中国商业银行信息技术资本的边际生产率及最优规模

基于12家商业银行1997～2005年间的数据,对商业银行信息技术资本的边际生产率和最优投入规模的实证研究结果表明,我国商业银行信息技术资本的边际生产率是正的,且其大小受银行规模和时间的影响;四大商业银行信息技术资本的边际生产率小于中小规模商业银行;银行整体的信息技术资本边际生产率随时间呈现不断增长的趋势;四大商业银行信息技术投资已经超过了最优规模,而中小商业银行尚未达到最优规模.四大商业银行应该着重提高信息技术资本的利用率,完善互补机制,而中小商业银行应进一步加大信息技术的投资量.研究结果证明,当前"信息技术生产率悖论"在我国商业银行中并不成立.     

Industry Cost of Equity Capital: UK Evidence

Abstract:  This paper explores the industry cost of equity capital for the UK. We replicate the Fama and French (1997) US analysis for UK industries, but additionally investigate the industry cost of equity capital obtained from a conditional CAPM, the Cahart (1997) four factor model, and the Al-Horani, Pope and Stark (2003) R&D model. In line with the Fama-French US results, the out of sample performance of all the models is disappointing Whilst the FF3F model has a somewhat higher explanatory power than the CAPM in terms of explaining past returns, the SMB and HML factor slopes show considerable variability through time. However, all our models of the cost of equity capital in the UK outperform a simple 'beta one' model, a result that has implications for the regulatory process. There is also some evidence to suggest that a conditional CAPM may be of interest to regulators. The new R&D model of Al-Horani et al. clearly has potential, in that over the limited period for which data is available it yields return errors not dissimilar to those found under the FF3F model, but exhibits slope coefficients on the fourth R&D factor that seem to be relatively stable.     

The Marginal Cost of Funds and the Shadow Prices of Public Sector Inputs and Outputs

Existing studies on the marginal cost of funds (MCF) do not incorporate the public sector inputs explicitly. Incorporating labor and capital as public sector inputs raises questions concerning the definition and the usage of the MCF, and its relation to public sector shadow prices. This paper finds that the MCF should be defined based on the excess revenue rather than the gross revenue; that general equilibrium effects on individuals' net income and government's inframarginal expenditures should be incorporated; and that the MCF measures an element in the shadow price that is solely attributable to the marginal financing, justifying the role of the MCF in cost-benefit analysis and tax reform.     

Optimal hedging of variance derivatives

We examine the optimal hedging of derivatives written on realised variance, focussing principally on variance swaps (VS) (but, en route, also considering skewness swaps), when the underlying stock price has discontinuous sample paths, i.e. jumps. In general, with jumps in the underlying, the market is incomplete and perfect hedging is not possible. We derive easily implementable formulae which give optimal (or nearly optimal) hedges for VS under very general dynamics for the underlying stock which allow for multiple jump processes and stochastic volatility. We illustrate how, for parameters which are realistic for options on the S&P 500 and Nikkei-225 stock indices, our methodology gives significantly better hedges than the standard log-contract replication approach of Neuberger and Dupire which assumes continuous sample paths. Our analysis seeks to emphasise practical implications for financial institutions trading variance derivatives.     

Determination of Optimal Hedging Strategy for Index Futures: Evidence from Turkey

This paper aims to determine optimal hedge strategy for the Istanbul Stock Exchange (ISE)-30 stock index futures in Turkey by comparing hedging performance of constant and time-varying hedge ratios under mean-variance utility criteria. We employ standard regression and bivariate GARCH frameworks to estimate constant and time-varying hedge ratios respectively. The Turkish case is particularly challenging since Turkey has one of the most volatile stock markets among emerging economies and the turnover ratio as a measure of liquidity is very high for the market. These facts can be considered to highlight the great risk and, therefore, the extra need for hedging in the Istanbul Stock Exchange (ISE). The empirical results from the study reveal that the dynamic hedge strategy outperforms the static and the traditional strategies.     

Optimal pricing barriers in a regulated market using reflected diffusion processes

We consider a class of one-dimensional (1D) reflected stochastic differential equations (SDEs). Such reflected SDE models arise as the key approximating processes in a regulated financial market system, and our main goal is to determine the set of optimal pricing barriers. We consider the running cost associated with the deviation of the process from the desired target level, and also the control cost from the interventions in an effort to keep the process inside the boundaries. Both a long-time average (ergodic) cost criterion and an infinite horizon discount cost criterion, where the discount factor is allowed to vary from one period to another, are studied, with numerical examples illustrating our main results.     

Near Future School: World building beyond a neoliberal present with participatory design fictions

This article reports on one part of an on-going project, the Near Future School, which aims to translate and explore the potential of participatory design fiction practices for use with young people and those that work with them to explore near future scenarios of education that open up alternative and plural futures in the context of processes of foreclosure in a neoliberalising society. The focus here is to explore the practical and ethical issues of developing a speculative form of governance, using the philosophy of Benedict de Spinoza, as an act of imaginative world building through participatory design fictions. The research raises a series of questions and issues relating to understanding how design fiction’s multiple inheritances, from fiction and design or art and design, need to be better understood and enacted within participatory design fiction processes.     

垄断限价、代理商进入与社会福利——兼评中国民航市场价格维持政策

自从中国民航总局于 1999年实施“国内民航机票禁止打折”政策以来 ,不少民航公司仍在暗中通过机票中间代理商低价倾销机票。本文试图从社会福利角度出发 ,分析在卡特尔组织实行垄断定价政策情况下 ,中间代理商的进入对社会福利的影响 ,简要评价了中国民航市场现行价格维持政策的福利效应 ,并提出若干相应建议。     

涉农贷款边际成本的测算及影响因素分析——基于湖南省87个县（市）农商行的经验数据

涉农业务边际成本过高是农村金融机构目标偏移的根本原因.依据2011-2014年湖南省87家县(市)农商行(含农信社)的经营数据,考量涉农贷款边际成本及影响因素.结果显示:微观方面,农商行的涉农贷款比重增加推高了涉农贷款的边际成本,提升资产中的贷款比重有助于降低涉农贷款边际成本,农商行的风险管理能力越强,涉农贷款的边际成本越低;宏观方面,县域金融发展水平的提升有益于降低涉农贷款的边际成本,城乡收入差距较大的县域,涉农贷款的边际成本也越高,提升县域融资市场的流动性有助于降低涉农贷款边际成本.     

Tax Deductions and the Marginal Welfare Cost of Taxation

Recent work emphasizes the efficiency costs of tax deductions that distort the pattern of household spending. Using evidence on the sensitivity of taxable income to tax rates, this work suggests that the marginal welfare cost (MWC) of income taxes in the United States could be dramatically higher because of tax deductions, and might exceed unity. This paper develops an alternative approach for assessing the MWC using evidence on underlying parameters (e.g., labor supply elasticities, the demand elasticity for tax-favored goods). A MWC of around 0.3 to 0.5 seems more consistent with these parameter values, though this estimate is still significantly higher because of tax deductions.     

Is the Value Spread a Good Predictor of Stock Returns? UK Evidence

Abstract:  This paper explores the predictive ability of the value spread in the UK. I replicate the US analysis of Liu and Zhang (2007) using UK data. In addition, I extend their work by exploring the predictive ability of the book-to-market, market-to-book and value spread on other size and value investment strategies, namely: large-caps only; small-caps minus large-caps (SML); value stocks only; growth stocks only; value stocks minus growth stocks (VMG) and a market portfolio that includes all stocks. The results are consistent with Liu and Zhang (2007) on the value spread. The value spread shows no predictive power for portfolio returns. Therefore, I show that the predictive power of book-to-market and market-to-book spreads depend on the portfolio formation strategies and the relative proportion of small-cap, large-cap, value and growth stocks in the portfolio.     

突发事件风险下考虑企业社会责任的闭环供应链决策

基于突发事件风险概率小、后果大的特点,考虑企业社会责任的闭环供应链应对突发事件风险中再制造成本扰动风险的优化决策。结果表明:当再制造成本扰动较小时,不需要调整闭环供应链的生产计划,反之则需要调整生产计划;若再制造成本扰动值增大,则需提高最优零售价并减少最优产量;若再制造成本扰动量绝对值增大,则需降低最优零售价格并增加最优产量。关注CSR的水平越高,最优的批发价格和最优的零售价反而会降低。最优的回收利用率、最优的产量及整个链条的总利润与CSR水平呈正相关。若再制造成本扰动值较小,零售商回收模式更加合适,而若扰动值超过一定值则应该选择制造商回收模式。     

On the marginal cost of public funds: the implications of charitable giving and warm glow

This paper highlights the important impact of charitable giving and warm glow on the identification of the marginal cost of public funds (MCF). We employ the warm glow model of charitable giving to describe taxpayer behaviour, whereas we employ the standard model to evaluate social welfare. We first identify the impact theoretically. Then we conduct simulations to quantify its size numerically. The results of our numerical simulations show that the standard model underestimates the magnitude of MCF by at least 10 per cent. Our work suggests that adopting a non-welfarist social welfare function can make a significant difference to the identification of MCF.     

Econometric models of the Eleventh District Cost of Funds Index

The Eleventh District Cost of Funds Index (COFI) is a popular index for pricing adjustable-rate mortgages. COFI is calculated from the interest expenses incurred by thrifts when raising funds. It is a mixture of current and past interest rates on many different financial instruments. COFI can be modelled well with simple econometric models. Commonly used, simple COFI models are compared using a method developed by Hendry (1989). Some of these models, which appear to fit the data well, have nonrobust parameters, significant serial correlation, and heteroscedastic errors. These poorly specified models may lead to systematic mispricing of COFI mortgages. Once a robust econometric model is chose, the lagged adjustment of COFI to movements in interest rates can be incorporated into mortgage pricing models.     

人民币汇率传递的不对称效应

在不同的汇率波动方向及波动幅度下,汇率传递可能是不对称的。利用中国17个主要贸易伙伴1994～2008年年度数据对人民币汇率传递的不对称性实证研究发现,在不同的汇率波动方向下,汇率传递弹性是不同的。人民币汇率贬值时的汇率传递弹性为负,升值时的汇率传递弹性为正。在不同的汇率波动幅度下,汇率传递同样是不对称的。当人民币汇率波动幅度小于2．68％时,汇率传递弹性为-0．5815;当汇率波动幅度大于2．68％时,汇率传递弹性为-0．0578。     

我国商业银行信贷业务经营中的贷款定价问题研究

近年来我国商业银行信贷业务快速扩张势头尤为强劲,但与其相适应的信贷业务经营收益水平却未随之同步提高,由此凸显出信贷业务快速扩张背后贷款定价问题的困扰。关注和重视研究并采取相应的策略取向,提高我国商业银行的贷款定价能力应对这一困扰,从而在信贷业务经营过程中,卡准信贷资金成本与收益的啮合点,做到信贷业务经营成本的可控性,提高信贷业务经营收益水平就显得尤为迫切和重要。     

Optimal proportional reinsurance from the point of view of cedent and reinsurer

In the reinsurance market, the cedent and the reinsurer make their subjective evaluations of the utility and riskiness of the financial operations covered by a treaty by deriving preference rankings of the different kinds of agreements. If both the cedent and the reinsurer evaluate the operation underlying the treaty by means of their utility functions and adopt the criterion based on the comparison between the expected utilities in order to take into account the subjective attitude toward risk, then the indifference prices play a crucial role because they define the preference thresholds of the exchange, thus restricting the range of variability of the reinsurance price. By using an analytical approach, this paper examines the above problem identifying the margins for achieving Pareto-optimal solutions in trading insurance risks.     

Consensus building in safety and security: a case study of Fukushima evacuees returning home

This study examines consensus building in environmental and energy policies by analyzing the minutes of the safety and security committee of the Nuclear Regulation Authority (NRA) of the Japanese government, in the context of the discussion of the safe return of Fukushima evacuees after the 2011 Great East Japan Earthquake and Tsunami and the subsequent Fukushima nuclear disaster. One important issue associated with evacuation policies was the high number of evacuees, if not all, who were not willing to return to their old homes. Although the contents of governmental committee meetings are freely accessible through the internet, they have been rarely analyzed for these purposes. In this study, we used text-mining techniques to analyze NRA committee minutes quantitatively and qualitatively. We have three primary findings. First, the committee attempted to take evacuees’ feelings into account and pragmatically discuss what was needed to restore their lives and livelihoods, as well as to make its meetings transparent and open to the public by, for example, streaming them live on the internet. Second, in earlier committee meetings, government representatives insisted on specific policies made by themselves to control the return of evacuees. However, outside experts at the meetings convinced representatives that decisions regarding issues surrounding the safe return of evacuees should consider the opinions of the evacuees themselves. Third, the NRA reported the outcome of the meetings at a Cabinet meeting to accelerate policies requiring urgent implementation as well as those related to the alleviation of people’s anxieties regarding exposure to radioactivity or those related to equal treatment among those who wanted to voluntarily move away from the affected areas versus those who want to return to their homes. Finally, this analysis further identified a number of issues concerning citizen participation and governance associated with environment and energy policies, all of which need to be overcome in order to establish consensus among concerned stakeholders.