证券融资交易国际监管改革进展及对我国的启示与借鉴

此次国际金融危机表明,影子银行由于缺乏监管、信息不透明、资本覆盖和流动性储备不足,成为系统性风险的重要来源。危机后,金融稳定理事会(FSB)和巴塞尔银行监管委员会等国际标准制定机构协调合作,制定了加强影子银行监测和监管的一揽子政策措施。其中,针对证券融资交易的流动性风险、杠杆风险、交叉传染风险和顺周期效应,提出了一系列监管措施建议,旨在防范证券融资交易的潜在系统性风险,维护全球金融稳定。我国在证券融资交易方面发布实施了一系列法规制度,但近期发生的“国海证券”等事件也暴露出部分证券融资交易行为不规范、反复开展证券融资交易产生流动性错配和杠杆风险、监管框架不够系统完整等问题,对金融市场稳定运行造成了一定的负面影响。本文论述了危机后国际标准制定机构提出的证券融资交易监管框架,结合我国业务发展情况和存在的问题,提出了完善我国证券融资业务监管的相关建议。     

Liquidity and market incompleteness

This note shows that according to Lippman and McCall’s (Am Econ Rev 76, 43–55, 1986) operational definition of liquidity, incomplete markets are a necessary condition for illiquidity. This note is a revised subset of a larger paper that circulated under the name of “Liquidity as an Insurance Problem” (Zurita 2001). I am grateful to Luis Ahumada, David K. Levine, Raimundo Soto, Gert Wagner, Federico Weinschelbaum and seminar participants at UCLA, Summer Meeting of the Econometric Society, Banco Central de Chile, LACEA, Jornadas de Economía del Banco Central del Uruguay, and ILADES, for their helpful comments, as well as the feedback of an anonymous referee. Financial support from Vicerrectoría Académica de la Pontificia Universidad Católica de Chile is gratefully acknowledged.     

Debt and market incompleteness

This paper provides a capital structure equilibrium analysis in an environment characterized by market incompleteness and risky debt. Market incompleteness, together with a comparative advantage for corporate borrowing, leads to a Miller (1977)-type capital structure equilibrium wherein each firm within an industry faces an indeterminate debt level. However, at the aggregate-industry level, corporations act as financial intermediaries to generate cross-sectional capital structure patterns across industries, despite the fact that rents associated with financial intermediation services dissipate in equilibrium for any particular firm. Additional implications are drawn for observed cross-sectional and time-series regularities in capital structure.     

构建顺畅可控的境外人民币回流机制

跨境贸易人民币结算试点以来,境外人民币使用量增长迅猛。从推动人民币国际化、促进人民币境外使用的角度考虑,不仅应鼓励人民币走出去,也应逐步构建顺畅可控的境外人民币回流机制,从而使离岸和在岸人民币市场协调发展。本文通过考察国际主要货币发行国近40年资本账户的资本流入情况,发现开放境内债券市场以及外商直接投资对于境外资本回流具有重大意义。     

Trade credit,collateral liquidation,and borrowing constraints

Assuming that firms’ suppliers are better able to extract value from the liquidation of assets in default and have an information advantage over other creditors, the paper derives six predictions on the use of trade credit. (1) Financially unconstrained firms (with unused bank credit lines) take trade credit to exploit the supplier's liquidation advantage. (2) If inputs purchased on account are sufficiently liquid, the reliance on trade credit does not depend on credit rationing. (3) Firms buying goods make more purchases on account than those buying services, while suppliers of services offer more trade credit than those of standardized goods. (4) Suppliers lend inputs to their customers but not cash. (5) Greater reliance on trade credit is associated with more intensive use of tangible inputs. (6) Better creditor protection decreases both the use of trade credit and input tangibility.     

Margin regulation and volatility

An infinite-horizon asset-pricing model with heterogeneous agents and collateral constraints can explain why adjustments in stock market margins under US Regulation T had an economically insignificant impact on market volatility. In the model, raising the margin requirement for one asset class may barely affect its volatility if investors have access to another, unregulated class of collateralizable assets. Through spillovers, however, the volatility of the other asset class may substantially decrease. A very strong dampening effect on all assets׳ return volatilities can be achieved by a countercyclical regulation of all markets.     

Delegated asset management,investment mandates,and capital immobility

This paper develops a model to explain the widely used investment mandates in the institutional asset management industry based on two insights: first, giving a manager more investment flexibility weakens the link between fund performance and his effort in the designated market, and thus increases agency cost. Second, the presence of outside assets with negatively skewed returns can further increase the agency cost if the manager is incentivized to pursue outside opportunities. These effects motivate narrow mandates and tight tracking error constraints to most fund managers except those with exceptional talents. Our model sheds light on capital immobility and market segmentation that are widely observed in financial markets, and highlights important effects of negatively skewed risk on institutional incentive structures.     

审慎推进我国银行间债券市场两类回购改革

债券回购交易兼具融资、融券属性,是金融机构重要的交易工具,与拆借、现券、衍生品市场具有较强联动效应,也是央行货币政策操作的主要工具之一。银行间债券回购作为我国银行间市场的主要组成部分,在调节流动性、传导货币政策、推动利率市场化改革等方面发挥着重要作用。与国际上转移质押物所有权的做法不同,我国债券回购以质押券冻结方式为主。随着银行间债券市场的不断发展,质押式回购冻结的债券越来越多,形成了“流动性越好的债券反而越容易被冻结”的现象,制约了债券二级市场流动性,不利于健全国债收益率曲线与货币政策传导,影响价格发现与债券估值。两类回购利率比价关系不尽合理,易造成不同类型回购利率之间利差走阔。审慎推进银行间债券市场两类回购改革,发挥市场自主选择机制,适度调整回购市场格局,完善现有回购制度逐步与国际接轨,有利于提高债券二级市场流动性,满足金融机构的债券交易型需求,更好发挥债券回购在货币市场中的稳定器和利率锚的作用,推进银行间债券市场对外开放与健康发展。     

中国货币市场基准利率选择的实证研究

基准利率具有市场性、基础性、测控性、波动性和预测性等五个基本属性,参考FFR和LIBOR的数量属性,利用EGARCH、Granger等模型对2001年至2010年中国货币市场候选基准利率的时间序列数据进行市场性检验、测控性检验、波动性检验、基础性检验及预测性检验。实证结果表明,七天期银行间回购利率是当前中国货币市场上表现最好的基准利率,同时SHIBOR利率也具有很强的基准利率潜质,但因时间序列较短,难以定论。     

XVA analysis from the balance sheet

XVAs denote various counterparty risk related valuation adjustments that are applied to financial derivatives since the 2007–2009 crisis. We root a cost-of-capital XVA strategy in a balance sheet perspective which is key to identifying the economic meaning of the XVA terms. Our approach is first detailed in a static setup that is solved explicitly. It is then plugged into the dynamic and trade incremental context of a real derivative banking portfolio. The corresponding cost-of-capital XVA strategy ensures for bank shareholders a submartingale equity process corresponding to a target hurdle rate on their capital at risk, consistently between and throughout deals. Set on a forward/backward SDE formulation, this strategy can be solved efficiently using GPU computing combined with deep learning regression methods in a whole bank balance sheet context. A numerical case study emphasizes the workability and added value of the ensuing pathwise XVA computations.     

Who makes on-the-run Treasuries special?

The most recently issued, on-the-run, Treasuries are extremely liquid and frequently trade at a premium in both the cash and repo, or financing, markets. Previous research suggests that both the cash and repo premiums reflect demand from buy-and-hold investors who value the superior liquidity of these securities and are reluctant to lend them in the repo market. We find evidence that premiums in the repo market are also closely related to market participants’ demand to hedge interest rate risk associated with their holdings of fixed income securities.     

深化增值税改革的市场反应及影响因素

运用事件研究法和多元回归法考察 “深化增值税改革”（2018年3月28日国务院常务会议）的市场反应及其影响因素。结果表明：尽管中美“贸易战”对股市产生了较大的负面影响,但投资者仍将“深化增值税改革”视为利好消息,且试点行业的市场反应都显著为正。从市场反应影响因素来看,研发支出越多、融资约束越强的公司市场反应更好。此外,进一步细分公司特征发现,高税收敏感度和高产品市场竞争程度的公司市场反应更加积极,存在超额雇佣且研发支出较高以及不存在超额雇佣但融资约束较高的公司市场反应也更加积极。     

Asset liquidity and financial contracts: Evidence from aircraft leases

Financial contracting theories agree that more-liquid assets decrease the expected cost of external financing, thus making leasing more attractive and reducing lessors’ equilibrium return. However, the literature has ambiguous predictions about the effect of liquidity on the maturity of leases. These predictions are further complicated by the existence of two types of lease contracts—operating and capital—that differ in whether asset ownership transfers to the lessee at the end of the contract. Using data from commercial aircraft, I find that more-liquid assets (1) make leasing, operating leasing in particular, more likely; (2) have shorter operating leases; (3) have longer capital leases; and (4) command lower markups of operating lease rates.     

房价波动、抵押资产价值与企业风险承担

本文将房价波动作为外生事件,探讨了由房价波动所带来的抵押资产价值变化对企业风险承担水平的影响。房价上涨所带来的抵押资产价值上升会增强企业的融资能力,此时,理论上,一方面,管理层为了规避风险,会将抵押资产价值增加所带来的资源配置到那些风险较小但短期内可以获得高额利润的行业(如:房地产行业),从而会降低企业的风险承担水平;另一方面,因为企业融资能力的增强,管理层将有更充裕的资金投入到那些高风险且收益为正的项目,从而会提高企业的风险承担水平。实证结论支持第一种理论机制。进一步的实证检验支持非房地产企业大量进行房地产投资是上述结论形成的主要路径。在克服内生性问题和度量误差的可能影响之后,本文结论依然存在。     

投资者结构与期限结构对期货市场效率的影响研究

有效市场假设认为,投资者不能通过任何信息的获取而获得超额收益,即价格能够及时地反映所标资产的相关信息和风险。通过对上海期货市场金融危机前后交易数据的检验,发现其存在显著的长期惯性利润,证明了其不符合有效市场假设和可能存在市场操纵行为。Granger因果检验进一步发现短期的投机行为越多惯性利润越低,长期惯性利润越高投机行为越多。因此上海期货市场有必要通过减少交易成本和提供更多的交易信息去改善市场结构和效率。     

Does information sharing reduce the role of collateral as a screening device?

Information sharing and collateral are both devices that help banks reduce the cost of adverse selection. We examine whether they are likely to be used as substitutes (information sharing reduces the need for collateral) or complements. We show that information sharing via a credit bureaus and registers may increase, rather than decrease, the role of collateral: it can be required in loans to high-risk borrowers in cases when it is not in the absence of information sharing. Higher adverse selection makes the use of collateral more likely both with and without information sharing. Our results are in line with recent empirical evidence.     

Market Integrity and Surveillance Effort

Maintaining and enhancing market integrity is a central objective of exchanges worldwide. However, there is relatively little research examining the efforts of exchanges in achieving this objective. Using unique data, this paper presents evidence on Australian Stock Exchange surveillance effort and the characteristics of alleged market manipulation. The evidence reveals significant and enhanced surveillance effort over time. Significant changes in the characteristics of alleged manipulation are also evident. Analysis of these changes indicates improved integrity outcomes in areas of persistent and targeted Surveillance effort.     

近年来我国市场非总均衡态势变化及其成因分析

实现市场总均衡是宏观调控的基本目标.而我国市场长期处于非均衡状态.本文分析了1998-2002年和2003年至今两个阶段的市场非总均衡态势及其成因,研究前一个阶段意在为分析当前的结构性非均衡市场提供历史参考,进一步剖析我国市场运行及经济运行中存在的深层次矛盾--生产和消费之间的矛盾,提出使非总均衡向总均衡转化的途径和手段.