杠杆演进以及初始杠杆对资本结构的影响分析

本文对公司财务杠杆的演进趋势以及初始杠杆对资本结构的影响进行了实证检验。结果表明,在初始时较高(或较低)杠杆公司在10年后仍维持较高(或较低)杠杆,并保持明显的差异性。随着时间的推移,较高(或较低)杠杆公司呈现出显著的杠杆收敛性。初始杠杆对10年以后公司当前杠杆的决定存在着显著且稳定的影响,即初始杠杆不随时间而改变且反映公司初始企业特征的因素是当前杠杆的重要决定因素。     

An empirical study of the Mexican banking system’s network and its implications for systemic risk

With the aim to measure and monitor systemic risk, we present some topological metrics for the interbank exposures and the payments system networks. The evolution of such networks is analyzed, we draw important conclusions from the systemic risk's perspective and propose a measure of interconnectedness. Additionally, we suggest non-topological measures to describe individual behavior of banks in both networks. The main findings of this paper are: the structures of the payments and exposures networks are different (in terms of connectivity); the topology of the exposures network changed after the collapse of Lehman Brothers, whereas the structure of the payments network does not; the proposed measure of interconnectedness can be used to determine the importance of a bank in terms of connectivity. Finally, we found that interconnectedness of a bank is not necessarily related with its assets size but it is linked to the contagion it might cause.     

产品市场竞争:企业负债融资决策的新视角

20世纪80年代中期以来,企业负债融资对产品市场竞争的影响引起经济学家的广泛关注,并发展成为资本结构理论一项重要内容。本文拟就国外理论界对企业负债融资和产品市场竞争的研究成果进行述评,进而提出了我国深入开展该领域工作的政策建议。     

上市公司产品市场竞争与资本结构选择的实证分析

本文通过对2001￣2003年我国沪深两地上市公司的实证研究表明,产品市场竞争程度是资本结构决定的重要影响因素,产品市场竞争程度与资本结构的选择高度正相关,认为这种经营风险与财务风险不匹配现象与我国上市公司的股权融资效率低下和上市公司的竞争性战略选择有关。     

企业财务危机内涵探究及相关概念辨析

财务危机的涵义探讨经历了半个多世纪,对其概念的研究也随着时代的发展不断延续和深入。本文追溯了财务危机概念的发展过程,对其发展进行了简要综述,剖析了财务危机概念的理论和实际涵义。对财务危机与财务风险、财务失败、企业失败等容易混淆的概念做了简要的辨析,以期对此研究提供参考。     

企业应用财务杠杆的利弊分析

财务杠杆作为企业调节权益收益的手段,对其利用的程度和方法不同,所产生的效果也会很不同。企业选择融资结构策略时必须权衡财务杠杆利益和财务风险,以便投资者以尽量低的风险取得尽可能大的利益。     

Value and risk dynamics over the innovation cycle

This paper studies investment in intellectual capital and corresponding value and risk dynamics over the innovation cycle. We assume that the innovation cycle consists of three phases, R&D, trial, and market introduction phases. We use a real option investment model to characterize firm value and risk dynamics over the innovation cycle and find that firm value is the sum of the value of assets in place and non-linear option values related to breakthrough, exit, and market introduction options. Firm risk over the innovation cycle is highly non-linear and quite distinct in different phases. During the R&D phase risk is high as the firm faces high operating leverage originating from R&D fixed costs together with technological uncertainty. During the trial phase risk is significantly lower and dominated by option risk to launch the product in the market while after the introduction of the product in the market risk is equivalent to the asset risk of the company. Our model is consistent with the view that positive excess returns of R&D intensive firms are a compensation for risk. Based on this insight we derive several testable predictions.     

高校财务风险预警指标体系的构建研究

本文分析了高校财务风险形成的内在原因,探讨了高校财务风险预警指标建立的基础工作,并根据高校财务风险预警指标设计的原则,建立了高校财务风险预警指标体系。     

A clarification of the Goodwin model of the growth cycle

We show that there is a difficulty in the original Goodwin model which is also found in some more recent applications. In it both the labour share and the proportion employed can exceed unity, properties which are untenable. However, we show that the underlying dynamic structure of the model can be reformulated to ensure that these variables cannot exceed unity. An illustrative example extends the original model, and we argue it is both plausible and satisfies the necessary unit box restrictions.     

财务杠杆在房地产投资中的运用及风险防范策略

合理利用财务杠杆,可以达到放大资本金投资收益的作用,在房地产投资中也不例外。但是充分利用财务杠杆给投资者带来高收益的同时也带来了高的财务风险。这就有必要研究在房地产投资中如何获得有利的财务杠杆以及如何才能降低房地产投资中的财务风险,以提高房地产投资者的投资效率,减少投资风险。     

分税制下的地方政府行为激励与房地产市场改革

本文分析了分税制下地方政府介入房地产市场的原因和影响;指出地方政府领导在财政收支压力和政治晋升压力的作用下,通过深度介入房地产市场获得经济发展的资金来源以缓解财政压力,进而获取政治晋升的机会;揭示了地方政府介入房地产市场对经济社会发展造成的一系列深层次矛盾,并最终拉动了房价的上涨。要改变这种局面需要为地方政府建立稳定可靠的收入来源,并对当前的土地出让制度进行深入改革。     

Impact of investor’s varying risk aversion on the dynamics of asset price fluctuations

While investors’ responses to price changes and their price forecast have been identified as one of the major factors contributing to large price fluctuations in financial markets, our study shows that investors’ heterogeneous and dynamic risk aversion (DRA) preferences may play a more critical role in understanding the dynamics of asset price fluctuations. We allow an agent specific and time-dependent risk aversion index in a popular power utility function with constant relative risk aversion to construct our DRA model in which we made two key contributions. We developed an approximated closed-form price setting equation, providing a necessary framework for exploring the impact of various agents’ behaviors on the price dynamics. The dynamics of each agent’s risk aversion index is modeled by a bounded random walk with a constant variance, and such dynamics is incorporated in the price formula to form our DRA model. We show numerically that our model reproduces most of the “stylized” facts observed in the real data, suggesting that dynamic risk aversion is an important mechanism for understanding the dynamics of the financial market and the resultant financial time series.     

基于土地杠杆的住房价格动态分解

住房可分为土地和依附于土地的建筑物两部分。基于土地杠杆基本概念,利用我国35个大中型城市数据,将住房价格动态分解为土地价格和建筑物价格,考察我国住房价格增长中土地增值的贡献比例与速度。对土地杠杆假说的实证检验发现,拥有更高土地杠杆的住房,其增值速度会更快。通过对土地杠杆假说的实证研究,对于了解潜在的房价决定机制、价格指数建立、土地利用限制的成本评估,以及制定住房政策和评估住房市场的合理性等,都具有重要的作用。     

基于风险事件的期货市场环境分析及对策

本文通过分析近年来期货市场发生的风险事件,研究得出期货市场环境的不完善,即期货交易法律法规建设滞后、公共信息缺乏以及现货市场化水平低下等,是一系列风险事件发生的诱因。文章认为,完善市场环境是发展我国期货市场的必然要求,也是期货市场功能有效发挥的有力保证。     

The dynamics of Central European equity market comovements

This paper examines short-term and long-term comovements between developed European Union (EU) stock markets and those of three Central European (CE) countries which recently joined the EU. Dynamic cointegration and principal components methods are applied, in addition to static tests. While we find no evidence of cointegration for the period July 1995–February 2005 as a whole, dynamic tests reveal alternating period of cointegration disrupted by episodes dominated by short-term domestic factors. Principal components analysis reveals that a stable factor explains a large proportion of return variances. Ultimately, despite the decade-long process of alignment by CE countries with the EU, evidence of steadily increasing convergence of equity markets is lacking.     

Predicting a recovery date from the economic crisis of 2008

Predicting a recovery from a crisis is always difficult, but it is particularly so with the 2008 crisis in the United States. How could a small segment of the financial markets known as subprime credit bring down the world’s largest economy into the worst recession since WWII? The resulting conflicts in policy responses are so severe that the short-term objective (recovery) clashes with the longer-term and more structural goals (governance, regulations, technology). This and the enormous uncertainties caused by it add to the difficulties to predict the pace of recovery. While the economic turnaround depends on consumers’ decision to spend and business’ decision to invest and hire, in an uncertain situation such decisions can only be taken as a result of market players’ perceptions of opportunity that depend on their emotional state and confidence. When the latter produces spontaneous urge to action (‘animal spirits’), the recovery process accelerates. Thus, the appropriate model to predict recovery should be able to incorporate such perceptions factors. By identifying and prioritizing economic and policy factors, it is shown how such a model, the Analytic Network Process (ANP), can be used to make the prediction of the recovery time of the US economy. The forecast was made during Spring 2009 by the author working with participants in a seminar of “Economics of Financial Crisis” at Cornell University. We used an expert judgment approach within the framework of a decision theory model, based on the ANP structure that captures the interplay between financial market, housing sector, and market confidence, all of which are influenced by a range of policies. It is estimated that a real sustainable recovery will begin around late July or early August 2010. While a quicker recovery is possible given the enormous size of fiscal stimulus, monetary injection and unprecedented measures of qualitative easing, it is our conjecture that the temporary nature of all these measures will make such a quick turn-around unsustainable (a double-dip recession). When sensitivity analysis was performed, it was found that altering the priorities of the policies, and their interactions with the aggregate demand components, would not significantly change the estimated time to recovery. This stability of the prediction is due to the overriding importance of restoring confidence, making the other factors less important.     

The financial content of inflation risks in the euro area

Recent studies have emphasized that survey-based inflation risk measures are informative about future inflation, and thus are useful for monetary authorities. However, these data are typically only available at a quarterly frequency, whereas monetary policy decisions require a more frequent monitoring of such risks. Using the ECB Survey of Professional Forecasters, we show that high-frequency financial market data have predictive power for the low-frequency survey-based inflation risk indicators observed at the end of a quarter. We rely on MIDAS regressions for handling the problem of mixing data with different frequencies that such an analysis implies. We also illustrate that upside and downside risks react differently to financial indicators.     

What do interest rates reveal about the functioning of real business cycle models?

This paper begins by documenting the extent to which the predictions of standard Real Business Cycle (RBC) models are incompatible with observed movements in real interest rates. The main finding of the paper is that extending the baseline model to include habit persistence in consumption and adjustment costs to capital significantly improves the model's empirical performance. In our evaluation of the model's performance, we take special care of estimating and testing predictions of the model using both moments drawn directly from the data and moments calculated after identifying shocks to the stochastic trend.