影子银行影响货币市场流动性的机制研究

本文分析了影子银行影响货币市场流动性的理论途径。近年来,影子银行在满足多样化社会融资需求方面发挥了独特作用。但过度地和不规范地使用这一体系却可能助长金融资源的配给现象,同时加剧商业银行资金的期限错配。这两个维度上的资金错配都可能放大商业银行体系的脆弱性。当市场信心受到冲击时,商业银行将采取流动性囤积行为,进而导致流动性资产供求失衡,市场出现较大的利率波动。本文使用VAR模型对2006年1月到2013年6月的数据进行的实证检验支持了以上分析。     

The Chrysler effect: The impact of government intervention on borrowing costs

This paper studies intercreditor conflict arising from political interference in the bankruptcy process. The U.S. government’s intervention in the 2009 reorganizations of Chrysler and GM purportedly elevated claims of the auto union over those of the automakers’ senior creditors in violation of bankruptcy priority rules. Critics predicted that businesses would experience an increase in their borrowing costs because of the risk that politically-powerful junior claimants might now leap-frog other creditors. We examine the financial market where this effect would be most detectible, the market for bonds of highly unionized companies. We find no evidence that bondholders of unionized firms reacted negatively to the government intervention and reject the claim that investors viewed the reorganizations as establishing a precedent for priority jumping by organized labor.     

我国货币市场基金发展问题探讨

货币市场基金是一种低风险、高流动性的基金,近年来在我国发展迅速。本文论述了我国货币市场基金的发展状况,以及制约我国货币市场基金发展的基本因素,并在总结国际经验的基础上提出了选择合适的发展路径、发展新的市场工具、鼓励更多的金融主体参与、改革内部运行机制、提高市场运作效率、创造良好的市场和法制环境等发展我国货币市场基金的对策建议。     

我国货币市场基金的发展与监管

我国要发展货币市场基金，有必要本着“先立法后实施”的原则，先制定货币市场基金的监管规则，以此来推动货币市场基金的发展。     

The impact of term limits on municipal borrowing costs

Gubernatorial term limits constrain the number of terms that a governor can serve in office. In this regard, previous models (with imperfect information) indicate that governors tend to responsibly spend during the first term to build political capital, while the last term is associated with higher spending. In estimation with state fixed effects, we find that municipal bonds issued during a governor's last term are associated with higher yields. Such yields are related to spending in construction, highways, and pensions, with the effect mitigated when the governor runs for future political office. We also document that house term limits that constrain the terms of legislators are associated with higher bond yields.     

银行和基金公司当前的竞争热点:货币市场基金

货币市场基金是20世纪70年代金融工具创新的重要成果之一,基金管理公司和商业银行发起设立的货币市场基金各有优劣。面对现实环境和巨大的货币基金需求,在发展我国货币市场基金市场中,银行和基金公司“一个都不能少”,都是市场的主角。     

Optimal Number of Stock Holdings in Mutual Fund Portfolios Based on Market Performance

Among the decisions that most mutual fund portfolio managers make is the number of stocks to hold. We posit that there is an optimal number of stocks for each mutual fund, reflecting the trade‐off between diversification benefits versus transactions and monitoring costs. We find a significant quadratic relation between number of stock holdings and risk‐adjusted returns for U.S. equity mutual fund portfolios during 1992–2000. Moreover, we find that changes in the number of stocks held over time are more highly correlated with mutual fund flows than with funds' investment returns.     

公司型基金:中国基金业发展的战略选择

公司型基金现已成为世界基金组织模式的主流形式，而我国到目前为止全是单一的契约型基金。相对于契约型基金的固有缺陷而言，公司型基金有契约型基金无可比拟的制度优势。基于此，公司型基金应该成为我国未来基金业发展的主要政策取向。为此，必须在法律上明确界定公司型基金的法律性质以及处理好公司型基金与契约型基金的税负均衡问题。     

开放式基金流动性风险对金融稳定的影响

我国股票市场发展的阶段性和不成熟性,使得应对开放式基金流动性风险的措施和机制缺失,从而扩大了风险可能带来的冲击,影响金融稳定和社会稳定.     

The Size and Structure of the World Mutual Fund Industry

This paper analyses the mutual fund industry for 20 countries using a new database of more than 50,000 mutual funds. The results suggest that more developed industries provide more benefits to investors as they diversify more internationally, charge lower annual charges and present more product sophistication. The results also have important policy implications by emphasising the role of competition and contestability in industry development. Fewer barriers to entry are positively associated with a larger industry, and concomitantly with more efficiency in terms of returns and fees.     

透明度对银行间债券市场流动性变化趋势的影响

为检验透明度制度变化对我国银行间债券市场流动性变化趋势是否有影响,本文将突变理论引入债券市场研究,并对我国银行间债券市场的综合流动性、国债流动性、政策性金融债券和短期融资券流动性进行突变检验。结果表明,我国银行间债券市场流动性数据的生成过程没有出现结构突变,整体上观察,我国银行间债券市场流动性呈平稳上升趋势。我们又使用非参数检验方法检验了透明度变化对流动性的影响,结果表明,透明度对流动性的影响因债券而各异,对整个银行间债券市场的流动性也因各种债券受到透明度的影响强度不同而不同。     

Liquidity and Volatility of Stocks Moved from the Main Market to the Alternative Investment Market (AIM)

Asia-Pacific Financial Markets - Companies moving from the Main market of London Stock Exchange to the AIM impair their information environment when entering the AIM; the information environment is...     

开放式基金冲击波

2001年9月11日注定是一个不平凡的日子!这一天,号称固若金汤的美国遭遇了恐怖分子的重创,世贸中心的两座摩天大厦顷刻间便被夷为平地,数千经济精英灰飞烟灭……然而,对于中国来说,更让我们难以忘怀的,是这个日子成了中国金融市场上的一座重要的里程碑!在这一天,中国首只开放式基金--华安创新基金正式上市销售,从而给中国证券市场带来了强有力的冲击波……     

基础货币投放方式——刍议央行如何抚平流动性

近期,大类资产都进入了与基本面重新匹配的“躁动期”。本文梳理了我国基础货币投放方式变化的三个主要阶段的特点,指出今年基础货币缺口不小,MLF可能仍是投放主力,但成本、抵押品、投放节奏等问题越来越明显,适时降准包括定向降准投放超储仍有必要,但需要契机。就债市投资策略而言,当前债市点位仍处于平衡水平,窄幅震荡的格局可能还很难打破。     

商业银行资盒管理体制变化对流动性的影晌

随着内部资金转移定价的逐步推广,国内商业银行的资金管理模式正经历着从差额资金管理体制向全额资金管理体制的变革.全额资金管理体制对商业银行的业务结构和流动性产生了影响,同时也对中央银行评价和管理流动性带来了挑战.     

Effects of Market Segmentation and Bank Concentration on Mutual Fund Expenses and Returns: Evidence from Finland

A tremendous amount of research examines US mutual funds, but fund markets also thrive in other countries. However, research about these fast growing markets is lacking. This study addresses Finnish funds. Fast growth of the Finnish fund industry, strong bank dominance in the industry and recent EU membership make it an interesting market to examine. The Finnish fund market is also of particular interest since it had the fastest growth among the EU countries during 1996–2000. We find evidence that bank‐managed and older funds charge higher expenses but investors are not compensated for paying higher expenses with higher risk‐adjusted returns, suggesting a potential agency problem. Overall, Finnish fund expenses have decreased over time, consistent with EU membership reducing market segmentation and generating competition.     

Running From a Bear: How Poor Stock Market Performance Affects the Determinants of Mutual Fund Flows

Abstract:  Using a proprietary data set to study how past performance affects the determinants of mutual fund flows for a sample of load fund investors, I provide evidence that the determinants of fund flow depend on market conditions for both redemptions and purchases. Specifically, I show that, for redemptions, relative performance and risk adjusted performance are important determinants during a period of record flows into mutual funds. Conversely, during a period of poor performance, absolute performance becomes much more important and relative performance and risk adjusted performance become less important. For purchases, absolute performance, risk adjusted performance, and most relative performance measures become more important during the bear market.     

The Price of Future Liquidity: Time-Varying Liquidity in the U.S. Treasury Market

This paper examines the price differences between very liquid on-the-run U.S. Treasury securities and less liquid off-the-run securities over the on/off cycle. Comparing pairs of securities in time-series regressions allows us to disregard any fixed cross-sectional differences between securities. Also, since the liquidity of Treasury notes varies predictably over time, we can distinguish between current and future liquidity.We compare a variety of (microstructure-based) direct measures of liquidity to compare their effects on prices.We show that the liquidity premium depends primarily on the amount of remaining future liquidity.     

The Effect of Market Transparency: Volatility and Liquidity in the Korean Stock Market

Faced with unprecedented competition, stock markets should have fairness and transparency. The effects of market transparency for the stock market volatility and liquidity will be investigated using the case of the Korean stock market. The evidence from this study indicates that increasing the market transparency makes the price discovery process more efficient than before from the viewpoint of stock market volatility, and increases the stock market liquidity compared with before.