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Published in last 1 year |  In last 2 years |  In last 3 years |  All Please wait a minute... For Selected: Download Citations EndNote Reference Manager ProCite BibTeX RefWorks Toggle Thumbnails Select An Empirical Study on the Sustainability of U.S. Public Debt LI Jing, YI Nan Journal of East China Normal University (Philosoph    2014, 46 (3): 98-106.   Abstract （715）   HTML （5）    PDF （1722KB）（1043）       Knowledge map    The paper describes the concept, classification and current situation of U.S. public debt, defines the meaning of public debt sustainability, and then by comprehensively using multiple methods, including comparing the rate of economic growth and public debt interest rates, specific reference value determination method, the inter-temporal budget constraint test and fiscal reaction function test, the paper does empirical study on the sustainability of the public debt of the United States. The conclusion is that the U.S. public debt is not sustainable. Related Articles | Metrics Select Empirical Study of the Impact of the US Exchange Rate Strategy on China’s Inflation GONG Xiu-Guo, CAI Ruo-Fan Journal of East China Normal University (Philosoph    2014, 46 (3): 107-112.   Abstract （734）   HTML （4）    PDF （539KB）（1489）       Knowledge map    This paper analyzes the transmission channels of the US exchange rate strategy on China’s inflation in the post-Crisis era, and then constructs an econometric model to test the obvious international spillover effects. Based on the empirical results, the paper finds that the US strategic devaluation of the dollar had significant and negative impact on China’s inflation, while RMB exchange rate as well as China’s growth also had significant but positive impact on China’s inflation. Finally the paper recommends a broader daily fluctuation band of RMB exchange rate and a reduction of the various growth-stimulus policies for China. Related Articles | Metrics Select A Macro-Economic Explanation of the Equity Premium: Evidence from China’s A-share Market LI Wei &YAO Qiu-ping Journal of East China Normal University (Philosoph    2013, 45 (6): 132-139.   Abstract （671）   HTML （9）    PDF （1282KB）（1965）       Knowledge map    Whether China’s A-share market exists “equity premium puzzle” has always been argued with controversy. Based on considering the impact of macroeconomic factors, such as currency liquidity, overall tax revenue and the price level on the surplus consumption ratio, and then consumer behavior habit, we construct an analytical framework. It shows that the estimated relative risk aversion coefficient of investor lies in a reasonable range (0, 10). This result revises the implausible value of relative risk aversion coefficient according to the negative correlation between the market rate of return and individual consumption growth. It also successively explains the equity premium characteristics of the domestic A-share market and hence demonstrates that China stock market does not exist the so-called “equity premium puzzle” from a particular perspective. Related Articles | Metrics Select RMB Internationalization Weakening the Effects on Interest Rate/Credit Channels of Monetary Policy FANG Xian-cang Journal of East China Normal University (Philosoph    2013, 45 (6): 140-147.   Abstract （772）   HTML （9）    PDF （863KB）（1120）       Knowledge map    Currency internationalization not only lowers the sensitivity of investment to interest rate, but also increases the sensitivity of financial assets price to interest rate, which lowers transaction cost and promotes transaction efficiency for economic system. As a result, the IS and CC curves slope more steeply downward and the LM curve slopes more gently upward than they do without currency internationalization. So transmission mechanism of monetary policies and their effects are weakened in interest rate channel as well as in credit channel, but the latter have comparative advantage. Therefore, we must devote major efforts to developing and reforming financial structures (banks) and their credit under the currency internationalization circumstances. At the same time, currency internationalization may not be promoted hastily but gradually. Related Articles | Metrics Select An Analytical Framework of Gold Reserves Based on the Financial Stability and the Appropriate Scale of China’s Gold Reserves LI Wei, ZHANG Kun, Zhao Wan-tong Journal of East China Normal University (Philosoph    2012, 44 (4): 123-131.   Abstract （1444）   HTML （4）    PDF （1382KB）（1477）       Knowledge map    The appropriate scale and structure of international reserves based on the financial stability is a research focus at home and abroad. It is generally believed that the totality of China’s foreign exchange reserve has been clearly excessive. This thesis constructs an analytical framework including gold reserves, financial instability, cross-border capital flows and variables of real economy, and consequently uses theoretical models and empirical methods to explore which factors are relevant to gold reserves in emerging market economies and measure the scale of China’s necessary gold reserves. This comprehensive research has some findings: a relative higher level of financial instability will directly result in a significant increased proportion of gold reserves; the ability of international reserves to withstand economic and financial crisis is limited; foreign exchange reserves and gold reserves are not simply alternative to each other. China monetary authorities should reduce the scale of foreign exchange reserves and simultaneously increase the scale of gold reserves so as to keep more than 3000 tons. In addition, the structure of the international reserves should be optimized to ensure domestic financial stability. Related Articles | Metrics Select A Empirical Study of Hedging Effectiveness of China’s Stock Index Futures YE De-lei，GU Jing Journal of East China Normal University (Philosoph    2012, 44 (4): 132-138.   Abstract （1320）   HTML （3）    PDF （1383KB）（1331）       Knowledge map    Using EGARCH model, this thesis first investigates the hedging effectiveness of CSI300 index futures contracting with 10 heaviest warehouse stocks of the fund, and then investigates the hedging effectiveness of CSI300 index futures contracting with 10 stocks that are randomly selected from SME board of the Shenzhen Stock Exchange. It is found that the former hedging effectiveness is not very satisfactory, while the latter effectiveness is even worse. In order to offer more practical hedging tools, China should learn the experiences of overseas markets, and launch index futures on stocks of SME board and stocks of other industries as soon as possible, such as SME index futures. In the end, using the same method, this thesis carries on a simulative empirical test on the hedging performance of virtual SME index futures, which proves that the policy idea is worthy of being put into practice. Related Articles | Metrics Select The Persistence of Disaggregate Inflation and Its Implications for Monetary Policy in China SU Zhi-fang, HU Ri-dong, WANG Hui-shu Journal of East China Normal University (Philosoph    2012, 44 (4): 139-144.   Abstract （1309）   HTML （4）    PDF （1384KB）（1389）       Knowledge map    This thesis applies ARFIMA model to study the dynamics of China’s disaggregate inflation and measures the inflation persistence of disaggregate inflation by using impulse response function. The results show that sub-components of CPI is neither a first-orderly integrated process nor a stationary process, but a fractionally integrated process. Moreover, the persistence of eight sub-components of CPI is different from total CPI. The persistence of residence and medical categories is relatively stronger than that of food, tobacco and alcohol, and household equipment categories, while that of transportation, communications, clothing and educational categories is relatively small. This means that there will be different lengths of time for each of sub-components in the CPI to continue variation after a shock, and the same monetary policy will have diverse effects for different sub-components; we must be cautious of the high weight and great persistence of food sub-component, which means that there will definitely exist greater pressure for total CPI if food prices rise. Therefore, monetary authorities should not only pay attention to the persistence of total CPI, but also take into consideration the discrepancy of inflation persistence between the CPI sub-components and total CPI in making anti-inflationary policies. Related Articles | Metrics Select An Empirical Research on Small- and Medium-sized Investors’ Satisfaction with Brokerage Business of Domestic Securities Companies HE Xiao-zhou, JIANG Wei-wen Journal of East China Normal University (Philosoph    2012, 44 (4): 145-151.   Abstract （1102）   HTML （3）    PDF （1382KB）（1320）       Knowledge map    Taking the black box model of the satisfaction of small- and medium-sized investors, this thesis classifies and names the factors relevant to satisfaction according to the factor analysis of the first hand data collected by questionnaire and investigates into the key factors by using regression analysis. The results show that consulting and service factors are most important, and other factors, including hardware facilities, brand recognition and company location, are also significant. Therefore, securities companies should take corresponding measures to improve the satisfaction of small- and medium-sized investors. Related Articles | Metrics Select The U.S. Dollar Exchange Rate and Its International Investment Position WU Xin-Ru, PAN Ying-Li Journal of East China Normal University (Philosoph    2011, 43 (6): 111-115.   Abstract （1487）   HTML （4）    PDF （1258KB）（1484）       Knowledge map    This paper first establishes a dynamic model to describe the sovereign reserve currency country’s net international investment position to GDP ratio and its dynamic evolution. Second, a discussion of the international reserve currency country’s interest rate, exchange rate policy on the national rate of net debt (NIIP/GDP) impact is made. Third, it examines impacts of the recent low interest rate and weak dollar policy on the U.S. balance sheet. China, accordingly, should give up the way to reserve foreign currencies on a large scale, but reserve important means of production and other strategical resources. Related Articles | Metrics Select An Analysis of the Crisis Shock, Exchange Rate Regime and Monetary Policy Coordination FANG Xian-Cang Journal of East China Normal University (Philosoph    2011, 43 (6): 116-122.   Abstract （1534）   HTML （5）    PDF （1280KB）（1308）       Knowledge map    With the development of economic globalization and financial market integration, the economies in the world must attach importance to cooperation in the monetary policy and exchange rate policy. By building a two economy model, this paper analyzes respectively the Cournot game equilibrium and Stackelberg game equilibrium. At a time when a symmetrical crisis shock rises, the exchange rate regime will present a fixed or floating exchange rate. It is believed that the economies can enhance counteracting risk of adverse shocks through coordinating in policies, that is, countries in the world shall increase money supply and stabilize their exchange rates when facing adverse crisis shocks. Related Articles | Metrics Select The Volatility of Shanghai and Shenzhen Stock Indexes and Its Dynamic VaR Measurement with the Copula Dependence ZHAN Meng-Ya, XU Wei Journal of East China Normal University (Philosoph    2011, 43 (6): 123-130.   Abstract （1424）   HTML （3）    PDF （1258KB）（1959）       Knowledge map    The paper uses an ARMAARCH model with three different types of noise to fit Shanghai and Shenzhen stock index return distribution. The result of the goodness of fit test with the stochastic simulation method shows that the ARMAARCH model with fractal Gaussian noise can characterize the volatility of Shanghai and Shenzhen stock returns, such as long dependence, fat tails and volatility clustering. Further, two different types of CopulaARMAARCH models are used to fit the dependence between Shanghai and Shenzhen stock indexes, and the result of the goodness of fit test with the stochastic simulation method shows that the CopulaARMAARCH model with fractal Gaussian noise can better characterize the VaR of volatility of Shanghai and Shenzhen stock returns. Related Articles | Metrics