基于关联规则的企业财务风险分析

企业对自身财务风险的管理直接影响企业的可持续性发展,具有重要意义。本文基于2015年我国上市ST（Special Treatment）公司财务指标数据对公司财务风险进行分析。首先,对财务数据进行预处理,运用关联规则,挖掘出隐藏在财务指标中的规则,最后选取具有较高代表性的财务指标,对公司财务风险进行分析预警。实证分析表明：当上市公司财务出现危机时,总是存在一些集中出现的财务指标,它们的波动对企业财务风险有直接影响。通过分析这些指标可以对上市公司财务风险进行预警防范。     

开放条件下中国金融风险预警指标体系研究

本文从金融危机形成机理的分析入手,构建了一套由宏观经济风险指标、金融市场风险指标、银行经营风险指标以及金融开放风险指标等4个子系统组成的金融风险预警综合指标体系。本文采用动态分析的方法,考察该指标体系对我国金融风险变化的预警功效,从而为金融危机的预警提供量化判断依据。研究表明,金融开放带来的跨境短期资本流动变化及其对外短期债务规模扩大的风险,对金融体系安全的影响较大,值得密切关注。     

Assessing Vulnerability to Financial Crisis: Evidence from Indonesia

This paper examines the view that the recent Indonesian crisis was largely unforeseen. The broadest macroeconomic indicators were of virtually no help in presaging the crisis; neither were high-frequency financial indicators. But warnings were there, just below the surface, in some of the macro indicators and in certain structural weaknesses that were long recognised as threats to financial stability. That said, none of these warnings suggested crisis of the magnitude that eventually occurred. The Indonesian experience indicates that macroeconomic stability should never be taken for granted. Signs of vulnerability to financial instability include: the degree of reliance on gross private capital inflows (taking into account maturities and the implications for rollovers); the extent of unhedged foreign exchange positions; and certain indirect indicators, such as policy slippages and key personnel changes. Finally, in a world of volatile capital flows, crisis will tend to occur before standard economic data suggest that crisis is imminent.     

The Japanese labour market during the global financial crisis and the role of non-standard work: A micro perspective

This paper analyses aggregate labour dynamics during the global financial crisis in Japan and the role of non-standard work using micro data. The analysis proceeds in two steps. First, using comprehensive establishment-level datasets for the period 1991–2009, it provides a detailed portrait of the adjustment behaviour of establishments at the micro level. Second, it compares aggregate labour market dynamics during the global financial crisis with that observed during the 1997 crisis and decomposes the observed differences into components that can be attributed to changes in the micro-adjustment behaviour of Japanese establishments, changes in the incidence of non-standard work and changes in the distribution of shocks across establishments. It finds that the incidence of non-standard work has increased considerably, worker turnover is much higher among non-standard than standard workers and adjustments in working-time are less important for non-standard workers. Counterfactual simulations suggest that the employment response during the global crisis would have been smaller if the incidence of non-standard work remained at the level observed during the 1997 crisis. The relatively small employment response observed during the global financial crisis is therefore driven by factors other than the increase in the incidence of non-standard work.     

Predicting recessions: Some evidence for Germany

Predicting Recessions: Some Evidence for Germany. - This paper assesses the information content and performance of selected series as indicators and predictors of recessions in Germany. The series are a composite leading indicator, a business confidence measure, and seven financial variables. The estimation of in- and out-of-sample probabilities of recessions based on probit analyses indicates that in the past the yield spread has been the most promising indicator, with a lead time to recession of around four quarters. However, the performance of the yield spread may be reduced in the future if yield spreads are more influenced by international rather than domestic factors.     

国内外金融危机预警模型述评

随着全球化进程的加快,金融市场逐渐成为各国经济运行的核心。金融体系本身的特殊性,其既给各国经济发展带来了机遇的同时也伴随了大量的风险。世界范围内接连不断的金融危机暴露出金融风险的严重紧迫性和金融危机的破坏性,尤其在发展中国家和新兴市场国家这一问题更加突出。因此,构建有效的金融危机预警体系,筛选恰当的预警指标,能够相对准确的预报警情,确定危机来源,判断危机大小就显得迫切重要。在此对国内外流行的金融危机预警方法的基本原理、模型的发展和缺陷进行梳理和对比分析,为我国金融危机预警研究工作提供参考。     

我国制造业上市公司财务危机预警实证研究

本文选取沪深两市A股制造业行业的上市公司作为研究对象,在传统财务预警指标基础上,引入公司治理结构、股权结构以及审计意见等非财务预警指标,采用因子分析和Logistic回归建立公司陷入财务危机前两年的财务危机预警模型。实证结果表明,加入审计意见指标建立的综合财务危机预警模型可以提高财务危机预警精度。     

Measuring the Financial Cycle in South Africa

We measure the financial cycle of South Africa using three different methodologies. The financial cycle is identified using credit, house prices and equity prices as indicators, and estimated using traditional turning-point analysis, frequency-based filters and an unobserved components model-based approach. We then consider the financial cycle’s main characteristics and examine its relationships with the business cycle. We confirm the presence of a financial cycle in South Africa that has a longer duration and a larger amplitude than the traditional business cycle. Developments in measures of credit and house prices are important indicators of the financial cycle, although the case for including equity prices in the measures is less certain. Periods where financial conditions are stressed are associated with peaks in the financial cycle, suggesting that the estimated financial cycle may have similar leading indicator properties to financial conditions or stress indices.     

How do leverage ratios affect bank share performance during financial crises: The Japanese experience of the late 1990s

This study investigates the relationship between leverage ratios and bank share performance for a sample of Japanese banks during the period of financial crisis in the late 1990s. We differentiate between two types of leverage ratios: book leverage and market leverage. We show that market leverage instead of book leverage observed before the crisis has statistically and economically significant predictive power for the cross-sectional variation in bank performance during the crisis, even after controlling for a variety of other indicators reflecting bank’s characteristics and financial conditions. We also find that banks with lower market leverage ratios were affected more adversely by the failure announcements of large financial institutions during the crisis. The results are robust across alternative model specifications, statistical methodologies, lengths of sample intervals, and measures of bank share performance during the crisis. Our results therefore have important implications for regulators in identifying distressed banks that are vulnerable to the deterioration in conditions of the financial system.     

Factors contributing to the financial crisis in Korea

Korea's economic development is a well documented fact. The globalization of the Korean economy brought with it a high rate of economic growth. The Korean economy began to experience a financial crisis from late 1997. This paper inquires into the causes that led to such a crisis. It shows that there were economic indicators foretelling the crisis. Among many factors causing the crisis, the current account deficit, the inadequate cash flows of corporations and the banks' weakening finances, and the small amount of international reserves, provided conditions for a successful speculative attack on the Korean won. The government guarantees led to over-investment and excessive borrowing. Thus, the self-fulfilling hypothesis of Flood and Garbers (1984) and Obstfeld (1986) and the hypothesis of Krugman (1998) explain the causes of the Korean crisis to a great extent. This paper addresses banks' performance and the weak financial condition of corporations and concludes that to get back on the path of stable economic growth, export diversification and productivity growth, together with a sound financial system, is necessary.     

基于不同指标类型的财务危机预测模型比较——来自我国制造业上市公司的实证研究

本文选取我国证券市场上446家制造业上市公司,以因财务状况异常而被ST作为公司进入财务危机为标志,分别建立了基于财务指标的危机预测模型、基于非财务指标的危机预测模型和基于混合指标的危机预测模型,并对模型的预测结果进行了比较分析。分析发现,财务指标模型对于训练样本预测精度好于非财务指标模型,但模型外推性(稳定性)不如非财务指标模型。财务指标模型和非财务指标模型的互补性较强。混合指标模型兼具了单指标类型模型的优点,对于训练样本和测试样本的预测精度都具较高水平。     

机器学习算法在房地产企业财务风险预警中的性能比较

基于AdaBoost-SVM的房地产企业财务风险预警模型将支持向量机(SVM)和自适应增强(AdaBoost)算法结合在一起,选取19个财务指标,基于60家房地产上市公司2005—2021年的财务面板数据进行仿真计算以及同类预警模型性能对比分析。结果表明,构建的算法模型在企业财务风险评估预测性能上优于同类4种算法模型,可有效帮助房地产企业提前预警潜在危机,防范财务风险,提升企业的竞争能力。     

经济发展与国有商业银行利润效率

体制改革中国有商业银行盈利能力备受瞩目,以往认为盈利能力差的国有商业银行在世界金融危机期间成为世界最赚钱的银行。本文从不完全竞争厂商利润最大化角度设定随机前沿法利润效率分析模型,以财务盈利能力指标ROAA作为第三方检验标准,分析了1996至2010年我国商业银行利润效率与经济发展指标之间的联系。结果表明:国有商业银行利润效率历经高速增长2003年开始高于其他股份制商业银行;国有商业银行利润效率与GDP增长率和固定资产投资增长率强相关,与消费增长率弱相关;而股份制商业银行利润效率与宏观经济指标相关度弱。由此推断,后危机时代经济增长速度减缓将对国有商业银行利润效率形成较强冲击,而对股份制商业银行影响小,同时消费领域可能成为未来国有商业银行新的利润增长点。     

中国与“一带一路”沿线国家双边贸易周期的动态变迁测度

文章基于1996-2017年期间中国与“一带一路”沿线国家进出口贸易增长率年度数据，运用附加结构突变点的非线性马尔科夫区制转移模型，测度中国与沿线国家整体、各区域、各国双边贸易周期的阶段性差异和时变性特征。研究发现：（1）中国与沿线国家双边贸易周期在2008年前后存在明显的结构性差异，在突变点后，中国与沿线国家整体、各区域的双边贸易平均增长率以及高、低平均增长率普遍大幅降低。（2）2008年全球金融危机对各区域的影响程度不同，其中，欧盟区域遭受的冲击相对最深，亚洲非盟区域次之。此外，与联盟区域相比较，非联盟区域抵御双边贸易市场剧烈波动的能力更加有限。（3）中国与“一带一路”沿线国家整体、各区域、各国的双边贸易周期普遍表现出收缩惰性的“亚洲金融危机效应”（1996-2000年）、强势扩张的“WTO效应”（2001-2007年）、宽幅震荡的“全球金融危机效应”（2008-2012年）以及“V型”复苏发展的“‘一带一路’效应”（2013-2017年）。（4）沿线各国双边贸易的动态演化特征存在较强的关联性，同时，沿线各国经历双边贸易扩张以及收缩的时点、持续期、累计时间普遍存在差异。协同性程度指标进一步显示，沿线各国与整体双边贸易周期的协同度普遍较高，且突变点后沿线各国与整体的协同度普遍高于突变点前。     

Foreign devaluation as a coordinating device of heterogeneous investors: A game‐theoretic analysis of financial contagion

This paper investigates financial contagion by extending the Morris–Shin (1998) model of financial crises. It is assumed that before a devaluation in a foreign country, home investors have only private information on the state of the home country. It is demonstrated that the occurrence of a currency crisis in the foreign country may trigger a similar crisis in the home country by coordinating heterogeneous beliefs of home investors. The model is designed to describe the Asian currency crisis of 1997.     

Debt Sustainability and the Ongoing Financial Crisis: The Case of IDA‐only African Countries*

Abstract: The ongoing financial crisis has raised concerns in many circles about a potential future wave of sovereign defaults spreading among developing countries and, therefore, the need for additional rounds of debt relief in poor indebted countries. This paper addresses this issue for a group of 31 International Development Association (IDA)‐only African countries, which are in a fragile debt situation. Using the most recent debt sustainability analyses (DSAs) undertaken for these countries by the World Bank and the IMF, this paper studies the potential adverse effect of the ongoing financial crisis on the countries’ debt burden indicators, as a function of the depth and length of the crisis. The latter is measured by the fall and the duration of such fall in exports revenues, and by the terms at which each country can obtain financing to muddle through the crisis period. The analysis underscores the importance of concessional financing for these countries, especially if the crisis proves to be a protracted one. This, because the likelihood of countries being able to muddle through the crisis without defaulting on their external debt decreases with the hardening of the financial conditions faced by them — alternatively, the size of the downsizing in domestic (fiscal) expenditures needed to ensure the service of their foreign debts increases with the tightening of financial conditions.     

THE EFFECT OF STRESSED ECONOMIC CONDITIONS ON SYSTEMIC RISK WITHIN THE SOUTH AFRICAN BANKING SECTOR

The credit crisis resulted in increases in credit, market and operational risk, but it may also have precipitated a surge in systemic risk. Measuring systemic risk as the price of insurance against distressed losses in the South African banking sector, this article attempts to determine whether the financial crisis has in fact resulted in an increase in systemic risk. Using probabilities of default and asset return correlations as systemic risk indicators, it is found that the financial crisis has indeed increased systemic risk in South Africa. The impact was, however, less severe than that experienced in other large international banks.     

企业财务危机形成机理和防范研究：一个文献综述

目前,学术界对企业财务危机形成机理及防范的研究主要集中在对财务危机定义和标志的界定、财务危机预测方法和模型的确定、财务危机成因的分析及财务危机的处置等几方面。基于此,本文在对国内外专家对上述问题研究的相关文献进行梳理的基础上,对企业财务危机形成机理和防范研究的发展趋势进行展望。     

Systemic risk in the financial sphere: Theoretical study and approaches to its estimation

The international financial crisis stimulated research interest in the problem of financial risks. Systemic and systematic risks are the most complicated and poorly studied macrolevel risk effects. Approaches to the regulation and estimation of systemic risks are reviewed in this paper. Special attention is paid to methods of qualitative analysis of the crisis potential accumulation mechanism.     

金融危机下我国旅游消费需求的口红效应研究

本文采用了实证研究和定性分析相结合的方法,从入境旅游、国内旅游、出境旅游三个方面分析了全球金融危机对我国旅游需求的影响。经过分析发现了金融危机下我国旅游消费需求的"口红效应"现象。同时,本文通过理论论证揭示了旅游业将逐渐从"口红效应"的被边缘化的角色转变为受益者,希望为我国旅游业在今后应对类似危机的经营管理中提供有益的借鉴。