论我国按揭贷款市场风控体系的协调性

按揭贷款发展至今已经基本形成了风险控制体系.按揭贷款的风险控制体系包括外部监管与内部风控,具体又可分为三个层面：基础业务制度、表外业务制度与系统性风控制度,两者之间的联系在于信息不对称性,而最终的目标是确定政府与企业在各自市场中的职能.     

基于DEA模型的安徽省区域创新效率研究

以安徽省16个地级市的数据为依据,对不同城市的创新效率进行了实证研究。首先测度了2012年安徽省16个地级市区域创新的综合效率、技术效率和规模效率,并把安徽省分为皖北、皖中和皖南3个区域进行创新效率对比研究,最后根据DEA模型的优化目标值来探讨提高各地级市的区域创新效率的途径。     

政治关联与公司治理有效性——基于上市公司证券违规的数据

管理者政治关联在强化企业竞争优势的同时,也会弱化公司治理机制的有效性.本文基于公司违规行为发生及管理者被迫离职两个方面,利用Bivariate Probit模型和Logit模型研究管理者政治关联对公司治理有效性的影响.研究发现,拥有政治关联的管理者所在企业更加倾向发生违规行为,尤其是民营企业;管理者的政治关联能够降低其违规行为被稽查处理的可能性,尤其是国有企业.政治关联有助于管理者建立职位壕沟,降低管理者被迫离职的概率;而企业违规行为被稽查后,管理者被迫离职的可能性将显著提高.文章的研究结果证明,管理者政治关联会弱化企业发生违规行为的事前监管,同时也会降低企业违规行为的稽查在事后监管中的公司治理效果.     

Internal Migration of Blacks in South Africa: An Application of the Roy Model

This study investigates the internal migration of black males in South Africa over the period after the formal end of Apartheid using the 1996 census data. The two issues of our primary interests are the following: (i) whether migration patterns of black individuals are consistent with the income‐maximising hypothesis as related to the destination choice; and (ii) whether the redistribution of human capital is detected in internal migration. The results from conditional logit regressions on choices among individuals in 318 districts show that individuals prefer districts with higher expected wages, conditional on other regional characteristics. In addition, there exist differing preferences on the share of population with post‐secondary education by individuals with commensurate educational attainments. Black individuals with post‐secondary education tend to migrate into areas with a higher share of population with post‐secondary education and vice versa, which confirms the divergence of human capital levels across districts.     

Trading volume and stock returns: A meta-analysis

I examine 468 estimates on the relationship between trading volume and stock returns reported in 44 studies. I study publication bias together with Bayesian and frequentist model averaging to explain the heterogeneity in the estimates. The results yield three key conclusions. First, publication bias distorts the findings of the primary studies. Second, the predictability of stock returns varies with different markets and stock types. Third, different data characteristics, structural variations and methodologies used drive the heterogeneity in the results of the primary articles. In particular, one should be cautious when using monthly data or VAR models.     

农业创业情境下商业模式设计的影响机制研究——基于模糊集定性比较分析

农业创业者如何通过整合与管理资源与能力，设计新颖型商业模式创造更多价值，是实现乡村振兴战略的关键措施。文章基于资源编排、商业模式理论，以央视《致富经》栏目40个案例为样本，运用模糊集定性比较分析（fsQCA）方法，剖析资源编排、机会能力、创业学习所构成的前因变量组态对农业创业活动中商业模式设计的影响机制。研究发现，资源编排在农业创业活动中发挥不可或缺的关键作用；相较于资源结构化和资源捆绑，资源利用在新颖型商业模式设计中的作用更为突出；机会能力须与资源编排共同作用，方可实现新颖型商业模式设计；在资源编排作用缺乏时，创业学习的发挥有助于新颖型商业模式设计的形成。研究成果诠释了农业创业情境下资源编排、机会能力与创业学习对商业模式设计的影响机制，为开展农业创业活动提供指导。     

Market structure and rating strategies in credit rating markets – A dynamic model with matching of heterogeneous bond issuers and rating agencies

This paper investigates the impact of rating agencies in a market with asymmetric information. In particular, the role of credit rating agencies as an intermediary between investors and bond issuers is discussed. We model this setting in a dynamic framework in which both rating agencies and bond issuers are of heterogeneous quality. Rating agencies can apply costly research technology to reveal the fundamental nature of bond issuers and engage in rating smoothing. We show that rating smoothing can compensate for low research quality, even though it is accompanied by a quality deterioration in the rating market and market clustering. Moreover, low-quality bond issuers have a general tendency to match with low-quality rating agencies. If investors place a strong emphasis on the reputation of rating agencies, rating markets also tend to be strongly clustered.     

结构性违约、信用分层与评级机构的策略性反应——来自中国信用债市场的证据

2014年以来，以主要集中于民企的"结构性违约"宣告了中国信用债市场刚性兑付的"结构性打破"，债券市场进入了新的发展阶段。利用2013-2017年债券数据，本文深入分析了结构性违约对评级机构行为和效率的影响，主要有如下发现：首先，信用评级的市场公信力会因政府隐性担保导致的"刚性兑付"而削弱；其次，结构性违约爆发之后，信用评级的整体效率有所提升，但在不同发行主体呈现分化，对于非城投类企业，信用评级对发行利差的影响显著增大，意味着评级公信力的显著提升，而对于城投类企业，评级效率并未明显改善；进一步研究表明，出现这种情况的原因在于评级机构在违约后采取了差异化的评级策略，对于违约风险较大的非城投类债券，评级机构倾向采取"收紧评级"的策略；对于违约风险较低的城投债，评级机构倾向于采取"放宽评级"的策略。这种策略性行为是导致市场"信用分层"的重要原因，并有可能推升民营企业的融资成本。     

An information-theoretic approach for forecasting interval-valued SP500 daily returns

We develop an iterative and efficient information-theoretic estimator for forecasting interval-valued data, and use our estimator to forecast the SP500 returns up to five days ahead using moving windows. Our forecasts are based on 13 years of data. We show that our estimator is superior to its competitors under all of the common criteria that are used to evaluate forecasts of interval data. Our approach differs from other methods that are used to forecast interval data in two major ways. First, rather than applying the more traditional methods that use only certain moments of the intervals in the estimation process, our estimator uses the complete sample information. Second, our method simultaneously selects the model (or models) and infers the model’s parameters. It is an iterative approach that imposes minimal structure and statistical assumptions.     

FX Intervention in the New Keynesian Model

We develop an open-economy New Keynesian Model with foreign exchange (FX) intervention in the presence of a financial accelerator and shocks to risk appetite in international capital markets. We obtain closed-form solutions for optimal monetary and FX intervention policies assuming the central bank cannot commit to future policies, and we compare the solution to that under policy commitment. We show how FX intervention can help reduce the volatility of the exchange rate, of inflation, and of the output gap, thus mitigating welfare losses associated with shocks in the international capital markets. We also show that, when the financial accelerator is strong, there is a risk of indeterminacy (self-fulfilling currency and inflation movements) although FX intervention can reduce this risk and thus reinforce the credibility of the inflation targeting regime. Model simulations match well the impact of a VIX shock obtained by local projections on a panel of inflation targeting emerging markets.