Yield Curve Risk in Japanese Government Bond Markets

This paper characterizes the nature of yield curve risk in the Japanese government bond (JGB) market, and explores the effectiveness of risk management based on a linear factor representation of yield curve risk. The implied optimal hedges against factor risk are related to duration‐based hedging strategies, which are shown in many cases to be substantially sub‐optimal. In addition, the drift over time in optimal hedge ratios due to the local nature of optimal hedging is investigated. The results show substantial drift especially for the weights on the factor representing the risk of a changing slope of the JGB yield curve. Though our focus is on government bond markets, the findings have implications for risk management for most interest‐sensitive instruments, especially those that are priced relative to government bonds (e.g. corporate bonds).     

The Evolution of the Credit‐to‐GDP Ratio: An Empirical Analysis

We assess the persistence of the credit‐to‐GDP ratio over more than 130 years of data for 11 advanced economies, employing an approach based on fractional integration and allowing for nonlinearities. We show how the time series properties of the data changed around World War II (WWII). Moreover, our findings are consistent with the idea that the supply of mortgage loans has been particularly strong since WWII, in the sense that the degree of integration of the leverage ratio obtained with only these loans is larger than that of the ratio obtained with the total loans for almost all the studied countries. Nevertheless, it is generally the case that both types of ratios show a higher degree of integration after WWII than before it, though often insignificantly, and that their time trends are significant only after WWII.     

2010年第一季度中国广告市场大幅增长22%创近年来新高

<正>据权威的市场研究公司CTR最新的广告花费统计数据显示,经历金融危机洗礼,中国广告市场初步恢复元气,第一季度总投放同比大幅增长22%,刊例广告花费突     

High‐Frequency Positive Feedback Trading and Market Quality: Evidence from China's Stock Market

This paper managed to measure the positive feedback trading intensity and its asymmetry with high‐frequency transaction data of China's individual stocks. The intraday positive feedback trading is found to be heterogeneous, and buying‐winners effect is significantly stronger than selling‐losers effect. In general, the high‐frequency asymmetric positive feedback trading's impact on market quality is mixed: The intraday positive feedback trades contribute to a liquid and active‐trading market but at the same time slow down the price discovery process and reduce the price efficiency.     

习惯形成和股权风险溢价之谜:基于中国数据的实证研究

文章对Campbell和Cochrane的习惯形成模型进行修正,使用HJ方差界检验中国的股权溢价之谜,并比较CRRA模型和修正模型的定价能力.实证分析发现:中国不存在股权溢价之谜,也不存在无风险利率之谜;与CRRA模型相比,文章采用的模型有更强的定价能力.     

企业债券市场发展对我国商业银行业务的影响研究

发展企业债券市场已经成为进一步推进我国资本市场建设的重要组成部分。商业银行是我国金融系统的主体,保持商业银行系统的稳定是我国顺利建立多层次资本市场体系的前提。通过分析企业债券市场发展对商业银行各具体经营业务的影响,我们发现,这种影响主要是积极的,能够提高商业银行的经营效率,并将对建立健全我国商业银行现代企业制度产生非常积极的促进作用。     

Consumer and Corporate Debt: A Neo‐Kaleckian Synthesis

We present a neo‐Kaleckian growth model with both consumer and corporate debt. The model's macrodynamic and stability characteristics differ from singleߚdebt models, yet some steadyߚstate results persist. For example, a surge in ‘animal spirits’ is good for steadyߚstate growth, and consumer borrowing can help to sustain aggregate demand. Stable steady states are characterized by a kind of ‘euthanasia of the rentier’. Consumer credit conditions influence effective demand, the profit rate and economic growth. Looser consumer credit conditions have a steadyߚstate growth effect and can enhance system stability. In this restricted sense, looser consumer credit conditions are good for macroeconomic stability.     

我国银行间债券市场异常交易的特征、成因及治理

我国银行间债券市场异常交易目的不一、形式多变,具有普遍性、隐蔽性、复杂性和争议性四个特征。实践中,由于交易机制不完善、监管失职、内控失察等原因,债券市场异常交易频繁发生,给市场运行乃至宏观调控带来风险隐患。实际上,异常交易频繁发生是市场失灵、信息效率低下的客观反映,其根本原因是市场交易机制存在缺陷。要有效治理异常交易,必须规范投资者行为,优化市场模式,提高市场透明度,健全完善银行间债券市场交易机制。     

Counter‐stereotypical products: Barriers to their adoption and strategies to overcome them

Counter‐stereotypical products (CSPs) are targeted at groups that are opposite to the stereotypical users of these products (e.g., face‐cream for men, construction tools for women). Such products entail adoption barriers, as they are associated with a dissociative out‐group (e.g., men avoid products used by women). A theoretical framework is developed to investigate such barriers by outlining consumers’ cognitive and affective responses to CSPs; namely: stereotyping (CSP is considered appropriate only for the stereotypical user group), subtyping/subgrouping (CSP is useful for certain individuals or subgroups), and derogating (disparaging the CSP due to a perceived threat to self). Study 1 verifies these responses and demonstrates their effect on the evaluation of CSPs targeting men versus women. Overall, CSPs targeting men faced more barriers than those targeting women, and this was especially so for publicly consumed CSPs (e.g., purse for men) as compared to privately consumed ones (e.g., hair‐remover for men). Study 2 examined the effect of a common marketing tool—product design color (e.g., using blue for men and pink for women)—in reducing the above barriers. It was found that blue is effective in reducing stereotype‐based barriers for CSPs targeting men. For CSPs targeting women, using pink was only effective for women scoring high on femininity, and it backfired for those scoring low on femininity.     

Corporate governance reform: character‐building structures

This paper argues that corporate governance reformers in Anglo‐American jurisdictions should consider a different approach in their quest for better corporate governance. Traditionally, corporate governance reform has taken a structural approach, tightening the rules around the number of independent directors required on boards and committees and fine‐tuning the definition of independence. However, such an approach has failed to achieve effective corporate governance. Moreover, this approach is informed by the arguably discredited assumption that individuals are rational self‐interest utility maximizers. This conceptual paper questions why corporate governance scholars and regulators remain uncritical of this assumption and suggests an approach to reform inspired by a different view of human nature. Indeed, incorporating an actor‐based approach to reform into existing structures may better achieve effective corporate governance while addressing an unjustified adherence to this flawed assumption.     

Vaping Viewpoints: A Multi‐Segment Understanding of E‐Cigarette Risk Perceptions

Electronic cigarettes (e‐cigarettes) are battery‐operated devices used to deliver nicotine by vapor and are positioned as a safer alternative to traditional tobacco cigarettes. As a recent entrant to the market, little is known about how consumers perceive the health risks of these devices, raising the question of whether consumers are making informed product adoption and use choices. Study 1 evaluates different consumer usage segments (vapers, smokers, dual users, and nonusers) in terms of their level of perceived risk. Study 2 examines how different groups of consumers' risk perceptions are influenced by on‐ad warning labels. Results show that vapers operate as a distinct consumer segment with lower perceptions of harm than other segments, although illustrate greater likelihood to respond to health messaging and on‐ad warning information.     

Currency‐Protected Swaps and Swaptions with Nonzero Spreads in a Multicurrency LMM

Despite the fact that currency‐protected swaps and swaptions are widely traded in the marketplace, pricing models for zero‐spread swaps, and swaptions have rarely been examined in the extant literature. This study presents a multicurrency LIBOR market model and uses it to derive pricing formulas for currency‐protected swaps and swaptions with nonzero spreads. The resulting pricing formulas are shown to be feasible and tractable for practical implementation and their hedging strategies are also provided. Our pricing formulas provide prices close to those computed from Monte Carlo simulation, but involve far less computation time, and thereby offering almost instant price quotes to clients and daily marking‐to‐market trading books, and facilitating efficient risk management of trading positions.     

Time‐Varying Linkage of Possible Safe Haven Assets: A Cross‐Market and Cross‐asset Analysis

This paper contributes to applying the time‐varying symmetrized Joe–Clayton copula to study the dynamic linkage among possible safe haven assets (SHAs) in the major international markets over the past 34 years. We re‐examine four major asset types (long‐term government bonds, equity indices, oil, and gold) and test whether they are qualified individually as a safe haven asset against when paired against each other in a specific market. The empirical analyses indicate that: (1) Government bonds are generally confirmed SHAs. (2) Gold and oil are overwhelming SHAs against government bond across the markets. (3) US and East Asian markets (Japan, Australia and New Zealand) have more SHA options than the other regions against equity index.     

欧债危机、主权风险冲击与金融传导──来自中国金融市场的证据

本文以三大国际评级机构发布的欧元区17国长期主权信用评级信息作为欧元区主权风险的替代变量,从多市场极端收益联动和市场间传导机制的角度,检验了欧债危机爆发前后欧元区主权风险冲击对中国金融市场的影响机制及其内在传导机理。实证检验结果表明:欧债危机下欧元区主权风险冲击显著增强了中国金融市场间的联合极端收益波动;这一影响在三大评级机构发布的不同欧元区国家主权信用评级信息下和中国不同金融市场间具有显著的差异性;当主权评级调至接近或达到投机级时能对中国金融市场产生系统性的投机级临界效应。本文的实证结论为增强中国政府金融干预和处置能力,从而维护金融体系稳定提供了较强的政策启示。     

The Co‐Movement of Credit Default Swap Spreads,Equity Returns and Volatility: Evidence from Asia‐Pacific Markets

We provide a comprehensive analysis of the co‐movement of credit default swap (CDS), equity, and volatility markets in four Asia‐Pacific countries at firm and index level during the period 2007–2010. First, we examine lead–lag relationships between CDS spread changes, equity returns, and changes in volatility using a vector autoregressive model. At the firm level equity returns lead changes in CDS spreads and realized volatility. However, at the index level the intertemporal linkages between the three markets are less clear‐cut. Second, we apply the measures proposed by Diebold and Yilmaz (2014) to an analysis of volatility spillovers among the CDS, equities, and volatility asset classes. The results suggest that realized volatility (at firm level) and implied volatility (at index level) are the main transmitters of cross‐market volatility spillovers. Third, we analyze the impact of various structural factors and confirm the importance of realized volatility of equity returns as a determinant of CDS spreads.     

从国际期货定价机制变化看我国期货市场风险管理

在国际金融危机持续的背景下,以石油、黄金为代表的商品价格出现了剧烈震荡,国际期货市场定价机制的变化及期货交易规则的高杠杆效应也使得市场风险被明显放大。面对世界复杂的经济环境及国内通胀压力,如何增强我国期货市场抗风险能力,保护投资者正当利益成为社会各界普遍关心的问题。