墨西哥银行业重组经验对我国银行业改革的启示

1991-2003年,墨西哥银行业先后经历了依靠内资的私有化改革阶段和依靠外资的自由化改革阶段,改革成效迥异。本文对其两个阶段改革过程和改革成效进行了较为深入的分析,指出从墨西哥改革经验来看,引入境外战略投资者比单纯依赖国内投资者更有利于银行业的发展,但同时也必须防范引进外资可能带来的负面影响。最后从引资目标、会计准则、产权制度、存款保险制度、法律环境等方面阐述了墨西哥银行业重组对我国银行业改革的启示。     

外汇储备、外汇交易量与CHIBOR利率的VAR模型(2000～2004)——兼论“三元悖论”下冲销干预与货币政策的独立性

本文以“三元悖论”为切入点,从总量与结构两方面考察当前结售汇制度对商业银行外汇头寸及外汇交易量的影响,进而考察在货币政策时滞的影响下央行冲销干预的效果以及货币政策的独立性。结论认为:我国外汇储备成因中政策性制度安排(结售汇)作用突出,现行结售汇业务导致外汇交易量受到外汇储备的冲击,冲销干预的有效性十分有限且不确定性很强。在CHIBOR利率的波动中,外汇储备和外汇交易量的作用不可忽视,同时外汇交易量的波动中,外汇储备与CHIBOR利率的冲击作用贡献明显,货币政策独立性受到侵蚀。     

The Effects of Attributes on the Repeat Sales Pattern of Residential Property in Hong Kong

There has been copious research work on the development of house price models and the construction of house price indices. However, results in some studies revealed that the accuracy of such indices could be subject to selection bias when using only information from a sample of sold properties to estimate value movements for the entire housing stock. In particular, estimated house price appreciation is usually systematically higher among properties that change hands more frequently. It therefore suggests that the determination of important factors affecting the transaction frequency or intensity of a housing unit should be a more fundamental research question. This paper examines the possible factors that determine the popularity of residential unit by means of a repeated sales pattern. The Poisson regression model and event history analysis techniques are employed to assess the effect of attributes on transaction frequency and intensity. The event history analyses technique can take account of transaction-specific as well as time-dependent covariates, and therefore is recommended for analyzing repeated sales data in a real estate market. All transaction records during the period 1993–2000 from the Land Registry of one of the most popular residential estates in Hong Kong were used to illustrate the method. Unlike a response to favorable transaction price, good quality units do not necessarily inherently display a high transaction frequency. Rather, units of average quality are more likely to be transactionally active.     

Ownership structure and the pricing of discretionary accruals in Japan

This paper examines the valuation effect of discretionary accruals for Japanese firms, taking into account the book value of equity. Consistent with US evidence, the Japanese market prices discretionary accruals, indicating that discretionary accruals enhance the value relevance of reported earnings. This value relevance is lower for cross-held firms, consistent with the view that cross-business shareholding aggravates tunneling or managerial opportunism through discretionary accounting choices. On the other hand, foreign shareholding and bond financing provide effective monitoring on managerial discretion of profit firms to enhance the valuation of discretionary accruals.     

Informed and uninformed trading on the Australian dollar

Using a high-frequency data set of the spot Australian/US dollar, this study examines the distribution of quotes, spreads, and returns across the trading day. By identifying the direction of trade and the subsequent quote returns from contributing banks, the segmented nature of the market into market-makers and informed and uninformed traders is investigated. The results suggest that the economic gain possible from private information is maximised over 2 to 5 quotes and is rapidly eroded by 20 quotes (about 2 min later during busy trading times) as other new information enters the market. Also, the analysis is revealing of discontinuities in trading and the volatility of pricing across the trading day.     

Working Less and Bargain Hunting More: Macroimplications of Sales during Japan's Lost Decades

Standard New Keynesian models have often neglected temporary sales. In this study, we ask whether this treatment is appropriate. We use Japanese scanner data covering the last two decades and find a negative correlation between the frequency of sales and hours worked. We then construct a model that takes households' decisions regarding their allocation of time for work, leisure, and bargain hunting into account. We show that the decline in hours worked explains the rise in the frequency of sales. The real effect of monetary policy shocks weakens by around 40% due to temporary sales, but monetary policy still matters.     

Shadow costs of incomplete information and short sales in the valuation of the firm and its assets

This paper presents a simple framework for the valuation of compound options within shadow costs of incomplete information and short sales. The shadow cost includes two components. The first component is the product of pure information cost due to imperfect knowledge and heterogeneous expectations. The second component represents the additional cost caused by the short-selling constraint. Information costs are linked to Merton's (1987. Journal of Finance 42, 510) model of capital market equilibrium with incomplete information, CAPMI. This model is extended by Wu et al. (1996. Review of Quantitative Finance and Accounting, 7, 136) who propose an incomplete-information capital market equilibrium with heterogeneous expectations and short sale restrictions, GCAPM. This model is used in our paper to provide for the first time in the literature analytic solutions for derivatives in the presence of both shadow costs of incomplete information and short sales.When deriving the compound call option formula, we consider a call option on a stock, which is itself an option on the assets of the firm. Our methodology incorporates shadow costs of incomplete information and short sales on the firm's assets as well as the effects of leverage in the capital structure. The formula can be useful in the valuation of several corporate liabilities in the presence of information uncertainty and short sales constraints about the firm and its cash flows. Our analysis can be used for the valuation of several real options.     

Barriers to the investment in the Concentrated Solar Power sector in Morocco: A foresight approach using the Cross Impact Analysis for a large number of events

The Scenario Analysis methods have often been used by policy makers as an instrument to manage uncertainty and to support the shaping of long-term economy policies. In this research, we apply Scenario Analysis in order to identify the barriers affecting the decision to invest in the Concentrated Solar Power (CSP) sector in Morocco. Our results aim at facilitating the process of defining different paths in strategic political and policy actions. Using data from a survey on a panel of experts, the Cross Impact Analysis (CIA) and the Cross Impact Matrix System (SMIC) techniques are applied. The advantage of these techniques is that they allow including in the analysis the interlinkages between the events that will define the future scenarios. However, their limitation is that the number of events analyzed cannot be too high since the information collected from the experts increases exponentially according to the number of events introduced. We thus expand our analysis with a new methodological approach, combining the use of prospective and statistics techniques. This approach allows addressing the mentioned limitation and applying these techniques, initially restricted to 6 events in its common application, to a large number of events. The results show that uncertainty and informality would be key factors in promoting the arrival of companies in this sector. Additionally, regarding companies that already have a presence in Morocco’s renewable energy sector, an increase in activity would be achieved through improvements in the easing of financial and legal barriers.     

The evolution of inter-organisational social capital with foreign customers: Its direct and interactive effects on SMEs’ foreign performance

Taking a longitudinal approach, we analyze how the evolution of different dimensions of social capital between an SME (Small and Medium enterprise) and its key foreign customers directly influences the firm’s foreign performance growth. Moreover, we utilize a contingency approach by introducing two dyad-specific characteristics into the analysis: psychic and geographic interorganizational distances. Our findings contribute to the international business literature on social capital and suggest that while an investment in social capital with distant foreign customers always reinforces SMEs’ foreign performance development, relational and cognitive social capital have the same positive effects only for low levels of interorganizational psychic distance.     

基于电子商务平台的农产品营销模式研究——以重庆为例

随着互联网普及程度越来越高,农产品电子商务作为一种新型营销方式在现代营销中具有重要的作用。文章首先对电子商务相关概念和基础理论进行概述,明确了电子商务的重要性。其次在对重庆市农产品电子商务营销现状及问题分析的基础上,对目前重庆市现有的3种电子商务营销模式,即为电子市场交易模式、网络中介模式、网络虚拟社区模式进行深入分析。最后,从建立健全农产品电子商务相关法律和制度、大力培养农产品电子商务专业人才、开展多种形式的农产品电子营销模式,实施农牧产品与农商旅联动营销战略等几方面提出促进重庆市电子商务发展的策略。