关于发展我国银行间债券市场的探讨

我国银行间债券市场是货币市场的重要组成部分，对于我国金融业的发展发挥着重要作用。本在分析市场参与主体、市场化进程及交易工具等方面发展现状的基础之上，相应提出了推行做市商制度、增加市场交易机构和工具、促进两个债券市场协调统一等发展构想。     

我国银行间债券市场产品创新分析

文章通过对中国和美国债券品种的对比,认为美国债券市场的产品创新主要有两类:一是在期限、利率、利息支付、面值及持有期等债券构成要素上直接创新的产品;二是利用金融工程技术设计出来的债权衍生产品。而我国债券市场由于基础产品不健全、体制不顺及市场分割等原因导致无法进一步进行债券类衍生产品的创新。多层次资本市场的建立需要债券市场更多金融创新支持,而债券市场产品创新演进的过程应该首先是满足市场不断加深的需求,其次是逐步使用现代金融工程技术。文章认为债券市场创新的根本途径有两条:一是大力发展公司债券市场,这是持续进行产品创新的基础;二是发展与股权挂钩的债券创新产品,包括可转化债券、附认股权证的可分离交易债券和可交换债券等。并进一步提出了我国银行间债券市场还应从债券品种、利率、期限等几个方面进行品种创新,进而提高市场交易效率和流动性。     

我国债券市场分割问题研究

自1997年建立银行间债券市场以来,我国债券市场取得了迅速发展,已经形成了以场外交易(银行间市场)为主、场内交易(交易所市场)为辅的债券市场体系。但从总量看,我国债券规模还比较小,同时,由于长期以来受观念和体制等方面的束缚,我国债券市场尤其是企业债券发展滞后,并在发行、交易、托管等环节上存在分割。我们认为,我国债券市场的发展的首要问题是统一债券市场的监管和托管结算体系,要实现我国债券市场的长远发展,必须从建立统一跨市场的托管结算体系的改革入手,打通交易所和银行间两个市场,实现债券在两个市场间自由流动,共同促进两个市场的发展。     

银行间债券市场流动性的微观结构分析

近些年来,我国银行间债券市场取得了长足发展,但是流动性的缺乏始终是其面临的一个主要问题,而债券的流动性又是反映债券市场完善程度的重要标志。提高债券市场流动性的意义并不仅仅在于为发行主体提供低成本的融资渠道,更重要的是为其他金融资产的定价提供无风险收益率基准、促进金融机构的资产负债管理和债券资产运作,并为中央银行的公开市场操作提供广泛的空间。本文从市场微观结构因素出发,从市场格局、交易制度、市场透明度、融资融券制度、盯市机制等几个方面对我国银行间债券市场存在的流动性问题进行了分析探讨,并提出了相应的政策建议。     

制约我国企业债券市场发展的因素及对策

加大直接融资比例,大力发展我国债券市场,是推进资本市场改革开放和稳定发展的重要举措。作为直接融资重要形式之一的债券融资已成为当代西方发达国家最主要的外源融资形式,而我国企业债券市场交易冷清。文章从制约我国债券市场发展的诸因素入手,提出了发展我国债券市场的对策,为我国债券市场发展提供借鉴。     

我国银行间债券市场流动性分析

债券市场流动性包括价格、交易量以及交易时间等三个方面的内容,现有的衡量流动性的指标基本上只反映了流动性三个因素的某一方面.本文从流动性概念出发,运用主成分分析法,构建了衡量我国债券市场流动性综合指标的计量模型,认为流动性综合指标能够克服单一指标的缺陷,有助于全面刻画债券市场流动性价、量和时间三方面因素,有助于我国银行间债券微观结构研究的深入.     

中国债券市场发展的制度问题和方法研究

本文采用理论分析和历史分析相结合的研究方法,从制度经济学的角度分析我国债券市场的发展,以激励机制约束机制对立统一的制度观作为本文的理论基础.分析中目债券市场的问题和制度进步的动力.验证了激励机制和约束机制的矛盾运动推动债券市场制度进步这个基本规律.     

西部地方债券市场:模式选择与制度设计

从目前的情况来看,试点和规范城市建设债券市场可以作为我国地方债券市场改革的突破口,也是缓解我国地方城市基础设施建设和公共资本投资与经济社会发展的需要不相适应的有力措施。本文认为,城市建设债券市场的制度设计是针对所有地区符合条件的地方市政建设企业,但是与全国其他地区相比,在西部地区财政实力较强、资金缺口较大、地方债务结构良好的城市发行城市建设债券具有特殊的意义和作用。因此,在借鉴国际经验的基础上,本文深入分析了修改《预算法》准许发行城市建设债券的体制背景、积极意义及路径选择,并在此基础上探讨了西部发行城市建设债券的模式选择、制度设计及相关设想。     

东亚国家(地区)的债券市场发展研究

东亚地区虽然拥有非常高的储蓄率和大量的外汇储备,却主要投向西方发达国家金融市场。东亚地区经济发展却过度依赖银行与外部融资,导致区域内的货币与期限双重错配。如果能在东亚地区建立一个区域性的债券市场,将东亚地区的巨额储蓄转化为区域内生产性投资,就可以扭转东亚各经济体对美元资产和银行金融机构的过度依赖性,提高危机应对能力。然而,东亚各经济体债券市场的法规与制度、债券资信评级、会计和风险审核标准以及交易、清算和结算系统等市场基础设施均存在明显的差异,债券市场发展水平参差不齐。要建立一个高效的东亚区域债券市场,推动本区域经济稳定发展与金融一体化,东亚区域各经济体债券市场间协调合作是必由之路。文章以东亚债券市场协调发展为主线,阐述了东亚债券市场的现状和发展东亚债券市场的意义,分析了东亚债券市场发展现状的原因。最后根据东亚金融市场的特点给出了东亚债券市场以及中国债券市场发展的具体措施。     

我国债券市场的现存缺陷及改进对策

市场化改革以来,我国债券市场规模、广度和深度都得到很大提高,呈现多元化稳步发展格局。但是与西方国家相比,我国债券市场既不成熟,也不发达,还存在制度性缺陷、结构性缺陷和市场运行机制缺陷等。只有加强债券市场基础制度建设,优化债券结构以及消除债券市场分割状态,推行利率市场化,才能推进我国债券市场进一步完善和发展。     

Monopoly power,barriers to competition and the pattern of price differentials in international trade

Numerous studies have attempted to assess the influence of market structure on performance in domestic markets of industrial countries. With few exceptions, these investigations have shown that prices and profits are higher, and a less efficient allocation of resources prevails, in markets where agressive competition is absent. Using techniques similar to there applied in the industrial market studies, this analysis examines the pattern of iron steel prices in international trade. The findings parallel those for the industrial organization investigations. Typically, international markets which are more concentrated, or which rely on a smaller number of trade contacts, bear higher prices. Also, the magnitudes of these excess price margins are such as to have important policy implications since they constitute a serious drain on the foreign exchange reserves of some developing countries.     

政策诱因与中国证券市场的内在不稳定性——转轨过程中新兴市场的特征

与发达证券市场及新兴证券市场不同 ,我国证券市场具有转轨经济与新兴市场的双重特征 ,在金融制度、参与者行为、政府监管等各方面都有自身的特点 ,证券市场的内在不稳定性具有内生性和周期性。针对我国证券市场的具体情况 ,本文提出了相关的政策建议 :在条件成熟时及时推出市场对冲机制 ,逐步实行证券信用交易 ;拓展有效合理的资金渠道 ;在条件成熟的时候 ,考虑放开对三类企业持股时间的限制 ;中央银行要改变状态依存的监管政策 ,实行以规则为基础的实时监管政策 ,防止资金的非法流转。     

Don’t let your robots grow up to be traders: Artificial intelligence, human intelligence, and asset-market bubbles

Researchers who have examined markets populated by “robot traders” have claimed that the high level of allocative efficiency observed in experimental markets is driven largely by the “intelligence” implicit in the rules of the market. Furthermore, they view the ability of agents (artificial or human) to process information and make rational decisions as unnecessary for the efficient operation of markets. This paper presents a new series of market experiments that show that markets populated with standard robot traders are no longer efficient if time is a meaningful element, as it is in all asset markets. While simple two-season markets with human subjects reliably converge to an efficient equilibrium, markets with minimally intelligent robot traders fail to attain this equilibrium. Instead, these markets overshoot the equilibrium and then crash below it. In addition to firmly establishing the role of trader intelligence in asset-market equilibrium, these experiments also provide insights into why bubbles and crashes are consistently observed in many asset-market laboratory experiments using human subjects.     

Quality of Labor Markets in a Developing Country

This study is an application of Yano's market quality economics to trade. It considers the quality of labor markets in a developing country and sheds light on an important role of the voting mechanism in the process of which the quality of labor markets is endogenously determined. Assuming the majority vote, it is demonstrated that if the timing of voting is wrong, a developing country misses high‐quality labor markets although trade provides an opportunity for it to reach such markets.     

COMPETITION POLICY FOR DEVELOPING COUNTRIES: A LONG-RUN, ENTRY-BASED APPROACH

This paper describes key aspects of a long-run, entry-based approach to the design of competition policy for developing countries. A competition policy with the sole purpose of mitigating governmental, natural, and artificial barriers to entry best serves the goals of promoting the competitive process and fostering democracy. Freedom of entry is the sine qua non of the competitive process. Freedom of entry promotes the development of efficient, innovative firms capable of competing in international markets and ensures that market reforms will enhance social welfare.     

Capital Market Openness and Output Volatility

In this paper, using data from 21 advanced and 81 developing countries during 1971–2010, we empirically examine the impact of capital market openness on output volatility. We find that opening of capital markets increases the output volatility of developing countries. Furthermore, we find that the main channel through which capital market openness increases volatility is currency and external‐debt crisis. Finally, we find that while Asian countries are less likely to experience a crisis, they become even more unstable than other developing countries once a crisis occurs. Our evidence strengthens the case for caution in developing countries' opening up of their capital markets.     

Financial Integration and Market Efficiency: Some International Evidence from Cointegration Tests

This study investigates whether the globalization of financial markets enhances the efficiency of national stock markets. To this end, we have developed a dynamic representation of cointegration which is consistent with hypothesis that stock prices reflect the efficient discounting of new information on market fundamentals and testes for market efficiency in five industrialized markets (the United States, Canada, Japan, the United Kingdom, and Germany) over the last two decades. Our empirical analysis indicates that the U.S. and Canadian stock markets obey the long-run equilibrium path implied by our dynamic cointegration model, but the Japanese, British, and German markets do not exhibit such characteristics. Thus, it can be claimed that the stock markets of the United States and Canada are informationally efficient, whereas those of Japan, the United Kingdom, and Germany are not. [G15, G14]     

Towards equilibrium offers in unit commitment auctions with nonconvex costs

We compare two types of uniform-price auction formats commonly used in wholesale electricity markets—centrally committed and self-committed markets. Auctions in both markets are conducted by an independent system operator that collects generator bids and determines which generators will operate and how much electricity each will produce. In centrally committed markets, generators submit two-part bids consisting of a startup cost and a variable energy cost. Self-committed markets force generators to incorporate their startup costs into a one-part energy bid. The system operator in a centrally committed system ensures that each generator recovers the startup and energy costs stated in its two-part bid, while no such guarantees are made in self-committed markets. The energy cost ranking and incentive properties of these market designs remains an open question. While the system operator can determine the most efficient dispatch with a centralized market, the auction mechanism used to solicit generator data compels generators to overstate costs. Self commitment might involve less efficient dispatch but have better incentive properties. We derive Nash equilibria for both market designs in a symmetric duopoly setting. We also derive simple conditions under which the two market designs will be expected cost-equivalent.     

Market Segmentation, Market Integration, and Tacit Collusion

Moving from market segmentation to market integration (firms cannot discriminate among markets) is shown to have often anticompetitive effects in an infinitely repeated Cournot game. In particular, market integration between two countries leads both of them to experience anticompetitive effects when product markets are similar. The same conclusion holds when trade liberalization is modeled as a decrease in bilateral trade barriers followed by moving from market segmentation to market integration. The analysis also predicts that a less efficient country (like a country in transition) enjoys pro–competitive effects from market integration.     

Who poisons the pool? Time-varying asymmetric and nonlinear causal inference between low-risk and high-risk bonds markets

Corporate bond markets enable the efficient allocation of capital among competing firms, as well as an extensive degree of disintermediation. While the role of the junk bond market in financing leveraged buyouts, “fallen angels,” start-ups, small firms, and sovereign governments is known, little is known about interactions between low-risk (AAA) bonds markets and high-risk (CCC and below) bonds markets. In this study, we used a sample of daily data spanning 20 years to investigate the dynamic link in first and second moments between low-risk and high-risk bonds during calm and turbulent periods in the U.S. financial markets. Using asymmetric and nonlinear causality tests, as well as the extended DCC-GJR-GARCH model, we found evidence of an asymmetric and nonlinear unidirectional causal link from high-risk to low-risk bonds markets, which intensifies during bear markets. There is a bidirectional volatility and shock transmission only during normal bond market conditions. The high-risk bonds market induces more destabilizing effects in the corporate bond market than the low-risk bonds market. The time-varying, highly persistent, and negative correlation during normal market conditions provides the opportunity for combining low-risk and high-risk bonds to diversify a portfolio.