Prices of deep discount bonds and the Revenue Act of 1978: An evaluation of market response

This article explores the market response of deep discount corporate bonds to the reduction in the capital gains tax rate incorporated into the Revenue Act of 1978. Such tax change should have increased the desirability of assets acquired for capital gains potential, such as deep discount bonds. Examining a time series of prices and returns for a sample of deep discount corporate bonds and a control group of comparable duration and credit risk corporate bonds selling at or near par did indeed provide evidence of a market price reaction. Moreover, the price changes for the deep discount bonds occurred well in advance of the implementation of the tax change.     

Harvest contract price volatility for cotton

Changes in agricultural and international trade policy have increased attention to issues of price volatility and risk management. Previous work in the area of price volatility has typically focused on grains, with little work dealing with cotton. The objective of this analysis was to examine the determinants of price volatility for cotton, focusing on the growing season volatility of the harvest contract. Different econometric techniques, including ARCH/GARCH, were employed to estimate the effects of a set of variables on price volatility. The potential for a nonlinear relationship between price and volatility was examined. Findings suggest a significant seasonal pattern to volatility as well as a nonlinear relationship between price and volatility. The results also suggest that cotton price volatility has not significantly changed with respect to changes in agricultural policy. © 1999 John Wiley & Sons, Inc. Jrl Fut Mark 19: 717–733, 1999     

Market Discipline of Canadian Banks' Letters of Credit Activities: An Empirical Examination

While the motivation and riskiness of US off-balance sheet banking activities have been studied both theoretically and empirically, no such study has been found dealing with Canadian off-balance sheet banking activities, although such activities are numerically huge, and growing larger each year. This article provides support for a market discipline hypothesis of Canadian bank letters of credit activities by employing several market measures of risk from one-factor and multi-factor models, and an implied asset volatility from the option-pricing model. Furthermore, it examines both price and quantity response of off-balance sheet activities in the Canadian banking market by employing a tobit analysis to assess the robustness of our conclusions about market discipline. The results indicate that various market measures of risk and letters of credit are negatively related. Moreover, banks with greater portfolio risk measured in terms of equity and asset risk, high leverage and interest rate risk are less likely to issue letters of credit.     

An Empirical Investigation of Trade Credit Demand

This paper investigates the motivations for a firm's demand for trade credit. Demand for credit is modelled as a function of transaction costs motivations, financing motivations, operational considerations, seller compliance issues and supplier marketing, whilst controlling for the firm's business environment and for firm characteristics such as size and industry. This paper builds on previous studies by considering a wider range of factors that can affect trade credit demand holistically on a single sample. It appears that the use of trade credit is widespread, and that it is generally perceived as an important short term financing option, although the availability of trade credit is not a major influence on supplier choice. The level of a firm's trade credit demand is found to be significantly influenced by transaction costs, financing, operational issues, marketing activities by suppliers, the firm's investment in trade debtors and firm size.     

资产价格波动与金融稳定研究述评

资产价格波动与金融稳定的关系,一直是学术界研究的热点问题。近年来的研究认为资产价格波动与银行信贷的相互作用加强,进而日趋影响金融稳定;资产价格波动直接影响银行资本金和金融机构经营环境从而影响金融稳定;理论研究日益强调信息不对称以及“委托一代理”问题在资产价格波动影响金融稳定过程中的重要性。同时,大部份的实证研究都支持了资产价格波动对金融稳定具有重要影响的观点。一些学者就如何应对资产价格波动从而保持金融稳定的问题提出了针对性的建议。     

我国涤纶原料进口价格波动风险因素实证分析

我国涤纶原料PTA和MEG的进口依存度过高,受国际市场价格的波动影响较大.通过多元回归模型及Granger因果检验法,对涤纶原料的进口价格波动因素进行定量分析表明,PTA期货价格、进口依存度等因素与涤纶原料进口价格波动之间有着密切的关系,进而提出了相应的的风险规避对策.     

TIME‐CHANGED MARKOV PROCESSES IN UNIFIED CREDIT‐EQUITY MODELING

This paper develops a novel class of hybrid credit‐equity models with state‐dependent jumps, local‐stochastic volatility, and default intensity based on time changes of Markov processes with killing. We model the defaultable stock price process as a time‐changed Markov diffusion process with state‐dependent local volatility and killing rate (default intensity). When the time change is a Lévy subordinator, the stock price process exhibits jumps with state‐dependent Lévy measure. When the time change is a time integral of an activity rate process, the stock price process has local‐stochastic volatility and default intensity. When the time change process is a Lévy subordinator in turn time changed with a time integral of an activity rate process, the stock price process has state‐dependent jumps, local‐stochastic volatility, and default intensity. We develop two analytical approaches to the pricing of credit and equity derivatives in this class of models. The two approaches are based on the Laplace transform inversion and the spectral expansion approach, respectively. If the resolvent (the Laplace transform of the transition semigroup) of the Markov process and the Laplace transform of the time change are both available in closed form, the expectation operator of the time‐changed process is expressed in closed form as a single integral in the complex plane. If the payoff is square integrable, the complex integral is further reduced to a spectral expansion. To illustrate our general framework, we time change the jump‐to‐default extended constant elasticity of variance model of Carr and Linetsky (2006) and obtain a rich class of analytically tractable models with jumps, local‐stochastic volatility, and default intensity. These models can be used to jointly price equity and credit derivatives.     

Credit cycle dependent spread determinants in emerging sovereign debt markets

We address credit cycle dependent sovereign credit risk determinants. In our model, the spread determinants' magnitude is conditional on an unobservable endogenous sovereign credit cycle as represented by the underlying state of a Markov regime switching process. Our explanatory variables are motivated in the tradition of structural credit risk models and include changes in asset prices, interest rates, implied market volatility, gold price changes and foreign exchange rates. We examine daily frequency variations of U.S. dollar denominated Eurobond credit spreads of four major Latin American sovereign bond issuers (Brazil, Colombia, Mexico and Venezuela) with liquid bond markets during March 2000 to June 2011. We find that spread determinants are statistically significant and consistent with theory, while their magnitude remarkably varies with the state of the credit cycle. Crisis states are characterized by high spread change uncertainty and high sensitivities with respect to the spread change determinants. We further document that not only changes of local currencies, but also changes of the Euro with respect to the U.S. dollar are significant spread drivers and argue that this is consistent with the sovereigns' ability to pay.     

CREDIT SPREADS, OPTIMAL CAPITAL STRUCTURE, AND IMPLIED VOLATILITY WITH ENDOGENOUS DEFAULT AND JUMP RISK

We propose a two-sided jump model for credit risk by extending the Leland–Toft endogenous default model based on the geometric Brownian motion. The model shows that jump risk and endogenous default can have significant impacts on credit spreads, optimal capital structure, and implied volatility of equity options: (1) Jumps and endogenous default can produce a variety of non-zero credit spreads, including upward, humped, and downward shapes; interesting enough, the model can even produce, consistent with empirical findings, upward credit spreads for speculative grade bonds. (2) The jump risk leads to much lower optimal debt/equity ratio; in fact, with jump risk, highly risky firms tend to have very little debt. (3) The two-sided jumps lead to a variety of shapes for the implied volatility of equity options, even for long maturity options; although in general credit spreads and implied volatility tend to move in the same direction under exogenous default models, this may not be true in presence of endogenous default and jumps. Pricing formulae of credit default swaps and equity default swaps are also given. In terms of mathematical contribution, we give a proof of a version of the "smooth fitting" principle under the jump model, justifying a conjecture first suggested by Leland and Toft under the Brownian model.     

A maximal affine stochastic volatility model of oil prices

This study develops and estimates a stochastic volatility model of commodity prices that nests many of the previous models in the literature. The model is an affine three‐factor model with one state variable driving the volatility and is maximal among all such models that are also identifiable. The model leads to quasi‐analytical formulas for futures and options prices. It allows for time‐varying correlation structures between the spot price and convenience yield, the spot price and its volatility, and the volatility and convenience yield. It allows for expected mean‐reversion in the short term and for an increasing expected long‐term price, and for time‐varying risk premia. Furthermore, the model allows for the situation in which options' prices depend on risk not fully spanned by futures prices. These properties are desirable and empirically important for modeling many commodities, especially crude oil. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 30:101–133, 2010     

供应链管理视角下的企业预付款融资采纳研究

文章结合供应链管理理论及营运资金管理理论,从供应链管理运作管理的视角出发,深入分析影响企业采纳预付款融资的因素。基于来自全国717个企业的供应链金融调查数据,文章利用对二分类因变量进行回归建模的Logistic回归模型,对企业采纳预付款融资的发生概率进行拟合。研究结果表明,从融资企业资金需求的角度,供应商提供原材料的平均交付周期越长、企业所采购物料的价格波动越大,越倾向于采纳预付款融资来解决资金问题,维持企业正常运营。结合金融机构信用风险控制的考虑,相对于原材料价格波动小的企业,所在供应链信息化程度高对帮助原材料价格波动大的企业获得金融机构授信的作用更显著。同时,文章认为出于确保还款资金来源的考虑,金融机构更倾向于向原材料库存平均周转天数短的企业授信;由于融资企业引入外部金融机构资金带来了额外的融资成本,会激励企业更努力做好其原材料库存管理,缩短原材料库存平均周转天数,尽早预付款融资,降低融资成本。     

对我国旅游价格信用缺失的反思

中国旅游业经过20多年的发展,已成为我国第三产业的龙头行业,地位越来越重要,市场潜力和发展前景日益凸现。然而,由于我国信用体系建设的不完善,旅游行业中各种信用缺失问题层出不穷,其中最为严重的当属旅游价格信用缺失问题。文章从价格信用缺失的表现及产生的原因入手,分析了强调价格信用的必要性,提出了相应的对策。     

Market Volatility and Feedback Effects from Dynamic Hedging

In this paper we analyze the manner in which the demand generated by dynamic hedging strategies affects the equilibrium price of the underlying asset. We derive an explicit expression for the transformation of market volatility under the impact of such strategies. It turns out that volatility increases and becomes time and price dependent. The strength of these effects however depends not only on the share of total demand that is due to hedging, but also significantly on the heterogeneity of the distribution of hedged payoffs. We finally discuss in what sense hedging strategies derived from the assumption of constant volatility may still be appropriate even though their implementation obviously violates this assumption.     

CLOSED-FORM SOLUTIONS FOR OPTIMAL PORTFOLIO SELECTION WITH STOCHASTIC INTEREST RATE AND INVESTMENT CONSTRAINTS

We examine the portfolio choice problem of an investor with constant relative risk aversion in a financial market with partially hedgeable interest rate risk. The individual shadow price of the portfolio constraint is characterized as the solution of a new backward equation involving Malliavin derivatives. A generalization of this equation is studied and solved in explicit form. This result, applied to our financial model, yields closed-form solutions for the shadow price and the optimal portfolio. The effects of parameters such as risk aversion, interest rate volatility, investment horizon, and tightness of the constraint are examined. Applications of our method to a monetary economy with inflation risk and to an international setting with currency risk are also provided.     

论出口押汇及其法律性质

出口押汇是我国对外贸易中的一种重要货款结算方式,目前实务界对出口押汇的法律性质存在不同看法,甚至存在着模糊认识。本文认为,无论从国际惯例还是从国内相关法律的角度分析,出口押汇都应为一种票据转让关系或权利买卖关系,而且是一种附有较大程度清偿保证的票据转让关系。将出口押汇叙作质押关系或借款关系,不仅不符合有关信用证结算方面的国际通行惯例,也背离了我国《担保法》及《合同法》的相关规定,而且还因法律关系的混乱、操作程序的不规范较易引起有关当事人的纠纷,并使银行处于较为被动的局面。     

Price elasticity and bid-ask price spreads in the treasury bond market

Typical analyses of transactions costs in the bond markets explain these costs in terms of yield, term to maturity, coupons, and issue size. However, these analyses do not recognize the price elasticity of bonds to interest rate movements, which provides better measures of market risk and bid-ask price spreads. Elasticity or duration and issue size together display stronger associations with bid-ask price spreads than do the traditional variables. The association is also less subject to multicollinearity of the independent variables. Finally, stepwise regressions show that coupon and yield data add no information about bid-ask price spreads not already impounded in the duration statistic. This casts doubt on the nonduration arguments often used to support these variables as separately meaningful in transactions cost analyses.     

信用证项下受益人面临来自银行的风险分析

信用证结算方式中,开证行以其自身信用担保,极大地减少了付款不确定性,是出口商获取货款的一种较为安全和稳妥的方式。但由于银行所处的环境、本身的资信、技术的操作等问题,受益人经常遭遇偿付风险。通过案例,分析受益人面临来自银行的具体风险,按性质可分为基本风险和特定风险,特定风险又可分为欺诈性风险和非欺诈性风险。     

Option pricing under fast‐varying long‐memory stochastic volatility

Recent empirical studies suggest that the volatility of an underlying price process may have correlations that decay slowly under certain market conditions. In this paper, the volatility is modeled as a stationary process with long‐range correlation properties in order to capture such a situation, and we consider European option pricing. This means that the volatility process is neither a Markov process nor a martingale. However, by exploiting the fact that the price process is still a semimartingale and accordingly using the martingale method, we can obtain an analytical expression for the option price in the regime where the volatility process is fast mean reverting. The volatility process is modeled as a smooth and bounded function of a fractional Ornstein–Uhlenbeck process. We give the expression for the implied volatility, which has a fractional term structure.     

Identifying risks in emerging market sovereign and corporate bond spreads

This paper investigates the systematic risk factors driving emerging market (EM) credit risk by jointly modeling sovereign and corporate credit spreads at a global level. We use a multi-regional Bayesian panel VAR model, with time-varying betas and multivariate stochastic volatility. This model allows us to decompose credit spreads and build indicators of EM risks. A key result is that indices of EM sovereign and corporate credit spreads differ because of their specific reactions to global risks (risk aversion, liquidity and US corporate risk). For example, following Lehman's default, EM sovereign spreads ‘decoupled’ from the US corporate market, whereas EM corporates ‘recoupled.’     

Pricing American options with stochastic volatility: Evidence from S&P 500 futures options

This article is the first attempt to test empirically a numerical solution to price American options under stochastic volatility. The model allows for a mean‐reverting stochastic‐volatility process with non‐zero risk premium for the volatility risk and correlation with the underlying process. A general solution of risk‐neutral probabilities and price movements is derived, which avoids the common negative‐probability problem in numerical‐option pricing with stochastic volatility. The empirical test shows clear evidence supporting the occurrence of stochastic volatility. The stochastic‐volatility model outperforms the constant‐volatility model by producing smaller bias and better goodness of fit in both the in‐sample and out‐of‐sample test. It not only eliminates systematic moneyness bias produced by the constant‐volatility model, but also has better prediction power. In addition, both models perform well in the dynamic intraday hedging test. However, the constant‐volatility model seems to have a slightly better hedging effectiveness. The profitability test shows that the stochastic volatility is able to capture statistically significant profits while the constant volatility model produces losses. © 2000 John Wiley & Sons, Inc. Jrl Fut Mark 20:625–659, 2000