新兴市场金融危机传染诱因的实证研究

金融危机的传染效应已经成为新兴市场金融危机的显著特征。本文在理论分析的基础上,以三次近期的新兴市场金融危机——东南亚金融危机、俄罗斯金融危机和阿根廷金融危机——为例,对新兴市场金融危机传染效应进行实证分析,探求其个别原因和共同原因,以期能提出有效的危机传染防范措施。     

A Primer on Financial Contagion

Abstract.  This paper presents a theoretical framework to highlight possible channels for the international transmission of financial shocks. We first review the different definitions and measures of contagion adopted by the literature. We then use a simple multi-country asset pricing model to classify the main elements of the current debate on contagion and provide a stylized account of how a crisis in one country can spread to the world economy. In particular, the model shows how crises can be transmitted across countries, without assuming ad hoc portfolio management rules or market imperfections. Finally, tracking our classification, we survey the results of the empirical literature on contagion.     

金融全球化过程中银行危机的传染性及我国的应对策略

随着经济全球化的深化,随着我国整个金融体系开放程度的加深,任何来自国际金融市场的危机都可能对我国商业银行体系造成灾难性冲击,本文从分析银行危机跨国传染的路径着手,提出了我国防范国际金融危机传染的对策和建议,以期为我国银行体系的改革提供新的思路。     

金融企业在金融危机中的风险规避

美国次贷风波爆发以来,无论从全球资本市场的波动还是美国实体经济的变化来看,次贷之祸造成的危害在美国乃至全球范围内都不容小觑。如果仅从中国金融机构持有次贷相关资产的角度来看,中国金融机构在这场危机中遭受了损失,但风险尚在控制范围之内,影响并不算大。也就是说,始发于2007年的这次金融危机对中国金融企业的影响是启示大于损失。     

论广告与文化的相互依存关系

品牌力要依托于品牌的文化内涵,是品牌在经营中逐步形成的文化积淀,代表了企业和消费者的利益认知、情感归属,是品牌与传统文化以及企业个性形象的总和。通过品牌文化来加强品牌力,不仅能更好地实现企业促销的商业目的,还能有效承载企业的社会功能;品牌文化的塑造有助于培养品牌忠诚群,是重要的品牌壁垒。     

KLR金融危机预警模型研究——对现阶段新兴市场国家金融危机的实证检验

美国次贷危机的逐步恶化引发了全球金融市场的持续动荡,并逐渐演化为全球性的金融危机.受此冲击以及内在高通胀压力的影响,部分新兴市场国家金融体系的脆弱性逐渐凸显.本文利用国际主流的金融危机预警模型KLR模型对新兴市场国家现阶段的金融危机做了实证检验,结果显示KLR模型的预警绩效较好,可以用于进一步的预警研究.在此基础上对未来一段时间的金融危机进行了预警分析,认为现阶段新兴市场国家尚未爆发全面的金融危机,但部分国家已出现经济、金融形势恶化的趋势,其自身体系的脆弱性导致未来发生危机的概率较高.     

European Periphery Crises,International Financial Markets,and Democracy

This article analyzes the origin and causes of the recent economic and financial crises, mainly for the countries located in the periphery of the European Union (EU), as well as their evolution and transformation into social, political, and institutional crises. After explaining the differential impact of the crises on EU economies, we analyze how the economic policies developed thus far not only are unable to resolve the current crisis pattern but also actually entail a risk to the present democratic models by transferring the legitimate control over governments from citizens and democratic parliaments to unelected, nonrepresentative international financial markets.     

Spotting the Danger Zone: Forecasting Financial Crises With Classification Tree Ensembles and Many Predictors

This paper introduces classification tree ensembles (CTEs) to the banking crisis forecasting literature. I show that CTEs substantially improve out‐of‐sample forecasting performance over best‐practice early‐warning systems. CTEs enable policymakers to correctly forecast 80% of crises with a 20% probability of incorrectly forecasting a crisis. These findings are based on a long‐run sample (1870–2011), and two broad post‐1970 samples which together cover almost all known systemic banking crises. I show that the marked improvement in forecasting performance results from the combination of many classification trees into an ensemble, and the use of many predictors. Copyright © 2016 John Wiley & Sons, Ltd.     

基于分位点回归模型变点检测的金融传染分析

近期对金融危机传染的分析是国际金融研究中的重要问题。大多数传染效应存在性的检验采用相关性方法,这些方法只能指出传染的存在,不能给出传染的程度大小。本文应用分位点回归模型的变点检测,检验了传染效应的存在性,并给出了传染程度大小的一种度量方法。最后本文对亚洲几个国家的指数数据进行了金融危机传染的实证分析。     

Conventional Monetary Policy Transmission During Financial Crises: An Empirical Analysis

This paper studies the effects of a conventional monetary policy shock in the USA during times of high financial stress. The analysis is carried out by introducing a smooth transition factor model where the transition between states (‘normal’ and high financial stress) depends on a financial conditions index. Employing a quarterly dataset over the period 1970:Q1 to 2008:Q4 containing 108 US macroeconomic and financial time series, I find that a monetary policy shock during periods of high financial stress has stronger and more persistent effects on macroeconomic variables such as output, consumption and investment than it has during ‘normal’ times. Differences in effects among the regimes seem to originate from nonlinearities in both components of the credit channel, i.e. the balance sheet channel and the bank‐lending channel. Copyright © 2016 John Wiley & Sons, Ltd.     

商业银行非系统性风险识别、网络传染及规模测度

商业银行的"影子银行"业务促使银行间市场交易量剧增,系统性风险积累严重,而系统性风险大小与各家商业银行非系统性风险、风险传染路径与规模有关。通过考察现有金融市场环境下银行间市场交易特征,引入一系列假设和变量对商业银行非系统性风险进行识别,利用网络模型估测风险传染及规模,并最终运用Logit模型找到影响因素。研究发现,(1)商业银行各类表内影子银行业务存在明显的业务替代性和刚性,并对银行间市场流动性资金过度依赖,系统性风险持续积累;(2)在复杂的金融网络结构下,商业银行风险传染体现为流动性风险与偿付性风险的交叉传染过程。当前我国银行系统体现为较强的流动性风险;(3)风险传染与商业银行非系统性风险有关,而非系统性风险与银行资产配置、交易头寸以及资本金等多项因素有关。     

关联性视阈下我国金融行业间系统性风险传染效应研究

关联性是研究系统性风险传染效应的一个重要途径。借鉴Billio et al.(2012)的思想,从关联性及其方向性变化研究入手,分别使用主成分分析、线性因果关系检验、非线性因果关系检验、网络分析等方法考察银行业、保险业与证券业间系统性风险的时变传染效应。结果表明,金融危机爆发后金融行业间的关联性显著上升,一旦爆发金融危机,其机构间的传染性要强于以往。平稳时期,各行业内部机构之间的相互传染影响占主流,而在金融危机期间,跨行业机构间的相互传染影响得到了显著的提升,银行业对其他行业造成的传染影响显著增强,证券行业在金融危机期间则更多地受到了传染影响。     

Interdependence and the location of economic activities

This paper deals with the ability of a decentralized price system to sustain an optimal assignment of activities assuming complete interdependence among them. There are two goods, each of which is used in its own production and in the production of the other, along with land. An infinitely elastic final demand exists for both goods at given market prices, and either good may be imported. It is demonstrated that a decentralized price system will sustain an optimal allocation of land, and that a nonoptimal allocation of land will not be sustained.     

论财务治理相关者与财务舞弊

公司财务治理相关者与财务舞弊之间存在着密切关系。本文首先分析管理层、董事会、监事会、注册会计师等公司财务治理相关者与财务舞弊的关系,然后提出通过改变财务信息的生成方式、完善董事会结构、强化监事会功能、变革审计收费体制等措施来防范财务舞弊。     

Measuring Financial Contagion Using Time‐Aligned Data: The Importance of the Speed of Transmission of Shocks*

This paper presents a new empirical approach to address the problem of trading time differences between markets in studies of financial contagion. In contrast to end‐of‐business‐day data common to most contagion studies, we employ price observations, which are exactly aligned in time to correct for time‐zone and end‐of‐business‐day differences between markets. Additionally, we allow for time lags between price observations in order to test the assumption that the shock is not immediately transmitted from one market to the other. Our analysis of the financial turmoil surrounding the Asian crisis reveals that such corrections have an important bearing on the evidence for contagion, independent of the methodology employed. Using a correlation‐based test, we find more contagion the faster we assume the shock to be transmitted.     

企业财务风险的识别与内部控制

财务风险是指筹资后因资金结构科学合理程度不同而可能造成财务危机和财务失败的风险。本文对企业财务风险进行了简要的分析,并针对企业的财务风险提出了几点相应的企业内部控制措施。     

浅谈财务共享中心对企业财务管理的影响

伴随全球化经济水平的不断提升和国际竞争压力的加大,企业的财务管理工作也面临着非常严峻的内外部形势,需要探索出一种符合新常态的财务管理模式。财务共享服务中心在此背景下应运而生,在一些大型企业中应用的范围越来越广泛。财务共享服务中心的建立对于工作的项目以及人员的配置和工作范围的调整与优化具有非常积极的作用。一方面能够有效的削减企业内部的资金支出,提升企业的经济效益;另一方面还能够有效的提升企业参与市场竞争的核心竞争力。     

浅谈国家作为出资人对国有企业的财务管理

本文从分析出资人财务管理的特点入手,分别对国家出资人和出资人财务进行了较为科学的界定,并引入中间出资人这一概念,将国家作为出资人对国有企业的财务管理分为国家作为终极出资人对中间出资人的管理和中间出资人对国有企业的管理两个层次。本文还进一步分析了如何加强国家作为出资人对国有企业的财务管理,并提出了几项具体的实施办法。