利率政策、资本监管与货币政策的信用传导机制——基于银行业异质性研究

基于国内1999—2014年134家银行数据,构建动态面板模型,分析在三种不同的利率水平下,货币政策的信用传导机制的运行以及监管政策在不同的利率水平下是否对银行的信贷产生挤出效应。研究结果表明:(1)不同的利率条件下,我国银行的货币政策的信用传导机制存在。(2)对大型银行来说,不管法定存款准备金率如何变化,资本充足率的提高不会对银行信贷规模产生限制;对城商银行来说,当货币政策较为宽松时,监管政策趋严不会对信贷产生影响,但当货币政策趋紧时,此时若监管政策也趋紧对银行的信贷时会产生一定的限制作用。(3)不管存款利率水平如何变化,监管政策不会对银行信贷产生限制。(4)对大型银行来说,在同一贷款利率水平下,监管趋严会降低信贷规模,对城商银行的影响较小。研究结果启示政策当局应协调好货币政策与宏观审慎政策,注重银行微观特征,实行差异化的监管措施。     

中小银行机构公司治理机制的替代效应

本文利用对山东省中小商业银行机构的调查数据,考察了金融机构各种监督机制之间的替代效应.笔者分别通过构建一个线性模型和一个Probit模型来对外部董事、管理层持股、董事长/总经理两职分离、大股东和监管机构这五种监督机制的替代效应进行研究,并对这些变量作了统计分析.通过回归结果,笔者发现在两种外部监督机制之间存在显著的替代效应,内部监督机制中的外部董事比例与外部监督机制之间也存在替代效应,但是其他两个内部监督机制并没有表现出这种效应,而内部监督机制之间则存在显著的互补效应.     

中小银行机构公司治理机制的替代效应

本文利用对山东省中小商业银行机构的调查数据,考察了金融机构各种监督机制之间的替代效应。笔者分别通过构建一个线性模型和一个Probit模型来对外部董事、管理层持股、董事长/总经理两职分离、大股东和监管机构这五种监督机制的替代效应进行研究,并对这些变量作了统计分析。通过回归结果,笔者发现在两种外部监督机制之间存在显著的替代效应,内部监督机制中的外部董事比例与外部监督机制之间也存在替代效应,但是其他两个内部监督机制并没有表现出这种效应,而内部监督机制之间则存在显著的互补效应。     

影子银行监管优化与企业创新——基于《资管新规》的准自然实验

影子银行在一定程度上弥补了中国正规金融发展不足,但也可能放大系统性金融风险,有悖于宏观审慎原则。本文以《资管新规》政策为准自然实验,选择2015-2021年中国沪深A股上市企业为研究样本,检验影子银行监管优化对企业创新的影响及作用机制。研究发现,影子银行监管优化能够提升企业创新;机制检验发现,影子银行监管优化通过抑制企业金融化、降低投资风险,进而促进企业创新,支持了“影子银行风险观”假说;异质性检验发现,促进效应在国有企业、创新密集度和治理水平低的企业,以及产品市场竞争、影子银行发展和市场化程度较低的地区更为显著。本文不仅证实《资管新规》政策监管有效,还揭开了降低影子银行风险在微观企业创新层面的价值,为国家贯彻落实宏观审慎目标、引导金融有效服务实体经济提供政策启示。     

政府外部治理与银行风险承担——来自中国上市银行的经验证据

本文采用2009年至2020年我国36家上市银行的季度数据，研究了政府外部治理效应对商业银行风险承担水平的影响作用。研究发现，政府监管能够降低银行风险承担，主要来源于银行权益资本比率提升；政府持股一般会提升银行风险承担，主要来源于银行业绩波动性上升，但如果政府为银行的第一大股东，则会降低银行风险承担；政府公共治理改善对银行风险承担的影响具有正反两方面效应；政府对银行绝对控股可能会削弱监管和公共治理改善对银行风险承担的作用，主要由于银行权益资本比率变化。基于研究结论，本文提出了进一步发挥政府外部治理效能促进银行风险管控的政策建议。     

公众参与、银行监管和银行风险

鼓励公众参与是赋能银行监管的重要途径。本文将银行监管领域中的公众参与区分为公众监督监管行为（公众监督）和公众举报违法行为（公众投诉）,并使用2SLS-IV回归法,探讨了两类公众参与在银行监管中的作用。研究结果表明,两类公众参与均有助于降低银行风险,但其发挥作用的渠道机制存在差异。具体而言,公众监督通过提升监管执法规范来降低银行风险,而公众投诉则通过加强监管执法力度来降低银行风险。进一步的分析发现,反腐败强度越大,公众监督的影响效应越强;银行资产规模越小,公众投诉的影响效应越强。根据以上结论,本文建议银行监管改革在注重监管机构“从上而下”治理思路的同时,还应重视公众参与“自下而上”的作用。     

内部控制与异质机构持股的治理效应

本文实证检验了不同内部控制水平下,异质机构持股在抑制管理层盈余操纵方面的公司治理效应。研究发现,相比外地或短期机构持股,本地或长期机构持股更有助于提升应计质量和降低盈余噪音;当公司存在实质性内部控制缺陷时,本地或长期机构持股在抑制管理层盈余操纵方面的治理效应显著降低;相比国有控股,异质机构持股治理效应的发挥在非国有控股公司中受内部控制的影响更大;当公司存在财务报告实质性内控缺陷时,异质机构持股发挥的治理效应明显更弱。这些结果表明,异质机构持股治理效应的发挥离不开公司内部控制机制,二者之间是互补而非替代关系,这种互补关系主要由财务报告内部控制缺陷驱动。本研究有助于深化理解异质机构持股影响公司治理的具体作用机理,为实务界和监管机构改善公司治理、加强投资者保护提供经验参考。     

银行高管薪酬与外部监管:替代还是互补?——对中国16家上市银行的分析

本文以我国16家上市银行为研究样本,在充分考虑模型内生性的情况下,对外部监管与银行高管薪酬替代或互补的关系进行深入分析。实证结果表明,对于我国上市银行,外部监管与银行高管薪酬之间呈显著的替代关系,进一步通过面板门槛模型得出,二者之间的这种替代关系是非线性的,存在门槛效应,随着银行董事会监管强度的变化而变化,当银行董事会的监管强度超过门槛值时,会减弱银行外部监管对高管薪酬的替代关系。     

迎合监管与公允价值会计顺周期效应

公允机制顺周期性在金融风险形成中存在重要效应。以我国A股上市银行2007—2014年数据为研究样本,对公允价值会计周期效应对于商业银行迎合监管行为调整的影响进行分析。研究结果显示:(1)我国商业银行公允价值会计运用偏好具有顺周期性,具体表现为金融资产持有比例顺周期变动及引致经营业绩的波动;(2)在现行监管方式下,商业银行迎合监管行为强化了公允价值会计顺周期性。在此基础上,提出针对性的监管政策建议。     

资管新规、监管套利与系统性风险抑制——来自银行理财业务的证据

本文利用2012-2022年中国102家银行的微观数据,考察《资管新规》能否有效治理银行理财业务中的监管套利行为,以及该政策通过治理监管套利行为从而对银行系统性风险的影响。研究发现:《资管新规》能够有效抑制银行通过发行理财产品逃避资本监管与存款利率管制约束的监管套利行为;机制检验表明该政策是通过打破刚性兑付、禁止资金池运作以及严格非标资产投资来治理监管套利行为;进一步研究发现,《资管新规》通过治理银行理财业务中的监管套利行为从而能降低银行系统性风险。     

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.     

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.     

Commodity financialization and sector ETFs: Evidence from crude oil futures

We investigate the diversification benefits of energy assets in the setting of commodity financialization using data on crude oil futures and Sector ETFs (SPDRs). Correlations between commodities and financial assets increased during the post-Commodity Futures Modernization Act (CFMA)/commodity bull cycle period, resulting in lower benefits of diversification. However, we find that conditional correlations between crude oil futures and sector ETFs meaningfully increased only since the 2008–09 financial crisis. The results therefore suggest that the financial crisis, rather than CFMA regulation, explains changes in the diversification benefits of commodities. Moreover, we find that oil futures returns are less correlated with SPDRs than with the S&P index. Thus, energy futures, and crude oil in particular, offer the potential for diversification benefits in sector-style investing.     

Dutch accounting in Japan 1609-1850: isolation or observation?

The trading station or factory maintained by the Dutch East India Company (VOC) was Japan's sole window on the Western world during most of the Tokugawa period (1600-1868). While many aspects of the factory's role in Dutch/Japanese cultural exchange have been researched little is known in the West of the accounting at the factory. This paper considers the possibility that double-entry bookkeeping employed by the Dutch may have been diffused to the Japanese. The available evidence is synthesized after considering the accounting system in the Dutch factory.