同业拆借利率的单因素利率期限结构模型的广义矩估计

主要针对现代利率期限结构的动态模型进行定量地实证研究,采用了7天期银行间同业拆借利率数据,通过广义矩估计方法估计了8个单因素利率期限结构模型并进行了相应分析.综合看,可得出结论即CIR模型较CKLS模型能更好地解释中国银行间同业拆借市场的利率行为.同时实证结果还显示银行间同业拆借利率的均值回复效应较显著.     

浅析我国同业拆借市场的缺陷

本文从货币市场的主子市场--同业拆借市场入手,对我国同业拆借市场自成立至今的发展历史进行了认真回顾,给出了中国货币市场本应选择的发展道路,并对今后同业拆借市场的发展提出了看法。     

完善银行同业拆借会计信息披露研究

文章对我国银行年报中同业拆借业务披露存在的相关性问题进行了研究。利用我国同业拆借市场数据和交通银行年报披露的实例分析结果表明,仅披露同业拆借业务的余额信息不足以反映银行对此类业务的管理情况,无法满足利益相关者对于会计信息的相关性要求,银行需要补充披露同业拆借业务的发生额信息。     

浅析货币市场发展中各子市场的发展

改革开放以来 ,我国货币市场发展迅速 ,但主要表现为拆借市场一枝独秀 ,其他子市场相对滞后的格局。但各个子市场都存在着一定的问题 ,这些问题不仅阻碍着自身的发展 ,也不能很好地发挥货币市场的功能。一、同业拆借市场存在的问题１、同业拆借市场交易主体偏少 :从同业拆借市场的发展历程来看 ,同业拆借市场的主体的扩充在逐步进行。２、同业拆借市场交易规模小 ,交易品种少 :９８年以来 ,同业拆借市场交易量持续下降 ,主要原因是受风险成本增大和交易不畅等因素的影响。３、目前公布的银行同业拆借利率 (ＣＨＩＢＯＲ） ,其计算方法是 ,对…     

同业拆借利率与宏观经济变量协整关系的实证分析

在我国目前的利率体系中，同业拆借利率经历利率市场化改革的时间最长，市场化程度也最高，已基本具备金融市场基准利率的条件。研究我国同业拆借利率与宏观经济变量的关系，对中央银行的货币政策执行和商业银行的利率风险管理意义重大。文章利用协整检验和向量误差修正模型，考察我国同业拆借利率与社会消费品零售总额、广义货币供给量增长率、企业商品价格指数、金融机构人民币存贷差和上证综合指数的长期均衡与短期波动关系，在此基础上分析影响我国同业拆借利率变动的主要宏观经济因素及其原因。     

如何看待同业市场频现“钱荒”

正同业市场频现"钱荒"的原因从同业拆借月加权平均利率的历史数据可以看出,我国同业市场在2011年和2013年都曾频繁出现过"钱荒"现象(图4),其基本特征是同业拆借月加权平均利率普遍上升至3.5%(甚至4%)以上的高位。其中,2011年同业拆借月加权平均利     

1996年～2000年中国货币政策传导机制分析

1996年以来,中国金融市场发展迅速,中央银行货币政策初步实现了向间接调控的转与此同时,货币政策传导机制也发生了相应的变化。 一、金融市场对货币政策信号的反应更加敏感 1996年以来,中央银行连续七次调低银行存贷款利率,银行间拆借利率对中央银行的利率调整作出反应,呈现出阶段性下滑之势。对中央银行存款利率、中央银行贷款利率和银行间拆借利率做格兰杰因果关系检验,结果表明中央银行利率调整是银行间同业拆借市场利率变动的格兰杰原因。中央银行调整中央银行存贷款利率在格兰杰因果关系意义上引起了银行间同业拆借市场利率的变化。     

谈拆借

近来,在整顿金融秩序中,人们常提到一个较新的名词——同业拆借,中央对银行提出约法三章中,也有一条叫限期纠正违章拆借。 同业拆借是指银行及非银行的金融机构之间因短期资金不足或有余而相互融通资金的一种借贷行为,同业拆借市场就是金融机构之间进行这种资金借贷的场所。同业拆借有三个基本条件:一、参与借贷的只限于银行和金融机构,不允许非金融机构参与拆借;二、期限很短,一般是1—6天;三、融     

Excel规划求解在关键路线确定中的应用

本文基于关键路线法的基本原理，构建了利用．Excel规划求解完成相应功能的数据结构．实现了规划求解的计算和模型应用的拓展分析，表明将Excel规划求解用于关键路线确定是可行、可靠、可信的。     

基于Web/J2EE的公路运输货物自动配送系统

针对公路运输货物配送的现状和需求,引入J2EE架构体系和技术,基于MVC开发模式,设计并实现一个基于Web方式的公路运输货物自动配送系统,实现了车辆配载、货物配装、行车路线规划等功能,建立了车辆配载模型、货物配装模型和行车路线规划模型,并研究了相应的算法及实现,实现了公路运输货物的自动配送,提高了配送效率,降低了配送成本,实现了物流配送经济效益及社会效益最大化。     

Value-Driving Activities in Euro-Zone Banks

We develop and test accounting-based valuation models for commercial banks. We extend Begley et al.'s framework (2006) and propose a valuation model where goodwill is generated by virtually all commercial and investment banking activities. Key features of our model are: the development of a relation between future cash flows from fee income and the bank value that depends on lending, borrowing and off-balance sheet business; and the inclusion of proprietary investment and trading as value-driving activities. Empirical tests on a sample of Euro-zone banks from 1998 to 2006 provide the following evidence. Unrealised expected cash flows from fee income are the most important source of unrecorded goodwill. This is consistent with the increasing importance of revenue from the sale of financial services to banks' income. The contribution of fee income to goodwill is higher for banks with large deposits and new loans. Equity securities are a source of unrecorded goodwill, but the introduction of fair value accounting, with the adoption of the International Financial Reporting Standards (IFRS), reduces their valuation role. Yet equity securities remain positively associated with unrecorded goodwill after IFRS adoption, suggesting that the fair value standards do not fully capture market expectations about future cash flows of investment assets.     

新常态下我国商业银行贷款利率定价机制探讨

我国经济进入新一轮非均衡运行的新常态,商业银行发展模式将逐步向“讲质量”转变。2013年7月央行贷款利率管制放开后,商业银行迎来信贷资产自主定价的新时代,如何适应新常态下银行贷款利率定价机制,是商业银行转型发展永恒的主题。本文简要介绍了商业银行贷款定价机制的现状,揭示了商业银行贷款定价机制存在的问题,提出了新常态下优化贷款定价的建议。     

Endogenous credit standards and aggregate fluctuations

Widespread empirical evidence shows that credit standards fluctuate over the business cycle. We build a macroeconomic model in which countercyclical lending standards emerge as an equilibrium outcome. In the model, banks compete on lending rates as well as collateral requirements. The presence of lending relationships between firms and banks gives rise to endogenous fluctuations in interest rate margins and collateral requirements. We demonstrate that endogenous credit standards amplify business cycles, driving up output volatility by around 25% when compared to a model without lending relationships. Finally, we show that in order to combat the effects of endogenous credit standards on macroeconomic volatility, a countercyclical loan-to-value ratio is an effective macroprudential policy tool.     

Growth option,debt maturity and cash reserves with bank-tax-interaction

In this paper, we assume a small and micro enterprise(SME, henceforth) invests in a project, of which the investment cost is funded by the private lending and the bank-tax-interaction (BTI, henceforth). We build a tractable model of optimal investment, liquidity and default decisions based on cash flows with liquidity shocks and profitability uncertainty. In contrast to the case with pure private lending, we discover that BTI delays investment and increases the firm value. Furthermore, BTI causes the SME to retain more cash reserves. We also find that the SME prefers to select the BTI as the main financing policy under the higher liquidity risk and small profitability uncertainty. Besides, the impact of debt maturity on financial policies with BTI depends on liquidity shock.     

Macroeconomic uncertainty and bank lending: The case of Ukraine

This study investigates the link between bank lending behavior and country-level instability. Our dynamic model of bank's profit maximization predicts a non-monotonic relationship between bank lending and macroeconomic uncertainty. We test this proposition using a panel of Ukrainian banks over the 2003Q2–2008Q2 period. The estimates indicate that banks decrease their lending ratio in times of substantial economic volatility, which could be explained by higher risk aversion of bank managers. Additionally, small and least profitable banks are less likely to be affected by changes in the macroeconomic environment compared to their large and most profitable peers. This outcome is robust with respect to the different measurements of macroeconomic uncertainty.     

航运联盟下的集装箱运输路径选择研究

首先分析了班轮运输的变化现状,然后运用系统分析的方法,研究运输网络的整体最优。结合集装箱运输具体的特性,构造了一整体最优情况下,各集装箱路径选择的模型。对班轮公司的日常经营调度、航线规划等有较大的参考意义。     

我国大型商业银行实施SBCS技术的可能性

鉴于美国大型商业银行已成功实施SBCS技术的事实,本文从借贷技术创新的视角讨论我国如何缓解小企业融资难的问题。通过对来自美国的SBCS技术相关研究文献的回顾和分析,本文首先从SBCS技术的基本特点、商业银行经营管理因素、银行业产业组织和产业结构因素、制度环境因素四个方面归纳了大型商业银行实施SBCS技术的一般性前提条件。对照这些条件,结合我国商业银行体系的实际,本文最后讨论了我国大型商业银行采纳SBCS技术的可能性。     

Foreign bank lending during a crisis: The impact of financial regulations

This study examines foreign bank lending during crises by using data on 1,558 individual banks in Asian and Latin American countries during the period 1987-2013. Our results reveal that, in a crisis period, Asian banks with a higher level of foreign ownership tend to reduce their lending. Nevertheless, during crises banks consistently increase their lending in order to support their borrowers; in fact, in Latin America, crises stimulate foreign banks to lend more. Our evidence on lending during a crisis supports credit rationing theories with a flight to quality. The international substitution effect also holds based on our results. Taking financial structures and regulation into consideration, for banks with more foreign ownership in a highly concentrated financial system in Asia, the crisis has less effect on a cut in lending, while it has a greater effect on cuts in lending for countries with a higher level of government-owned assets. This paper contributes to the existing literature on the bank lending channel and provides implications for policymakers.     

How do changes in monetary policy affect bank lending? An analysis of Austrian bank data

Using a panel of Austrian bank data we show that the lending decisions of the smallest banks are more sensitive to interest rate changes, and that for all banks, sensitivity changes over time. We propose to estimate the groups of banks that display similar lending reactions by means of a group indicator which, after estimation, indicates each bank's classification. Additionally, we estimate a state indicator that indicates the periods during which the lending reaction differs from what we normally observe. Bayesian methods are used for estimation; a sensitivity analysis and a forecast evaluation confirm our model choice. Copyright © 2006 John Wiley & Sons, Ltd.     

配送中心功能区规模确定方法研究

针对时空消耗法在解决配送中心内部功能区规模时存在的不足,提出了改进的时空消耗法模型结构图,并分别建立了进货区、仓储区、流通加工区和出库区规模确定的数学模型,并将模型应用于一个具体的配送中心规划中,取得了较好的效果。