China Launches RMB interest Rate Swap Transaction

China Development Bank and China Everbright Bank com pleted the country＇s first RMB interest rate swap transaction on Feb. 9, according to the report of Xinhua.     

Brazil and China Strike Currency Swap Deal

Brazil has provided a vote of confidence in China's efforts to promote the renminbi as a reserve currency by becoming the biggest economy yet to agree a swap deal with Beijing.     

An Analytic Solution for Interest Rate Swap Spreads

This paper argues that liquidity differences between government securities and short–term Eurodollar borrowings account for interest rate swap spreads. It then models the convenience of liquidity as a linear function of two mean–reverting state variables and values it. The interest rate swap spread for a swap of particular maturity is the annuitized equivalent of this value. It has a closed form solution: a simple integral. Special cases examined include the Vasicek and Cox–Ingersoll–Ross one–factor term structure models. Numerical values for the parameters in both special cases illustrate that many realistic ‘swap spread term structures’ can be replicated. Model parameters are estimated using weekly data on the term structure of swap spreads from several countries. The model fits the data well.     

债转股实施过程中的问题浅析

本文就不良资产的收购资金如何解决、不良债权转换的股权是否有足够的市场需求、资产管理公司的存续时间、上市公司如何债转股、如何降低道德风险、人才是否充足和法律是否完备等6个债转股具体实施过程中遇到的问题作了简要分析。     

中国重工市场化债转股案例研究

以中国船舶重工集团股份有限公司为案例,基于船舶行业发展状况和中国重工的经营情况,结合市场化债转股的方案,对中国重工市场化债转股前后的财务指标进行分析,发现债转股后资产负债率由行业的低水平转为平均水平,其他指标也有明显提升。整体而言,市场化债转股对中国重工的财务绩效有了明显的提升,由此证明市场化债转股是有利于促进企业稳健发展的。     

Debt Restructuring and Economic Recovery: Analysing the Argentine Swap

When Argentine sovereign default in December 2001 led to a collapse of the peso, the burden of dollar debt became demonstrably unsustainable. But it was not clear what restructuring was feasible, nor when. Eventually, in 2005 after a delay of more than three years, a super‐majority of creditors accepted a swap that essentially involved the ‘pesification’ of dollar liabilities. With the IMF not playing its customary role in arranging a swap, we consider whether a bilateral bargaining approach can help explain the final settlement and the delay in achieving it. We find that the swap broadly corresponds to a bargaining outcome where substantial delay occurred for both political and economic reasons. Even after political legitimacy was assured by general elections, negotiators seeking a sustainable outcome – at a time of deep recession, profound currency under‐valuation and high sovereign spreads – realised it was better to wait before settling. Other factors discussed include the definition of sustainability criteria, the effect of inter‐creditor conflict and the role of third parties in promoting ‘good faith’ bargaining. We suggest that, while these issues need further investigation, there are institutional changes that could make them less problematic.     

通过债转股解决养老保险基金隐性债务

深入分析了养老保险基金隐性债务的成因、国有股减持与养老保险基金入市的关系,提出了债转股的方法.通过该方法,不仅可以解决养老金隐性债务问题,同时也能达到国有股减持的其他主要目的.     

通过债转股解决养老保险基金隐性债务

深入分析了养老保险基金隐性债务的成因、国有股减持与养老保险基金入市的关系 ,提出了债转股的方法。通过该方法 ,不仅可以解决养老金隐性债务问题 ,同时也能达到国有股减持的其他主要目的。     

包容性改革论背景下货币互换政策的经济风险防范

欧洲包容性改革论下,中国市场体系逐步健全,而相应的市场秩序也有所完善。落实欧洲包容性改革创新体系的构建时,中国应该根据经济建设的实际情况,走中国特色社会主义道路,形成有中国特色的包容性改革创新体系。而包容性改革和货币互换会给中国带来风险,主要包括经济调整政策的波动较为激烈、人民币升值兑换率下降,扩大了外汇债务,还加大了经济套期保值的损失。为了有效规避这些风险,中国应扩大宏观经济政策的投入力度,加强政府层面对市场经济建设的监管,根据人民币与产业链之间的资本流通构建相应体系,从而真正完善货币互换流通市场的整体制度,并通过控制货币互换的规模,降低其对国家经济建设所带来的重大风险。     

论新置换及其理论内涵

本文所阐述的新置换理论是对近些年来我国经济生活中出现的置换现象的系统概括、大胆抽象与深刻总结.作者首先从理论与实践相结合的角度,对新置换理论中的"置换"范畴进行了剖析与界定,并阐明了它的六层含义;然后,具体分析了新置换理论与其他置换理论的主要区别及其基本联系;接着,集中分析和阐明了支撑新置换实践的五大理念;最后,归纳指出了新置换理论的系统阐发对于推进经济学学科建设与发展、深化企业战略学研究和指导人们的社会实践所具有的重要意义.     

A Dynamic Growth Model with Equity for Guarantee Swap and Asymmetric Information*

We develop an endogenous dynamic growth model in which a financially constrained firm optimizes the entrance timing and financing structure in different information exposure scenes. An innovation financing tool called equity‐for‐guarantee swap is introduced to solve the dilemma of financing constraints. The productivity of the firm is a random variable following a two‐point distribution and its value can be observed in advance by the entrepreneur but not by the insurer. Our main goal is to fix the fair guarantee cost with asymmetry information and examine how the cost differs from the one under the same situation except with symmetric information. We solve a Nash equilibrium of the game between the entrepreneur and the insurer and specify the condition to determine whether a separating equilibrium or pooling one will be achieved. We find that at the separating equilibrium, the high‐profit firm will sacrifice a profit to send a signal for the purpose of separating itself from the low‐profit one by increasing the latter's mimicking cost. The pooling equilibrium occurs when the insurer can not distinguish the firm's type and therefore, the insurer demands the same guarantee cost for all firms.     

债转股对于我国国企去杠杆的历史经验及理论研究

从当前国企去杠杆的背景入手,着重分析了我国目前主要的债务问题及债转股现状,并对比了当前与1999年债转股的核心区别,总结历史经验,探讨债转股对于国企改革的影响、难点、理论基础及对策。     

近代老银行的异变:“债权变股权”

近代中国的银行与企业关系经历了一个曲折的发展过程。到20世纪30年代初期,双方已经建立起良好的合作关系,银行对工矿企业贷放了大量资金,并对一些经营较为成功、或与本行有某种历史渊源关系的企业做过少量投资。不过,这种投资行为并没有成为银行资金运用的重点,尚不构成该时期银企关系的主流。然而,从1932年开始,在国内经济普遍不景气的条件下,从棉纺织业起步,中国银行业走上了大规模直接经营工业的道路。通过这一途径,银行与企业的关系大为加强,银行资本逐渐渗入产业资本之中。而这种变化又是通过银行放款性质的异变(即债权变股权)才得以实现的。     

我省债转股企业的情况和下一步发展思考

我省债转股企业通过实施债转股,降低了资产负债率,减轻了还本付息的负担,一定程度上提高了企业的效益.但仍然存在一些倾向性的问题:一是新公司挂牌进展缓慢;二是地方政府的承诺未兑现;三是部分债转股企业盈利状况及前景不容乐观;四是扭亏企业大部分没有脱困.为解决这些问题,新公司注册挂牌是最为紧迫;强化债转股工作中的地方政府承诺兑现是债转股工作顺利实施的保证;形成全社会关心支持债转股企业是实现债转股目标的重要环节;做好资本运作的大文章是实现债转股目标的关键.     

债转股中的道德风险与防范机制

在全面概括、分析了债转股中可能出现的道德风险的表现、危害及成因的基础上,从法律制度、配套措施、约束机制、企业制度等方面探讨了债转股道德风险防范机制,这对降低债转股中的道德风险、促进债转股工作的顺利进行将起到积极的作用。     

Low‐Frequency Volatility of Yen Interest Rate Swap Market in Relation to Macroeconomic Risk*

Using ‘low‐frequency’ volatility extracted from aggregate volatility shocks in interest rate swap (hereafter, IRS) market, this paper investigates whether Japanese yen IRS volatility can be explained by macroeconomic risks. The analysis suggests that this low‐frequency yen IRS volatility has strong and positive association with most of the macroeconomic risk proxies (e.g., volatility of consumer price index, industrial production volatility, foreign exchange volatility, slope of the term structure and money supply) with the exception of the unemployment rate, which is negatively related to IRS volatility. This finding is fairly consistent with the argument that the greater the macroeconomic risk the greater is the use of derivative instruments to hedge or speculate. The relationship between the macroeconomic risks and IRS volatility varies slightly across the different swap maturities but is robust to alternative volatility specifications. This linkage between swap market and macroeconomy has practical implications since market makers and hedgers use the swap rate as benchmark for pricing long‐term interest rates, corporate bonds and various other securities.