我国企业境外衍生品交易风险事件比较分析

我国企业境外衍生品风险事件暴露了企业市场交易和投资能力不足,风险应对举措不足,内部控制执行不到位,缺乏有效外部监督问题,须充分吸取经验教训,推动企业、金融机构和监管部门形成合力,不断提升企业在境内外衍生品投资交易能力,更好保障我国初级产品供给,争夺大宗商品国际市场定价权。     

外汇衍生品市场对金融市场稳定的影响及其监管对策

自20世纪70年代布雷顿森林体系瓦解以来,外汇衍生产品交易增长迅猛,外汇衍生品交易为金融机构和企业提供了规避汇率风险的渠道,促进了国际贸易与投资的稳步发展。与此同时,因衍生品交易导致金融机构破产和市场剧烈波动的例子也层出不穷。本文从外汇衍生品市场发展与金融市场稳定的角度,分析了外汇衍生品市场对金融市场稳定的促进作用及潜在风险,在借鉴国际上对衍生品交易监管措施和发达国家监管框架的基础上,提出了我国监管外汇衍生品市场的相应政策建议。     

浅谈金融衍生品的创新及其风险防范

近30年来,金融衍生品创新层出不穷,深刻改变了金融业的面貌。一方面,金融衍生品创新为金融机构提供了更多的避险途径,大幅提高了金融机构的盈利能力;另一方面,也带来了新的金融风险,特别是次贷危机引发的全球金融海啸就与金融衍生品创新有着密切的联系。本文就金融衍生品的产生、特征、市场作用及其风险防范谈几点粗浅看法。     

货币商道——发展之道中外银行竞争力之辩

中国资本市场要攀上全球认同的高度,需尽快培育参与国际市场的有效平台。包括股票、固定收益产品、大宗商品和金融衍生品的金融市场。形成从资金融通．配置到交易的整个金融产业链,形成多种金融机构参与竞争的市场环境。并推进人民币国际化进程,打造完善的国际金融竞争基础条件。     

从国际比较中选择我国金融衍生品市场监管模式

随着我国金融衍生品市场逐步发展,金融机构和企业对金融衍生产品市场的参与程度正日益加深,探讨金融衍生产品市场的监管问题非常必要。本文拟通过借鉴发达国家监管模式,结合我国金融衍生品市场发展现状,尝试探讨适合我国金融衍生品市场发展的监管模式。     

场外衍生品市场风险控制之路径选择

众所周知引发自07年开始的金融危机的是金融衍生品,但是这个衍生品市场是场外市场,而不是场内市场.场外衍生品市场在全球经济中发挥着重要的作用,它帮助金融机构管理资产负债表风险,并降低资金成本.场外衍生品交易增长很快,已经远远超出场内交易的规模.同时由于其交易机制的弊端等因素,使市场积聚了大量的风险.金融危机两年多以来,政府在救市、确保经济增长的同时,也在寻求场外市场发展的新思路.     

衍生品市场的法律框架：国际比较与趋势

各国和地区的衍生品市场法律法规的形成和发展，受到历史条件和现实环境因素的影响。随着衍生品市场的蓬勃发展，全球各衍生品市场也在修订其法律法规，最明显的特征为：很多国家将衍生品同其他金融产品（现货产品）置于同一监管机构的管辖范围内；市场需求是推动衍生品监管立法的最主要动力；证券与其他衍生品（包括商品衍生品、金融衍生品）的法律适用范围得到明确界定。本文综合比较了各主要衍生品市场的法律构架，期望有所借鉴。     

信用衍生品市场的国际经验与中国发展——基于金融结构和宏观稳定的分析

信用衍生品是国际资本市场上最具创新性的金融工具之一。发展信用衍生品市场不仅可以转移金融机构的信用风险,同时也可以缓解金融脱媒问题,防止资本市场快速膨胀、扭曲银行和金融体系。然而,信用衍生品也有其另一面。美国金融危机显示信用衍生品与金融结构具有复杂的联系机制,可能冲击宏观稳定。本文提出,我国应深入剖析美国的信用衍生品市场与金融结构关系,跟踪国际市场的改革和发展方向,探索符合国情的信用衍生品市场发展道路。     

原油价格与经济政策不确定性对大宗商品市场非对称冲击效应研究

利用面板分位回归模型,考量不同市场环境下原油价格与经济政策不确定性对大宗商品市场非对称性冲击效应。结果表明：油价冲击对中国大宗商品收益的影响具有非对称性,正负油价冲击对其均有促进作用,但随着市场环境好转,正油价冲击的作用逐渐增强,负油价冲击则逐渐减弱;政策不确定性对大宗商品收益有促进作用,但在牛市环境下有抑制作用;且危机前后,油价冲击对大宗商品收益的影响存在非对称性效应。     

高波动时代银行衍生品市场发展展望

<正>美联储加息在2023年进入下半场,叠加国际变局等相关因素,预计金融市场依旧保持较大的波动性。文章展望了国内银行间衍生品市场在此背景下的发展方向：人民币对美元汇率衍生品的客户实需增加、非美货币对衍生品得到新的发展机遇、金融机构采用利率衍生品对冲利率风险需求增加。     

A Survey of Emerging Derivatives Markets

This paper summarizes theoretical and empirical research on the roles and functions of emerging derivatives markets and the resulting implications on policy and regulations. Previous studies revealed that commodity derivatives markets offered an effective and welfare-improving method to deal with price volatility. Financial derivatives markets have helped to support capital inflows into emerging market economies. On the other hand, the use of financial derivatives has led to exacerbated volatility and accelerated capital outflow. There is a consensus that derivatives are seldom the cause of a financial crisis but they could amplify the negative effects of the crisis and accelerate contagion. Previous studies of derivatives markets have supported the hedging role of emerging derivatives markets. Empirical results from a few emerging countries suggest a price discovery function of emerging futures markets. The findings on the price stabilization function of emerging derivatives markets are mixed. Finally, recent research has documented that constructive development of derivatives markets in emerging market economies needs to be supported by sound macroeconomic fundamentals as well as updated financial policies and regulations.     

国际商品市场与股票市场的溢出效应——基于中美数据的VAR-MGARCH分析

基于VAR-MGARCH-BEKK模型,对国际商品市场与中美股票市场之间的均值与波动溢出效应进行了经验分析。结果表明,国际商品市场与中美股票市场之间存在着相互的均值溢出效应,国际商品市场对中美股票市场存在波动溢出效应,同时,美国股票市场对国际商品市场存在波动溢出效应;另外,中国应该尽快编制科学合理并适合自身国情的商品指数。     

国外著名商品指数编制比较及其对我国的启示

商品期货指数,是商品期货的金融化,是期货市场发展到一定阶段的必然产物。为了更好编制和开发我国商品指数及其衍生品,本文对国外著名商品指数的编制方法从编制目的和原则、品种选择、权重设计、合约选择、指数计算等五个方面进行全方位比较研究,进而提出编制我国相关商品指数的总体思路。     

Lessons in Structuring Derivatives Exchanges

The global deregulation of financial markets has created newinvestment opportunities, which in turn require the developmentof new instruments to deal with the increased risks. Institutionalinvestors who are actively engaged in industrial and emergingmarkets need to hedge their risks from these cross border transactions.Agents in liberalized market economies who are exposed to volatilecommodity price and interest rate changes require appropriatehedging products to deal with them. And the economic expansionin emerging economies demands that corporations find betterways to manage financial and commodity risks. The instrumentsthat allow market participants to manage risk are known as derivativesbecause they represent contracts whose payoff at expirationis determined by the price of the underlying asset a currency,an interest rate, a commodity, or a stock. Derivatives are tradedin organized exchanges or over the counter by derivatives dealers.Since the mid-1980s the number of derivatives exchanges operatingin both industrial and emerging-market economies has increasedsubstantially. What benefits do these exchanges provide to investorsand to the home country? Are they a good idea? Emerging marketscan capture important benefits, including the ability to transferrisks, enhance public information, and lower transaction costs,but the success of a derivatives exchange depends on the soundnessof the foundations on which it is built, the structure thatis adopted, and the products that are traded.      

全球商品期货市场的发展趋势展望

本文从商品期货市场发展的现状出发,阐述了中国商品期货市场所取得的成就以及尚处于初级阶段的现实,并深入剖析当前宏观经济形势对大宗商品期货市场的复杂影响,展望了未来国际及国内商品期货市场的发展。     

Markov models for commodity futures: theory and practice

The objective of this paper is to develop a generic, yet practical, framework for the construction of Markov models for commodity derivatives. We aim for sufficient richness to permit applications to a broad variety of commodity markets, including those that are characterized by seasonality and by spikes in the spot process. In the first, largely theoretical, part of the paper we derive a series of useful results concerning the low-dimensional Markov representation of the dynamics of an entire term structure of futures prices. Extending previous results in the literature, we cover jump-diffusive models with stochastic volatility as well as several classes of regime-switching models. To demonstrate the process of building models for a specific commodity market, the second part of the paper applies a selection of our theoretical results to the exercise of constructing and calibrating derivatives trading models for USD natural gas. Special attention is paid to the incorporation of empirical seasonality effects in futures prices, in implied volatilities and their ‘smile’, and in correlations between futures contracts of different maturities. European option pricing in our proposed gas model is closed form and of the same complexity as the Black–Scholes formula.     

Informational Frictions and Commodity Markets

This paper develops a model with a tractable log‐linear equilibrium to analyze the effects of informational frictions in commodity markets. By aggregating dispersed information about the strength of the global economy among goods producers whose production has complementarity, commodity prices serve as price signals to guide producers' production decisions and commodity demand. Our model highlights important feedback effects of informational noise originating from supply shocks and futures market trading on commodity demand and spot prices. Our analysis illustrates the weakness common in empirical studies on commodity markets of assuming that different types of shocks are publicly observable to market participants.     

GAMBLING, SPECULATION, AND INSURANCE: WHY THEY CONTINUE TO BE CONFUSED AND CONDEMNED

Governments and the media have often attacked financiers for “speculating” in their countries' currencies, thereby forcing them to make drastic and sometimes painful changes in monetary and fiscal policies. This article argues that such accusations have no basis in economic theory, and that “such rhetoric should be seen for what it is: an attempt by politicians and policy-makers to divert attention and blame from their own mismanagement.” More generally, the author argues that the failure of the general public to understand the social benefits of financial activies such as trading in government bonds, commodity futures, and, more recently, financial derivatives has led throughout history to “prejudice, bad laws, and bad regulations.” Much as the charging of interest and certain forms of insurance were proscribed by the medieval Church, agricultural commodity futures were attacked in the 19th century (and in much of the 20th as well) in the U.S. and elsewhere as thinly disguised forms of gambling. Moreover, the same restrictions that were imposed on gambling and futures markets during the 19th and early 20th centuries are now imposed in many Third-World countries. Instead of encouraging the use of forward markets by small producers and traders, and promoting the development of organized commodity markets and banks in local centers, most less-developed countries today support national and international “stabilization” measures such as buffer stocks and regulations like price floors, price ceilings, and crop quotas. Meanwhile, in Western nations, governments continue to accuse financial markets of “destabilizing speculation” and of a myopic obsession with short-term profitability—even as the U.S. IPO market continues to assign record values to companies that have yet to show profits. Viewed in this light, the media and regulatory assaults on the junk bond markets in the late 1980s and on derivatives in the early 1990s are only the latest in a long line of misguided attacks on financial innovation.