信息披露质量与市场流动性

本文以深交所A股上市公司为样本．研究上市公司的信息披露整体质量是否影响公司股票在市场上的流动性。基于分笔高频交易数据．检验集中于流动性的两个关键方面：市场宽度和市场深度。采用稳健的非线性两阶段最小二乘法来克服信息披露的自选择特点所引起的内生性问题。实证结果显示，公司高质量的信息披露能有效提高其股票的市场流动性，这种影响主要是通过缩小市场宽度来达到．而对市场深度的影响不显著。利用市场微观结构的价差分解方法的研究发现．高质量的信息披露提高市场流动性的机制在于有效减轻市场上信息不对称程度。     

我国影子银行对银行业系统性风险影响研究——基于内生化房地产商的DSGE模型分析

近年来我国房价的持续上涨促使大量资金借道影子银行体系流向房地产市场,推动了金融体系内系统性风险的集聚。有鉴于此,文章构建了内生化房地产商的DSGE模型,以此探讨影子银行对银行业系统性风险的影响。实证结果表明,影子银行融资利差增大、房地产需求的扩张以及紧缩的货币政策冲击均会使商业银行资金向影子银行转移,促使融资杠杆率提升,加大银行业系统性风险;因此,目前我国稳健中性的货币政策,能够合理引导预期稳定房价,有利于防控系统性金融风险。然而,在紧缩性货币政策冲击下,商业银行贷款利率随着影子银行融资利率的下降而出现下降,说明影子银行的存在一定程度上造成了货币政策传导机制的失效。文章研究结论对引导我国影子银行健康发展、防范系统性金融风险具有重要政策启示。     

基于“三性”、杜邦模型和骆驼体系的业绩评价——来自2004年我国商业银行财务数据的实证分析

文章从作为商业银行经营的基本理念———“三性”分析入手,以突出财务指标之间协调性的杜邦模型弥补“三性”指标的内在矛盾冲突,两者互为补充,同时引进对银行财务风险的有效分析工具———骆驼评价体系,基于这三个理论分析,构建起评价我国商业银行经营业绩的多元指标,并运用     

Supervision without regulation: Discount limits at the Austro–Hungarian Bank, 1909–13

We show that nineteenth century central banks could use credit limits for discount loans as a means to enforce supervisory standards long before they had any formal regulatory powers. Drawing on novel microdata from the Austro–Hungarian Bank's archives, we document that credit limits were continuously monitored and that their size was contingent on counterparties’ liquidity and capital position. Counterparties had an economic motive to abide by informal prudential ‘rules of the game’: higher credit limits enabled counterparties to streamline their day-to-day liquidity management. We exploit the heterogeneous exposure of counterparties to an exogenous liquidity shock to evidence that the Bank relaxed credit limits during crises to fulfil its role as a lender of last resort.     

商业银行离岸业务与中国企业“走出去”

近年来,在经济全球化的背景下,随着我国对外直接投资高速发展,企业国际化金融服务需求日益强烈。本文在离岸金融内涵和我国商业银行离岸业务发展情况介绍的基础上,分析了我国"走出去"企业的金融服务需求,阐述了我国商业银行离岸业务满足"走出去"企业金融服务需求的必要性、可行性和相应的营销策略,并提出了改善我国商业银行离岸业务政策环境的建议。     

Monetary Policy and Corporate Investment： Evidence from Chinese Micro Data

This paper investigates how a firm's characteristics restrict the influence of monetary policy changes on its investment behavior. Focusing on China's listed companies for a sample period from the first quarter of 2002 to the first quarter of 2011, we find that quantity‐oriented and price‐based monetary policies have heterogeneous impacts on corporate investment behavior, but the influence of monetary policies is constrained by the liquidity, inventory, size and asset–liability ratio of a firm. Firms with higher liquidity, lower inventory level and lower asset–liability ratios are less sensitive to the impact from two kinds of monetary policies. The larger the size of the firm, the less it is subject to influence from quantity‐oriented monetary policy; it responds more to price‐based monetary policy. The policy implication is that the monetary authorities should pay attention to the importance of policy‐making based on the monetary demand of microeconomic entities.     

信贷配给、流动性冲击和民营企业现金持有

融资约束的存在要求企业持有必要的现金以预防可能的流动性冲击。不同于以往研究,本文从融资数量的硬约束——信贷配给视角将企业现金持有水平及其经济后果的考察纳入到一个统一的理论框架,并运用实证的方法研究流动性冲击下我国民营上市公司的现金持有行为。研究表明：民营上市公司持有高额现金的原因出于在信贷配给约束下的预防性动机;在遭受流动性冲击时,增持现金对民营上市公司具有正向的价值效应,且信贷配给水平越高的企业这种正向效应越显著。     

基于期权定价理论的投资连结保险退保行为研究

投资连结型保险产品遇到的大规模退保风险,会严重影响寿险公司资金运用的稳定性和流动性。文章认为,购买投资连结型保险产品的投保人具有较高的投资收益敏感性,投资收益较低时,投保人会选择退保来规避损失。通过分析投资连结保险的运行机制和产品特点,文章从保单中嵌含的退保期权出发来定量研究投保人的退保行为,在胥会平和王玉梅(2002)模型的基础上建立了退保期权的理论模型,并且求出其相应的解析解。随后通过数值模拟,分析了在保单持有期间该退保期权的价值变化的各种特征。     

Competitive blind spots and the cyclicality of investment: Experimental evidence

We report laboratory experiments investigating the cyclicality of profit-enhancing investment in a competitive environment. In our setting, optimal investment is counter-cyclical when investment costs fall following market downturns. However, we do not observe counter-cyclical investment. Instead, we see much less strategic behavior than our rational investment model anticipates. Our participants exhibit what Porter (1980) terms a competitive blind spot, and heuristic investment models where individuals invest a fixed percentage of their liquidity, or a fixed percentage of anticipated market demand, better fit our data than does optimal investment. We also report a control treatment without cost changes and a treatment with asymmetric investment liquidity. Both of these extensions support our main result.     

Cooperative fiscal policy at the zero lower bound

This paper investigates the use of fiscal policy in response to a large negative aggregate demand shock which may push the global economy into a liquidity trap. Fiscal policy may be an effective tool to respond to a liquidity trap, but its international spillover effects may operate quite differently from its domestic effects. We derive the optimal cooperative fiscal response to a global liquidity trap in a two country world economy. Surprisingly, we find that the optimal fiscal spending response for a partner country to a negative aggregate demand shock in a source country may be negative. If fiscal policy can be chosen under policy commitment, the optimal response involves current fiscal expansion combined with future fiscal contraction, after the liquidity trap has ended.     

Disclosure Policy and Market Liquidity: Impact of Depth Quotes and Order Sizes*

This paper investigates the relation between disclosure policy and market liquidity. Our tests examine two key aspects of market liquidity, the effective bid‐ask spread and quoted depth, and how they relate to financial analysts' ratings of firms' disclosure policies. We introduce a method of combining order sizes and depth quotes to yield more precise estimates of effective spreads on trades likely constrained by quoted depth. We find that while firms with higher rated disclosures are charged lower effective spreads, they are also quoted lower depth, consistent with the notion that better disclosures reduce information asymmetry but also cause some liquidity suppliers to exit the market. Therefore, a simple examination of spreads and depths yields ambiguous inferences on the relation between disclosure policy and market liquidity. We resolve this ambiguity by estimating depth‐adjusted effective spreads, and find that firms with higher rated disclosures have lower depth‐adjusted effective spreads across all trade sizes. Consequently, our results reveal a robust inverse relation between disclosure ratings and effective trading costs. This implies that a policy of enhanced financial disclosure is related to improved market liquidity.     

商业银行发展投资银行业务的模式设计

在银行业全面开放和混业经营的趋势下,国内商业银行发展投资银行业务具有重要的意义。商业银行发展投资银行业务的关键在于如何在政策的限制下发挥资金、客户、信息三大优势。设计一个基于银行现有组织框架的“搭平台”和“自营精品业务”双轮驱动业务模式,有利于商业银行发展投资银行业务。     

New Findings on Firm Investment and Monetary Transmission in the Euro Area

In this paper we present comparative results on the determinantsof firms' investment and their link to monetary policy. Theresults have been obtained by the Eurosystem Monetary TransmissionNetwork. This network has produced a series of papers in whichthe use of micro data permits estimating and quantifying therelevance of two channels of monetary policy transmission: theinterest-rate and the broad-credit channels. The research findingsprovide evidence of an operative interest-rate channel in allcountries examined. Moreover, the results indicate that variableswhich proxy firms' financial conditions play a role. Firms characterizedby weaker balance sheets show higher liquidity sensitivity.     

Reserve-requirement changes,open-market operations,and banks' asset mix

Conclusion This paper has demonstrated, in terms of a characteristics-space model of banks' demand for earning assets, that banks' desired ratio of securities to loans willfall when deposits are restricted by means of a raised reserve requirement, butremain constant orrise when the restriction is due to open-market sales (assuming that the differential between loan and security rates of interest does not widen). It is then argued that open-market sales can be judged superior to raised reserve requirements as an instrument of monetary restriction according to at least six criteria. A necessary and sufficient condition for this judgement by each criterion is that banks' asset mix respond to deposit contraction in the manner predicted by our model.     

Regulatory Pressure,Market Discipline,and Bank Spreads in India: An Empirical Exploration

Abstract

Employing data on commercial banks for 1992 to 2006, the paper examines the factors influencing bank spreads in India. The findings indicate that variations in bank size, composition of loan portfolio and bank liquidity are important determinants of bank margins. Second, the evidence is strongly supportive of the relative market power hypothesis. Finally, the evidence reveals that state-owned, de novo private and old private banks exhibit lower spreads as compared to their foreign counterparts. The analysis concludes with the policy implications of the aforesaid findings.     

中国银行业海外并购视野的资本重组及其业务整合

始于20世纪80年代中国银行海外并购历程,着眼于国际市场布局与拓展、业务整合、资本重组,经历了业务整合的协同效应阶段、战略协同效应阶段。选择工商银行并购香港友联银行典型案例进行财务分析,证明目标企业在中长期跨国并购运作以后,产生较大的协同效应。选择9家中资银行的跨国并购事件进行事件研究,结果表明在短期内跨国并购事件将显著影响银行的股价,存在协同效应的财务效应。     

Monetary Policy and Borrowers’ Loan Defaults: Research Based on Data from Renrendai

This paper uses Renrendai data to study the relationship between monetary policy and the default behavior of borrowers, and analyzes the transmission channels. The research shows that tight monetary policy will lead to a significant increase in a borrower's probability to default, and this effect will continue for several months. There may be two transmission channels: (i) monetary policy changes a debtor's liquidity through credit and balance sheet channels, which directly affects their current repayment behavior; and (ii) monetary policy may affect a borrower's investment, production and profitability, thus changing their long‐term solvency. The paper also finds that the repayment behavior of productive borrowers is more susceptible to monetary policy than consumptive borrowers, and that the default behavior of borrowers in coastal provinces is more susceptible to monetary policy than of borrowers in inland provinces. These findings provide new evidence for understanding how monetary policy affects individual behavior and its transmission mechanisms.     

Liquidity Constraints and Postharvest Selling Behavior: Evidence from China's Maize Farmers

This paper addresses the impacts of liquidity constraints on household postharvest commodity selling behavior. Using data collected from China's maize farmers, we find that households with debt, in general, sell their maize much earlier than debt‐free households, thus potentially losing inter‐temporal arbitrage opportunities. Segmenting our sample into wealthy and poor households, we find that the relationship between a liquidity constraint and postharvest sales is apparent only among poor households. Using the occurrence of an illness in children or an elderly household member as an instrument for liquidity, we control for potential endogeneity associated with liquidity. We find that poor households in which there were children or elderly people with sicknesses in previous years are more likely to sell maize early than other poor households.     

Banking Regulation and Systemic Risk

The term Systemic Risk belongs to the standard rhetoric of economic policy discussions related to the banking industry. Besides the goal of protecting small depositors, control of systemic risk is given as one of the main arguments for banking regulation. Various recent financial crises have increasingly focused the regulatory debate on issues of systemic risk and financial stability. There is, however, no generally accepted definition of systemic risk and the effectiveness and the economic consequences of various instruments of banking regulation that are intended to attenuate it are still only partially understood both theoretically and empirically. In this paper, we make an attempt to discuss some of the issues raised in this debate by reviewing recent contributions to the academic literature.     

我国债券市场流动性分析及对策探讨

流动性是债券市场其生命力所在,本文首先从债券市场流动性内涵入手,然后对我国债券市场流动性的现状,尤其是对2000～2009年整体债券市场、国债以及企业债券流动性进行了具体的分析,最后在对影响我国债券市场流动性的投资结构、券种结构以及做市商制度进行了分析,并从这三个方面提供了相对于的提高债券市场流动性的措施。