Financial Markets and International Risk Sharing

Panel analysis of 21 industrial countries shows evidence for pro-cyclicality of capital gains on domestic stock markets over a medium term horizon. Thus, with cross-border ownership of portfolio equity investments, potential for hedging against domestic output fluctuations by means of the capital gains channel of foreign liabilities is found. Individual country analysis reveals substantial heterogeneity of cyclicality patterns. Evidence suggests that this cross-country variation can be explained by the level of economic development and the size of financial markets.     

论国际金融监管改革的最新进展:全球金融市场LEI系统的构建

2010年11月,美国基于金融监管改革的需要率先提出了为美国金融市场构建LEI系统的设想。这一设想为推进国际金融监管改革,特别是构建统一的国际金融监管框架提供了新的思路。此后,美国在G20框架下通过金融稳定委员会积极推动全球金融市场LEI系统的建设。由美国主导的全球金融市场LEI系统的构建一方面代表了国际金融监管改革的主要方向,另一方面也将对广大新兴市场以及发展中国家产生复杂的影响。该系统的构建是一个复杂的系统工程,其在操作层面还需要解决一系列的问题。中国应当积极参与该系统的构建,在国际金融监管改革进程中发挥更大的作用。     

Systemic Risks Spillovers and Interdependence among Stock Markets: International Evidence with Covar‐Copulas

Empirical studies have provided ample evidence on the potential benefits of international diversification with portfolios that consist of both domestic and foreign assets. This coupled with sudden and periodic crashes in global and developed equity markets have stimulated the interest of investors to diversify across markets that have the potential to provide decorrelation with global markets during turbulent periods. At the same time, international diversification may intensify cross‐border listing of stocks with its antecedent implication of shocks transmission. The above have engendered renewed interest among researchers to explore the dependence levels and spillover effects of shocks among emerging and developed equity markets. This paper examines tail dependence structure and (extreme) systemic risks spillover effects among international equity markets using advanced econometric techniques that underpin the modelling of asset returns. We find evidence of low positive significant dependencies between all African markets and their developed counterparts, except for Egypt. Although no evidence of spillover effects to the markets in Africa was found, both unidirectional and bi‐directional causality between some African and developed equity markets is found, albeit with differences. We are unable to ascribe the dynamics in the causality structure to level of market integration. It is inferred that the degree of individual local markets interdependence with developed counterparts may reflect the relative size, liquidity and degree of foreign investors' participation.     

控制财政风险与金融风险的相互转化

大量的国际经济金融现象表明，财政风险与金融风险相互作用又相互转化，二者内在的相关性非常高。由于以公有制为主体的经济制度基础和以市场为导向的经济体制转轨的特殊背景，二者的相关性在我国的表现尤为突出。因此，不论是防范和化解财政风险，还是防范和化解金融风险，都必须充分考虑二者的相关性，并采取多种措施综合性地加以控制。     

涨跌幅限制对证券市场影响的实验经济学研究

涨跌幅限制是一种稳定证券市场价格的制度安排。长期以来有关涨跌幅限制的政策效果一直存在较大的争议。本文借鉴西方实验经济学的基本方法。利用相关计算机实验系统。设置无涨跌幅限制、静态涨跌幅限制和动态涨跌幅限制三组不同的实验环境。分另4选取实验参与人进行模拟证券交易,对静态和动态涨跌幅限制制度对市场的影响进行研究。本文得出的结论是。与没有价格限制的基准实验相比较,动态和静态涨跌幅限制都显著的抑制了价格对基础价值的偏离。提高了市场的信息反映程度。实验结果还表明。动态涨跌幅限制能够抚平市场反应的波动程度．提高市场的流动性,而静态涨跌幅限制在一定程度阻碍了交易的实现,影响了市场交易的持续性。     

金融结构变迁中的金融风险演化

鉴于美国次级债危机造成的损失正在金融市场上扩散,本文对金融结构变迁中金融风险的演化机制进行了分析,指出这次美国次级债危机是缺乏有效风险管理的必然结果。并提出了应该在世界范围内建立统一有效的风险管理机制的建议。     

Flight to Quality in International Markets: Investors’ Demand for Financial Reporting Quality during Political Uncertainty Events

We examine whether international equity mutual fund managers shift their portfolios toward stocks with higher financial reporting quality (FRQ) during periods of high political uncertainty. Our study is motivated by two primary factors. First, prior research shows evidence of fund managers’ “flight to quality” (e.g., to less risky securities) during periods of uncertainty. Second, recent theoretical research concludes that stocks with higher FRQ are assessed as less sensitive to systematic risk (such as political uncertainty). We employ national elections as exogenous increases in systematic risk in the local markets and accordingly use an international sample of mutual funds that focus on local markets. We find that mutual fund managers shift their equity holdings to stocks with higher FRQ during election periods when political uncertainty is higher. Such a flight‐to‐quality effect is less pronounced for elections with larger expected electoral margins in the pre‐election period (i.e., when the incumbent is more likely to win the election) and for countries with higher transactions costs. In contrast, the effect is more pronounced when governments have greater involvement in the local economy. Our inferences are robust to alternative proxies for political uncertainty and FRQ and to numerous other sensitivity analyses.     

当前外汇市场的风险及其对策

长期以来,中国的企业、银行和居民对外汇市场的风险都不太敏感,这一方面是由于中国参与国际金融一体化的程度不高,另一方面是我们对金融衍生产品知之甚少,应对外汇市场风险的管理手段有限。然而,随着中国在国际经济和贸易中地位的上升,中国金融市场和国际金融市场的联系日益加深,国际金融市场的剧烈波动已经对中国的经济主体产生了巨大的影响。因此,关注外汇市场风险,进行必要的风险管理已成为当务之急。那么什么是市场风险呢?所谓市场风险实际上就是价格风险,即由于利率、汇率、股票价格和商品价格的不利变动而使经济主体发生损失的风险,因…     

警惕高校贷款的金融风险

2006年6月27日,国家审计署审计长李金华向全国人大常委会通报了中国农业银行2004年度资产负债损益审计结果,其中特别提醒需要注意高校贷款业务存在的潜在风险.     

Financial Markets and the Instability of General Equilibrium

The Hicksian general equilibrium with money and securities is the starting point for an expansion with numerous other financial variables. Disturbances to the system, partly observed from recent experience, are examined, and possible remedies are proposed. Walras’ Law, that the sum of excess demands for goods and basic factors is zero, no longer applies in an economy where financial variables are present. The main analysis is of a closed economy; the open economy, in the manner introduced by Mosak, is treated in an appendix.     

金融服务外包风险及其对策

金融服务外包正在全球化的背景下迅猛发展。金融企业通过将非核心的业务外包给海外服务供应商,可以节约成本,集中优势资源发展核心业务,优化其市场战略,在市场竞争中取得优势。文章叙述了金融服务外包中的风险,并探讨了规避这些风险的对策。     

Financial Liberalization and Stock Market Efficiency: Causality Analysis of Emerging Markets

This paper studies the long- and short-run relationship between financial liberalization and stock market efficiency. It expands the extant body of knowledge by investigating Granger causality relationship applying mean group, common correlated effect mean group and common correlated effect pooled estimator to balanced panel data for 27 emerging markets over the period 1996–2011. We find evidence of financial liberalization Granger causes stock market efficiency, which is consistent with liberalization leads to efficiency hypothesis. Subsequently, our work makes a fresh contribution to the literature by focusing on informational efficiency of stock markets rather than financial development. Furthermore, we find that a negative long-term relationship between financial liberalization and stock return autocorrelation coexists with a positive short-term relationship between the two. The findings that financial liberalization, which has a deteriorated effect on stock market efficiency in the short-run, but positive impact in the long-run, allow us to draw an analogy similar to the J-curve hypothesis.     

对企业财务风险评价方法的再探讨

随着经营不确定性增强，企业常常因财务风险过大而陷入危机，对财务风险评价与控制已成为财务管理的重要内容。本文阐述了现行企业财务风险评价的方法，特别构思了一种新的评价财务风险的方法，目的在于提高企业的财务风险意识，从多角度认识评价财务风险。     

我国金融风险的成因及对策研究

随着金融市场的全球化和现代市场经济的不断发展,金融业在国民经济的核心地位和作用越来越明显。与此同时,也积聚了多种金融风险。因此,加快金融改革步伐,切实预防和逐步化解金融风险具有重要的现实意义。当前我国存在的金融风险问题已引起党中央、国务院的高度重视和全社会的广泛关注,本文从我国金融风险的现状出发,全面分析了我国金融风险产生的原因,并提出了相应的防范和化解的对策。     

国际证券组合投资的收益与风险分析

本文对国际证券组合投资的市场效用，汇率效用，投资组合效用等潜在利益进行了分析。同时也探讨了国际证券组合投资面临的市场风险，汇率风险，政治风险，流动性风险。     

澳大利亚财政金融风险监管体制、做法及借鉴意义

澳大利亚作为世界发达国家之一,连续多年以来实际GDP平均增长速度保持在3．5％左右,人均GDP约达3．6万美元,通货膨胀率一直保持在3％左右。自上世纪80年代以来,澳大利亚金融业出现突飞猛进的发展,目前,已发展成为世界最发达的金融市场之一。澳大利亚严密、高效的综合审慎金融监管框架、监管模式和做法,值得中国学习和借鉴。     

从国际和历史角度看国际资本流动与金融安全问题

近一两年来,在世界许多国家都出现了国民经济金融安全问题的热烈讨论.一些意见主要针对国际资本流动,尤其是针对各种形式的国际资本流入本国经济及可能带来的广泛影响.