Financial statements based bank risk aggregation

One of the major challenges involved in risk aggregation is the lack of risk data. Recently, researchers have found that mapping financial statements into risk types is a satisfactory way to resolve the problem of data shortage and inconsistency. Nevertheless, ignoring off-balance sheet (OBS) items has so far been regarded as the usual practice in risk aggregation, which may lead to deviations in conclusions. Hence, we improve the financial statements based risk aggregation framework by mapping OBS items into risk types. Based on 487 quarterly financial statements from all 16 listed Chinese commercial banks over the period 2007–2014, we empirically study whether the overall impact of OBS activities and the individual impact of each of the OBS risk types on total risk depend on bank size. Moreover, this research divides the sample into two subsets, during and after the subprime crisis, to find out how the subprime crisis affects risks of Chinese banks. Our empirical results show that although OBS credit risk is positively linked to total risk while OBS operational risk is negatively linked to total risk for both large and small banks, the overall impact of OBS activities on total risk depends on bank size. The overall OBS activities are positively related to the large bank’s total risk while they are negatively related to the small bank’s total risk. Besides, we also found that it is the increase of liquidity risk and market risk that leads to the larger total risk of Chinese banks during the subprime crisis.     

Insights from Accounting Practitioners on China's Convergence with IFRS

This study provides insights from accounting practitioners on China's convergence with International Financial Reporting Standards (IFRS). Through a survey of 33 senior financial executives of Chinese listed companies in 2014, the study reports their perceptions on the following issues: first, the degree of convergence between IFRS and Chinese Accounting Standards (CAS); second, the choice between fair value and historical cost accounting, and the usefulness of fair value accounting for Chinese companies’ financial reporting; third, challenges in the process of China's harmonisation with IFRS; and finally, essential capabilities of Chinese accounting professionals in the process of China's harmonisation with IFRS. Multivariate regression was used for further analysis. The survey findings reveal that in general CAS have converged with IFRS, with a few exceptions that reflect the unique Chinese context. Historical cost accounting is the preferred measurement base to fair value accounting. Exercising professional judgement was identified as a challenge for China's full convergence with IFRS. Ownership structure and the expertise of accounting practitioners were found to affect respondents’ judgements on China's convergence with IFRS. This study has policy implications for international accounting standard setters and accounting educators to consider the contextual issues of implementing IFRS in an emerging economy.     

Risk measurement distortion: an improved model of return smoothing

We examine the effects of smoothed hedge fund returns on standard deviation, skewness, and kurtosis of return and on correlation of returns using a MA(2)-GARCH(1,1)-skewed-t representation instead of the traditional MA(2) model employed in the literature. We present evidence that our proposed representation is more consistent with the behavior of hedge fund returns than the traditional MA(2) representation and that the traditional method tends to overstate the degree of smoothing observed in hedge fund returns. We examine methods for correcting the distortive effects of smoothing using our representation.     

中国经济波动的产出和通胀效应 ——基于供求冲击相关的SVAR模型分析

本文结合产出缺口-通胀形式的菲利普斯曲线（AS曲线）,构建了产出缺口和通 胀率的SVAR模型,并将识别结果同B-Q约束条件下的识别结果进行比较,以此来探究我国近 三十多年来宏观经济系统中需求冲击和供给冲击对产出和通胀动态的效应。主要得出以下结 论：第一,供求冲击之间高度相关;第二,需求冲击是我国通胀波动的决定性因素,并且存在 持久稳定的效应。第三,供给冲击是我国经济增长的绝对主导力量。第四,我国存在相对陡峭 的菲利普斯曲线（AS曲线）。第五,产出缺口与同比CPI对我国经济状况的拟合效果最好。     

M2与社会融资规模偏离的原因及趋势研究

货币政策由数量型向价格型调控转型过程中,价格似乎变得更为重要。尽管如此, 货币数量与资金价格仍是观察“硬币”的两面,数量的趋势或能预判价格的变化。金融严监管 的背景下,货币数量尤其是广义M2在过去一年出现剧烈的收缩,而另一个货币数量指标社会 融资规模却仍然强劲,二者的分化使得我们感知货币松紧以及经济冷暖出现分歧。本文基于 M2和社会融资组成结构的异同点,分别对M2和社会融资近年来在金融自由化和金融监管收紧 过程中的变化机理进行梳理,并对未来趋势予以预判。首先,文章区分了M2和社会融资的组 成结构异同点,从共同的影响因素信贷入手进行分析和预判;其次,依据货币派生的机理,从 商业银行资产负债表来分析引起M2变动的主要矛盾进行深入解读;再次,对于引发社会融资 变动的信托和委托变化趋势予以分析。最后我们得出结论,由于监管重点的时间差异使得此轮 M2先于社会融资回落,未来二者分化将逐步收敛。     

Experiencing meaningfulness climate in teams: How spiritual leadership enhances team effectiveness when facing uncertain tasks

This study integrates social information processing theory with leadership and climate literature, and aims to produce novel theoretical insights into whether and how spiritual leadership and task uncertainty foster conditions to enhance meaningfulness climate and subsequent team effectiveness in China. Team effectiveness was operationalized as team performance and team organizational citizenship behavior (OCB). Based on data collected at three time points over 12 months from multiple sources of 123 teams in China, we found that spiritual leadership was positively related to team performance and team OCB through meaningfulness climate. Further, the relationship between spiritual leadership and meaningfulness climate was stronger for teams with high task uncertainty than teams with low task uncertainty.     

基于遥感蒸散数据的农田灌溉水平评价和设施建设分区研究

[目的]利用遥感蒸散数据快速评价农田年度灌溉水平,及时获取基本农田建设成效,为农田灌溉设施分区建设提供参考。[方法]以黑龙江省海伦市为研究区,MOD16蒸散产品为数据源,计算有效灌溉量、灌溉需水量和作物缺水指数,分别对研究区2013年的旱地和水田灌溉水平进行评价,并将评价结果与农田水利设施作用分值图进行叠加分析,在此基础上进行基本农田灌溉设施建设分区。[结果]2013年海伦市耕地灌溉水平整体较高,区域间建设水平差别较大,可划分为4个级别。其中1级和2级灌溉水平的地块面积比例可达78.06%,地域分布上看,北部、西部、中部乡镇灌溉水平较高,东南部乡镇灌溉水平相对较低。叠加得出8种组合类型,分为设施修建型、设施提升型和设施维护型3种分区类型。[结论]研究为高标准农田建设提供了更详细的农田灌溉水平评价方法和更具差别化的农田灌溉设施建设策略。     

协调博弈视角下自贸区合作福利优化问题研究

在当前世界各国将参与自贸区作为自身既定战略的情况下,如何优化合作的福利成为各参与国迫待解决的问题。我国在参与自贸区合作时应优先选择与自身策略互补性强的国家(地区)作为自贸区合作伙伴,并选择对方降低关税对自身具有正溢出效应或正溢出效应明显的出口部门优先参与谈判。     

基于GIS网格技术的城镇周边永久基本农田划定研究——以江苏宜兴市为例

[目的]通过运用网格化技术和综合评价法将研究区划分为4类永久基本农田划定类型区,为创新县域尺度永久基本农田保护区划定的方法和技术体系,协调耕地保护、经济发展和生态保护之间的关系提供有力支撑。[方法]文章以宜兴市为实证研究区,将城镇周边区域网格化,选取综合等别、距城镇和可建设占用区的距离等因子作为评价指标,确定永久基本农田约束划入区。同时,根据土壤综合污染指数修订耕地利用等,得到耕地综合等,然后以耕地距离城镇、交通干线的距离和空间连片度作为评价指标,对耕地进行立地条件评价并划分等级,最后将约束划入区以外的耕地以综合等-立地条件的形式,划分为不同的类型区。[结果](1)城镇外延区被划分为1.232 0万个100m×100m的网格评价单元,在网格环境下,纳入约束划入区的耕地面积5 170.33hm~2,占全部耕地的9.65%;(2)耕地利用等修订后得到的综合等与利用等相比,耕地等别依然集中在4、5等,受重金属污染区影响出现了8等耕地;(3)约束划入区外的耕地被划分为优先划入区、适宜划入区及整治划入区,耕地面积占比分别为21.16%、40.52%及28.67%。[结论]通过网格化确定的约束划入型主要分布在规划选定的重点建设项目区和有条件建设区,与城镇主要发展方向一致,既满足了城镇连片发展的需求,也实现了对城镇周边优质耕地优先保护;优先划入型分布在城镇周边或交通干线沿线,区位条件优越,且耕地质量高;适宜划入型在立地条件或综合等方面有较大发展潜力,可通过整治措施提升其质量水平;整治划入型受重金属污染严重,综合等别较低且立地条件较差,在经过差别化的土地整治后可作为入选永久基本农田的后备资源。     

灌溉耕地空间分布制图研究进展

[目的]灌溉耕地空间分布是管理水资源、指导农业生产和监控环境变化的基础数据,遥感是获取灌溉耕地空间分布的重要手段。科学总结有关区域灌溉耕地空间分布制图的研究进展,可为遥感在该领域的应用研究提供参考。[方法]文章全面收集近年来国内外利用遥感提取灌溉耕地的文献资料,系统分析了灌溉耕地制图的特征选择和主要技术方法,并展望了未来的发展方向。[结果]从分类特征的角度看,气候、生产方式和设施等农业相关地域条件是灌溉耕地制图的必要参考;灌溉引起的水分或植被生长状况差异是主要依据;引入参量的时序变化特征或新的特征参量是对单一影像信息不完善的有效补充。从分类方法的角度看,不同分类方法多局限于局地或区域尺度,规则普适性不高,真值数据收集困难,难以适应大尺度下多样的地域条件,导致无法高效及时地生产更新相应规模且合适分辨率的产品,大区域灌溉制图的主要方式仍依赖空间分配模型。[结论]未来发展而言,自动分类技术和遥感影像资源的丰富已为高效生产灌溉分布地图提供了基础条件,整合数据资源、挖掘特征参量和优化分类方法等3个方面应是未来的主要发展方向。