Journal of International Economics 2023年第1期

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——更多動態(tài)，請關(guān)注gzh：理想主義的百年孤獨(dú)

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1.Sovereign credit and exchange rate risks: Evidence from Asia-Pacific local currency bonds

主權(quán)信用和匯率風(fēng)險(xiǎn):來自亞太地區(qū)本幣債券的證據(jù)

Mikhail Chernov, Drew Creal, Peter H?rdahl

We study the dynamic properties of sovereign bonds in emerging markets and their associated risk premiums. We focus on the properties of credit spreads, exchange rates, and their interaction. Relying on the term structure of local currency bonds issued by Asia-Pacific sovereigns, we find that local variables are significant in the dynamics of currency and credit risk, and the components of bond risk premiums reflecting these risks. Local currency bonds dramatically improve the investment frontier.

我們研究了新興市場主權(quán)債券的動態(tài)特性及其相關(guān)的風(fēng)險(xiǎn)溢價(jià)。我們重點(diǎn)研究了信用利差、匯率及其相互作用的性質(zhì)?；趤喬鳈?quán)國家發(fā)行的本幣債券的期限結(jié)構(gòu)，我們發(fā)現(xiàn)本幣變量對貨幣和信用風(fēng)險(xiǎn)的動態(tài)以及反映這些風(fēng)險(xiǎn)的債券風(fēng)險(xiǎn)溢價(jià)的構(gòu)成具有顯著影響。本幣債券顯著改善了投資前沿。

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2.The open-economy ELB: Contractionary monetary easing and the trilemma

開放經(jīng)濟(jì)ELB:緊縮性貨幣寬松和三難困境

Paolo Cavallino, Damiano Sandri

Contrary to Mundell's trilemma, we show that free capital mobility may prevent monetary policy from ensuring output stability even if the exchange rate is flexible due to the existence of an Effective Lower Bound. The ELB is an interest rate threshold below which monetary easing becomes contractionary because of adverse effects on credit supply. A tightening in global monetary and financial conditions increases the ELB and may force central banks to hike rates even though domestic economic activity contracts. We also show that the ELB gives rise to a novel inter-temporal trade-off for monetary policy and calls for using a broad range of policy tools to restore monetary transmission.

與蒙代爾的三難困境相反，我們的研究表明，即使匯率由于有效下限的存在而具有靈活性，資本的自由流動也可能阻礙貨幣政策確保產(chǎn)出穩(wěn)定。ELB是一個(gè)利率閾值，低于該閾值，貨幣寬松就會因?yàn)閷π刨J供應(yīng)的不利影響而收縮。全球貨幣和金融狀況的收緊增加了ELB，并可能迫使央行加息，即使國內(nèi)經(jīng)濟(jì)活動收縮。我們還表明，ELB為貨幣政策帶來了一種新的跨期權(quán)衡，并呼吁使用廣泛的政策工具來恢復(fù)貨幣傳導(dǎo)。

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3.Import substitution in illicit methamphetamine markets

非法甲基苯丙胺市場的進(jìn)口替代

Leandro Freylejer, Scott Orr

The United States passed a series of precursor control laws between 2004 and 2006 which aimed to decrease illicit methamphetamine production by limiting access to key inputs. We provide evidence that this caused suppliers to substitute towards Mexican-produced methamphetamine. Using a difference-in-differences identification strategy, we show that the treatment effect of precursor controls on lab seizures was largest in the middle of the United States. This is consistent with substitution towards imports, where differences in each region's ability to substitute towards imports generates heterogeneous effects on domestic production. To quantify the effect of precursor controls on domestic costs and imports, we estimate a model of illicit methamphetamine production using data on lab seizures and methamphetamine prices. We find that precursor controls increased domestic costs by 114%–190%. Substitution towards Mexican-produced methamphetamine decreased the effect of precursor controls on methamphetamine prices by 62%–83%, relative to a counterfactual world without import substitution.

美國在2004年至2006年期間通過了一系列前體控制法，旨在通過限制關(guān)鍵投入物的獲取來減少非法甲基苯丙胺生產(chǎn)。我們提供證據(jù)表明，這導(dǎo)致供應(yīng)商取代墨西哥生產(chǎn)的甲基苯丙胺。利用雙重差分識別策略，我們發(fā)現(xiàn)前體控制對實(shí)驗(yàn)室緝獲的治療效果在美國中部地區(qū)最大。這與對進(jìn)口的替代是一致的，每個(gè)區(qū)域?qū)M(jìn)口的替代能力的差異對國內(nèi)生產(chǎn)產(chǎn)生了不同的影響。為了量化前體控制對國內(nèi)成本和進(jìn)口的影響，我們利用實(shí)驗(yàn)室緝獲和甲基苯丙胺價(jià)格的數(shù)據(jù)估計(jì)了一個(gè)非法甲基苯丙胺生產(chǎn)的模型。我們發(fā)現(xiàn)，前驅(qū)控制使國內(nèi)成本增加了114% ~ 190%。與沒有進(jìn)口替代的反事實(shí)世界相比，對墨西哥生產(chǎn)的甲基苯丙胺的替代使前體管制對甲基苯丙胺價(jià)格的影響降低了62%-83%。

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4.Intellectual property infringement by foreign firms: Import protection through the ITC or court

外國公司侵犯知識產(chǎn)權(quán):通過ITC或法院提供進(jìn)口保護(hù)

James A. Brander, Barbara J. Spencer

This paper examines intellectual property litigation as a method of protection from patent-infringing imports. Claims against patent-infringing imports entering the United States may be filed before the International Trade Commission (ITC) or in district court. The ITC applies injunctions (import prohibitions) that would seem to provide more protection from infringing imports than the standard license fee remedy in court. Settlements prior to legal adjudication are common in both venues. Using a model with Nash bargaining and Cournot competition, we show that an ITC filing may restrict imports by?less?than in court. This result tends to apply if product differentiation is high and the size of the patented cost-reducing innovation is large.

本文研究了知識產(chǎn)權(quán)訴訟作為一種保護(hù)進(jìn)口專利侵權(quán)的方法。對進(jìn)入美國的侵犯專利的進(jìn)口產(chǎn)品的索賠可以向國際貿(mào)易委員會(ITC)或地區(qū)法院提出。國際貿(mào)易委員會適用的禁令(進(jìn)口禁令)似乎比標(biāo)準(zhǔn)的許可證費(fèi)用救濟(jì)在法庭上提供更多的保護(hù)，以防止侵權(quán)進(jìn)口。在這兩個(gè)地方，在法律裁決之前達(dá)成和解是很常見的。利用一個(gè)具有納什議價(jià)和古諾競爭的模型，我們表明，美國國際貿(mào)易委員會的申請可能會比在法庭上限制進(jìn)口更少。當(dāng)產(chǎn)品差異化程度高、專利降本創(chuàng)新規(guī)模大時(shí)，這一結(jié)果傾向于成立。

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5.Migration, tariffs, and China's export surge

移民、關(guān)稅和中國的出口激增

Chen Liu, Xiao Ma

We build a multi-sector spatial general equilibrium model that features heterogeneous firms' and workers' location choices to account for China's export surge between 1990 and 2005 using three policy changes: China's import tariffs, tariffs imposed against China's exports, and barriers to internal migration in China. We find that tariff and migration policies jointly accounted for 30% of China's export growth. We also find evidence that suggests a positive interaction effect of tariff and migration policies. As migration reform prepared the country to become more export oriented, China enjoyed faster export growth after opening to trade than it would have otherwise.

本文構(gòu)建了一個(gè)包含異質(zhì)性企業(yè)和工人區(qū)位選擇的多部門空間一般均衡模型，利用中國進(jìn)口關(guān)稅、針對中國出口產(chǎn)品征收的關(guān)稅和中國內(nèi)部移民壁壘這三個(gè)政策變化來解釋1990—2005年中國出口激增的原因。我們發(fā)現(xiàn)，關(guān)稅和移民政策共同貢獻(xiàn)了中國出口增長的30%。我們還發(fā)現(xiàn)了一些證據(jù)，表明關(guān)稅和移民政策存在積極的交互作用。由于移民改革使中國變得更加以出口為導(dǎo)向，在開放貿(mào)易后，中國的出口增長比在其他情況下要快。

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6.Third-country effects of regional trade agreements: A firm-level analysis

區(qū)域貿(mào)易協(xié)定的第三國效應(yīng):企業(yè)層面的分析

Woori Lee, Alen Mulabdic, Michele Ruta

How do regional trade agreements impact exporters in non-member countries? We revisit this long-standing trade policy question using firm-level data from Costa Rica and detailed information on the content of trade agreements. Differently from the conventional view on trade diversion, the analysis shows that “deep” regional trade agreements can have a positive spillover effect: they increase the probability of export and entry of third-country firms that previously exported to one of the member countries. This spillover effect is driven by provisions that are nondiscriminatory and address regulatory issues, as they make member countries more “similar”, thus allowing to reduce entry costs. Indeed, firms exporting regulation-intensive products benefit disproportionately more from deep trade agreements in destination markets.

區(qū)域貿(mào)易協(xié)定如何影響非成員國的出口商?我們利用哥斯達(dá)黎加公司層面的數(shù)據(jù)和關(guān)于貿(mào)易協(xié)定內(nèi)容的詳細(xì)信息，重新審視了這個(gè)長期存在的貿(mào)易政策問題。與傳統(tǒng)的貿(mào)易轉(zhuǎn)移觀點(diǎn)不同，本文的分析表明，"深度"區(qū)域貿(mào)易協(xié)定能夠產(chǎn)生積極的溢出效應(yīng):增加了先前向成員國出口的第三國企業(yè)的出口和進(jìn)入概率。這種溢出效應(yīng)是由非歧視性條款驅(qū)動的，這些條款解決了監(jiān)管問題，因?yàn)樗鼈兪钩蓡T國更加”相似”，從而降低了進(jìn)入成本。事實(shí)上，出口管制密集型產(chǎn)品的公司更多地受益于目的地市場的深入貿(mào)易協(xié)定。

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7.Trade intermediation by producers

生產(chǎn)者的貿(mào)易中介

Aksel Erbahar, Vincent Rebeyrol

This paper shows that manufacturing exporters export goods that they have not produced and thus also act as trade intermediaries. The geographical dimension of the data reveals that almost half of these exports of “sourced” products are purely intermediated: to many destinations, firms export sourced products only. We find that this type of intermediation is ubiquitous across firms, products, and destinations, and is robust to a battery of alternative definitions. These findings show that trade intermediation by producers (TIP) is not solely driven by carry-along trade, where produced and sourced products are bundled when exported. Our decomposition of TIP highlights that trade intermediation should be identified at the firm-product-destination level. The prevalence of pure intermediation for all manufacturing exporters, including the largest ones, suggests that intermediation plays an important role in firms' participation and success in international markets.

本文的研究表明，制造業(yè)出口商出口的是自己沒有生產(chǎn)的商品，因此也扮演著貿(mào)易中介的角色。數(shù)據(jù)的地理維度顯示，這些“采購”產(chǎn)品的出口幾乎有一半是純粹的中介:對許多目的地，企業(yè)只出口采購產(chǎn)品。我們發(fā)現(xiàn)，這種類型的中介在企業(yè)、產(chǎn)品和目的地中普遍存在，并且在一系列替代定義中是穩(wěn)健的。這些研究結(jié)果表明，生產(chǎn)者的貿(mào)易中介行為并不僅僅是由附帶貿(mào)易驅(qū)動的，即在出口時(shí)將生產(chǎn)和采購的產(chǎn)品捆綁在一起。我們對TIP的分解強(qiáng)調(diào)了貿(mào)易中介應(yīng)該在企業(yè)-產(chǎn)品-目的地層次上進(jìn)行識別。所有制造業(yè)出口國(包括最大的出口國)普遍存在純中介，這表明中介在企業(yè)參與國際市場和取得成功方面發(fā)揮著重要作用。

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8.Responses of exporters to trade protectionism: Inferences from the US-China trade war

出口商對貿(mào)易保護(hù)主義的反應(yīng):來自中美貿(mào)易戰(zhàn)的推論

Lingduo Jiang, Yi Lu, Hong Song, Guofeng Zhang

This paper investigates how exports respond to trade protection by studying the US-China trade war in 2018. Using monthly customs data in China from January 2017 to May 2019, we find that the launch of the trade war against Chinese exports by the US on average reduces Chinese total exports to the US by 16.47%. Further decomposition shows that the reduction in exports is mostly explained by a decrease in quantity, with prices relatively unchanged. Meanwhile, negative trade shocks cause export diversion to countries that are closer and have larger economies, and exports in R&D-intensive, skilled-labor-intensive, high-capital-income-share, and upstream industries have been diverted even more. Heterogeneous analyses show that industries with a comparative advantage, high export growth, large export value, and high elasticity of substitution are more responsive to trade protection.

本文以2018年中美貿(mào)易戰(zhàn)為研究對象，考察出口對貿(mào)易保護(hù)的反應(yīng)。利用2017年1月至2019年5月中國海關(guān)月度數(shù)據(jù)，我們發(fā)現(xiàn)，美國對中國出口發(fā)起貿(mào)易戰(zhàn)平均減少了中國對美國的出口總額16.47%。進(jìn)一步分解發(fā)現(xiàn)，出口減少主要是由于數(shù)量減少，價(jià)格相對不變。同時(shí)，負(fù)面的貿(mào)易沖擊導(dǎo)致出口向距離更近、經(jīng)濟(jì)規(guī)模更大的國家轉(zhuǎn)移，研發(fā)密集型、技術(shù)勞動密集型、高資本收入份額和上游行業(yè)的出口進(jìn)一步轉(zhuǎn)移。異質(zhì)性分析表明，具有比較優(yōu)勢、出口增長率高、出口額大、替代彈性高的行業(yè)對貿(mào)易保護(hù)的反應(yīng)更強(qiáng)烈。

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9.Sovereign bond prices, haircuts and maturity

主權(quán)債券的價(jià)格、減記和期限

Tamon Asonuma, Dirk Niepelt, Romain Ranciere

We document that creditor losses (“haircuts”) during sovereign debt restructurings vary across debt maturity. In our novel dataset on instrument-specific haircuts suffered by private creditors in 1999–2020 we find larger losses on short- than long-term debt, independently of the specific haircut measure we use. A standard asset pricing model rationalizes our findings under two assumptions, both of which are satisfied in the data: increasing short-run restructuring risk in the run-up to a restructuring, and high exit yields. We relate our findings to the policy debate on restructuring procedures.

我們發(fā)現(xiàn)，在主權(quán)債務(wù)重組期間，債權(quán)人損失(“減記”)因債務(wù)期限的不同而有所不同。在我們關(guān)于1999—2020年私人債權(quán)人遭受的特定工具減記的新數(shù)據(jù)集中，我們發(fā)現(xiàn)短期債務(wù)的損失大于長期債務(wù)，這與我們使用的特定減記措施無關(guān)。一個(gè)標(biāo)準(zhǔn)的資產(chǎn)定價(jià)模型在兩個(gè)假設(shè)下對我們的發(fā)現(xiàn)進(jìn)行了合理化，這兩個(gè)假設(shè)在數(shù)據(jù)中都得到了滿足:在重組之前增加短期重組風(fēng)險(xiǎn)，以及高退出收益率。我們將研究結(jié)果與重組程序的政策辯論聯(lián)系起來。

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10.Capital flows in an aging world

老齡化世界中的資本流動

Zsófia L. Bárány, Nicolas Coeurdacier, Stéphane Guibaud

We investigate the importance of worldwide demographic evolutions in shaping capital flows across countries. Our lifecycle model incorporates cross-country differences in fertility and longevity as well as differences in countries' ability to borrow inter-temporally and across generations through social security. In this environment, global aging triggers uphill capital flows from emerging to advanced economies, while country-specific demographic evolutions reallocate capital towards countries aging more slowly. Our quantitative multi-country overlapping generations model explains a large fraction of long-term capital flows across advanced and emerging countries.

我們調(diào)查了全球人口演變在塑造各國資本流動中的重要性。我們的生命周期模型納入了生育率和壽命的跨國差異，以及國家通過社會保障跨時(shí)期和跨代借貸能力的差異。在這種環(huán)境下，全球老齡化引發(fā)了資本從新興經(jīng)濟(jì)體向發(fā)達(dá)經(jīng)濟(jì)體的大量流動，而特定國家的人口結(jié)構(gòu)演變則將資本重新分配給老齡化速度較慢的國家。我們的多國代際重疊量化模型解釋了發(fā)達(dá)國家和新興國家長期資本流動的很大一部分。

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11.Endogenous product adjustment and exchange rate pass-through

內(nèi)生產(chǎn)品調(diào)整與匯率傳遞

Andreas Freitag, Sarah M. Lein

We document how product quality responds to exchange rate movements and quantify the extent to which these quality changes affect the aggregate pass-through into export prices. We analyze the substantial sudden appreciation of the Swiss franc post removal of the 1.20-CHF-per-euro lower bound in 2015 using export data representing a large share of the universe of goods exports from Switzerland. We find that firms upgrade the quality of their products after the appreciation. Furthermore, they disproportionately remove lower-quality products from their product ranges. This quality upgrading and quality sorting effect accounts for a substantial share of the total pass-through one year after the appreciation. We cross-check our results with the microdata underlying the Swiss export price index, which includes an adjustment factor for quality based on firms' reported product replacements, and obtain similar results.

我們記錄了產(chǎn)品質(zhì)量如何對匯率變動做出反應(yīng)，并量化了這些質(zhì)量變化對出口價(jià)格的總體傳遞影響程度。我們利用占瑞士商品出口很大一部分的出口數(shù)據(jù)，分析了瑞士法郎在2015年取消1.20瑞士法郎兌1歐元的下限后的大幅突然升值。研究發(fā)現(xiàn)，升值后，企業(yè)會提高產(chǎn)品質(zhì)量。此外，他們不成比例地將質(zhì)量較低的產(chǎn)品從其產(chǎn)品范圍中移除。這種品質(zhì)升級和品質(zhì)分揀效應(yīng)在升值后一年的總傳遞中占了相當(dāng)大的份額。我們將結(jié)果與瑞士出口價(jià)格指數(shù)(Swiss export price index)的微觀數(shù)據(jù)進(jìn)行了交叉檢查，得到了類似的結(jié)果。瑞士出口價(jià)格指數(shù)包括一個(gè)基于企業(yè)報(bào)告的產(chǎn)品替換的質(zhì)量調(diào)整因子。

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12.Monetary policy shocks and consumer expectations in the euro area

歐元區(qū)的貨幣政策沖擊和消費(fèi)者預(yù)期

Martin Geiger, Daniel Gründler, Johann Scharler

We study how consumers assess the effects of monetary policy shocks in euro area countries using survey data. Our findings provide evidence that consumers form expectations in a way that is broadly consistent with empirical and theoretical models of the monetary transmission mechanism, both at the aggregate level and at the country level. Although the euro area countries are characterized by economic and institutional heterogeneity, consumers' interpretations of the macroeconomic effects of monetary policy are relatively homogenous. Monetary policy is particularly effective in coordinating consumer price expectations, while the updating of unemployment expectations is more disperse across countries.

我們利用調(diào)查數(shù)據(jù)研究了歐元區(qū)國家的消費(fèi)者如何評估貨幣政策沖擊的影響。我們的研究結(jié)果表明，無論是在總體層面還是在國家層面，消費(fèi)者形成預(yù)期的方式與貨幣傳導(dǎo)機(jī)制的經(jīng)驗(yàn)和理論模型基本一致。盡管歐元區(qū)國家具有經(jīng)濟(jì)和制度異質(zhì)性的特征，但消費(fèi)者對貨幣政策宏觀經(jīng)濟(jì)效應(yīng)的解釋相對具有同質(zhì)性。貨幣政策在協(xié)調(diào)消費(fèi)者價(jià)格預(yù)期方面尤其有效，而失業(yè)預(yù)期的更新在各國之間更加分散。

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13.The rise in foreign currency bonds: The role of US monetary policy and capital controls

外幣債券的崛起:美國貨幣政策和資本管制的作用

Philippe Bacchetta, Rachel Cordonier, Ouarda Merrouche

An unintended consequence of loose US monetary policy is the increase in currency risk exposure abroad. Using firm-level data on corporate bond issuances in 16 emerging market economies (EMEs) between 2003 and 2017, we find that EME companies are more likely to issue bonds in foreign currency when US interest rates are low. This effect is driven by non-exporters. Interestingly, capital controls on bond inflows significantly decrease the likelihood of issuing in foreign currency and can even eliminate the adverse impact of low US interest rates. In contrast, macroprudential foreign exchange regulations increase foreign currency issuances among nonfinancial companies.

美國寬松貨幣政策的一個(gè)意外后果是海外貨幣風(fēng)險(xiǎn)敞口的增加。本文利用2003—2017年16個(gè)新興市場經(jīng)濟(jì)體公司層面的公司債券發(fā)行數(shù)據(jù)，發(fā)現(xiàn)在美國利率較低時(shí)，新興市場經(jīng)濟(jì)體公司更傾向于發(fā)行外幣債券。這種影響是由非出口國驅(qū)動的。有趣的是，對債券流入的資本管制大大降低了以外幣發(fā)行債券的可能性，甚至可以消除美國低利率的不利影響。相比之下，宏觀審慎外匯監(jiān)管增加了非金融公司的外幣發(fā)行。

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14.Low pass-through and international synchronization in general equilibrium: Reassessing vertical integration

一般均衡中的低傳遞與國際同步:對縱向一體化的再評估

Gregory de Walque, Thomas Lejeune, Ansgar Rannenberg, Raf Wouters

We investigate the difficulties of the canonical open New Keynesian model to i) reproduce the observed exchange rate pass-through disconnect, i.e. a pass-through high for import prices and low for consumer prices, and ii) to generate international business cycle synchronization. The literature tackled them separately: i) strategic complementarities for exporting firms to mitigate the pass-through to consumer prices and ii) intermediate inputs trade to enhance cross-border spillovers. We prove that foreign intermediate inputs also efficiently address the pass-through dimension, but, unlike strategic complementarities, solve the exchange rate pass-through disconnect puzzle. These results carry over to the general equilibrium effects of a depreciation. Furthermore, we show analytically that both types of vertical integration weaken sharply the expenditure switching effect. This feature strengthens real synchronization in response to productivity and monetary policy shocks, but lowers it in response to private demand shocks, a point which complements the existing literature.

我們研究了典型開放新凱恩斯模型在以下方面的困難:(1)再現(xiàn)了觀察到的匯率傳遞脫節(jié)，即進(jìn)口價(jià)格高而消費(fèi)者價(jià)格低，以及(2)產(chǎn)生國際商業(yè)周期同步。文獻(xiàn)分別解決了這兩個(gè)問題:1)出口企業(yè)的戰(zhàn)略互補(bǔ)性，以減輕對消費(fèi)者價(jià)格的傳遞;2)中間投入品貿(mào)易，以增強(qiáng)跨境溢出。本文證明，外國中間投入也有效地解決了傳遞維度，但與戰(zhàn)略互補(bǔ)不同的是，它解決了匯率傳遞脫節(jié)之謎。這些結(jié)果延續(xù)到貶值對一般均衡的影響。進(jìn)一步分析表明，兩種類型的垂直整合都顯著削弱了支出轉(zhuǎn)換效應(yīng)。這一特征增強(qiáng)了在應(yīng)對生產(chǎn)率和貨幣政策沖擊時(shí)的實(shí)際同步性，但在應(yīng)對私人需求沖擊時(shí)卻降低了實(shí)際同步性，這一點(diǎn)對現(xiàn)有文獻(xiàn)是一個(gè)補(bǔ)充。

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15.Does it matter how central banks accumulate reserves? Evidence from sovereign spreads

央行如何積累儲備重要嗎?來自主權(quán)信用利差的證據(jù)

César Sosa-Padilla, Federico Sturzenegger

There has been substantial research on the benefits of accumulating foreign reserves, but less on the relative merits of how these reserves are accumulated. In this paper we explore whether the form of accumulation affects country risk. We first present a model of endogenous sovereign debt defaults, where we show that reserve accumulation through the issuance of debt contingent on local output reduces spreads in a way that reserve accumulation with foreign borrowing does not. We confirm this model prediction when taking the theory to the data. These results suggest that attention should be placed on the way reserves are accumulated, a distinction that has important practical implications. In particular, our results call into question the benefits of programs of reserves strengthening through external debt such as those typically implemented by multilateral organizations.

關(guān)于積累外匯儲備的好處已經(jīng)有了大量的研究，但關(guān)于如何積累這些儲備的相對優(yōu)點(diǎn)的研究較少。本文探討了積累形式對國家風(fēng)險(xiǎn)的影響。我們首先提出了一個(gè)內(nèi)生性主權(quán)債務(wù)違約的模型，在該模型中，我們表明，通過發(fā)行取決于當(dāng)?shù)禺a(chǎn)出的債務(wù)而積累的儲備減少了利差，而與此同時(shí)，外匯儲備積累卻不能減少利差。在將理論應(yīng)用于實(shí)際數(shù)據(jù)時(shí)，驗(yàn)證了該模型的預(yù)測。這些結(jié)果表明，應(yīng)該關(guān)注外匯儲備積累的方式，這一區(qū)別具有重要的實(shí)際意義。特別是，我們的研究結(jié)果對通過外債加強(qiáng)儲備計(jì)劃的好處提出了質(zhì)疑，例如那些通常由多邊組織實(shí)施的計(jì)劃。

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16.MPCs in an emerging economy: Evidence from Peru

新興經(jīng)濟(jì)體中的mpc:來自秘魯?shù)淖C據(jù)

Seungki Hong

This paper estimates the marginal propensity to consume (MPC) out of transitory income shocks for an emerging economy, Peru, using its nationally representative household survey. The mean quarterly MPC across Peruvian income deciles is 0.204, which translates to a mean annualized MPC of 0.545–0.592 under both model-free and model-based annualization methods. To compare Peruvian and U.S. MPCs reflecting the different reference periods of the underlying surveys, I employ a standard incomplete-market model. Two striking differences emerge. First, the mean annual MPC in Peru is three times as large as that in the U.S. Second, the MPCs are substantially more heterogeneous over income deciles in Peru than in the U.S. The model predicts that precautionary saving behavior drives both the higher mean MPC and stronger MPC heterogeneity in Peru.

本文利用具有全國代表性的家庭調(diào)查，估計(jì)了新興經(jīng)濟(jì)體秘魯在短暫收入沖擊下的邊際消費(fèi)傾向(MPC)。秘魯收入十分位數(shù)的季度平均MPC為0.204，這意味著在無模型和基于模型的年化方法下的平均年化MPC為0.545-0.592。為了比較秘魯和美國的mpc反映了基礎(chǔ)調(diào)查的不同參考時(shí)期，我使用了一個(gè)標(biāo)準(zhǔn)的不完全市場模型。出現(xiàn)了兩個(gè)顯著的差異。首先，秘魯?shù)哪昶骄鵐PC是美國的三倍，其次，秘魯?shù)腗PC在收入十分位數(shù)上的異質(zhì)性要比美國大得多。模型預(yù)測，預(yù)防性儲蓄行為推動了秘魯更高的平均MPC和更強(qiáng)的MPC異質(zhì)性。

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17.Judgment day: Algorithmic trading around the Swiss franc cap removal

審判日:圍繞瑞士法郎上限取消的算法交易

Francis Breedon, Louisa Chen, Angelo Ranaldo, Nicholas Vause

A key issue for decentralised markets like FX is how the market responds to extreme situations. Using data on FX transactions with a precise identification of Algorithmic trading (AT), we find that AT, broadly defined, appears to have contributed to the deterioration of market quality following the removal of the cap on the Swiss franc on 15 January 2015 by withdrawing liquidity and generating uninformative volatility. We also find that the Swiss National Bank, after initially stepping aside, played an important role, though more by signalling rather than trading. This perhaps explains why human trading – that could most easily interpret those signals – was important in stabilising the market.

像外匯這樣的去中心化市場的一個(gè)關(guān)鍵問題是市場如何應(yīng)對極端情況。利用精確識別算法交易(AT)的外匯交易數(shù)據(jù)，我們發(fā)現(xiàn)，在2015年1月15日取消瑞士法郎上限后，廣義的AT似乎通過撤出流動性和產(chǎn)生無信息的波動，導(dǎo)致了市場質(zhì)量的惡化。我們還發(fā)現(xiàn)，瑞士央行(Swiss National Bank)在最初退出后，發(fā)揮了重要作用，盡管主要是通過發(fā)出信號，而不是交易。這或許可以解釋為什么人類交易——最容易解讀這些信號——對穩(wěn)定市場很重要。