Mining semantic features in current reports for financial distress prediction: Empirical evidence from unlisted public firms in China

It is difficult to predict the financial distress of unlisted public firms due to their longer disclosure cycle of accounting information and more inadequate continuity of market trading information compared to listed firms. In this paper, we propose a framework to predict the financial distress of unlisted public firms using current reports. Specifically, to better represent the meaning of current report texts, we propose a semantic feature extraction method based on a word embedding technology. Empirical results show that current reports contain more effective information for predicting the financial distress of unlisted public firms compared with periodic reports. In addition, semantic features extracted using our proposed method significantly improve the predictive performance, and their enhancing effect is superior to that of topic features and sentiment features. Our study also provides implications for stakeholders such as investors and creditors.     

Delegation and the regulation of U.S. financial markets

We analyze the institutional determinants of U.S. financial market regulation with a general model of the policy-making process in which legislators delegate authority to regulate financial risk at both the firm and systemic levels. The model explains changes in U.S. financial regulation leading up to the financial crisis. We test the predictions of the general model with a novel, comprehensive data set of financial regulatory laws enacted specifically between 1950 and 2009. The theoretical and empirical analysis finds that economic and political factors impact Congress’ decision to delegate regulatory authority to executive agencies, which in turn impacts the stringency of financial market regulation, and our estimation results indicate that political factors may have been stronger and resulted in inefficiencies.     

金融周期、行业技术周期与经济结构优化

本文首先采用马尔科夫区制转移模型测算金融周期和12类行业的技术投入周期,进而采用交叉谱分析法和OLS法分析金融周期对行业技术周期的影响,结果发现:不同金融变量的周期具有异步性,各行业的技术投入周期具有明显差别;不同金融变量周期与行业技术投入周期之间存在不同的数量关联性,对不同的行业技术投入具有不同的影响作用;在繁荣阶段,金融市场和银行对各行业的技术投入都具有正向推动作用,但金融市场对高密度创新行业技术投入的推动作用更为显著,银行对低密度稳定行业技术投入的推动作用更为显著;在紧缩阶段,金融市场对高密度创新行业技术投入的紧缩效应更为剧烈,银行却对低密度稳定行业的技术投资下行起到缓解作用。根据这些事实和规律,可以引导利用各金融变量对具有发展前景的行业强化技术投资助推作用,提升经济结构优化效率。     

Improving forecasting performance using covariate-dependent copula models

Copulas provide an attractive approach to the construction of multivariate distributions with flexible marginal distributions and different forms of dependences. Of particular importance in many areas is the possibility of forecasting the tail-dependences explicitly. Most of the available approaches are only able to estimate tail-dependences and correlations via nuisance parameters, and cannot be used for either interpretation or forecasting. We propose a general Bayesian approach for modeling and forecasting tail-dependences and correlations as explicit functions of covariates, with the aim of improving the copula forecasting performance. The proposed covariate-dependent copula model also allows for Bayesian variable selection from among the covariates of the marginal models, as well as the copula density. The copulas that we study include the Joe-Clayton copula, the Clayton copula, the Gumbel copula and the Student’s $t$-copula. Posterior inference is carried out using an efficient MCMC simulation method. Our approach is applied to both simulated data and the S&P 100 and S&P 600 stock indices. The forecasting performance of the proposed approach is compared with those of other modeling strategies based on log predictive scores. A value-at-risk evaluation is also performed for the model comparisons.     

基于产业背景的金融控股集团协同机制研究

产业金控集团是当前我国产业资本借力资本市场发展实体经济的重要方式，但在 实际运行中存在协同机制不健全、协同效应发挥不足、产融结合的深度和广度不足等问题。本 文对国内外产业金融理论进行了文献综述，深入分析了产业金控集团产生的动因，指出了目前 产业金控集团在发挥协同效应中存在的不足。结合产业金控集团的优势和特点，从构建横向协 同机制和纵向协同机制的角度，探讨了完善产业金控集团协同机制的举措。     

Central bank disclosure as a macroprudential tool for financial stability

The Basel Capital Accord (pillar 3) states that disclosure of information (transparency) is essential to financial stability. This study analyzes, through inflation reports, the disclosure of information from the Central Bank of Brazil concerning the credit market. We consider credit risk and capital buffers as measures of financial stability in this analysis. Furthermore, in order to measure the perception of the monetary authority on the credit market, we built two indices based on the central bank’s communication on credit development. We performed a panel data analysis based on a sample of 125 banks for the period from June 1999 to September 2014 (7000 observations). The findings suggest that central bank communication regarding expectations concerning the credit market contributes to financial stability. Therefore, this kind of communication of central banks (about credit development) may constitute an important macroprudential tool to improve financial stability.     

Financial development,financial liberalization and social capital

The relationship between financial liberalization policies and financial development is controversial. The impact of these policies differs greatly across countries. In the literature, the quality of formal institutions has been identified as an important source of this heterogeneity, as countries with a weak institutional environment generally fail to benefit from financial liberalization. Using panel data covering 82 countries for the period 1973–2008, we find evidence that social capital may substitute for formal institutions as a prerequisite for effective financial liberalization policies. In particular, we find that during the post Washington-consensus period countries with a high prevailing level of social capital can ensure that financial liberalization positively influences financial development, despite the poor quality of their formal institutions.     

科技创新与金融创新耦合系统脆弱性及政府干预

从理论上论述了政府干预科技创新与金融创新耦合系统脆弱性的必要性、途径及作用机制。基于以耦合系统内部结构为表征的实体子系统脆弱性和以公共创新环境、耦合系统综合效益为测评工具的虚像子系统脆弱性3个维度构建耦合系统脆弱性指数，分别采用静态面板固定效应回归及动态面板两阶段系统GMM回归，实证检验了我国政府干预对耦合系统脆弱性的实质影响。研究表明：在各类干预举措中，政府采购政策与知识产权保护政策效应明显，特别是知识产权保护政策效应潜力巨大；财政政策领域明显存在过度干预现象，其它政策效应或不显著或有违初衷，亟待调整与完善。     

DSGE forecasts of the lost recovery

The years following the Great Recession were challenging for forecasters. Unlike other deep downturns, this recession was not followed by a swift recovery, but instead generated a sizable and persistent output gap that was not accompanied by deflation as a traditional Phillips curve relationship would have predicted. Moreover, the zero lower bound and unconventional monetary policy generated an unprecedented policy environment. We document the actual real-time forecasting performance of the New York Fed dynamic stochastic general equilibrium (DSGE) model during this period and explain the results using the pseudo real-time forecasting performance results from a battery of DSGE models. We find the New York Fed DSGE model’s forecasting accuracy to be comparable to that of private forecasters, and notably better for output growth than the median forecasts from the FOMC’s Summary of Economic Projections. The model’s financial frictions were key in obtaining these results, as they implied a slow recovery following the financial crisis.     

Reverse Payments and Risk of Bankruptcy Under Private Information

Abstract

In the pharmaceutical industry, a reverse payment (pay-for-delay) is a payment from an originator to a generic producer to delay her entry. In some recent cases, the US and EU antitrust authorities have banned these agreements per se, while in others they have used a rule of reason. This paper analyzes their dynamic effects and shows that a ban per se may reduce consumer surplus when the generic producer may go bankrupt and her financial situation is private information. Reverse payments are more beneficial when competition among few players is soft, the economy is in a downturn, and the period of drug usage after patent expiry is long. Results suggest that a rule of reason is more suited than a ban per se.