制度质量对双边金融资本流动的影响:集约边际还是扩展边际北大核心CSSCISSCI

将制度变量引入基本的引力模型,运用Heckman两阶段模型考察了制度质量对双边金融资本贸易的影响。研究表明,母国与东道国的制度质量对金融资本投资决策和投资规模均具有显著的促进作用,一系列的稳健性检验也证实了制度质量对双边金融资本贸易的作用是稳健的。而从标准化的系数来看,制度质量对双边资本贸易的影响更多地体现在"扩展边际",而非"集约边际"。     

经济不确定性与全球金融资产配置——来自双边证券投资资本流动的证据

各国经济不确定性的普遍提高给全球金融资产配置带来了严峻挑战。本文利用2009—2017年47个经济体对132个经济体的双边证券投资资本流动数据，考察母国（资本流出国）和东道国（资本流入国）经济不确定性对证券投资资本流动的影响。研究表明：第一，母国经济不确定性上升会增加母国股权与债权资本流出，东道国经济不确定性上升则会减少东道国股权资本流入。第二，当东道国面临极端经济不确定性情况时，母国经济不确定性对金融资本流出的促进作用不再显著；当母国面临极端经济不确定性情况时，东道国经济不确定性不再显著降低股权资本流入，但会显著降低债权资本流入。以上结论主要对新兴经济体的金融资产配置成立，而发达经济体的金融资产配置存在“本土偏好”。此外，东道国的金融机构发展水平越高、资本账户开放程度越高、汇率制度越灵活，越能缓解东道国经济不确定性上升对证券投资资本流入的负向影响。上述发现对在全球经济不确定性上升背景下的全球资产配置提供了重要启示。     

中国商业银行股权成本:基于CAPM模型的估计

银行股权成本是银行内部资本决策的基准,也是计量银行加权平均资本成本的重要因素.本文尝试性地运用CAPM模型估计国内10家上市银行的beta因子和股权成本.本研究认为,运用CAPM模型估计国内上市银行的股权成本具有可行性,beta因子一定程度上能够反映不同银行经营策略和风险的差异,目前国内主要上市银行的实际年度股权成本约在10%-13%之间,高于发达国家上市银行平均水平,现阶段国内银行的盈利水平不仅能够补充投资者的风险溢价要求,而且提升了银行的经济价值.本研究为全面测算国内银行的加权平均资本成本奠定了基础,也为分析正在进行中的资本监管国际标准改革对国内银行业的影响提供了新的视角.     

资本市场开放与股权资本成本——基于沪港通、深港通的实证研究

本文基于沪港通和深港通研究资本市场开放对中国内地股权资本成本的影响。研究发现,受政策风险和市场环境等因素所限,沪港通在初始阶段并未对沪市公司的股权资本成本产生显著影响,但随着政策进一步完善、市场逐渐稳定和交易不断活跃,其对股权资本成本的降低效果于实施两年后开始显现;深港通建立在沪港通的制度基础和运行经验上,其在开通后显著降低了标的公司的股权资本成本。本文还进一步分析了资本市场开放影响股权资本成本的竞争渠道和信息渠道,发现深港通对股权资本成本的降低作用主要集中在投资者竞争程度较高,或是公开信息质量较高、信息不对称程度较低的股票样本。     

资本市场开放与股权资本成本——基于沪港通、深港通的实证研究

本文基于沪港通和深港通研究资本市场开放对中国内地股权资本成本的影响。研究发现,受政策风险和市场环境等因素所限,沪港通在初始阶段并未对沪市公司的股权资本成本产生显著影响,但随着政策进一步完善、市场逐渐稳定和交易不断活跃,其对股权资本成本的降低效果于实施两年后开始显现;深港通建立在沪港通的制度基础和运行经验上,其在开通后显著降低了标的公司的股权资本成本。本文还进一步分析了资本市场开放影响股权资本成本的竞争渠道和信息渠道,发现深港通对股权资本成本的降低作用主要集中在投资者竞争程度较高,或是公开信息质量较高、信息不对称程度较低的股票样本。     

外资银行进入中国决定因素的实证研究

本文运用1996--2009年的面板数据,以外资银行在华营业性机构数量为因变量,从外资银行母吲的宏观因素、东道国的制度因素和母国与东道同的联系三个方面检验外资银行进入中国市场的影响因素？结果显示,外资银行进入程度与母国的经济发展水平、母同对中国的FDI、母国与中国的双边贸易量呈正相关父系,与两国的地理距离呈负相关关系,而与母同银行业的存贷利差没有显著关系,并且,2006年底我国对银行业的开放政策显著地促进了外资银行的进入。     

外资银行进入中国市场的时机选择研究

本文运用生存模型,实证检验了外资银行进入中国市场的时机确定及其影响因素,结果发现,规模越大、资本量越充足及对中国市场的经验越丰富的外资银行越早进入中国市场;同时外资银行母国对中国的投资规模越大、与中国的双边贸易额越高,外资银行越早进入中国市场。另外,研究还发现亚洲地区的银行业进入中国市场并没有明显的先行优势。     

外资银行进入中国市场的时机选择研究

本文运用生存模型,实证检验了外资银行进入中闻市场的时机确定及其影响因素,结果发现,规模越大、资本量越充足及对中国市场的经验越丰富的外资银行越早进入中国市场:同时外资银行母国对中国的投资规模越大、与中国的双边贸易额越高,外资银行越早进入中国市场.另外,研究还发现亚洲地区的银行业进入中国市场并没有明显的先行优势.     

外资银行资本充足率监管比较研究及启示

资本充足率是公认的银行审慎监管的核心指标,本文通过我国和有关国家银行法中有关外资银行资本充足率监管规定的对比,指出主要应从两方面完善我国现有资本充足率监管制度体系,一是建立以杠杆比率(LeverageRatio)为核心,风险加权资本充足率为补充的双层混合动态监管制度框架;二是根据外资银行法律地位的不同,在与外资银行母国签订双边监管合作协议的框架下,对外资银行子行、合资银行和分行提出不同的资本充足率监管要求。     

区域性股权市场的市场化改革与资源配置效率研究——理论模型与改革措施

金融服务实体经济的最基本功能是优化资源配置,而金融改革是提高资源配置效率的重要驱动力。作为我国金融市场改革的重要举措,完善多层次资本市场和规范发展区域性股权市场进展快速。然而,市场化改革还面临着市场交易不够活跃、资本流动性不足,以及产品风险难以定价等问题。本文以区域性股权市场为研究对象,选取企业经济附加值作为评价资源配置效率的指标,基于自由资本模型均衡推导构建了资本跨区域流动模型,并对模型进行了数值模拟。结果表明,资源配置效率与市场化运作水平呈显著正相关关系。对模型推导结果的进一步分析发现,增加资本流动性是提高市场资源配置效率的关键。而针对区域性股权市场发展滞后的原因分析则表明,目前已到了加快市场化改革进程的关键时期。鉴此,本文结合我国区域性股权市场的发展现状,从制定适当的企业挂牌标准、试点推行做市商制度、建立健全多层次资本市场互联互通机制和提高企业信息披露质量四个方面,提出了切实可行的市场化改革.措施。     

International investment patterns: Evidence using a new dataset

This paper examines the bilateral, source and host factors driving portfolio equity investment across a set of countries using International Monetary Fund's new dataset on international equity holdings at the end of 1997, 2001 and 2002.The paper finds that the bilateral equity investment is strongly correlated with the underlying patterns of trade in goods and services. The information asymmetries and cultural-institutional proximity are important for bilateral equity investment. The size of domestic stock market is the key correlate of aggregate foreign portfolio equity asset and liability holdings. The scale of aggregate foreign equity asset holdings is larger for countries having high income per capita.     

International Portfolio Investment Flows

This article develops a model of international equity portfolio investment flows based on differences in informational endowments between foreign and domestic investors. It is shown that when domestic investors possess a cumulative information advantage over foreign investors about their domestic market, investors tend to purchase foreign assets in periods when the return on foreign assets is high and to sell when the return is low. The implications of the model are tested using data on United States (U.S.) equity portfolio flows.     

International equity portfolio allocations and transaction costs

In spite of the critical role of transaction cost, there are not many papers that explicitly examine its influence on international equity portfolio allocation decisions. Using bilateral cross-country equity portfolio investment data and three direct measures of transaction costs for 36 countries, we provide evidence that markets where transaction costs are lower attract greater equity portfolio investments. The results imply that future research on international equity portfolio diversification cannot afford to ignore the role of transaction costs, and policy makers, especially in emerging markets, will have to reduce transaction costs to attract higher levels of foreign equity portfolio investments.     

Market liberalization and foreign equity portfolio selection in Korea

This study reports that before and after the complete opening of the Korean stock market, foreign equity portfolio selections deviate not only from the market portfolio but also from the portfolio held by domestic institutions. The divergence between foreign investors and domestic institutions is a finding different from that of a previous study on the Swedish market. This study also presents evidence consistent with the view that in the post-crisis deregulation period, foreign investors are most likely fundamental value investors with long-term investment horizons and well diversified portfolios, rather than short-term speculative stock-pickers.     

Risk sharing,finance, and institutions in international portfolios

We develop a standard model to show how transaction costs in international investment affect conventional tests of consumption risk sharing, both in a multilateral and a bilateral setting. We implement the tests in a novel international data set on bilateral holdings of equity, bonds, foreign direct investment (FDI) and bank loans. In our data, high foreign capital holdings are associated with international consumption risk sharing as implied by our theory. This is especially true of investment in equity or bonds, but not of foreign direct investment or bank loans. In our model, the implication is that transaction costs are higher for FDI and international loans. The discrepancy could reflect technological differences, but also the prospect of expropriation, perhaps most stringent for FDI or loans. We argue that expropriation risk is endogenous to both the borrower's institutions and its openness to international markets. The detrimental impact of poor institutions is muted in open economies, where the possibility of subsequent exclusion from world markets deters expropriation of foreign capital. We show the implied effects of institutions prevail in both the cross-section of consumption risk sharing and in observed international investment patterns.     

Capital Flows to Developing Countries: Long- and Short-Term Determinants

This article focuses on the determinants of the large portfolioflows from the United States to Latin American and Asian countriesduring 1988–92. Cointegration techniques reveal that bothdomestic and global factors explain bond and equity flows todeveloping countries and represent significant long-run determinantsof portfolio flows. The article also investigates the dynamicsof portfolio flows by estimating seemingly unrelated error-correctionmodels. Global and country-specific factors are equally importantin determining the long-run movements in equity flows for bothAsian and Latin American countries, while global factors aremuch more important than domestic factors in explaining thedynamics of bond flows. U.S. interest rates are a particularlyimportant determinant of the short-run dynamics of portfolio,especially bond, flows to developing countries.     

Portfolio and welfare consequences of debt market dominance

The ability to issue debt that pays in units of the domestic good leads a country to accumulate a large and negative net foreign asset position while maintaining a positive position in equity. This debt market advantage also helps to explain the weak relationship between the real exchange rate and relative consumption. Our stylized model matches the key facts about the U.S. international portfolio, the U.S. real exchange rate, and explains nearly 50% of the observed variation in the valuation effects. We find that taxing bond market transactions increases the volatility of the exchange rate, capital flows and allocations. In contrast, taxing equity positions stabilizes the exchange rate and capital flows while having little impact on the allocation. Lastly, the paper describes a global solution method for portfolio problems under incomplete markets.     

A text book treatment of calculating returns on non-traditional portfolios

This paper addresses a gap in traditional portfolio literature by providing techniques for identifying returns on non-traditional portfolios.Futures contracts require daily cash flows over the holding period; these cash flows determine the rate of return. The security deposit represents a tied investment since the funds are not available for other uses and do not earn a risk adjusted return. To initiate a short option or a short stock position also requires a cash outflow. The cash outflow or equity deposit effectively constitutes an investment since the trader postpones consumption in a risky medium that does not guarantee the return of the funds.By identifying the amount of the investment and rates of returns, it is possible to extend normative investment analysis to non-traditional portfolio holdings. This paper introduces four propositions to aid in this process.     

Net Equity and Debt Flows to Emerging Market and Developing Economies in the Post-Crisis Era

We investigate the determinants of net equity and debt flows into 60 emerging and developing countries during 1986–2012, with a special focus on the period following the onset of the global financial crisis (GFC). Our results controlling for endogeneity show that net equity flows to emerging markets were mostly influenced by global risk factors, while net debt flows were affected by country-specific factors. We further distinguish the factors that were more pronounced in determining net portfolio flows to emerging markets since the GFC. The US real interest rate had significant spillover effects on net equity flows after the GFC. An increase in country’s domestic credit attracted net debt inflows before the GFC, while it was associated with net equity outflows after the GFC. We also find that capital controls moderated net debt flows since the GFC.     

全球金融周期与跨境资本流动

本文从全球42个主要的股票市场指数提取全球股票市场因子,作为全球金融周期的代理变量,考察全球金融周期对跨境资本总流入的影响。结果发现:(1)当全球股票市场因子(全球风险规避和不确定性)上升时,跨境资本流入显著下降;(2)一国处于经济繁荣时期,经济增速和利率处于相对较高水平,全球金融周期对资本流入的影响会减弱;(3)一国资本账户开放程度或金融发展水平越高,全球金融周期对资本流入的影响会越强;(4)更具弹性的汇率制度尽管不能完全隔绝全球金融周期的影响,但相比固定汇率制度,可提高一国抵御全球金融周期冲击的能力;(5)美国货币政策冲击是全球金融周期的重要驱动因素,并通过全球金融周期影响跨境资本流动。本文的政策含义在于,一国应夯实经济基本面、采取富有弹性的汇率制度和适当的资本管制措施,以缓解全球金融周期给资本流动带来的冲击。