资产价格泡沫与虚拟经济发展及影响分析

本文认为，由于货币进入或退出虚拟经济领域会引起整个经济体内货币数量的重新分配，虚拟经济部门开始起着调节货币流的功能。因此，虚拟资产价格的暴涨和暴跌都会对实体经济中的货币数量造成重大影响。本文就虚拟经济对经济增长、就业和居民持有资产结构变化等三个关系指标，分析了我国虚拟经济发展状况及其对我国经济生活的实际影响，指出虚拟经济的发展和运行情况不但与企业、居民的经济生活息息相关，而且也是政策制定者不可忽视的领域。     

论社会主义国有资本范畴

发展社会主义市场经济,搞活国有企业,离不开对国有资本的研究。长期以来,人们对"资本"讳莫如深,不敢使用这一范畴来研究中国社会主义经济问题,而以"资金"、"资产"来代替"资本"。这显然不能适应社会主义市场经济发展的要求,必须更新观念,用资本的范畴代替资金、资产的范畴,以国有资本代替国有资产,这不但是字面的置换,而且具有更深刻的经济意义。     

Intangible capital,relative asset shortages and bubbles

Purely technological factors can be a fundamental force behind the emergence of asset price bubbles in developed economies. We analyze an economy in which the production technology utilizes both physical and intangible capital, where the latter cannot be used as collateral for borrowing. Technological change, in the form of increased importance of intangible capital in production, sharpens the borrowing constraints of entrepreneurs, leading to a scarcity of high-yield assets relative to low-yield ones. This can create the conditions for asset bubbles. Additionally, due to the financial frictions, standard dynamic efficiency tests are not valid, and bubbles are not Pareto improving.     

Industry‐Specific Human Capital,Idiosyncratic Risk,and the Cross‐Section of Expected Stock Returns

Human capital is one of the largest assets in the economy and in theory may play an important role for asset pricing. Human capital is heterogeneous across investors. One source of heterogeneity is industry affiliation. I show that the cross‐section of expected stock returns is primarily affected by industry‐level rather than aggregate labor income risk. Furthermore, when human capital is excluded from the asset pricing model, the resulting idiosyncratic risk may appear to be priced. I find that the premium for idiosyncratic risk documented by several empirical studies depends on the covariance between stock and human capital returns.     

The asymmetric behavior and procyclical impact of asset correlations

This paper examines the behavior of asset correlations with the market returns in the asymptotic single risk factor (ASRF) approach of the Basel II accord on regulatory capital requirement. Over a sample period from 1988 to 2007, we find that asset correlations are positively related to firm size, but negatively related to firm default probability. Asset correlations are also industry specific, as firms in media, transportation, pharmaceutical, and semiconductor industries exhibit higher asset correlations than those in retail and consumer staples. Most importantly, asset correlations are asymmetric and have a procyclical impact on the real economy after controlling for these effects. They tend to rise during economic downturns, but decline during economic upturns. The average magnitude of the rise is larger than that of the decline. These findings suggest that asset correlations may be underestimated during economic downturns, and may provide policy implications for the capital requirement framework.     

Sharing rules and equilibrium in an international capital market under uncertainty

International capital market equilibrium is characterized for a world economy in which consumption preferences are defined multiplicatively over many commodities. It is shown that the set of relative asset prices under pure exchange in international capital markets depends on the real purchasing power of nominal payoffs under uncertainty and does not depend on the currency in which the nominal payoffs are denominated. A Sharpe-Lintner type international capital asset pricing model is derived as a special case. Proportional ad valorem commodity taxes and transportation costs are incorporated in the valuation model, interest rate parity and purchasing power parity are reinterpreted under uncertainty, and international differences in borrowing and lending are shown to reflect, in part, differences in risk aversion across countries.     

Tax reform and external balance

This paper examines the effect of a transformation from capital taxation to consumption in an open economy. With the residential capital tax rate being endogenous, an increase in the domestic consumption tax rate decreases the interest rate, increases capital accumulation, and increases the domestic country's net foreign asset holdings and trade surplus. With the territorial capital tax rate being endogenous, an increase in the domestic consumption tax rate may either increase or decrease the domestic country's interest rate, net foreign asset holdings and trade surplus, depending on the interest elasticity of capital demand.     

资产证券化的运行机理及其经济效应

资产证券化是20世纪最重大的金融创新成果之一,过去几十年间它获得了广泛应用和巨大成功,在次贷危机中却遭受重大挫折并给世界经济造成严重的负面冲击。本文通过理清资产证券化从资产的真实销售到经过各种技术处理变成能够在资本市场上具有投资特征的证券的过程,分析资产证券化给交易各方带来的收益和影响,将其促进效率的一面和增加风险的一面进行比较,寻求一种能够改进其现有运行机制效率的帕累托改进。     

Taxation in an Overlapping Generations Model with Human Capital

We examine the impact of flat-rate taxes on intergenerational equity in an overlapping generations model of a small open economy, assuming the intergenerational externality of human capital accumulation. The externality may cause the difference between the growth rates in private human capital and in average human capital of the economy. If the externality is sufficiently small, the introduction of an interest income tax will benefit all future generations. In contrast, if it is sufficiently great, the introduction of a wage tax could harm all generations by raising financial asset holdings and thereby reducing consumption.     

Sterilization of short-term capital inflows—through lower interest rates?

Reductions in international interest rates are a major cause of capital flows to emerging economies. Increases in domestic interest rates are a frequent policy response to the resulting price increases. This is often unsuccessful. The paper suggests a theoretical explanation based on distinctive features of emerging financial markets, including imperfect asset substitutability and imperfect capital mobility for some sectors of the economy. It concludes that the appropriate policy response to capital inflows may be lower interest rates.     

对我国商业银行规模经济的理论与实证研究

针对困扰我国理论界和实业界的商业银行规模经济问题，本文结合我国商业银行实际提出了衡量商业银行规模经济的基本框架和理论模型。理论和实证研究表明，资本、风险和资产质量是商业银行规模效益的重要影响因素，在商业银行规模效益的计量中必须综合考虑。同时，作者提出，近年来随着我国国有商业银行经营管理效率提高和风险管理水平的提升，规模经济状况得到了明显的改善；但股份制商业银行规模经济效益出现了震荡徘徊现象。因此，我国商业银行改革必须在资本、风险和管理三维框架内进行，只有各方共同努力，才能提高我国商业银行规模经济水平，提升我国商业银行的竞争力。     

Equilibrium asset pricing: with non-Gaussian factors and exponential utilities

We analyse the equilibrium asset pricing implications for an economy with single period return exposures to explicit non-Gaussian systematic factors, that may be both skewed and long-tailed, and Gaussian idiosyncratic components. Investors maximize expected exponential utility and equilibrium factor prices are shown to reflect exponentially tilted prices for non-Gaussian factor risk exposures. It is shown that these prices may be directly estimated from the univariate probability law of the factor exposure, given an estimate of average risk aversion in the economy. In addition, a residual form of the capital asset pricing model continues to hold and prices the idiosyncratic or Gaussian risks. The theory is illustrated on data for the US economy using independent components analysis to identify the factors and the variance gamma model to describe the probability law of the non-Gaussian factors. It is shown that the residual CAPM accounts for no more than 1% of the pricing of risky assets, while the exponentially tilted systematic factor risk exposures account for the bulk of risky asset pricing.     

对我国商业银行规模经济的理论与实证研究

针对困扰我国理论界和实业界的商业银行规模经济问题,本文结合我国商业银行实际提出了衡量商业银行规模经济的基本框架和理论模型。理论和实证研究表明,资本、风险和资产质量是商业银行规模效益的重要影响因素,在商业银行规模效益的计量中必须综合考虑。同时,作者提出,近年来随着我国国有商业银行经营管理效率提高和风险管理水平的提升,规模经济状况得到了明显的改善;但股份制商业银行规模经济效益出现了震荡徘徊现象。因此,我国商业银行改革必须在资本、风险和管理三维框架内进行,只有各方共同努力,才能提高我国商业银行规模经济水平,提升我国商业银行的竞争力。     

Value-at-risk capital requirement regulation,risk taking and asset allocation: a mean–variance analysis

In this study, the mean–variance framework is employed to analyze the impact of the Basel value-at-risk (VaR) market risk regulation on the institution's optimal investment policy, the stockholders’ welfare, as well as the tendency of the institution to change the risk profile of the held portfolio. It is shown that with the VaR regulation, the institution faces a new regulated capital market line, which induces resource allocation distortion in the economy. Surprisingly, only when a riskless asset is available does VaR regulation induce the institution to reduce risk. Otherwise, the regulation may induce higher risk, accompanied by asset allocation distortion. On the positive side, the regulation implies an upper bound on the risk the institution takes and it never induces the firm to select an inefficient portfolio. Moreover, when the riskless asset is available, tightening the regulation always increases the amount of maintained eligible capital and decreases risk.     

Time‐Varying Capital Requirements and Disclosure Rules: Effects on Capitalization and Lending Decisions

We investigate how banks’ capital and lending decisions respond to changes in bank‐specific capital and disclosure requirements. We find that an increase in the bank‐specific regulatory capital requirement results in a higher bank capital ratio, brought about via less asset risk. A decrease in the requirement implies more lending to firms but also less Tier 1 capital and higher bank leverage. We do not observe differences between confidential and public disclosure of capital requirements. Our results empirically illustrate a tradeoff between bank resilience and a fostering of the economy through more bank lending using banks’ capital requirement as policy instrument.     

数字化转型与企业人力资本升级

企业在数字化转型过程中是否会增加对高技能劳动力的需求,进而优化企业的人力资本结构？基于2013-2020年中国A股上市公司员工雇佣数据,本文对上述问题进行考察并分析其作用渠道。结果显示,数字化转型显著提升了企业本科及以上学历员工的占比,即优化了企业的人力资本结构,且该效应在低融资约束企业、非技术密集型行业和东部地区更为明显。作用机制检验证实,数字化转型显著增加了企业的固定资产投资和研发投资,扩大了企业经营规模,进而促使企业增加对高技能劳动力的需求。进一步研究发现,数字化转型显著提升了企业经营效率,同时增加了高管和普通员工的工资。上述结论表明,企业数字化转型具有技能偏向性特征,有助于企业劳动力结构转型升级。本文研究对数字经济背景下深入理解企业劳动力结构升级变化具有一定参考意义。     

Internal Capital Markets, Bank Borrowing, and Financing Constraints: Evidence from Belgian Firms

In Belgium, financial and industrial groupings play a crucial role in the accumulation and allocation of capital in the economy. In this paper, it is hypothesized that Belgian firms for which investment is partly financed on an internal capital market, will not be subject to financing constraints to the same extent as firms which have to borrow from banks. Moreover, it is hypothesized that firms belonging to a group, transfer internal surpluses of funds to other group members by investing in financial assets. An empirical analysis confirms the first hypothesis, but rejects the second hypothesis.     

中国经济会步日本经济盛极而衰的后尘吗?

中国经济发展路径与20世纪80年代的日本在表象上存在高度的相似性。但是,中国内需的增长潜力远大于日本,资产价格并没有严重脱离实体经济;中国对日本宏观调控出现的失误,可以引以为戒;中国的商业银行始终对资本市场保持高度警惕;中国的海外扩张具有投资性和稳健性。由此,中国出现类似于日本的泡沫经济全面膨胀和崩溃的可能性很小。中国应当坚持走依靠内需拉动经济的道路,提高经济的内生动力,大力发展新兴产业和服务产业,为过剩资金开辟投资渠道,高度重视资产价格过快上涨的风险,继续坚持渐进的金融改革路径,审慎、稳健、前瞻地实施宏观调控。     

The evolution of capital asset pricing models

The capital asset pricing models (CAPM) has been the benchmark of asset pricing models and has been used to calculate asset returns and the cost of capital for more than four decades. Many researchers have tried to relax the original assumptions and generalize the static CAPM. We survey the important alternative theoretical models of capital asset pricing and provide a complete review of the evolution of asset pricing models. We also discuss the interrelationships among these models and suggest several possible directions for future research. Our results might be used as a guideline for future theoretical and empirical research in capital asset pricing.     

国企“混改”与企业金融资产配置

本文利用2010～2017年中国沪深A股非金融类上市公司面板数据,考察了国企“混改”对企业金融资产配置的影响,并重点分析了国企“混改”过程中企业金融资产配置的动机。结果显示,非国有股东参股促进了国有企业的金融资产投资。机制检验发现,非国有股东参股通过治理效应路径和融资约束路径共同影响了国有企业的金融资产配置行为,具体表现为非国有股东参股带来的监督治理效应和融资约束强化效应均增强了国有企业配置金融资产的预防性储蓄动机,进而促使国有企业增加金融资产投资。上述研究结果表明,非国有股东参股推动的国有企业金融资产投资并非出于短期利益追逐,而是为了平滑企业投资进行的预防性储蓄。本文研究对于如何通过深化混合所有制改革引导企业“脱虚向实”有一定的借鉴意义。