Mar 12 2018

Monetary Policy, the Fluctuation of Macroeconomic and the Prices of American Real Estate: VAR Model based Empirical Study Author: Guofeng Zhang Mentor: Linsen Yin Abstract:This article established a VAR model to study the dynamic relationship between monetary policy, the fluctuation of macroeconomic and real estate prices in the United States based on the quarterly data from the first quarter of 1999 to the first quarter of 2015 ...

Feb 25 2018

货币政策、宏观经济波动与美国房地产价格——基于VAR模型的实证研究作者:张国峰 指导教师:殷林森 摘要: 本文采用1999年一季度至2015年一季度的季度数据,通过构建VAR模型对美国的货币政策、宏观经济波动和房地产价格之间的动态关系进行实证研究。研究发现 ...

Feb 18 2018

Fama-French Five Factor Model in China Stock Market Author: Guofeng ZhangMentor: Linsen Yin Abstract:This paper firstly focus on the application of Fama-French five factor model in Chinese stock market, by sampling A-share listed firms for the period from July 1995 to December 2017. The explanatory power of each factor is explored by the redundancy test and regression analysis. The validity of the three-factor model and the five-factor model are tested by GRS test and three measures of regression intercept term proposed by Fama & French (2015). Then, using the time of Split-share structure reform as the cut-off point, we repeat the above tests for the sample periods and compare the change of the capital market efficiency before and after Split-share structure reform ...

Feb 12 2018

Fama-French五因子模型在A股市场的实证检验作者:张国峰指导教师:殷林森摘要:本文以1995年7月至2017年12月A股上市公司为样本,首先在全样本下对五因子模型在A股市场的适用性进行检验,通过冗余检验和回归分析探究各因子的解释能力,通过GRS检验和Fama & French(2015)提出的3个衡量回归截距项的指标检验三因子模型和五因子模型的有效性。然后以股改作为分界点,分别对股改前后样本期重复上述检验,并对比研究前后资本市场效率的变化 ...

Jan 28 2018

Quantitative Effect of Monetary Policy and Fluctuation of Real Estate Prices: Empirical Evidence from First-tier Cities Authors: Guofeng Zhang; Chenghui Zhang; Dandan Song; Linsen Yin Abstract:Taking the four first-tier cities on behalf of Beijing, Shanghai, Guangzhou and Shenzhen as examples, then by selecting M2 growth rate, leverage growth rate, growth rate of selling price of residential real estate, local GDP growth rate and CPI growth rate from 2001 and 2015 to build panel variable auto regression model (PVAR), we analyze relationships of house price growth rate, money supply growth rate and leverage growth rate ...

Jan 28 2018

货币政策数量效应与房价波动:来自一线城市的经验证据作者:张国峰 张程慧 宋丹丹 殷林森摘要:以四个一线城市北京、上海、广州和深圳为例,选取2001-2015年M2、杠杆率、住宅商品房平均销售价格、地方生产总值GDP和居民消费价格指数的增长率作为变量,通过构建面板向量自回归模型(PVAR)得出脉冲响应函数和方差分解结果,分析一线城市房价增长率和M2增长率、CPI增长率、杠杆增长率的之间的关系 ...

Jan 21 2018

Asset Securitization Applied to the Belt and Road Initiatives——Take the Sovereign Bank Loan in Emerging Market and Dollar Bonds Issued by Local Governments as Examples Authors: Guofeng Zhang; Chenghui Zhang Mentor: Linsen Yin Abstract:Investment risk is one of the risks that can not be overlooked in the Belt and Road Initiatives.On one hand,China is investing broadly in a loan manner in countries.On the other hand, it is commonplace that domestic local governments issue dollar bonds in oversea markets.Bying analysing America’s CLO market and emerging CDO market ...

Jan 21 2018

资产证券化在“一带一路”战略中的应用研究——以新兴市场主权银行贷款和国内地方政府发行美元债券为例 作者:张国峰 张程慧指导教师:殷林森摘要:投资风险是“一带一路”战略中不可忽视的一大风险。一方面,中国对沿线国家以贷款等方式进行大规模投资;另一方面,国内地方政府在海外市场发行美元债券正变得越来越普遍 ...

Jan 14 2018

Can Hayekian Business Cycle Theory Explain Practical Economic Operation: Empirical Evidence from ChinaAuthors:Guofeng Zhang; Chenghui Zhang; Linsen Yin Abstract:Hayekian business cycle theory argues easy monetary policy induces unsustainable prosperity and economic recession. This paper is cored on consumer time preference to review China’s economic development in global post financial crisis times from the view of Hayekian business cycle theory included virtual economy in order to explain causes of domestic slow economic growth and current imbalanced economic structure ...

Jan 14 2018

哈耶克商业周期理论能够解释实际经济运行吗:来自中国的经验证据作者:张国峰 张程慧 殷林森摘要:哈耶克商业周期理论认为宽松货币政策引发了不可持续的经济繁荣,最终导致经济衰退。基于哈耶克商业周期理论的视角,并将虚拟经济纳入,以消费者时际消费偏好为核心,重新审视中国在后全球金融危机时代的经济发展,提出一种当前我国经济结构失衡、增长放缓的解释 ...