债权治理对企业投资效率的作用研究——来自中国上市公司的经验证据

本文使用中国上市公司面板数据研究了紧缩货币政策下债权治理对企业投资效率的影响,结果表明,由于存在“预算软约束”,我国债权治理效果整体呈现不确定性,不能显著抑制上市企业的非效率投资。其深层次原因在于债权各构成部分的有效性不一致:商业信用的治理作用显著,但银行贷款、企业债券的治理作用不明显;短期债权的治理作用显著,而长期债权不明显。进一步研究发现,紧缩货币政策下债权治理效果均得到增强。因此,可通过加速资本市场法制建设、发展企业债券市场和推动银行业改革、规范货币操作以提高我国债权治理有效性。     

Monetary policy,bond risk premia,and the economy

Within an affine model of the term structure of interest rates, where bond yields get driven by observable and unobservable macroeconomic factors, parameter restrictions help identify the effects of monetary policy and other structural disturbances on output, inflation, and interest rates and decompose movements in long-term rates into terms attributable to changing expected future short rates versus risk premia. When estimated, the model highlights a broad range of channels through which monetary policy affects risk premia and the economy, risk premia affect monetary policy and the economy, and the economy affects monetary policy and risk premia.     

The monetary origins of asymmetric information in international equity markets

Existing studies using low-frequency data have found that macroeconomic shocks contribute little to international stock market covariation. However, these papers have not accounted for the presence of asymmetric information where sophisticated investors generate private information about the fundamentals that drive returns in many countries. In this paper, we use a new microstructure data set to better identify the effects of private and public information shocks about U.S. interest rates and equity returns. High-frequency private and public information shocks help forecast domestic money and equity returns over daily and weekly intervals. In addition, these shocks are components of factors that are priced in a model of the cross-section of international returns. Linking private information to U.S. macroeconomic factors is useful for many domestic and international asset-pricing tests.     

A 10-year retrospective on the determinants of Russian stock returns

We study factors influencing returns at the Russian stock market from 1995 to 2004, putting emphasis on how these evolved over time. We find that the relationship is highly unstable and this instability is not confined to financial crises alone. Most computed statistics exhibit constant ups and downs, but there has been recently a sharp rise in explainability of stock returns. Domestic factors have been playing a gradually diminishing role, while the importance of international factors has been increasing. In recent years, the effect of oil prices and foreign exchange rates has diminished, the impact of US stock prices and international and domestic interest rates has increased, while the influence of monetary aggregates such as gold reserves and credit balances has fallen to practically zero.     

Monetary policy with signal extraction from the bond market

Monetary policy is conducted in an environment of uncertainty. This paper presents a model where the central bank uses real time data from the bond market together with standard macroeconomic indicators to infer the current state of the economy more efficiently, while taking into account that its own actions influence the bond market and therefore what it observes. That the central bank uses the information in the term structure to set policy creates a link between the bond market and the macroeconomy that is novel to the literature. The estimated model suggests that there is some information in US yields of maturities of less than 1 year that can help the Federal Reserve to identify shocks to the economy on a timely basis.     

Monetary policy and regional availability of debt financing

The relative availability of bond and bank financing should affect the firm's external financing and investment decisions. We define a measure that proxies for the regional borrowing inflexibility to substitute between bank and bond financing: “debt inflexibility”. Debt inflexibility tilts the firm's financial structure towards equity and reduces investment. The impact is stronger during the period of tight monetary policy, particularly for smaller firms and firms without banking relationships. Debt inflexibility increases the sensitivity of cash holdings to cash flows, reduces the likelihood of dividend payment and makes the firm more likely to pay equity in mergers and acquisitions.     

Is idiosyncratic volatility priced in cryptocurrency markets?

This paper investigates how idiosyncratic volatility is priced in the cross-section of cryptocurrency returns. By conducting both portfolio-level analysis and Fama-MacBeth regression analysis, we demonstrate that idiosyncratic volatility is positively related to the expected returns of cryptocurrencies. This finding is not subsumed by effects of size, momentum, liquidity, volume, and price and is robust to different weighting schemes, holding periods, and sample sizes. Besides, we find no evidence of temporal relation between idiosyncratic volatility and returns in cryptocurrency markets.     

Monetary Shocks and REIT Returns

We investigate the influence of unanticipated changes in US monetary policy on Equity Real Estate Investment Trusts (REIT’s). Although a number of studies have investigated the issue of interest rate changes, the effect of unanticipated changes has not previously been addressed in terms of possible effects on both REIT’s returns and volatility. The results show a strong response in both the first and second moments of REIT returns to unexpected policy rate changes. The results for the impact of the shock on both mean and volatility of returns is consistent with results from studies addressing broader equity markets. However, we find evidence both against behavioral changes in volatility coincident to US monetary policy decisions and asymmetric responses to the monetary policy shock.

European Debt Crisis and European Monetary Integration： from the Perspective of Causes of Institutional Change

欧债危机是由主权债务违约所引发的区域性信用危机,其产生的原因是复杂而深刻的。本文从推动欧洲货币制度变迁的因素角度出发,分析了欧债危机爆发的原因,认为欧债危机是欧洲货币一体化过程中政治因素主导的强制性制度变迁所引发的必然后果。相应地,其解决方法是建立一个统一的政治协调机制,或者让渡政治因素在欧洲货币制度变迁过程中的主导地位,使经济因素更为自主地发挥调节作用。     

债务结构优化与企业创新——基于企业债券融资视角的研究

本文在我国保持宏观杠杆率基本稳定及实施创新驱动发展战略的现实背景下,从债券融资的视角,探讨债务结构优化对企业创新的影响。研究发现,债券融资与企业创新之间显著正相关,表明债券融资优化企业债务结构、提升企业创新能力的积极作用占据主导地位。进一步研究表明:(1)债券融资能够通过降低整体债务融资成本并延长整体债务期限促进企业创新;(2)债券融资对于银行贷款存在溢出效应,即企业通过债券融资,还能降低银行贷款利率、延长银行贷款期限,进而促进企业创新;(3)产品市场竞争和代理问题会在一定程度上削弱债券融资对企业创新的促进作用;(4)不同类型的债券对企业创新能力的作用存在异质性,债券发行的便利性是其影响企业创新的一个重要因素。     

Financial conditions,macroeconomic factors and disaggregated bond excess returns

Bond excess returns can be predicted by macro factors, however, large parts remain still unexplained. We apply a novel term structure model to decompose bond excess returns into expected excess returns (risk premia) and the innovation part. In order to explore these risk premia and innovations, we complement macro variables by financial condition variables as possible determinants of bond excess returns. We find that the expected part of bond excess returns is driven by macro factors, whereas innovations seem to be mainly influenced by financial conditions, before and after the financial crisis. Thus, financial conditions, such as financial stress, deserve attention when analyzing bond excess returns.     

Stock returns after major price shocks: The impact of information

This paper focuses on stocks that experience major price changes. Using analyst reports as a proxy, I find that price events accompanied by information are followed by drift, while no-information ones result in reversals. One interpretation of these results is that investors underreact to news about fundamentals and overreact to other shocks that move stock prices. Consistent with this hypothesis, information-based price changes are more strongly correlated with future earnings surprises than no-information ones. Furthermore, drift exists only when the direction of the price move and of the change in analyst recommendations have the same sign. Finally, the ratio of no-information to information-based price shocks is strongly correlated with aggregate implied volatility and also forecasts momentum returns.     

Market timing and return prediction under model instability

Despite mounting empirical evidence to the contrary, the literature on predictability of stock returns almost uniformly assumes a time-invariant relationship between state variables and returns. In this paper, we propose a two-stage approach for forecasting of financial return series that are subject to breaks. The first stage adopts a reversed ordered Cusum (ROC) procedure to determine in real time when the most recent break has occurred. In the second stage, post-break data is used to estimate the parameters of the forecasting model. We compare this approach to existing alternatives for dealing with parameter instability such as the Bai–Perron method and the time-varying parameter (TVP) model. An out-of-sample forecasting experiment demonstrates considerable gains in market timing precision from adopting the proposed two-stage forecasting method.