中国银行业系统性风险监测研究——基于SCCA技术的实现与优化

金融危机以来,随着国际金融监管组织、各国监管当局和学术界加强系统性风险监测技术的开发和应用,新方法、新技术不断涌现,SCCA是其中具有代表性的方法之一。本文结合我国银行业实际情况,设计了针对SCCA技术关键环节的优化算法,并采用非参数统计方法估计时变相依函数,提出了新的系统性风险监测指标J-VaR。在此基础上,本文动态监测了后危机时代我国银行业系统性风险的演变过程。研究表明,优化后的SCCA技术具有较好的适用性,时变风险相依结构对系统性风险理论和实证研究至关重要。     

新加坡中央公积金制度变迁因素分析

新加坡中央公积金制度属于强制积累型的社会保障制度。中央公积金制度的变迁是新加坡经济、政治、文化和社会因素综合作用的结果。新加坡中央公积金制度变迁的经验表明社会保障制度安排必须要与本国的国情相适应,要重视家庭在社会保障中的作用,要兼顾一些其他目标。     

制度逻辑与新创企业技术创新模式:往期绩效和介入时间的调节作用

基于5省236家新创企业的调研数据,从利益相关者的制度逻辑入手,分析了风险投资者和政府机构对新创企业探索式创新和利用式创新的影响,以及企业往期绩效和利益相关者介入新创企业发展时间的调节作用。研究发现:(1)获得风险投资机构资金的新创企业倾向于采取利用式创新,而获得政府机构资金扶持的新创企业倾向于探索式创新;(2)新创企业往期绩效越好,其在获得风险投资机构资金后采取利用式创新的可能性越小,而在获得政府机构资金扶持后采取探索式创新的可能性越大;(3)风险投资机构介入新创企业发展的时间越长,新创企业采取利用式创新的可能性越大,而政府机构介入新创企业发展的时间越长,新创企业采取探索式创新的可能性越大。     

Partial unemployment insurance benefits and the transition rate to regular work

In Finland, unemployed workers who are looking for a full-time job but take up a part-time or very short full-time job may qualify for partial unemployment benefits. In exchange for partial benefits, these applicants must continue their search of regular full-time work. This study analyzes the implications of working on partial benefits for subsequent transitions to regular employment. The timing-of-events approach is applied to distinguish between causal and selectivity effects associated with the receipt of partial benefits. The results suggest that partial unemployment associated with short full-time jobs facilitates transitions to regular employment. Also part-time working on partial benefits may help men (but not women) in finding a regular job afterwards.     

中国普惠金融发展对贸易边际及结构的影响

研究目标：考察中国普惠金融发展对贸易边际及结构的影响。研究方法：首先从理论上探讨了普惠金融发展对于贸易的影响,提出普惠制金融发展不仅会从集约边际和扩展边际两个方面影响贸易的规模,而且会因为行业间外部融资依赖度的差异而影响贸易的结构。然后,运用我国10个省份15个制造行业2004~2013年的数据,检验了普惠金融发展对于地区出口的影响。研究发现：普惠金融的发展对于出口总体上具有促进作用,不过,普惠金融对于出口的影响在行业上具有显著的异质性,总体来说,在外部融资依赖度较高的行业,普惠金融发展对于出口呈现出较多正向影响,而在外部融资依赖度较低的行业,普惠金融发展对于出口越多呈现出较多负向影响。研究创新：理论上研究了普惠金融发展与国际贸易边际的关系,并运用中国的数据进行了验证。研究价值：对于促进中国普惠金融体系的构建和贸易转型升级具有一定的政策启示。     

应急管理中的敏捷创新：基于健康码的案例研究

面对紧急情况下的各种约束,当事方很容易陷入路径依赖,从而不能实现真正的创新。但在2019年底的新冠疫情应对中,中国健康码异军突起,实现了敏捷创新。选取最具代表性的两类健康码,基于一手访谈和公开报道资料,还原健康码从孕育到成熟的全过程,发现其模式与按部就班的传统创新几乎完全相反。通过与另外3组共6类健康码对照,归纳出打破路径依赖、实现敏捷创新所需的3个条件：制度弹性、应变能力和领导能力。结论对改进科研管理以及理解创新本质具有一定启发。     

上市公司独立董事的声誉机制研究

独立董事的独立性依赖于其声誉,而其声誉的高低,则依赖于其个人财产的多寡以及独立董事津贴在其总收入中所占的比例.本文建立了一个独立董事声誉机制模型,依据独立董事对薪酬的依赖程度的观察,构建了选聘独立董事的声誉机制;并且认为由委员会提名,股东大会选举产生的独立董事的独立性较直接由董事会提名时要强.     

基于结构突变和截面相关的面板协整检验

本文基于Westerlund和Edgerton（2008）,考虑了无时间趋势和有时间趋势的面板协整检验。在检验协整时,本文不仅允许误差项存在异方差、序列相关以及截面相关,而且还允许各截面在截距和协整斜率上存在未知时点的多个突变点。蒙特卡洛模拟结果表明,（1）该检验的具有较小的水平扭曲和较高的检验势,（2）将模型拓展到不含有趋势项的情形是必要的。在此基础上,使用基于动态最小二乘估计量的新统计量对国际CO2排放和经济增长关系进行检验,发现在考虑了突变和截面相关的情形下,两者间的长期均衡关系确实存在。     

Adoption of conservation tillage in Australian cropping regions: An application of duration analysis

The diffusion of agricultural innovations is rarely rapid. As a result, adoption decisions over time are very likely to be influenced by changes in generic factors such as the price of complementary inputs and environmental conditions. Despite this, the vast majority of studies aiming to explain innovation adoption are limited to cross-sectional data and analysis techniques that cannot accommodate time-dependent variables. This study departs from these attempts by using a duration analysis technique to investigate the significance of time-dependent economic and environmental variables, along with cross-sectional variables such as technology-specific perceptions, on the adoption of soil-conserving cropping practices by grain growers in southern Australia over the period 1983–2003. Of particular interest is the possible trade-off faced by farmers where adoption of no-tillage cropping technology can lead to greater herbicide reliance and subsequently unsustainable weed management due to high risks of herbicide resistance. Results show that factors affecting the cost-effectiveness of herbicides are important in the adoption of the erosion-reducing cropping systems. Several factors relating to the availability and use of technical information are also shown to be influential. The duration analysis approach allowed changes in time-dependent variables, including the fall in the price of the herbicide glyphosate, to be identified as determinants of the timing of no-till adoption.     

Spillovers and directional predictability between international energy commodities and their implications for optimal portfolio and hedging

This study sheds a new light on the dependence and the directional predictability between eight major energy price returns, using the Cross-Quantilogram (CQ) and the Partial CQ (PCQ) analysis. The energy prices cover the time series for the U.S. natural gas and seven internationally traded crude oil types. The results reveal a significant directional predictability running from most of energy commodities returns to the OPEC basket and the very light Tapis crude oil returns. However, the quantile predictability in both directions is enabled only for the relations between the light Brent and the light WTI, and between the OPEC basket and the Malaysian Tapis. The time-varying predictability analysis reveals that there is a significant upper quantile dependence between these international energy commodities. Finally, we find that the TAPIS can be a good hedging vehicle for other energy markets. These findings may be instructive for both policymakers (in terms of financial stability) and market participants (in terms of performance).