Working Papers
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WP20160005 Persistent Liquidity Shocks and Interbank Funding
Dr. Marcel Bluhm
bluhm@xmu.edu.cn
This paper develops a theory of multiple maturity segments on the interbank market based on banks' liquidity management and persistence of liquidity shocks. The developed framework is embedded in a micro-founded network model which features interbank funding as an over-the-counter phenomenon and replicates financial system phenomena of network formation, monetary policy transmission, and endogenous money creation.
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WP20160004 The Optimal Renminbi Exchange Rate Policy under Depreciation Anticipation
Dr. Mei Li
mli03@uoguelph.ca
This paper establishes formal models to study optimal foreign exchange intervention policy when a currency is anticipated to depreciate by speculators, and when a central bank aims both to discourage speculative capital flows and to reduce exchange rate misalignment. In particular, we study two cases where speculators have perfect and imperfect information about the central bank’s long-run equilibrium exchange rate target.
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WP20160003 Understanding Chinese Monetary Policy: A Multiple-Regime Threshold Regression Approach
Dr. Jan Klingelhöfer and Dr. Rongrong Sun
klingelhoefer@vwl1.rwth-aachen.de ；Rongrong.Sun@nottingham.edu.cn
This paper estimates a forward-looking Taylor-type monetary policy reaction function for the post-2000 Chinese economy, using a composite overall indicator (the Sun-MP index) to tackle the measurement uncertainty problem and hence the model selection problem. Our multiple-regime threshold regression, using two threshold variables (both output gap and inflation deviation), finds that the PBC’s policy reaction is nonlinear.
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WP20160002 Some Benefits and Costs of Experimental Coastal Land Reclamation: The Case of Qianhai, China
Dr. Frank Lorne
info@qiir.org
Informed by a Coasian transaction cost paradigm (Coase 1960), this paper discusses the costs and benefits of what one may call experimental coastal reclamation of the sea as an alternative to urban expansion using intra-marginal land in a megacity. The authors argue that given certain conditions, experimental reclaimed land, while generating a Schumpeterian effect, can have a great potential to achieve win-win outcomes that enhance business and the economy, ecology, and society – a faithful adherence to the essence of sustainable development. The case of Qianhai (“Front Sea”) in China, is a test case of the international development policy of China with particular regional repercussions for Hong Kong.
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WP20160001 Concentration and Unpredictability of Forecasts in Artificial Investment Games
Dr. Zhao Xiaojian
xjzhao81@gmail.com
This paper investigates how people’s forecasts about financial market are shaped by the environment .By recruiting 1385 subjects on WeChat, one of the largest social media, we conduct an online experiment of artificial investment games. We find that subjects’ forecasts significantly converge when shared, though in different directions across groups. We also observe a strong positive correlation between forecasts and investments, suggesting that an individual’s reported forecast is associated with his belief.
