供应链金融的融资约束缓解效应研究——基于中国创业板数据的实证分析

针对中小企业融资难的现实,本文从信号传递机制及共生理论视角,提出供应链上合作关系的稳定性以及核心企业信用扩散对供应链金融模式下中小企业融资绩效调节机理的构念模型及相关假设,并运用2011年-2017年我国创业板上市企业的面板数据进行了实证研究。结果显示:企业的现金持有量会随其经营性现金流正向变动,这表明企业面临着一定的融资约束;而在加入供应链金融发展水平变量后,企业的现金持有量变动受经营性现金流的影响减弱,这表明融资难度有所降低。进一步地,本文引入供应链上合作关系的稳定性以及核心企业的信用扩散影响两个调节变量,分别在原有模型中加入交互项进行了总体回归和分组检验,研究发现供应链金融模式对于供应链上合作关系趋于稳定的企业以及受核心企业信用扩散影响的企业具有更显著的融资约束缓解效应。     

日本邮政服务私有化透析

日本邮政私有化改革的基本背景是邮政为政府干预经济提供了必要的资源和渠道,日本邮政不仅是世界上最大的银行,而且也是日本政府进行财政政策支出的资金来源。降低政府支出、发挥私人经济活力是日本政府邮政改革的目的。由于日本邮政自身独特的发展经历和当前的市场环境,日本邮政私有化过程中仍充满着很多不确定性因素。     

基于平台生态系统的科技金融服务平台演化逻辑

中文:科技金融综合服务平台是我国科技金融发展的必然阶段,它符合创新过程和合作过程复杂性的本质。科技金融平台实质上是一个平台生态系统,它具备多边市场的异质性和互惠性、交叉网络外部性、收费结构的非中性和正反馈效应等特征,同时它又具有科技金融服务的非标准性、金融与科技的交叉融合、科技金融的协同创新、科技金融业务数据化等科技金融产业的特征。作为系统中介,数据是科技金融服务平台的基础和核心,也是目前我国绝大多数科技金融服务平台服务效率低下的症结和生态化发展的瓶颈所在。平台应在多边市场中逐步沉淀业务数据,在此基础上运用前沿的金融科技手段,丰富数据化产品和服务,实现平台的生态化发展。     

中国委托贷款弥补了正规信贷不足吗？

本文利用手工搜集整理的委托贷款这一独特数据,从正规信贷周期视角切入实证考察我国影子银行运作问题。结果表明,委托贷款这一影子银行机制呈现出鲜明的逆信贷周期特点,当正规信贷收缩时,企业发放委托贷款的概率和规模都显著增加。进一步研究发现:一方面,从企业层面看,与正规信贷宽松时期相比,正规信贷紧缩时民营企业等体制外企业获得委托贷款的概率及规模都显著增加;另一方面,从地区层面看,与正规信贷宽松时期相比,正规信贷紧缩时委托贷款更多流向正规信贷缺口较大的省份。另外,从风险层面看,委托贷款违约概率显著高于同期银行不良贷款率,而且,与国有企业等体制内企业相比,民营企业等体制外企业获得的委托贷款违约概率相对更大。这些结果表明,委托贷款这一影子银行机制是对正规信贷不足的市场反应,正规信贷紧缩促使委托贷款资金流向融资约束较大地区和企业的同时也推高了影子银行风险。本文提供了委托贷款逆信贷周期特点的新鲜证据,有助于厘清影子银行在金融体系中发挥的作用及其风险含义,从而对委托贷款等影子银行监管相关问题提供借鉴。     

经济政策不确定性与公司商业信用供给

基于中国经济政策不确定性指数,本文使用2003–2015年上市公司季度数据考察经济政策不确定性如何影响公司商业信用供给决策。结果表明,经济政策不确定性的提高会显著减少公司提供的商业信用,外部融资环境和内部经营不确定性是这一影响的重要渠道。进一步分析发现,社会信任水平、地区金融发展程度和公司市场地位可以有效缓解二者之间的负向关系。而且,经济政策不确定性的提高还会导致公司缩短商业信用的供给期限。本文研究结果为宏观经济政策不确定条件下公司商业信用供给决策中成本和收益的权衡提供了新的经验证据,有助于政策制定者理解经济政策不确定性如何影响微观经济实体的财务决策。     

Liquidity risk in derivatives valuation: an improved credit proxy method

The models used to calculate post-crisis valuation adjustments, market risk and capital measures for derivatives are subject to liquidity risk due to severe lack of available information to obtain market implied model parameters. The European Banking Authority has proposed an intersection methodology to calculate a proxy CDS or Bond spread. Due to practical issues of this method, Chourdakis et al. introduce a cross-section approach. In this paper, we extend the cross-section methodology using equity returns, and show that our methodology is significantly more accurate compared to both existing methodologies, and produces more reliable, stable and robust market risk and capital measures, and credit valuation adjustment.     

Large EU banks’ capital and liquidity: Relationship and impact on credit default swap spreads

This paper explores the interrelations between bank capital and liquidity and their impact on the market probability of default. We employ an unbalanced panel of large European banks with listed credit default swap (CDS) contracts during the period 2005–2015, which allow us to consider the impact of the recent financial crisis. Our evidence suggests that bank capital and funding liquidity risk as defined in Basel III have an economically meaningful bidirectional relationship. However, the effect on CDS spread is ambiguous. While capital appears to have a relatively large impact on CDS spread changes, liquidity risk is priced only when it falls below the regulatory threshold.     

The use of credit default swaps by bond mutual funds: Liquidity provision and counterparty risk

Corporate bond mutual funds increased their selling of credit protection in the credit default swaps (CDS) market during the 2007–2008 financial crisis. This trading activity was primarily in multi-name CDS, greater among larger and established funds, and directed toward counterparty dealers in financial distress. Funds that sold credit protection during the crisis experienced greater credit market risk and superior post-crisis performance, consistent with higher expected returns from liquidity provision. Funds using Lehman Brothers as a counterparty experienced abnormal outflows and returns of –2% immediately following Lehman's bankruptcy, suggesting that funds’ opportunistic trading in CDS exposed investors to counterparty risk.     

Duration of equity overvaluation and managers’ choice to use aggressive underlying earnings disclosure and accrual-based earnings management: Australian evidence

This paper examines whether equity overvaluation duration influences managers’ choice of different earnings management mechanisms and how corporate governance and the Australian Securities and Investment Commission’s underlying earnings disclosure guidelines influence managers’ choices. The study samples Australian Securities Exchange 200 firms from 2009 to 2016. Findings show that on average, firms more likely engage in accrual-based earnings management in the early overvaluation stage. In later stages, firms more likely disclose underlying earnings aggressively to sustain overvaluation. Additionally, firms with a high proportion of independent directors on the board prefer to disclose underlying earnings aggressively to sustain the equity overvaluation; firms with a low proportion of independent directors prefer both accrual-based earnings management and aggressive underlying earnings disclosure to sustain the overvaluation. Moreover, firms that conform to the Commission’s underlying earnings disclosure guidelines use neither accrual-based earnings management nor aggressive underlying earnings disclosure to sustain overvaluation, but non-conforming firms use both mechanisms.     

论金融战争学学科体系的构建

回顾世界金融危机历史，可知现代金融领域的竞争具有规模大、暴力性、预谋性与目的性等战争特征。在中国资本市场逐步对外开放与世界经济全球化的环境条件下，将金融学与战争学相结合创立金融战争学学科体系，对完善金融理论、保卫国家金融安全有着重大意义。金融战争学学科应当包括金融战争观念、面貌、准备、实施的基本框架。