我国上市银行特许权价值风险自律效应的研究

银行特许权价值是银行作为一个特殊行业所赋予的一种获取未来租金收益的权力价值。本文在国内12家上市银行1997-2007年面板数据的基础上,采用税前利润法计算特许权价值,构建多元线性回归方程进行实证分析,结果发现现存的隐性存款保险削弱了特许权价值对商业银行的信用风险的约束作用,也就是说以政府的信用担保的全额保险,破坏了银行特许权价值对于银行信用风险的自律机制。     

我国上市银行特许权价值风险自律效应的研究

银行特许权价值是银行作为一个特殊行业所赋予的一种获取未来租金收益的权力价值。本文在国内12家上市银行1997-2007年面板数据的基础上,采用税前利润法计算特许权价值,构建多元线性回归方程进行实证分析,结果发现现存的隐性存款保险削弱了特许权价值对商业银行的信用风险的约束作用,也就是说以政府的信用担保的全额保险,破坏了银行特许权价值对于银行信用风险的自律机制。     

我国上市银行特许权价值风险自律效应的研究

银行特许权价值是银行作为一个特殊行业被赋予的一种获取未来租金收益的权力价值.本文以国内12家上市银行1997-2007年面板数据为基础,采用税前利润法计算特许权价值,构建多元线性回归方程进行实证分析,结果发现现存的隐性存款保险削弱了特许权价值对商业银行信用风险的约束作用,也就是说以政府的信用担保的全额保险,破坏了银行特许权价值对于银行信用风险的自律机制.     

账面损益如何影响特质波动率与股票收益相关性?——基于我国A股市场的实证研究

本文以1998—2018年A股面板数据为研究样本,使用投资组合分析方法和Fama-MacBeth横截面回归模型,基于前景理论研究账面损益对特质波动率与股票收益相关性的影响。实证研究发现:股票账面损益会显著影响特质波动率与期望收益的相关关系,特质波动率与期望收益在账面收益情况下比在账面损失下呈现出更强的负相关性。并且该结果在考虑了股票价格偏差、最大日收益率和短期收益反转等因素的影响后,依然稳健。该研究结果表明,相较于账面损失,投资者在账面收益情况下表现出更强的风险偏好。     

中国上市银行特许权价值的自律效应

银行特许权价值是银行风险自我约束的重要机制。本文使用托宾Q值衡量了中国14家上市银行的特许权价值,借助面板数据回归分析对银行特许权价值的自律效应进行了实证检验。结果表明:上市银行特许权价值对反映外部评价的市场风险确实存在着自律效应,但还未对表现为内部风险控制的资本充足率产生显著作用。因国家对银行业提供了全面担保,银行所有制性质对银行风险无显著影响。随着银行业竞争日趋激烈,通过引导商业银行提升特许权价值来激励银行审慎经营并加强内部风险控制,对后金融危机时期中国银行业的健康稳定发展具有积极意义。     

政府财政支持对中小企业信用担保影响研究——基于成本收益视角

政府财政支持对中小企业信用担保的影响存在争议,通过从成本收益角度出发,建立非线性模型和实例分析政府财政支持在中小企业信用担保中产生的影响及效益情况。结果表明,政府的财政支持完善了中小企业信用担保的风险分担机制,提升了担保的放大效应,增加了担保机制各关系方的收益。     

商业银行特许权价值风险约束效应研究

从银行特许权价值的定义入手,利用样本银行1998～2007年的年度数据,阐述和分析了银行特许权价值的风险约束效应。研究结果表明,银行特许权价值对银行的风险行为有很强的约束效应,即拥有较高特许权价值的银行不会倾向于采取过度冒险的经营行为,而那些特许权价值较低的银行会增加冒险经营的动机。     

特许权价值、市场结构与银行风险承担

银行业的风险程度关系到整个经济体的稳定与发展,控制风险是银行经营的重要目标之一。目前对银行风险承担的研究主要从特许权价值和市场竞争的角度分别展开分析。本文以156家中国商业银行为研究对象,同时分析了银行特许权价值、市场竞争程度对银行风险的影响。通过实证分析,我们发现目前影响我国商业银行特许权价值的因素主要来自银行因素而非市场因素;在没有控制内生性的前提下,发现银行特许权价值有效地约束了银行风险,而市场竞争的加剧增加了银行风险行为;在控制银行风险和特许权价值内生性后,发现特许权价值对中国商业银行风险的约束效应基本不存在。因此,要维持银行业的稳定,需要规范银行的竞争行为,提高特许权价值的风险约束效应。     

基于隐性担保的存款保险费率测算--以中国16家上市商业银行为例北大核心CSSCISSCI

本文在Ronn-Verma存款保险定价模型的框架下,利用股权与欧式看涨期权之间、存款保险与欧式看跌期权之间的同构关系,建立起银行资产市场价值、银行资产隐含波动率与银行股权价值、股价波动率之间的联立非线性方程组。并利用上市银行的股价可观测、股价波动率可估计的有利条件,采用数值方法对16家中资上市商业银行所获的政府隐性担保及其蕴含的存款保险基本费率进行了测算。测算结果表明,不同银行风险水平存在差异,所获政府隐性担保亦不同,有力支持了存款保险的差别费率设计思路。     

政府隐性担保一定能降低债券的融资成本吗?——关于国有企业和地方融资平台债券的实证研究北大核心CSSCISSCI

国有企业和地方融资平台在一定程度上都受政府隐性担保,政府隐性担保是否会因两者之间的不同而发生变化,进而产生不同的影响?通过对2007-2012年上市债券的研究,我们发现,政府隐性担保降低了国有企业债券的风险,却增加了地方融资平台债券的风险。我们还发现,信用评级越低,政府隐性担保越能降低国有企业债券的风险,相反,信用评级越高,政府隐性担保越能增加地方融资平台债券的风险。不同于国有企业,政府帮助地方融资平台取得债务资金,隐性担保的方式发生了变化,损害了债权人的利益。     

Can Africa's Saving Collapse Be Reversed?

Private saving in Sub-Saharan Africa declined from more than11 percent of disposable income in the 1970s to less than 8percent in the 1980s and only partially recovered (to less than9 percent) in the 1990s. This article analyzes the determinantsof private saving in Sub-Saharan Africa, seeking to explainthe region's dismal performance and identify policies that couldhelp to reverse the region's decline in saving. The analysisshows that in Sub-Saharan Africa causality runs from growthto investment (and perhaps to private saving), whereas a risein the saving rate Granger-causes an increase in investment.Foreign aid Granger-causes a reduction in both saving and investment,and investment also Granger-causes an increase in foreign aid.The empirical analysis of private saving in Sub-Saharan Africaand other regions over 1970–95 suggests that private savingin Africa can be explained by standard behavioral models. Accordingto these models private saving in Africa lags behind that inother regions (most notably, the high performing Asian economies)because of the region's lower per capita income, high young-agedependency ratio, and high dependence on aid. The combined effectsof these factors substantially outweigh Africa's advantage fromits lower public saving and higher government consumption. Finally,analysis of the experiences of Kenya, Zimbabwe, and Botswanaprovides further insight into the saving process in Sub-SaharanAfrica.     

The U.K. private finance initiative: An accounting retrospective

The Private Finance Initiative (PFI) in the U.K. has been the subject of considerable interest in government, professional and academic literature. This reflects its importance as one of the classic forms of Public Private Partnership, its adoption in other jurisdictions, the scale of infrastructure investment under PFI legislation and the extent of controversy that has accompanied its development and application. The financial reporting of PFI schemes has been one element of this controversy in view of its potential to limit public sector financial accountability by off-balance sheet financing and the potential for alternative interpretations of its accounting treatment. It is now an appropriate time to review the turbulent history of accounting for the PFI as U.K. public sector accounting is now based upon International Financial Reporting Standards. This has resulted in the redundancy of previous accounting guidance issued by the UK ASB and the Treasury which, at the time of being abandoned, contained unresolved inconsistencies.This paper uses a triangulation method of investigation linking the input to, and output from, the regulatory process to an analysis of public domain evidence of press coverage and letters submitted to the standard setter and interviews with key participants to the standard-setting process. This approach shows that hidden pressures were influential in the process of developing PFI accounting regulation. Different interpretations of the ASB's principles-based Application Note and the Treasury's more rules-based Technical Note created de-facto alternative accounting treatments. The pressure, from organisations such as the Financial Reporting Advisory Board, for reform of PFI accounting was only released by the government's decision to switch the U.K. public sector to IFRS-based accounting.     

我国政府投资与经济增长、居民收入和就业的关系

我国政府投资对经济增长、居民收入、就业等具有重要的作用。本文运用计量经济学的先进方法，选取我国政府投资的有关数据，通过测算得出：我国的经济增长是投资推动型的；政府投资对城镇居民收入增长的作用效果远远大于对农民收入的影响；政府投资每提高一个百分点，就业增长0.14个百分点。     

Past Abuses and Future Uses of Private Finance and Public Private Partnerships in Transport

The article explains the origins of the Private Finance Initiative (PFI) and the way the policy has evolved under the present Labour administration into Public Private Partnership (PPP). The author gives an assessment of the future prospects for the PFI/PPP in the transport sector. He believes that PPPs can make a considerable contribution towards efficient transport service delivery and this will be maximized if there is a better understanding of what the policies are seeking to achieve. Much of the action in the immediate future in transport PPPs will be with the local authorities, including the new Greater London Authority.     

Dynamic Effects of Extending the 2001 and 2003 Income Tax Cuts

This paper focuses on the impact of permanently extending most of the provisions in EGTRRA and JGTRRA, coupled with potential legislative changes to the AMT, on the federal deficit, the distribution of after-tax income, and economic growth. The paper shows that including moderate behavioral responses offsets 16 percent of the static revenue loss estimate from 2005 to 2014. In addition, including behavioral responses implies that the percentage change in after-tax income from permanently extending the 2001 and 2003 income tax cuts would be largest for taxpayers with incomes ranging from $20,000 to $40,000. Finally, the simulation results suggest that extending the 2001 and 2003 income tax cuts and reducing the growth rate of government spending (excluding Social Security and Medicare), assuming that government expenditures are cut to avoid dramatic increases in government consumption relative to GDP in comparison to historical norms, would increase investment, employment, and output. However, postponing the implementation of tight spending controls would more than offset the positive benefits of lower tax rates on the size of the economy and leave future generations with fewer resources for private consumption and production.JEL Code: E62, H20, H30, H60The views expressed are those of the author and do not reflect those of the Baker Institute for Public Policy or any other organization. This paper was partially written while the author was employed by the Joint Committee on Taxation.     

绿色PPP项目组合的最优契约:经济与环境效应的福利视角

绿色PPP搭配高收益项目的激励方式是吸引社会资本参与环境治理的举措之一。本文基于经济与环境的双重福利效应,从理论上研究了该激励方式的契约设计问题,阐释了博弈均衡的存在性以及最优特许期的形成逻辑和关键决定因素。研究表明:第一,绿色PPP搭配高收益项目能够提高企业利润,激发社会资本参与环境治理来应对环境风险。第二,政企双方博弈决策模式决定了契约能否订立。如果独立决策,使企业利润最大的特许期也能够带来最高的环境效益,但此时博弈结果展现为“刀刃上的均衡”,契约难以建立;如果合作博弈,双方最优特许期选择达成一致,契约得以订立,政府向企业让渡经济利润而收获环境效益,最终实现经济与环境福利的双赢。第三,绿色PPP搭配高收益项目优于传统政府补贴的激励方式,在收获同等环境效益的基础上,能够带动社会总福利的提升。研究结论为绿色PPP搭配高收益项目激励方式的推广实施、从而助力实现碳达峰和碳中和战略目标提供了契约设计理论依据和相关框架。     

Exploring Metropolitan Housing Price Volatility

This paper uses GARCH models and a panel VAR model to analyze possible time variation of the volatility of single-family home value appreciation and the interactions between the volatility and the economy, using a large quarterly data set that covers 277 MSAs in the U.S. from 1990:1 to 2002:2. We find evidence of time varying volatility in about 17% of the MSAs. Using volatility series estimated with GARCH models, we find that the volatility is Granger-caused by the home appreciation rate and GMP growth rate. On the other hand, the volatility Granger-causes the personal income growth rate but the impact is not economically significant.     

我国商业银行经营投资银行业务对风险影响的实证研究

本文以2009-2018年19家商业银行为研究对象,运用波动性分析、相关性分析及面板数据回归分析方法,考察了经营投资银行业务对银行风险的影响。研究结果表明,投资银行收入无明显周期性趋势,波动性明显高于利息净收入,经营投资银行业务会加剧银行业收入的不确定性,但由于收入占比较小,投资银行业务并非造成我国银行业收入波动的主要因素。多数银行的投资银行收入与利息净收入表现为正相关性,银行难以通过经营投资银行业务实现风险分散目的。投资银行业务对银行风险影响的回归结果较为显著,随着投资银行收入在银行收入结构中的权重越来越大,银行多元化收入程度随之加深,银行风险也随之下降。     

澳大利亚“安全和可持续”的国民养老金改革及启示

2009年9月澳大利亚政府颁布了＂安全和可持续＂的国民养老金改革计划。主要内容包括改革家计调查政策,提高国民养老金待遇水平,延长退休年龄,实施延长工作奖励计划等。这次改革对我国养老保障体系完善有如下启示：我国应当建立针对低收入群体的普惠制的国民养老金制度;以防止老年贫困,保障老年人最基本生活为目标;改革应注重政府调节和市场调节手段相结合;改革应兼顾不同群体利益,减少阻力。     

Is Government Expenditure Volatility Harmful for Growth? A Cross‐Country Analysis*

The aim of the paper is to analyse the relationship between government expenditure volatility and long‐run growth. Using cross‐country panel data from 1970 to 2000, the paper finds that countries with higher government expenditure business‐cycle volatility have lower growth, even after controlling for other country‐specific growth correlates such as investment, government expenditure, human capital, population growth and output volatility. This relation is robust to different measures of business cycles. Moreover, considering different subsamples, the paper finds that while government volatility significantly affects long‐run growth for developing countries, it has a small effect for OECD countries.