德国金融衍生产品市场及其监管研究

本文分析了德国金融衍生产品交易的两个主要市场,即欧洲期货交易所(EUREX)与斯图加特欧洲权证交易所(EUWAX)的基本情况及金融衍生产品的分类,详细阐述了德国金融衍生品的监管体系,并与中国的监管体系进行了对比.     

金融期货与资本市场创新——中国工商银行第四期创新沙龙在北京召开

随着我国证券市场的发展壮大,市场对规避股市单边巨幅涨跌风险的要求日益迫切,金融期货因其价格发现与规避风险功能而成为管理层的必然选择。现在,金融期货的任何一个消息都牵动着资本市场乃至整个金融市场的神经,尤其是股指期货的推出时间和运作机制,不仅为广大投资者所关注,更为众多分享金融期货盛宴的金融机构所深入研究。投资者应采取什么样的股指期货投资策略来保值增值?商业银行在金融期货中有何作为?工商银行又将如何借助金融期货来拓展自身的发展空间?这些都将在本次沙龙中得到解答。     

创新引领 双轮驱动 打造金融市场业务新动能

回首“十三五”,银行间市场坚持稳中求进总基调,从产品和交易机制创新、科技领域创新、对外开放创新、金融风险防控等方面多措并举,构建新格局、谱写新篇章。与此同时,广大市场会员机构同仁,通过加强创新引领、科技支撑、内部治理等手段,全面提升金融市场业务质效,积极践行社会责任,与中国外汇交易中心(以下简称“交易中心”)携手奋进,共同助力市场高质量发展和金融有效服务实体经济。本期中,本刊荣幸地邀请到浦发银行行长潘卫东先生,分享该行金融市场业务发展特色与经验,展望市场发展前景。     

金融衍生品市场操纵行为的识别与规制——以国内证券市场首个ETF操纵交易案为例

金融衍生品市场发展日新月异。金融衍生产品的衍生性等特征,使得传统的操纵交易行为在衍生品市场上呈现新特点。本文阐释衍生品市场操纵行为的概念和行为认定,以国内证券市场首个ETF (交易型开放式指数基金)操纵案——东海恒信操纵180ETF案为例,重点分析衍生品操纵行为的认定,进一步剖析行为的新特征,并提出衍生品操纵行为的规制思路及相关建议。     

金融危机背景下中国金融衍生品市场的发展

本轮金融危机被冠以衍生品泛滥之名,使得国内对发不发展和如何发展我国金融衍生品市场产生纷争。本文通过分析指出本次危机是系统性危机,金融衍生品是其复杂传导链条中的一个环节,不应担当危机爆发的主要责任。通过中美金融衍生品市场的比较,发现我国金融衍生品市场仍处于初级阶段,与差距逐渐缩小的中美债券市场规模、中美经济总量规模相比,中国金融衍生品市场发展缓慢,市场发展空间巨大。最后指出我们应该深化基础市场建设,逐步建立多层次的金融衍生产品市场结构,并建议商业银行培育自身金融衍生产品的核心竞争力,提升风险管理水平。     

对我国衍生金融工具会计信息披露问题的再思考

对衍生金融工具的披露进行了阐述和分析,指出应遵循相关性和可靠性原则、重要性原则、可理解性原则和区别对待原则。结合我国实际情况,指出对衍生金融工具的披露不能仅仅局限于单一的文字描述方式,应当采取有利于财务报告使用者理解的多种方式,比如列表、数字列示等等。对衍生金融工具会计信息的披露方法提出了一系列的建议。     

不对称信息与金融市场失灵

竞争性市场效率的标准理论是建立在完全信息的假定前提之下的.由于金融市场的本质作用就是获得和处理信息,所以同一般商品和服务市场相比,金融市场更有可能出现市场失灵.     

The Role and Impact of Financial Advisors in the Market for Municipal Bonds

Significantly more and more issuers of municipal bonds use the services of financial advisors during the bond issuance process. We investigate the benefits to issuers and market participants arising from the role of financial advisors in the issuance of municipal bonds. Using a large sample of 9,493 tax-exempt municipal bonds, we show that financial advisors have significant impact on borrowing costs, reoffering yields and underwriter gross spreads. Our results are more pronounced for revenue bonds, particularly for negotiated revenue issues. In addition, our results show significant advantages to using a financial advisor for refunding issues supporting the view that financial advisors play important roles for more complex issues. Our results are consistent with the interpretation that financial advisors provide important and useful services resulting in monitoring and information asymmetry reduction benefits accruing to issuers and market participants.      

Retail Financial Innovation and Stock Market Dynamics: The Case of Target Date Funds

Target date funds (TDFs) are designed to provide unsophisticated or inattentive investors with age-appropriate exposures to different asset classes like stocks and bonds. The rise of TDFs has moved a significant share of retirement investors into macrocontrarian strategies that sell stocks after relatively good stock market performance. This rebalancing drives contrarian flows across equity mutual funds held by TDFs, stabilizing their funding, and reduces stock returns for stocks disproportionately held by these funds when stock market returns are relatively high. Continued growth in TDFs and similar investment products may dampen stock market volatility and increase the transmission of shocks across asset classes.     

When Financial Institutions Are Large Shareholders: The Role of Macro Corporate Governance Environments

While financial institutions' aggregate investments have grown substantially worldwide, the size of their individual shareholdings, and ultimately their incentive to monitor, may be limited by the free‐rider problem, regulations, and a preference for diversification and liquidity. We compare institutions' shareholding patterns across countries and find vast differences in the extent to which they are large shareholders. These variations are largely determined by macro corporate governance factors such as shareholder protection, law enforcement, and corporate disclosure requirements. This suggests that strong governance environments act to strengthen monitoring ability such that more institutions are encouraged to hold concentrated equity positions.     

金融衍生品市场监管需遵循三原则

对于衍生品的监管要建立政府、行业协会和交易所的三级监管体系，但在中国金融衍生品市场运行过程中，监管体系的结构一直不健全。[编者按]     

商业银行金融创新与信息化

金融创新就是在金融领域内通过各种要素的重新组合和变革所创造或引进的新事物.具体来讲,就是指金融机构和金融管理当局出于对微观和宏观利益的考虑而在金融机构、金融制度、金融业务、金融工具以及金融市场等方面所进行的创新性变革和开发性活动.金融创新主要包括产品创新、服务创新、管理创新和制度创新.     

The Impact of Deregulation and Financial Innovation on Consumers: The Case of the Mortgage Market

We develop a technique to assess the impact of changes in mortgage markets on households, exploiting an implication of the permanent income hypothesis: The higher a household's expected future income, the higher its desired consumption, ceteris paribus. With perfect credit markets, desired consumption matches actual consumption and current spending forecasts future income. Because credit market imperfections mute this effect, the extent to which house spending predicts future income measures the "imperfectness" of mortgage markets. Using micro-data, we find that since the early 1980s, mortgage markets have become less imperfect in this sense, and securitization has played an important role.     

完善金融衍生产品税制 促进金融市场健康发展

完善我国金融衍生产品税制对金融市场的健康发展有着重要意义.本文分析了我国金融衍生产品税收现状,比较了国际金融衍生产品的税收制度,并在此基础上提出要从三方面完善我国金融衍生产品税制:以法律法规形式明确金融衍生产品税收制度;降低签发和交易环节税负;完善所得环节税收制度.     

Derivatives: Understanding Their Usefulness and Their Role in the Financial Crisis

This article makes two main arguments that are intended to guide policymakers and regulators of financial markets: (1) when used properly, derivatives are enormously useful to companies in managing business risks; and (2) neither derivatives nor derivatives‐related products played significant roles in causing or exacerbating the financial crisis of 2007–2009. The author begins by illustrating the corporate use of derivatives with a detailed example of how a large brewer uses both exchange‐traded wheat futures and over‐the‐counter aluminum swaps to hedge the risks of higher wheat and aluminum prices. In the process, the value of much‐maligned OTC derivatives, and the role of financial intermediaries in facilitating their use, are clearly demonstrated. The second part of the article refutes the popular claims, widely expressed in the media and on Capitol Hill, that derivatives were at the heart of the financial crisis. Losses and failures during the crisis are shown to have resulted primarily from excessive non‐derivative leverage and from investments in non‐derivative mortgage products that fell dramatically in value. The only significant exception involved the insurance company AIG, whose failure and bailout are attributable not only to large losses on credit default swaps, but to comparable losses on non‐derivative mortgage products. Moreover, by the time AIG failed, many other large financial institutions had already either failed or experienced large losses. What's more, and all but forgotten during the controversy, some large banks were able to reduce risk by hedging with those derivatives.     

Information Cascades: Evidence from a Field Experiment with Financial Market Professionals

Previous empirical studies of information cascades use either naturally occurring data or laboratory experiments. We combine attractive elements from each of these lines of research by observing market professionals from the Chicago Board of Trade (CBOT) in a controlled environment. Analysis of over 1,500 individual decisions suggests that CBOT professionals behave differently from our student control group. For instance, professionals are better able to discern the quality of public signals and their decisions are not affected by the domain of earnings. These results have implications for market efficiency and are important in both a positive and normative sense.     

金融危机后我国场外金融衍生产品市场的发展研究

发生在美国的次贷危机向全球扩散,演变成全球性的金融危机,乃至经济危机。场外金融衍生产品的过度创新对危机的扩散和演变起到了助推器和放大器的作用。我国场外金融衍生产品的发展既要吸取危机的教训,同时要根据我国的国情,鼓励金融创新、完善有关场外衍生金融产品市场的法律法规、加强对衍生金融产品监管的协调与合作、完善市场基础设施建设并加强场外衍生产品市场的信息披露。     

论财务会计信息在公司治理中的作用

财务会计信息对于公司治理具有重要意义。高质量的会计信息可以降低管理层与外部人之间的信息不对称,从而有助于解决逆向选择和道德风险问题;信息披露自身可以对管理层形成有效的约束,促使管理层强化受托责任,并可以为相关主体提供治理所需信息,从而加强外部人对管理层的监督和制约;通过降低对其他高成本治理机制的需求,高质量的会计信息还可以有效地降低公司治理的整体成本,提高治理效率。因此,财务会计信息是实现公司治理目标、保护投资者利益的重要工具。我国应当不断地完善会计准则,并加强会计监管,以提高会计信息质量,更好地为公司治理服务。     

利用金融衍生工具管理外债市场风险

伴随金融全球化的步伐,我国对外债务的规模与日俱增。我国利用国外资金,不仅弥补了国家建设资金不足,推动了基础设施建设,同时还引进了国外先进技术、设备和管理经验,促进了国内技术水平的提高和国民经济的快速发展。但巨大的外债规模,较长的债务期限,也使我国外债面临着较大的利率、汇率等市场风险。因此怎样利用金融衍生工具锁定外债成本,防止因市场变动造成的外债违约风险,是摆在外债管理者和借债企业面前的重大课题。