity and Vickrey auction markets. It will briefly discuss the implementation of a prototype for BCKOA-based e-Marketplace using a coordinated, intelligent rational agent model and the Foundation of Intelligent Physical Agent specifications.     

交易者市场到达率及影响因素研究

将交易者市场到达率看作与市场状态相依的变量,实证研究了上海证券市场知情与非知情交易者的市场到达率及其影响因素.首先运用EKOP模型假设,选取2003.7.1至2003.12.31上海证券市场高频分笔交易数据,对知情与非知情者的到达率(交易强度)进行了度量;其次研究了各种宏观、微观市场特征对交易者到达率的影响.实证结果表明:非知情交易者的到达率与市场收益正相关,知情交易者的到达率主要受买(卖)交易量和供给(需求)弹性的影响,且这种影响只存在于同期之间.与非知情交易者不同,知情者较多的观察微观公共信息.     

大型工程建设项目组织综合集成模式

针对大型工程项目组织现状,应用系统论和综合集成方法,提出了工程项目组织基本原理图。构建了项目组织的十元组模型和十纬度集成理论,并对维度进行分析和归约。在此基础上,建立了工程项目组织集成的逻辑框架、结构框架、运作机制和运作框架,以及集成的组织中人力资源的配置方案,进而提出了宜组织的概念。最后将其应用于工程项目实践中,验证证实取得较好效果。这一大型工程项目组织综合集成模式同样也适合特大型工程项目的组织构造,具有较强的理论先进性和使用价值。     

Scoring strategic performance: a pragmatic constructivist approach to strategic performance measurement

This paper analyses the characteristics of good strategic performance that contribute to the overall performance of a successful company. We apply a framework of pragmatic constructivism in order to analyse and measure strategic performance. We use the model for performance measurement based on pragmatic constructivism for the more specific topics of measuring, assessing and analysing strategic performance as opposed to operational performance. This paper analyses the characteristics of strategic performance that successfully enhance the overall performance of the company. The purpose is to outline a framework for strategic performance measurement that can be used to guide and measure strategic leadership. The framework focuses on the concepts of coherence and coherence tracing as the basic concepts for strategic performance and thus the task for strategic performance measurement.     

Setting corporate objectives using market required earnings

This paper examines and illustrates a new approach to corporate planning. The authors provide a framework which can overcome some of the more pernicious effects of long term corporate planning such as the gearing of the more fundamental commercial goals. The authors produce a rigorous framework as to the criteria upon which a corporate strategy should be based and then tested their model against the corporate planning activities of several large companies whose profitability rates were relatively high. Finally, the paper analyses the optimal method of utilizing the proposed model.     

A knowledge chain management framework to support integrated decisions in global supply chains

Knowledge management has been identified as a key enabler to achieve organisation’s value chain competitiveness. It, however, has been facing fresh challenges in a global supply chain setting. This paper proposes a global knowledge chain management (GKCM) framework that identifies and prioritises critical knowledge that a global supply chain can focus on to support integrated decisions. The framework explores three types of global context knowledge, namely global market knowledge, global capacity knowledge and global supply network configuration knowledge. Empirical study has been undertaken within the manufacturing industry to evaluate the GKCM framework. Analytic network process has been explored as a key method to assess the importance of the global knowledge constructs from supply chain managers’ perspectives. A key contribution of the paper is that it advances existing knowledge chain management approaches within one organisation and its local supply chain to include the global context knowledge applicable to global manufacturing settings, and highlights how the GKCM framework can support global supply chain integrated decisions.     

A Lean Six Sigma framework for the reduction of ship loading commercial time in the iron ore pelletising industry

Evidence suggests that specifically designed frameworks to implement Lean Six Sigma (LSS) projects to tackle particular problems are more effective than ‘generic’ versions. This paper proposes an implementation framework to effectively deploy LSS to improve a key operation and performance indicator, i.e. ship loading commercial time, of one of the largest world producer of iron ore. This article therefore contributes with a refined framework to effectively implement LSS, and documents its successful application and effectiveness within the context of the case organisation. The LSS framework and project contributed in helping the studied organisation to improve both the capability of its ship loading process and commercial time by more than 30%, resulting in operational savings in the range of $300,000 USD per year. The systematic nature of the framework proposed also helped the organisation to establish a standardised routine to improve its operations. Managerial implications exposing the challenges faced during the implementation of LSS are also discussed to serve as lessons learnt to be considered in other LSS projects. Managers and engineers incharge of improving operations and processes can benefit from this paper as it can be used as a guide to direct the conduction of LSS projects and the empirical application of its principles and tools.     

Decoupling thinking in service operations: a case in healthcare delivery system design

The notion of decoupling thinking has been well established in the manufacturing operations and supply chain management literature. This paper explores how this decoupling thinking can be applied in service operations and in particular in health care. It first reviews the relevant literature on decoupling fundamentals, the front- and back-office distinction, and new emerging decoupling thinking in service operations. Subsequently, a flow-based framework including content and process is developed for decoupling thinking in service operations. The framework provides an integrated perspective on customer contact, flow driver and flow differentiation (level of customisation). The framework hence, through flow differentiation, introduces the concept of standardisation versus customisation in a service context. This is followed by a health care case example to illustrate how the framework can be applied. The managerial implications are primarily in terms of a modularised approach to system design and management. The framework offers potential for benchmarking with other service systems as well as with manufacturing systems based on the shared foundation in decoupling thinking. Finally, suggestions are provided for further research opportunities derived from this research.