Industry risk transmission channels and the spillover effects of specific determinants in China’s stock market: A spatial econometrics approach

This paper uses a spatial econometrics approach to study the industry risks in China’s stock market. We comprehensively consider the real linkage and information risk transmission channels and analyze the risk spillovers of specific determinants. Our empirical results show the following: 1) The real linkage channel and information channel are both effective transmission channels for driving spillover effects, and the information channel is of the utmost importance. 2) The spillover effects of specific determinants exist and are persistent. The superposition of spillover effects may lead to extreme risk. 3) The transmission channels and spillover effects are asymmetric in different regimes.     

政府研发补贴促进企业创新了吗

政府补贴能否促进企业创新一直存在争议。与以往从资源视角探讨政府补贴与企业创新关系的研究不同，基于信号理论视角，以2012—2016年沪深A股非金融类上市公司为研究样本，通过剔除非研发补贴的噪音并控制样本自选择偏误，实证检验中国转型经济背景下，政府研发补贴对企业创新的微观政策效应，以及企业层面制度因素（产权性质）和区域层面制度因素（制度环境）对该效应的调节作用。研究发现，政府研发补贴释放的积极信号能够帮助企业获取外部创新资源，有效促进企业创新；相比于国有企业，政府研发补贴对非国有企业创新的激励效应更强；制度环境越好，政府研发补贴对企业创新的激励效应越强。研究理论丰富了科技创新政策有效性和信号理论相关研究。同时，研究发现，政府应继续加大对企业创新活动的补贴额度，不断深化所有制改革，为企业创新营造良好的外部制度环境；另外，企业还应充分发挥政府研发补贴信号的杠杆效应，拓宽外部创新资源获取渠道。     

Market reactions to ECB policy innovations: A cross-country analysis

Regulators have been paying increasing attention to governing and steering market fluctuations, with their role in shaping the economic cycle being ever more crucial. The combined effect of the financial and sovereign debt crises, as well as the approach to the zero lower bound, has made actions even more pressing, forcing the European Central Bank to resort to unconventional instruments to revive the economies and counter deflationary pressures. By using a combined event study and panel regression methodology, we investigate whether European Monetary Union equity markets react heterogeneously to standard and non-standard European Central Bank policy innovations. Our results show that conventional policies unevenly affect financial indices in the Eurozone and, hence, are bound to generate asymmetries that reflect on real economies, while unconventional measures, albeit with different intensities, exercise a homogeneous pressure on all markets. Our evidence highlights the beneficial impact of unconventional measures and suggests that they can play a useful role even in non-crisis times.     

Vertical separation of transmission control and market efficiency in the wholesale electricity market

This study examines how vertical separation of transmission control affects the wholesale market efficiency in the electric power industry. We analyze a unique regional electricity wholesale market in the U.S. where initially restructuring only occurred in the transmission sector. Following a commonly-used best dispatch model (Wolfram, 1999; Borenstein et al., 2002), we simulate competitive benchmark prices and compare with the best estimates available for actual prices to measure price-cost markups of the wholesale market. Empirical results demonstrate that the vertical separation of transmission control led to a significant increase in market markups in peak-load hours, documenting evidence of enhanced market power. Although we also find a reduction in the price-cost margin in low-demand hours, we reserve caution for this finding.     

中国货币政策利率传导效率研究:2008-2017

随着利率市场化进程的不断推进以及商业银行利率定价机制的发展,中国货币政策利率的传导效率也不断提高。基于2008年1月-2017年6月的宏观时间序列数据和微观调研数据,本文检验了中国货币政策利率对银行贷款利率的传导效率。总体而言,基准利率是影响金融机构贷款加权平均利率的主要因素。分时间段看,贷款利率浮动限制放开之后,货币市场利率对金融机构贷款利率的传导效率显著提升;基准利率对金融机构贷款利率的影响略有下降,但仍然占主导。对商业银行贷款利率定价的微观机制进行探讨后,本文发现贷款利率定价机制的变化是中国利率传导效率出现变化的主要原因。进一步的分析表明,资金来源和市场利率波动均是影响货币市场利率传导效率的重要因素。最后,本文就如何提高货币政策利率传导效率提出了政策建议。本文研究对完善价格型货币政策体系以及中国货币政策框架转型具有重要的实践意义。     

Bank capital and lending: Evidence of nonlinearity from Indonesia

This paper studies the transmission of bank capital shocks to loan supply in Indonesia. Using bank data for the period 2001:Q1 to 2018:Q4, we estimate dynamic panel data models of bank lending. We find nonlinear effects of capital on loan growth. Specifically, the response of weakly capitalized banks to changes in their capital positions is larger than that of strongly capitalized banks. This non-linearity implies that not only the level of capital but also its distribution across banks in the system affects the transmission of shocks to aggregate lending. Likewise, the effects of bank recapitalization on loan growth depend on banks’ starting capital positions and the size and distribution of capital injections.     

新型农村社会养老保险参与决策中的同群效应

我国于2012年实现了社会保障在制度上的全覆盖。然而,对于自愿参与型社会保障项目,政策目标人群的参保率过低,无法充分发挥社会保障体系的风险分担和福利保障作用。2020年,党的十九届五中全会将健全社会保障体系作为“十四五”时期经济社会发展主要目标之一。分析政策目标人群的参保决策,有针对性地提高群众参保率,对于充分发挥社会保障制度的功能和健全社会保障体系具有重要意义。本文以新型农村社会养老保险(新农保)为例,使用家庭调查数据和工具变量方法,考察同群效应在社会保障项目参与决策中的作用。研究发现:同村居民参与新农保的比例每增加10个百分点,个体参保概率显著增加4.24个百分点;同村居民之间的信息传递以及其内部形成的社会规范是同群效应发挥作用的重要渠道;男性的参保行为具有更强的示范效应。本文的研究结论表明,加强基层政策宣传和提高政策透明度,以及有针对性地提高特定群体的参保率是提高社会保障项目整体参与率的有效手段。     

政府创新投入可以促进市场创新投入吗——基于我国内地63所教育部直属高校科技创新数据的实证研究

高校是我国重要的创新研发主体,高校经费主要来源于政府和市场,这两种异质性研发创新投入关系值得关注。选取2005-2018年我国内地63所教育部直属高校科技创新数据,采用面板VAR模型和个体固定效应模型,从动态和静态两个方面对高校科技创新投入中政府创新投入与市场创新投入的关系进行实证检验。结果发现,在高校科技创新活动中,政府创新投入对市场创新投入存在积极影响,这种促进作用存在两期左右的滞后期,且只在短期内显著;从长期看,政府投入对市场投入的促进作用不显著。     

财税政策、工农业分工与农业生产率——理论分析与经验证据

本文基于动态分工演进,以自给自足的自然经济为起点,将秩序服务和财税政策纳入一个理论框架,结合超边际决策分析和一般均衡分析,考察在此过程中各个经济人的最优决策在市场上相互作用而内生的各种变化,揭示了财税政策作用于工农业分工和农业生产率的内在机制。然后,使用中国改革开放以来的数据对相关结论进行实证检验。模型分析表明,政府财税政策的实施在促进工农业分工水平提高的情况下,会扩大粮食生产的迂回化经济程度,进而推动粮食部门的农地生产率提升。就长期而言,单位面积的财政支农支出对农地生产率的提高有显著正向影响,在其他农业生产要素既定情况下,单位面积的财政支农支出每增加1%,农地生产率增加3.23%;从短期来看,单位面积财政支农支出对农地生产率的作用较弱,但在反向修正机制的作用下,最终会达到有效提高农地生产率的长期稳定均衡。另外,财政支农支出的增加促进了分工水平的提高,而分工水平的提高又推动了农业生产率的提升。     

On the role of Islamic and conventional banks in the monetary policy transmission in Malaysia: Do size and liquidity matter?

This paper empirically investigates the impact of monetary policy on the credit supply of Islamic versus conventional banks of Malaysia using an unbalanced panel dataset over the period 2005-2016. While estimating the effects of three alternative measures of monetary policy on banks' credit supply, we include several bank-specific and macroeconomic variables in the specification as control variables. We provide strong evidence on the existence of the credit channel of monetary policy transmission mechanism in Malaysia. Yet, we show that Islamic banks respond considerably less to changes in monetary policy instruments as compared to their conventional counterparts. We also find that the monetary policy measures affect small-sized banks and less-liquid banks more as compared to large-sized and more-liquid banks. Our findings suggest that for an effective monetary policy, there is a vital need to consider the nature of Islamic banking while devising any monetary policy instruments to manage credit supply in the economy.