An Empirical Assessment of Sovereign Country Risk in the Black Sea Region

Country risk is recognized as a key factor considered prior to undertaking cross-border economic activity such as an investment or a financial transaction. When the level of country risk is deemed low, commercial and other risks play a more important role in the assessment of the advisability to undertake a cross-border activity. In other cases, country risk levels are significant and may play a decisive role in the assessment of the cross-border activity. By its nature, country risk depends upon perceptions, and as a result both objective measurable factors and subjective issues need to be considered. This study investigates the factors that determine country risk as signalled by a commonly used proxy, the sovereign credit ratings assigned by the major rating agencies. To this end, panel data analysis has been used and applied to three heterogeneous country sub-groups, the Black Sea Economic Cooperation (BSEC) countries, the EU-15, and the Central Europe and Baltic countries, for the period 2004–2013. The results generated suggest that three sets of variables: gross domestic product per capita, debt metrics, and institutional factors, play an instrumental role in explaining country risk across all the sub-groups. However, the individual results for each sub-group provide evidence that sovereign rating agencies focus on particular economic facets of each, and hence, take into account idiosyncratic aspects, structural as well as regional. Therefore, the study also examines those indicators that matter most or have a ‘specific gravity’ in determining sovereign ratings in each country-group, with a particular focus on the BSEC countries.     

我国劳动者过度劳动的评定及其实证研究

国内学界尚无统一的过度劳动程度测定标准和体系,这阻碍了过度劳动研究的进展.构建评定体系,应以过度劳动的内涵及其构成要件为基础,遵循劳动者的疲劳状态和工作状态两大维度.疲劳的衡量指标、过劳死的病理征兆和工作状态的评定内容,为过度劳动评定体系提供了衡量指标的内容内核.而日本的疲劳积蓄度自测量表则提供了结构框架和等级评定依据.     

农户正规信贷违约影响因素实证分析——以陕西省渭南市农村信用社贷款农户问卷调查数据为例

笔者以陕西省400个农户的调查数据为基础,运用方差和Logit回归分析,对农户正规信贷违约的影响因素进行实证研究.结果显示,户主文化程度、家庭收入、打工人数、是否种粮户、是否有借款、贷款金额及借贷方式以及农户的主观努力程度等对农户信贷违约具有显著影响.笔者据此得出农户家庭经营能力、经济结构和收入以及信贷产品设计是影响农户信贷违约关键因素的结论,并提出增强农户经营管理能力、扶持农户多元增收和完善金融服务模式等政策建议.     

住房抵押贷款的违约风险分析

本文运用期权数值方法分析住房抵押贷款借款者的违约行为,主要是分析抵押贷款违约期权的最优实施边界。这使得我们能够解释哪些房价和利率组合会引发借款者违约以及未来的违约概率。我们发现导致违约的房产价格高度依赖于同期市场利率,而且违约与贷款类型高度相关。我们考察了次优出售和再融资的情形,还考察了借款者面临违约声誉损失的情形,结果表明期权数值方法是稳健可靠的。本文的分析还使我们对美国次贷危机有更为客观理性的认识。     

Value-Added Erosion in Global Value Chains: An Empirical Assessment

In the period from 1995 to 2008, many countries experienced what we call the “value-added erosion.” It describes the decline in the sectoral shares of domestic value-added in a country’s exports as the country becomes more integrated into the global value chains (GVCs). We argue that the decline of the domestic value-added share in a country’s exports is likely to be caused by the expansion of high value-adding activities performed by foreign lead firms in the upper stream of the GVCs. The variables of interest — the domestic value-added share in exports and foreign high-skill labor embodied in a country’s exports (a proxy for foreign lead firms’ high value-adding activities) — are estimated using a multi-regional global input-output model. Using these results and other control variables, we apply a panel cointegration model to explain and assess the likelihood of value-added erosion and its possible determinants.     

Political Institutions, Capital Flows, and Developing Country Growth: An Empirical Investigation

The paper examines the real per-capita growth effects of the quality of democracy, the rule of law, and capital flows in developing countries. The direct growth effects of democracy are positive and often statistically significant. Moreover, the estimates from a three-stage least-squares regression offer evidence that democracy has indirect growth effects that work by encouraging schooling and that the rule of law influences growth indirectly by encouraging foreign direct investment. A higher FDI to GDP ratio is associated with a faster growth rate. The estimated growth effect of the FDI to GDP ratio is several times higher than the estimated growth effect of the domestic investment to GDP ratio. By contrast, this study does not find a clear asso-ciation between other types of capital flows and growth.     

物流地产风险识别与评估实证研究

物流地产被认为收益稳定回报合理,近年来在需求拉动、供给推动、土地成本及政策扶持等多重因素作用下,呈现快速发展趋势,在物流地产已经成为热点投资的背景下对其风险的研究和关注尤为重要。平衡计分卡作为一种战略管理工具,在风险识别和评估中能够较好地兼顾战略和战术、内部和外部、短期和长期以及结果和过程的平衡,为研究提供了新思路。因此文章基于平衡计分卡对物流地产风险因素进行了识别,分别从财务维度、客户维度、内部运营维度和学习成长维度分解形成了风险因素体系。运用熵理论构建了风险评估模型,并结合物流地产企业实际进行了实证研究。研究表明,运用平衡计分卡从四个维度出发识别物流地产的风险因素,有利于实现风险管理的战略全局性、风险识别的内在逻辑性及风险因素的整体平衡性,实现经营业绩和风险管控的协同。     

Standby Letters of Credit and Bank Default Risk

This paper examines the relationship between Australian banks' use of standby letters of credit, an off-balance sheet direct credit sub stitute, and default risk on bank liabilities. We find strong support for the sub-optimal investment (or under-investment) hypothesis. Riskier banks, defined as those with higher CD premiums, and those with higher proportions of long-maturity liabilities make greater use of SLCs than less risky banks. However, there is little evidence of a feed-back effect from SLCs to bank default risk     

Economics of Summitry: An Empirical Assessment of the Economic Effects of Summits

Since 1975 the leaders of the seven industrial countries (the G-7) have held annual summits to discuss issues of common interest, attempt to coordinate their economic policies, and set goals for their economies. To empirically assess the effects of summit announcements and the degree of compliance with the stated goals on macroeconomic variables is an important, interesting, and well-defined undertaking. The present paper uses fuzzy membership function to model the degree of compliance with the stated goals and a VAR framework to test for the summit effects.     

An Empirical Economic Development Based Model of International Banking Risk and Risk Scoring

The paper reconsiders the relationship between international banking risk and economic development. It is shown quite conclusively that the significant explanatory variables of international banking risk scores (when international banking risk is used as a proxy for country risk) are the income elasticity of demand for imports (when the latter is used as an indicator of economic growth and development), the phase of industrialization (based on country per capita income), and certain historical economic and financial variables (external debt levels and international bank size according to total assets). The investigation arrives at a new approach to risk scoring systems and models.     

Common Value Auctions with Default: An Experimental Approach

This paper examines a common value auction in which bidder default is explicitly allowed. The lack of contractual enforcement has implications for the formation of bids as well as the revenue properties of the auction. Using a common value procurement auction, we explore these implications in an experimental setting. Our results show that bidders are more aggressive when default is allowed. A theoretical result shows that allowing default can actually be in the best interest of the auctioneer. Experimental evidence, however, indicates that this result does not hold true in practice. One possible reason for this discrepancy is that the data in our experiments is consistent with winner's curse behavior.     

基于RAROC的贷款风险定价实证研究

本文根据"风险-损失-补偿"传导原理,构建了基于RAROC方法的贷款风险定价框架和模型.对研究样本的经营成本、风险成本、经济资本等相关参数进行了计算,得出样本企业贷款价格,并与银行实际定价进行比较分析.研究发现银行现行定价容易低估贷款风险,对非预期损失风险的补偿程度不够,RAROC定价方法可衡量贷款风险并给出适当的价格补偿,这有助于我国银行业风险控制能力和资金使用效率的提高.     

我国货币政策与股票市场的实证分析

资本市场是现代金融市场最主要构成部分之一,对实际经济生活的影响日益增大。通过我国股票市场与经济增长的实证检验可知,货币政策与资本市场是一种互动关系。一方面,中央银行的货币政策会直接或间接地影响资本市场;另一方面,资本市场的发展对货币政策及其传导机制有深刻的影响。     

中国商业银行利率风险的实证分析

运用计量经济学方法估计中国商业银行资产和负债的平均成熟期,以检验中国商业银行的净利息收入是否受利率变动的影响。实证分析的主要结论是,目前中国商业银行的利率风险暴露水平较高,其中中等商业银行的利率风险暴露水平比大型商业银行更高。所以,大力加强利率风险管理体系的建设,提高利率风险管理水平是中国商业银行当前面临的迫切任务之一。     

现代违约风险估值模型扩展前沿综述

一、引言违约风险一直是整个金融业面临的最主要的风险之一。长期以来,由于违约风险具有非对称性、非系统性、收益可偏性等特点,违约风险的研究和应用都集中在传统的专家系统法和基于财务报表的信用评分系统法。专家法多依赖于主观判断的定性分析,评价时易受感情和外界因素干扰,可能做出偏差较大。财务报表反映的是过去已发生的事项,对于市场尚未提供的信息,评价结果无法提供。近年来,随着资本市场的迅速发展、融资的非中介化、证券化趋势以及金融创新工具的大量涌现,违约风险的复杂性也日益显著。传统     

Debt Relief Incentives in Highly Indebted Poor Countries (HIPC): An Empirical Assessment

For more than two decades, the majority of countries in the African continent have experienced repeated episodes of rising external debt and debt service, which has led to numerous efforts of external debt relief. This paper provides new evidence on the effects of the Heavily Indebted Poor Countries (HIPC) Initiative on different economic and social indicators in 60 low income countries (LICs). Results show that LICs that were included in the HIPC Initiative marginally performed better than non-HIPC countries. There is evidence that countries that have reached the completion point of the HIPC Initiative by 2005 have experienced an average improvement in investment, health care, gross secondary education enrollment, and GDP per capita growth.

公司债券的违约风险度量技术及应用

随着我国资本市场的进一步发展,公司债券已经成为我国资本市场重要的金融工具。因此,公司债券的违约风险已经成为投资者关注的重要因素。本文系统地论述了度量公司债券违约风险的三类主要方法：信用评级法、数理模型法和保险思想法。在此基础上,论述了我国发展债券市场提高公司债券违约风险度量技术的基本思路是重点利用信用评级方法,积极开发数理模型方法,创造条件利用保险思想模型。     

内生型制度因子的财政风险分析框架--模型及实证分析

认同中国财政风险的积聚是由制度缺失、不完善和不均衡造成的同时,还应将制度因子即"内生变量"纳入到财政风险分析框架作量化考察.文章构建了一个包括国有化率(GYHL)、市场化指数(SCH)、财政分权指数(CZFQ)和交易费用率(JYFY)这4个制度因子在内的财政风险影响模型.逐步回归后发现国有化率和财政分权指数对财政风险的影响最大,并解释了国有化率和财政风险指数(CZFX)呈反向变动的原因.实证分析提醒我们,必须做好微观制度层面处于核心地位的国企改革的文章,同时要把握好宏观"政制"改革层面中财政分权改革的范围和限度,最终从制度上防范和化解财政风险.     

Spanish Imports of Manufactures and the European Union: An Empirical Assessment of the Entry

This paper investigates the consequences of Spain's accession to the European Union on its imports of manufactures. To that end the realised shares of GDP and the supplies of Spain's main trading partners in the transition period 1986–1992 are compared with the shares that are predicted by means of a model that is estimated using data that relate to the pre-integration period.