我国债权型货币错配程度的测算及其风险防范研究

本文从我国货币错配的本质,即债权型货币错配出发,通过修正AECM指标,利用修正指标对我国1985~2009年的货币错配进行测算,其测算结果显示我国存在明显的货币错配,而且程度具有阶段性特征。然后通过对本文的货币错配指数与现有文献中最成熟和准确的货币错配指数进行相关性检验,证明本文计算的错配指数的合理性。最后对我国货币当局防范货币错配风险提出相关的政策建议。     

央行资产负债表错配风险的评估与应对

本文首先介绍了资产负债表错配风险的含义,然后对资产负债表的期限错配、货币错配和资本结构错配等三类错配风险的衡量指标进行系统梳理。在此基础上,实证测算了人民银行资产负债表的三类错配情况,并与美联储、日本银行、欧洲央行进行了对比。结果显示人民银行资产负债表存在严重的债权型货币错配和资本结构错配。     

中国国际收支风险月度预警指数的构建

国际收支风险的终极形式将表现为金融危机,首先构建货币危机压力指数、银行危机压力指数和资产泡沫危机压力指数以反映金融危机,然后采用格兰杰因果检验,筛选出金融危机格兰杰原因的变量作为预警指标,最后采用主成分分析和因子分析的方法合成中国国际收支风险预警指数。     

货币错配与净值损失:来自银行部门的经验证据

本文构建了货币错配与净值的关系模型,用银行部门数据进行验证,并判断出现银行危机的可能性,以银行的净外币资产作为银行货币错配的替代变量,用汇总损益与外币折算差额来代替货币错配的损失。结果表明,尽管由于折算汇率等会计处理方式的不同,但货币错配与净值损益间关系仍然显著。中国银行业整体上有着非常严重的货币错配,给银行带来了很大的损失和风险。部分银行还存在发生较大危机的可能性。由于巨额的货币错配,银行业对汇率非常敏感,但账面损失在减少。     

短期国际资本所引发的银行风险——结合软预算约束制度的分析

短期国际资本大量流入会导致银行体系产生货币错配、期限错配问题,会促使银行信贷扩张。这都会加大银行体系的风险。软预算约束会放大短期国际资本大量流入所引发的银行风险。若经济进入衰退期,预算约束硬化会加大短期国际资本逆转对银行体系的冲击。     

基于DCC-GARCH模型的中国上市银行系统性风险研究

以我国15家上市银行为研究对象,就银行间的风险联动关系进行研究。研究主要包括：上市银行收益率两两间的时变相关系数测算、4家大型国有商业银行与11家股份制商业银行间的整体相关程度的测算,以及根据我国上市银行间的动态相关关系构建银行体系风险联动的预警指标。研究发现：我国上市银行间普遍存在显著的非对称的动态相关关系,4家大型国有银行间的平均动态相关系数比他们和其余11家银行间的相关系数高;我国的4家大型国有商业银行与11家股份制商业银行的整体相关程度也很高;15家上市银行两两的动态条件相关系数序列构建的银行体系系统性风险预警指标能够及时检测市场风险。     

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郭新明：商业银行货币错配问题的分析与思考 中国人民银行西安分行行长郭新明撰文指出,当前,我国商业银行货币错配主要表现为：银行外汇敞口净头寸呈上升趋势;银行汇兑损失有所好转;银行外币现金流对汇率的敏感性较高。为防范货币错配风险．需将商业银行货币错配纳入宏观审慎监管范畴.     

关于国际市场重要利差指标的研究

文章对国际市场最具代表性的两大利差指标——货币市场与债券市场利差指标TED利差,和货币市场与利率衍生品市场利差指标Libor—OiS利差进行了研究,TED利差是反映整体经济信用风险状况的指标,Libor-OiS利差则可衡量银行体系流动性风险和信用风险,文章考察了两个指标的市场含义、历史走势和理论研究,并对其在金融危机期间的表现进行分析和解释。     

建立金融安全区的总体框架

金融安全区是以金融安全为标志的区域金融概念。站在银行业角度 ,如果区域内银行业的资金在运行过程中偿还和增值的特性能获得满足 ,就实现了区域金融安全 ,形成了“金融安全区”。金融安全区的标志为“一高”、“二强”、“三好” ,即社会信誉高 ,支付能力强、清算能力强 ,资产质量好、经营效益好、金融秩序好。建立和维护金融安全区的总体框架 ,应包括以下三个部分 :风险预警、风险处置和工作责任制度。　　 风险预警风险预警包括预警指标的设计、金融安全状态的测算和判断、预警信号的传导。风险预警对象为银行系统和单个银行机构。(一 )…     

货币错配与经济金融稳定:亚太经验比较分析

中国的汇率制度改革使得在盯住汇率制度下积聚的巨大货币错配风险逐渐暴露出来.货币错配是否会影响经济金融稳定,本文通过对亚洲金融危机、日本经济衰退以及本世纪以来亚洲新兴市场国家的累积的新风险进行梳理、比较与分析,得出净外币负债型货币错配与净外币资产型货币错配在一定的条件下都会影响经济金融稳定.     

Almanac of anticipations: The age of affluence—of anticipation—of anxiety—of automation—of discontinuity—of longing—of overkill—of space exploration

With this survey of developments in the futures field since 1945, I.F. Clarke completes his present series for Futures. He makes two major points: that forecasting techniques have become essential tools in the management of change; and that nuclear weapons and ecological problems have added a moral dimension to the study of the future. In the next issue of Futures he will start a new series on the range of future-thinking in the USA, from the expectations of the first settlers to the Star Wars programme.     

基金公司经营融资融券业务的问题审视

融资融券业务正式运营已经开展,为证券市场带来了革命性的改革,作为证券市场的一大主体,基金公司面对融资融券也迎来了新的发展方向和挑战,本文从融资融券业务的运行机制入手,分析了基金公司融资融券的新契机,并对其即将面临的问题进行审视和剖析,进而提出策略建议.     

对基层人民银行科技工作的几点建议

银监会分设后,人民银行将专司货币政策、金融稳定、金融服务三大职能。作为人民银行的分支机构,基层人民银行的工作重心也将从金融监管调整到这三大职能上来。人民银行的科技部门,就要积极运用科技手段,为人民银行履行新的职能发挥“服务、支持、促进、发展”的作用。一、围绕三大职能搭建五大平台经过“六五打基础、七五作准备、八五大发展”几个阶段后,人民银行相继实现了核算电算化、清算网络化和办公信息化。特别是近一两年来,陆续开通了大额支付系统、信贷登记咨询系统、会计四集中系统、金融信息服务网站等系统,人民银行信息化水平又…     

The Usefulness of Measures of Consistency of Discretionary Components of Accruals in the Detection of Earnings Management

Abstract:  Prior research has shown the prevalence of measurement error in models used to estimate aggregate discretionary accruals. In these models, the incremental information content of the various components of accruals is ignored. Limited prior research and data gathered from firms under Securities and Exchange Commission (SEC) litigation indicate that managers use either one or more than one component of accruals simultaneously, in a consistent way to manipulate bottom-line earnings in a given direction. I propose two measures that capture the consistency between the discretionary components of accruals and test their significance in earnings management (EM) detection in firms that have artificially added accrual manipulation and firms that were targeted by the SEC for accrual manipulation. There is evidence that this information is incrementally useful in detecting EM. This finding paves the way for improvements in the discretionary accruals measure by including consistency information from the components of aggregate accruals.     

Summary of Results of Survey of Seminar Attendees

Abstract

The Society of Actuaries undertook a three-phase research project on mortality improvement in the three NAFTA countries: Canada, Mexico, and the U.S. Phase 1 consisted of a literature review of papers on projecting mortality levels in the future and a study of the trend in mortality improvement during this century. Phase 2 consisted of a discussion of different facets of modeling mortality rates at a seminar attended by 79 experts (actuaries, demographers, economists, and medical researchers) representing different countries. The last session of the seminar consisted of the completion of a survey by the attendees to obtain input for Phase 3, which would analyze the impact of mortality improvement on the social security system of each country. This paper summarizes the results of the survey.

The survey results illustrate the difficulty in forecasting mortality levels, because the effects of many factors that could have significant impact on mortality rates are unknown. This suggests the need for dynamic forecasting, which allows for the possibility of random shocks. A majority of the survey respondents believe that stochastic forecasting models, despite their complexity, have significant potential to add value. Respondents also believe that both historical data and cause-specific mortality forecasts are useful as input and also in validating forecasts of the aggregate levels of mortality. The challenge is to develop more sophisticated forecasting models to produce results that are relatively easy to interpret and to communicate these results to the desired audiences, including the public and policymakers.

The survey results suggest that the aggregate effect of lifestyle changes, medical advances, diseases, catastrophe, and physical environmental changes is an increase in life span. However, there is much uncertainty about the future. Respondents expect that beyond the year 2020 the mean annual rate of reduction in mortality for males age 65 and over will average about 0.58% for Canada, 0.76% for Mexico, and 0.67% for the U.S. The results for the female age 65 and over population are 0.64%, 0.83%, and 0.70%, respectively. The age 65 and over population is expected to see larger percentage reductions in mortality than the 0–14 and 15–64 populations. The reductions in male and female mortality will be ultimately the same, and the mortality levels in the three countries will ultimately converge, although differences may persist for decades.     

社会主义所有制形式的改革、完善与共产党执政能力的提高

在中国,所有制形式的调整、改革与完善,先进生产力的发展,党的执政能力建设,是社会主义建设过程中密切结合在一起的三个不同层面的发展关系.应在相互促进和共同提高中促进社会的和谐发展,保证社会主义现代化建设战略目标的顺利实现.     

Separation of Unit of Account from Medium of Exchange

The separation of a unit of account (UoA) from a medium of exchange (MoE) in the commodity–money system is investigated by considering explicitly a seller's choice of UoA in terms of either an MoE or a unit of metal weight. If the likelihood of debasement of an MoE and its rate are high enough, the price is posted in terms of a unit of metal weight rather than an MoE. Interestingly, this MoE–UoA separated equilibrium yields the flexible nominal price, whereas an MoE–UoA integrated equilibrium yields the sticky one. This implies the nominal price rigidity in the fiat‐money system where MoE and UoA are integrated.     

银行软件项目外包管理分析

一、引言随着国民经济的不断发展,银行业务与外部企业的联系越来越密切。银行正逐步成为现代经济活动的中心,作为数据处理核心的银行业务应用也越来越大型化、越来越复杂化,因此许多银行也把软件项目逐步由原来的自主开发转变为与公司合作的方式,或直接外包开发的方式,银行本身的技术人员也逐步由开发转向项目管理。二、项目外包的分类银行项目的外包有以下几种情况:①部分子系统外包,有时由于银行的软件项目太大,单靠银行自身的开发力量基本无法在预定的时间内完成项目,只好把相对独立的部分外包;②直接购买软件公司的成熟产品,有些金融软…     

银行管理信息平台建设发展的思考

一、目前国内银行IT发展现状及面临的问题 银行数据集中工作的完成,标志着银行的业务由电子化建设阶段转入信息化建设阶段.一方面银行数据的集中提供了丰富全面的基础数据,面对日益庞大的数据源,如何将数字转化为对银行有用的信息,并从中发现知识,为银行的经营决策提供支持,是摆在银行IT人员面前的一个亟待解决的问题.另一方面用户对银行信息的需求日益增长,如果银行没有一套完整、实用的信息管理系统,将对业务发展非常不利.南京爱立信公司倒戈花旗银行事件曾经轰动一时,其中一个重要原因就是中国本地银行不能满足爱立信全球总部对南京爱立信公司的要求:每周财务上报和每天贷款限额管理.这一事件为中国商业银行的未来发展敲响了警钟,如果不加快管理信息系统的开发,迅速提升业务管理水平,类似的事件还会接连不断地发生,并最终导致国内商业银行在同国外商业银行的竞争中全面溃败.     

金融企业员工考核系统的设计

一、概述 为配合公司人事考核制度的贯彻执行,保证该制度执行过程中各项工作能够长期、高效、准确地完成,我们开发了公司员工考核系统,实现了人事考核工作中员工投票、考核统计、考核信息分析、报表生成等功能,减少了人事部门人员的手工操作,提高了考核工作的自动化程度.