The Dynamic Impact of Macro Shocks on Insurance Premiums

We develop a model that investigates the relation between insurance premiums and macroeconomic variables, including oil price, interest rate, aggregate supply, and aggregate demand. We then use a multivariate structural vector error correction model to distinguish the effects arising from permanent and transitory components of insurance premiums. Changes in the transitory component indicate that our model captures key historical events. Although real shocks originating from oil price and aggregate supply explain the behavior of insurance premiums well, we show that financial market shocks are the main driving force behind the recent increasing volatility in insurance premiums in the U.S. market.

Procyclicality: The Macroeconomic Impact of Risk-Based Capital Requirements

Recent research on the Basel II capital framework suggests that binding capital requirements may be responsible for bank behaviour which causes procyclical amplifications of the macroeconomic cycle. This paper presents a model of the interrelations between the state of the economy, credit risk, and loan supply to clarify and quantify this effect. Special attention is paid to the fact that both regulatory and economic capital requirements can significantly influence loan supply, provided that they are binding. The model shows that both economic capital, based on a one-factor model, and the regulatory IRB requirements cause more procyclicality than the constant regulatory requirements of the Basel I capital accord. However, the overall impact depends on the interrelation of the regulatory requirements with economic capital. Based on this result, the replacement of the Basel I requirements with risk-sensitive IRB capital requirements boosts procyclicality under most, but not under all conditions.     

The Independent Impact of Credit Rating Changes – The Case of Moody's Rating Refinement on Yield Premiums

On April 26, 1982, Moody's Investors Service refined its rating system for the first time in its seventy-three year rating history. We examine the information content of the rating refinement in the study. We find a statistically significant change in the yields on bonds whose ratings were downgraded. The detection of the impact of refinement on bond prices implies that rating agencies perform an important function in financial markets, that is they provide information to investors.     

The Impact of Past Syndicate Alliances on the Consolidation of Financial Institutions

The impact of past syndicate alliances on the consolidation of financial institutions is examined. The odds of two lenders combining increases with the intensity and exclusivity of their prior syndicated loan alliances. The impact is higher for international mergers and acquisitions (M&As) and for prior syndicate co-relationships where the acquirer and target were participant and lead, respectively. The odds of a particular lender being a target decreases as its return on equity (ROE) and earnings/price (E/P) ratios increase and as its size and growth opportunities decrease. The intensity and exclusivity of the syndicated loan alliances leading up to M&A announcements are significantly higher for non-US versus US M&As. The significantly lower short- and long-term performances for both acquirers and targets with prior syndicate co-involvements disappear in the presence of control variables that account for the less frequent use of cash payments, the greater incidence of divestitures, and the higher percentage of shares acquired through their M&As. Acquirers with versus those without past syndicate target co-involvements exhibit greater outperformance for control-firm benchmarked ROEs and lower underperformance for control-firm and prior-to-M&A benchmarked ROEs.     

利率市场化对小微金融机构的影响及对策——以朝阳市为例

正党的十八届三中全会提出"加快推进利率市场化"的改革要求。虽然利率市场化将对我国经济平稳增长和经济结构优化调整带来深远的影响,但国际经验也表明,利率开放后市场竞争加剧也可能对金融业的平稳运行带来一定冲击。对于在我国金融体系占主导地位的银行业来说,尤其是面临冲击较大的小微银行,如何应对利率市场化的挑战,积极主动转型变革,将是今后面临的重大课题,并影响银行业的长远发展。     

地方政府债券发行溢价研究

本文通过构建债券发行溢价模型,研究我国地方政府债券发行定价偏离问题。结果表明,地方政府债券一级市场定价较二级市场定价存在严重背离,发行利率偏低,主要受发行要素、宏观经济要素、行政干预要素等多方面因素影响;二级市场定价相对合理。为促进地方政府债券发行定价市场化,本文提出地方政府债券发行利率应严格参考二级市场定价、拓展地方政府债券投资主体、降低商业银行投资地方政府债券风险权重等建议。     

对现代风险导向审计的一些认识

笔者有幸参加了中注协去年在上海国家会计学院举办的?现代风险导向审计理论与实务”培训班,对现代风险导向审计有了更加系统和清晰的认识,审计观念上也有了更新。现将这种认识与大家共同分享。     

利率市场化对新型农村金融机构的影响分析

《国务院关于落实<中华人民共和国国民经济和社会发展第十二个五年规划纲要>主要目标和任务工作分工的通知》提出,由中国人民银行牵头负责深化金融体制改革工作,"稳步推进利率市场化改革"。改革开放三十多年来,我国利率市场化改革取得了令人瞩目的成就,有利地促进了我国金融体系的发展和壮大。本文以吉林省村镇银行为例,实证检验了利率市场化对于促进新型农村金融机构发展和提高抗风险能力的实际效果,对于推进利率市场化改革和新型农村金融机构培育具有双重意义。     

美国金融监管改革法案对金融机构的影响

美国大萧条以来最严厉的金融改革法案已经总统签署形成法律,该法案对金融系统以及金融机构产生了深远的影响。本文通过对新法案在金融机构资本标准、有序破产、规模和经营范围限制以及消费者保护等方面的条文解读,分析了新法案对美国金融机构的经营前景、盈利能力的影响,为投资者研究美国金融机构提供了一定的参考。     

金融危机对欠发达地区金融机构的影响及建议

随着金融危机的不断深化,欠发达地区金融机构尤其是银行业正面临着严峻的考验.经济增长放缓、投资消费信心受挫、资金市场疲软和县域主导产业前景不佳等无不影响着欠发达地区金融机构的经营管理.     

The Impact of Legal and Political Institutions on Equity Trading Costs: A Cross-Country Analysis

We conjecture that macro-level institutions affect equity tradingcosts through their impact on information risk and investorparticipation. In a study of trading costs for 412 NYSE-listedAmerican Depository Receipts (ADRs) from 44 countries, we findthat, after controlling for firm-level determinants of tradingcosts, effective spreads and price impact of trades are significantlylower for stocks from countries with better ratings for judicialefficiency, accounting standards, and political stability. Tradingcosts are significantly higher for stocks from French civillaw countries than from common law countries. Overall, we concludethat improvements in legal and political institutions will lowerthe cost of liquidity in financial markets.     

The Variation of Economic Risk Premiums in Real Estate Returns

We examine the predictable components of returns on stocks, bonds, and real estate investment trusts (REITs). We employ a multiple-beta asset pricing model and find that there are varying degrees of predictability among stocks, bonds, and REITs. Furthermore, we find that most of the predictability of returns is associated with the economic variables employed in the asset pricing model. The stock market risk premium is highly important in capturing the predictable variation in stock portfolios, and the bond market risk premiums (term and risk structure of interest rates) are important in capturing the predictable variation in bond portfolios. For REITs, however, both the stock and bond market risk premiums capture the predictable variation in returns. REITs have comparable return predictability to stock portfolios. We conclude that there is an important economic risk premium for REITs that are not captured by traditional multiple-beta asset pricing models.     

关于风险导向审计方法由来与发展的认识

安然事件后,国内外会计职业界和专家学者对风险导向审计方法进行了深入探讨。为从理论上论证风险导向审计方法是否可行,加强注册会计师的风险意识,推进和完善我国独立审计准则的建设,本文回顾了传统风险导向审计方法的由来,分析了传统风险审计方法的特征、局限性以及职业界进行的探索和完善,并提出了我国针对风险导向审计方法应当采取的策略。     

Fair Value Measurements of Control Premiums

As the overview of the current state of research within this paper shows, the debate around fair value measurements is far from over. This paper analyzes fair value measurement requirements in a controversial scenario, namely when a control premium exists. The analyses of the paper show that, while measurement rules around control premiums could have a material impact on fair value measurements and the financial statements as a whole, significant fair value measurement issues remain unresolved. The conclusion is that fair value measurements should include or exclude control premiums consistently. It is argued that including control premiums for all fair value measurements is the most faithful representation of the underlying economic phenomenon. This paper contributes to the fair value measurement debate by comparing the merits of alternative fair value measurements for control premiums and highlights an area where researchers, investors, and other users should exercise caution when evaluating financial statements.     

金融机构基于风险的反洗钱机制探讨

金融机构的洗钱风险分为内部风险和外部风险。内部风险决定于法律规制和控制体系，它集中体现为制度风险；外部风险包括产品／服务风险、客户风险、地理风险，它聚焦于账户。通过回顾反洗钱方法的历史演变过程，本文提出了金融机构基于风险细分与风险评估的洗钱风险管理两阶段模型。     

对风险导向审计方法的由来及其发展的认识

“安然事件”后,国内外会计职业界和专家学者对风险导向审计方法进行了深入探讨。为了从理论上论证风险导向审计方法是否可行,加强注册会计师的风险意识,推进和完善我国独立审计准则的建设,本文回顾了传统风险导向审计方法的由来,分析了传统风险审计方法的特征、局限性以及职业界进行的探索和完善,并提出了我国针对风险导向审计方法应当采取的策略。     

新冠疫情对岳阳市法人机构金融稳定的影响

岳阳地处湘北,新冠肺炎疫情发生后,对辖内金融机构尤其是法人银行机构的人员防护、金融稳定和业务发展均增加了难度。为了解新冠肺炎疫情对岳阳市法人银行机构的影响,人民银行岳阳市中心支行(以下简称"人行岳阳市中心支行")金融稳定科采取表格、问卷、微信、电话等方式,开展了调研。结果表明,在这次疫情中,全市银行机构尤其是地方法人银行机构正倾力抗疫,合力支持复产,努力把疫情带来的不良影响降到最低。     

The Effects of Setting Deposit Insurance Premiums to Target Insurance Fund Reserves

A common feature of many insurance systems is that they are backed by an insurance fund and insurance premiums are adjusted to target this fund's reserves. This study analyzes the fund targeting policy of the Federal Deposit Insurance Corporation (FDIC). It examines the distortions to banks' cost of deposit financing that result from setting premiums in this manner. The study's framework is a multiperiod, multibank contingent claims model where the stochastic rates of return on individual banks' assets are assumed to be correlated and match the actual empirical distribution of a sample of U.S. banks. The model identifies factors that are likely to exacerbate distortions due to insurance mispricing. The relative merits of a targeting policy and a flat-rate insurance policy are discussed, and the real effects of insurance mispricing are estimated. A method for valuing a government subsidy under a reserve targeting policy is also presented.     

Assessing the Resolution of Insolvent Thrift Institutions post FIRREA: The Impact of Resolution Delays

The Resolution Trust Corporation (RTC) was created by FIRREA in 1989 to manage and dispose of troubled thrifts in a manner that would minimize resolution costs. In this study, we focus on the transition of troubled thrifts from conservatorship into resolution via sales in RTC auctions. We examine the determinants of bidder participation, observed premiums, and RTC estimates of resolution costs, including the impact of resolution delays in RTC-insured-deposit-transfer and purchase-and-assumption auctions from August 1989 to November 1991. Our analysis indicates that resolution delays were associated with lower premiums and higher resolution costs. These associations are found to be economically and statistically significant and result from both the deterioration in franchise value and the deterioration in asset value while being held in conservatorship.     

Shareholder Taxes in Acquisition Premiums: The Effect of Capital Gains Taxation

We exploit cross‐temporal differences in capital gains tax rates to test whether shareholder‐level capital gains taxes are associated with higher acquisition premiums for taxable acquisitions. We model acquisition premiums as a function of proxies for the capital gains taxes of target shareholders, taxability of the acquisition, and tax status of the price‐setting shareholder as represented by the level of target institutional ownership. Consistent with a lock‐in effect for acquisition premiums, results suggest a unique positive association between shareholder capital gains taxes for individual investors and acquisition premiums for taxable acquisitions, which is mitigated by target institutional ownership.