Jumping hedges: An examination of movements in copper spot and futures markets

Price risk is an important factor for both copper purchasers, who use the commodity as a major input in their production process, and copper refiners, who must deal with cash‐flow volatility. Information from NYMEX cash and futures prices is used to examine optimal hedging behavior for agents in copper markets. A bivariate GARCH‐jump model with autoregressive jump intensity is proposed to capture the features of the joint distribution of cash and futures returns over two subperiods with different dominant pricing regimes. It is found that during the earlier producerpricing regime this specification is not needed, whereas for the later exchange pricing era jump dynamics stemming from a common jump across cash and futures series are significant in explaining the dynamics in both daily and weekly data sets. Results from the model are used to under‐take both within‐sample and out‐of‐sample hedging exercises. These results indicate that there are important gains to be made from a time‐varying optimal hedging strategy that incorporates the information from the common jump dynamics. © 2006 Wiley Periodicals, Inc. Jrl Fut Mark 26:169–188, 2006     

国有商业银行公司治理的问题分析

建立产权明晰、权责明确、政企分开、管理科学的现代企业制度是我国国有商业银行改革的方向，而良好的公司治理的建立是决定国有商业银行改革成败的核心问题。本文探讨和分析我国国有商业银行公司治理的现状和存在的问题，进而提出完善我国国有商业银行公司治理的建议。     

A note on price futures versus revenue futures contracts

Here we consider the hedging roles of a price futures contract versus a revenue futures contract. In the absence of idiosyncratic output risk, the revenue contract almost always dominates the price contract. Idiosyncratic output risk provides conditions under which the price contract should dominate. When production risk is largely idiosyncratic, a producer with an anticipated long actuals position might combine a long revenue futures position with a short price futures position. © 2004 Wiley Periodicals, Inc. Jrl Fut Mark 24:503–512, 2004     

商业银行应成为周期行业的平稳器

“商业银行应把支持规模大、信誉好,财务状况良好、抗风险能力强、技术专业队伍过硬、接单能力强、船舶产品有特色的船企作为船舶融资重点．力争发挥长周期行业平稳器作用．”近日,中国银行总行高级分析师曾毅如是说．     

商业银行要防范金融诈骗

90年代以来,随着市场经济的发展,金融欺诈、恶意逃废债等现象逐渐增多.虽然国家加大了对金融欺诈的打击力度,商业银行也提高了自身的防御能力,但是,金融诈骗案件仍然时有发生,使国家金融资产遭受损失.据有关部门统计,1999年全国银行系统反映出来的诈骗、盗窃、抢劫、涉枪案件533件,比1998年减少430件,而2000年案件发生又上升到739件.     

对商业银行管理层激励与约束问题的思考

商业银行管理层激励与约束机制要根据商业银行自身的特殊性来设计,选择低报酬--业绩敏感性的经理层报酬补偿激励机制、完善的经理人市场、健全的现代企业制度以及外部监管.     

我国商业银行效率研究述评

作为金融中介机构的商业银行在经济运行中占有独特的地位,商业银行效率的研究不仅影响银行自身的盈利能力,对于金融体系的功能发挥也具有重要意义。本文以商业银行效率的结构基础、测度方法、实证检验、影响因素,以及外资银行进入对我国商业银行效率的影响为线索,总结评析国内外学者对我国商业银行效率的已有研究成果,并提出我国商业银行效率研究中存在的不足和未来有待于深入研究的问题。     

Efficiency of service delivery systems in large commercial banks

This article provides novel empirical evidence on the cross-sectional variation of the productive efficiency of large banks relative to their service delivery systems. The analysis is conducted using data drawn from a sample of 118 large U.S. commercial banks for the years 1989 through 1991. The analysis reveals that centralized service delivery systems increase bank costs significantly. In no case was it found that centralized service delivery systems reduce costs, as is often envisioned by proponents of centralization. It is also found that centralized back-office operations tend to reduce costs significantly and are consistent with the existence of scale economies in bank back-office operations. © 1995 John Wiley & Sons, Inc.     

An empirical analysis of multi‐period hedges: Applications to commercial and investment assets

This study measures the performance of stacked hedge techniques with applications to investment assets and to commercial commodities. The naive stacked hedge is evaluated along with three other versions of the stacked hedge, including those which use exponential and minimum variance ratios. Three commercial commodities (heating oil, light crude oil, and unleaded gasoline) and three investment assets (British Pounds, Deutsche Marks, and Swiss Francs) are examined. The evidence suggests that stacked hedges perform better with investment assets than with commercial commodities. Specifically, deviations from the cost‐of‐carry model result in nontrivial hedge errors in the stacked hedge. Exponential and minimum variance hedge ratios were found to marginally improve the hedging performance of the stack. © 2005 Wiley Periodicals, Inc. Jrl Fut Mark 25:587–606, 2005     

Efficiency and total factor productivity change of Malaysian commercial banks

This paper analyses the efficiency of Malaysian commercial banks between 1996 and 2002 and finds that while the East Asian financial crisis caused a short-term increase in efficiency in 1998 primarily due to cost-cutting, increases in non-performing loans after the crisis caused a more sustained decline in bank efficiency. It is also found that mergers, fully Islamic banks, and conventional banks operating Islamic banking windows are all associated with lower efficiency. The paper estimates suggest mild decreasing returns to scale, and an average productivity change of 2.37% that is primarily attributable to technical change, which has nonetheless declined over time. Finally, while Islamic banks have been moderately successful in developing new products and technologies, the results suggest that the potential for Islamic banks to overcome their relative inefficiency is limited.     

An analysis of the behavior of mature black-owned commercial banks

Accounting and statistical techniques are used to compare the behavior of a sample of mature black-owned banks with that of a matched set of nonminority-owned banks. The black banks are generally less profitable. The major reasons for this lower profitability include more liquid asset portfolios at the black banks, higher operating costs on liabilities, and higher rates of loan loss. Higher loan loss rates appear to be the single most important factor, with losses on real estate and possibly commercial and industrial loans probably being the most serious continuing sources of loan losses.     

论经济增加值在商业银行考核评价中的应用

传统的考核体系以单纯的利润指标作为考核业绩的标准,但利润大并不代表业绩就一定好,引入经济增加值指标可以克服传统的业绩考核的缺陷。考核体系又称为银行经营管理的指挥棒,将价值管理思想融入银行,实现银行价值最大化是商业银行经营的最终目标,科学的绩效考核评价体系是实现这一目标的保障。因此,在商业银行建立以经济增加值为基础的绩效考核评价体系,是提升商业银行竞争力的重要举措。     

我国城市商业银行联合重组的模式选择

我国城市商业银行是在合并重组城市信用社的基础上组建的，是我国经济成长的特殊阶段和金融体制改革特殊时期的产物。截至2003年6月底，已经发展到112家，网点5161个，从业人员10．7万人，成为我国商业银行结构体系中一个不可或缺的部分。     

我国商业银行的外部环境因素分析

商业银行的外部环境影响其成长和获利能力。商业银行为获取战略竞争力,形成持久竞争优势,必须要了解外部环境的各方面因素,必须要有效地分析外部环境。在当前我国商业银行的发展既存在机遇,又面临严峻挑战的形势下,我国商业银行只有抓住机遇,加快发展,以适应不断变化的外部环境,才能增强自身在金融市场上的竞争力,赢得持久竞争优势。     

地方性商业银行与区域经济发展探讨

本文通过浙江省城市商业银行的成长和壮大,剖析浙江地方金融业对地方经济和社会发展的重要性。2002年至2009年期间,浙江出现15家城市商业银行,它们都是以城市信用社基础上成立的,从而使浙江成为全国拥有地方性城市商业银行最多的省份之一。这些与浙江经济发展及地方政府的支持是离不开的。本文通过宏观经济、微观金融和地方政府政策等各个方面来剖析彼此的内在联系,并从地方金融—浙江地方商业银行这个角度提出目前发展主要存在的问题,以及提出一些政策性建议及措施来解决当前存在的问题。