理性预期、资本内流与货币危机--基于资本流动的宏观效应分析北大核心CSSCISSCI

货币危机发生机制问题,一直是国际经济学的研究热点之一。货币危机的三代模型注重的是从微观经济主体的行为出发,去解释货币危机发生机制。虽然货币危机预警模型是从宏观方面来研究货币危机,然而却是建立在统计经验之上的,缺乏严密的数理基础。本文从宏观经济的角度出发,基于资本流动的宏观效应,运用数理模型对货币危机发生的机制进行了理论分析,给出了一个货币危机发生机制的宏观模型,该模型的主要结论是:资本内流存在一个临界值,一旦资本流入超过临界值,货币危机就会发生。运用该模型给出了防止货币危机的建议:只要当局把资本流动控制在临界值以内,就可以防止货币危机。     

货币危机理论及其最新发展——基于国际资本流动逆转的理论分析框架

货币危机理论是当前国际经济学研究热点之一,学者围绕货币危机发生的内在机制逐渐形成和发展了三代货币危机模型.但是这些模型大多从微观经济主体出发,探讨货币危机发生机制,对当前因国际资本流动逆转所引起的货币危机缺乏解释力.本文拟从国际资本流动的宏观视角出发,运用数理模型推导汇率与资本流动内在关系表达式,利用国际资本流动模型构建资本流动逆转下的货币危机理论分析框架,深入探讨了杠杆投资和去杠杆化在货币危机发生机制中的作用.     

基于资本流动逆转的货币危机理论——兼论我国应对危机冲击的策略选择

货币危机理论是当前国际经济学研究热点之一,在已有的三大危机理论中均有关于货币危机与资本流动的论述,但均是通过已构建的模型寻找货币危机和资本流动逆转的原因,而非阐述资本流动逆转与货币危机的内在关系,对当前因资本流动逆转所引发的货币危机缺乏解释力。本文拟从资本流动的宏观视角出发,运用数理模型推导汇率与资本流动内在关系表达式,利用资本流动模型构建资本流动逆转货币危机理论分析框架,探讨资本流动逆转货币危机对我国的影响和冲击,并提出应对之策。     

货币危机理论及其最新发展——基于国际资本流动逆转的理论分析框架

布雷顿森林体系崩溃后,国际社会再次进入了汇率制度混乱和货币市场动荡不安的时代,货币危机多次爆发,学者们围绕货币危机发生的内在机制逐渐形成和发展了三代货币危机理论,但这些理论对当前因国际资本流动逆转所引起的货币危机缺乏解释力。国际资本的流入和杠杆系数都应有一个合理范围。若超此范围,固定汇率制的国家可能发生严重的通货膨胀;一旦外资大规模撤离,就可能发生货币危机。     

国际资本流动下的中国金融安全实证分析

分析了国际资本流动对金融安全的冲击路径以及非均衡机制测试我国外汇市场压力指数的大小,建立了资本净流入和外汇市场压力指数之间的VAR（6）模型,研究结论表明,国际资本的净流入会增大外汇市场压力,但货币当局的冲销干预会削弱这种影响,降低发生货币危机的可能性;货币当局的政策选择应该是盯住外汇市场,而不是单纯的货币市场。     

资本项目开放中的货币危机预警研究

20世纪90年代以来,世界金融危机频繁爆发,不同程度地反映了国际资本流动对经济和金融的负面影响.随着我国资本项目开放的步伐逐步加快,构建资本项目开放中的风险预警系统是涉及到我国经济健康发展和宏观经济调控的重大课题.本文运用具有马尔科夫区制转换的向量自同归模型,构建了面向资本项目开放的货币危机预警模型.研究结果表明,预警模型发出风险信号的时机比较符合我国现实情况.文中对引发货币危机的潜在因素进行分析,针对发现的问题提出提高中央银行贷币政策独立性、加快利率和汇率形成机制改革、引入成熟市场经济调节方式等政策建议.     

人民币汇率、短期国际资本流动与股票价格——基于汇改后数据的再检验

本文首先引入风险溢价因素,建立了人民币汇率、短期国际资本流动和股票价格相互影响的模型。其次,运用VAR模型实证分析了2005年7月至2011年12月间人民币汇率、短期国际资本流动、货币供给剪刀差和股票价格之间的动态关系。理论分析和实证结果揭示了其动态演化过程:人民币升值会导致短期国际资本获利流出,货币供给剪刀差扩大,股票价格下跌,从而短期资本继续流出,人民币贬值,进而短期资本逢低流入,货币供给剪刀差缩小,股票价格上涨。期间,国际金融危机和欧洲主权债务危机的爆发,导致主要变量非对称地作用于股票价格,危机时期各变量对股票价格的作用明显大于非危机时期。     

中国实体企业金融化:货币扩张、资本逐利还是风险规避?

本文构建了一个刻画实体企业在流动性金融资产和固定资产之间进行权衡的投资组合选择模型,并创新性地将货币扩张的宏观因素引入微观模型,推演中国实业部门金融化的驱动逻辑。理论模型显示:货币扩张、资本逐利和风险规避本质上是宏观和微观两个不同层面的要素变量,但都卷入实业部门金融化的驱动机制中,然而驱动效应的表现形式要比已有文献的理论模型更加复杂。基于上市公司面板数据总体样本的实证结果表明:货币扩张、资本逐利和风险规避均是企业金融化的关键影响因素,但货币扩张表现为直接抑制和间接促进两种效应。进一步引入宏观风险因素和根据企业所有权性质划分样本的稳健性检验则给出了更为细致的信息:货币因素可能通过宏观风险因素间接作用于企业金融化;所有权性质不同的企业的金融化驱动机制也表现出明显的异质性:国有企业金融化主要受货币因素和风险规避因素影响;民营企业金融资产占比层面的金融化驱动因素是风险规避和资本逐利,而金融渠道获利占比层面的金融化则受到货币因素的显著影响;其他类型企业的金融化主要受货币因素的显著影响。     

资本流出、货币供给与通货紧缩--理论分析与中国实证检验

在国际收支的货币主义理论背景下,借助固定汇率制下资本不完全流动时的IS-LM-BP模型与开放经济下的AS-AD模型分析资本流动、货币供给与价格总水平之间的关系,进而对我国资本流出与1997-2002年宏观经济运行中发生的通货紧缩之间的影响关系进行经验检验的研究结果表明:资本流动是影响货币供应量,以及价格总水平变化的重要因素之一;在固定汇率制度下资本不完全流动时,资本流出对国内货币供应量产生紧缩效应,并使价格总水平下降。     

人民币资本项目可兑换的必要性

正货币可兑换通常指本国货币可以兑换为外国货币。根据交易性质,货币的可兑换状况可以划分为经常项目可兑换、资本项目可兑换,以及包括经常项目与资本项目可兑换在内的完全可兑换。资本项目反映了国际间资金流动的主要渠道,因此资本项目下的货币可兑换对于促进国内金融开放,便利金融交易,提高资金配置效率具有重要的意义。人民币资本项目可兑换的利弊分析在对资本项目可兑换政策进行利弊分析时,有着两种相反的视角:一种是从资本项目管制的视角出发,考虑其原因及成     

Bayesian Premium Rating with Latent Structure

We propose a fully Bayesian approach to non-life risk premium rating, based on hierarchical models with latent variables for both claim frequency and claim size. Inference is based on the joint posterior distribution and is performed by Markov Chain Monte Carlo. Rather than plug-in point estimates of all unknown parameters, we take into account all sources of uncertainty simultaneously when the model is used to predict claims and estimate risk premiums. Several models are fitted to both a simulated dataset and a small portfolio regarding theft from cars. We show that interaction among latent variables can improve predictions significantly. We also investigate when interaction is not necessary. We compare our results with those obtained under a standard generalized linear model and show through numerical simulation that geographically located and spatially interacting latent variables can successfully compensate for missing covariates. However, when applied to the real portfolio data, the proposed models are not better than standard models due to the lack of spatial structure in the data.     

The development of the group accounts disclosure system in Japan

The Japanese disclosure system of consolidated statements was introduced in 1977 and extensively revised in 1997. The role of the bureaucracy has been significant in these developments and seems to be part of Japan's closed culture. However, other explanations could also be applied. In particular, although Japanese firms opposed such disclosures on the basis of preparation costs, the Japanese government had to modernize the disclosure system, including consolidation, in order to develop the securities market regardless of an individual company's interests.     

Moments of Compound Mixed Poisson Distributions

Recursive formulae are derived for the evaluation of the moments and the descending factorial moments about a point n of mixed Poisson and compound mixed Poisson distributions, in the case where the derivative of the logarithm of the mixing density can be written as a ratio of polynomials. As byproduct, we also obtain recursive formulae for the evaluation of the moments about the origin, central moments, descending and ascending factorial moments of these distributions. Examples are also presented for a number of mixing densities.     

The designing of corporate accounting law in Japan after the Second World War

After the Second World War, during the neutralization of the controlled economy of wartime Japan, a design for a Corporate Accounting Law was elaborated by the Investigation Committee on the Business Accounting System. The Investigation Committee tried to establish not only new business accounting standards but also a central and independent administrative organ of corporate accounting regulation on the basis of the Corporate Accounting Law. The Corporate Accounting Law was expected to lay the legal foundation of the new corporate accounting regulation regime in Japan. Nevertheless, even though the original design of the fundamental accounting law was never realized, it should be considered the starting point for our understanding of external accounting history in post-war Japan.     

The deliberation around accounting techniques: accounting for depreciation and foreign exchange in an Indian jute company, 1870-1900

This paper examines the way two accounting techniques, namely depreciation and foreign exchange, were deliberated on, between 1870 and 1900, in an Indian jute company whose shareholders resided in the UK. The arena for these deliberations was the conflictual relationship between controlling and non-controlling shareholders as to how best to account for depreciation and foreign exchange especially when the particular accountings affected distributional issues such as the dividend decision. The purpose of this paper is to analyse and explain the processes by which a company's accounting practices emerge and develop as a contest between different interests. Accounting framed the parameters of the deliberations and provided the language of power and dissent. The paper uses a rich archive that includes narrative and accounting material.     

Pricing Dynamic Insurance Risks Using the Principle of Equivalent Utility

We introduce an expected utility approach to price insurance risks in a dynamic financial market setting. The valuation method is based on comparing the maximal expected utility functions with and without incorporating the insurance product, as in the classical principle of equivalent utility. The pricing mechanism relies heavily on risk preferences and yields two reservation prices - one each for the underwriter and buyer of the contract. The framework is rather general and applies to a number of applications that we extensively analyze.     

Disclosure of government financial information and the cost of local government’s debt financing——Empirical evidence from provincial investment bonds for urban construction

China’s slowing economic growth and rapid urbanization have made local government debt financing a significant issue.This study uses a sample of China’s provinc...     

Guidelines for Manuscripts Submitted to The China Journal of Accounting Research

正The China Journal of Accounting Research"CJAR"(ISSN 1755-3091)publishes quarterly.It contains peer-reviewed articles and commentaries on accounting,auditing and corporate governance issues that relate to the greater China region.We welcome the submission of both theoretical and empirical research papers pertinent to researchers,regulators and practitioners.Authors should note:1 Submissions must be original     

International harmonization of Japanese accounting standards

Historically, Japanese accounting standards have been quite distinct from International Accounting Standards (IASs) which have been perceived as being modelled on British-American accounting standards. However, in the 1990s, after the publication of E32 in 1989 and the IASC-IOSCO Agreement in 1995, the Business Accounting Deliberation Committee (BADC), the standards-setting body in Japan, has pursued a policy of harmonization with IASs. Accounting standards relating to consolidated financial statements of companies that make cross-border offerings of securities or operate worldwide are being revised drastically. This paper focuses on the development of international accounting harmonization and its impact on Japan.