国库集中支付操作风险产生机理的博弈分析

国库集中支付操作风险是指国库资金支付过程中出现违规操作行为的可能性。国库集中支付制度框架下财政资金支付活动是财政部门、预算单位、代理银行和人民银行共同参与的博弈过程。本文运用博弈理论首先分析国库集中支付操作风险产生的内在机理，然后剖析国库集中支付操作风险产生的外在博弈条件，最后从优化博弈条件出发，提出建立健全监督激励机制以防范国库集中支付操作风险的建议。     

Riding the swaption curve

We conduct an empirical analysis of the term structure in the volatility risk premium in the fixed income market by constructing long-short combinations of two at-the-money straddles for the four major swaption markets (USD, JPY, EUR and GBP). Our findings are consistent with a concave, upward-sloping maturity structure for all markets, with the largest negative premium for the shortest term maturity. The fact that both delta–vega and delta–gamma neutral straddle combinations earn positive returns that seem uncorrelated suggests that the term structure is affected by both jump risk and volatility risk. The results seem robust for macroeconomic announcements and the specific model choice to estimate the risk exposures for hedging.     

美国版权证券化的困境析

鲍伊债券在美国开启了知识产权证券化的大门,一度兴盛,但现在呈现困顿状态,原因主要有五个,其中版权所有权和版权担保权益公示问题是困扰版权证券化的主因。理清这些原因,有助于我们理性看待版权证券化本身及其在中国的发展前景。     

Does bond market development enhance the banking sector’s efficiency in resource allocation? Industry-level evidence from Korea

Korea’s financial system used to be bank-based, with banks playing the leading role in financing corporations. As highlighted by Park et al. (2019), however, bond markets have developed rapidly in Korea and other Asian countries. The corporate bond market competes with banks as a source of finance for large borrowers. As such, bond markets may affect banking sector operation, a process known as disintermediation. In this paper, we examine whether bond market development improves the efficiency of resource allocation in Korean bank lending. We propose two channels through which bond market development affects the efficiency of bank lending. Since the two channels have opposing effects on the efficiency of banking, the issue must be settled by empirical analysis. We find that bank loans are much less efficient than bond financing in allocating resources across industries. Furthermore, banks are particularly inefficient in resource allocation in industries that rely more on bond financing. This suggests that competition from bond financing does not improve allocative efficiency of bank loans.     

Economic fundamentals,policy responses,and state-level municipal bond sensitivity to COVID-19 prevalence

This paper conducts a state-by-state analysis of the financial impact of the COVID-19 pandemic on the U.S. municipal bond market. Using panel regressions and state-by-state regressions, we find that the prevalence rates of the COVID-19 virus negatively impacted the aggregate performance of municipal bonds. The study also explored whether the disparities in the economic fundamentals of U.S. states, as well as the COVID-19 mitigation policies employed by each state, can explain the sensitivity of the state’s municipal bond to its COVID-19 prevalence rates. States with more desirable economic fundamentals and robust COVID-19 mitigation policies appeared to have higher COVID-19 sensitivities than states that do not. This finding may be due to a baseline effect, in which the higher levels of economic activities in these states also make them more susceptible to the deleterious effects of the stronger mitigation policies enacted by them.     

New tips from TIPS: Identifying inflation expectations and the risk premia of break-even inflation

This paper decomposes the break-even inflation rates derived from inflation-indexed bonds into inflation risk premia, liquidity risk premia, and inflation expectations. I estimate a common factor model with autoregressive conditionally heteroscedastic (ARCH) errors that extracts co-movements from twenty-two monthly and quarterly indicators to identify these three components. The results indicate that the sharp declines in the 10-year and 5-year break-even inflation rates in 2009 reflect a substantial increase in liquidity risk rather than a decrease in inflation expectations. Break-even inflation rates underestimate inflation expectations over nearly the entire sample due to the liquidity risk premia carried by the inflation indexed bond yields. Also, the model-implied inflation expectations show better forecast performance for the average annual inflation rates than raw break-even inflation rates, the Survey of Professional Forecasters, and the Surveys of Consumers inflation forecasts.     

The pressure of economic growth and the issuance of Urban Investment Bonds: Based on panel data from 2005 to 2011 in China

This paper explores the motivations behind the issuance of Urban Investment Bonds (UIBs) to stimulate local economies in China after the 2008 global financial crisis. Based on panel data from 2005 to 2011, we find that pressure to achieve economic growth has a positive effect on the issuance of UIBs, while fiscal pressure has the opposite effect on UIB issuance. We also find that the tenure of municipal party secretary, the revenue of land-use right transfer and fiscal pressure will change the impact of economic growth pressure on UIB issuance. These results are consistent with a pattern in which China's local government officials are influenced by the central government's assessment of local economic growth performance and have promotion-related incentives to maintain and develop the local economy.     

我国地震巨灾债券发行问题初探

我国在地震风险转嫁机制方面严重不足,应借鉴发达国家经验,发行地震巨灾债券。我国保险市场与资本市场经过多年发展,已经具备了基本条件。可设立巨灾风险管理协调委员会,尽快推进发行地震巨灾债券试点。可先在国际资本市场发行巨灾债券,主要面向国际机构投资者,以积累经验,条件成熟时再在国内资本市场发行。     

公司股份回购负财务效应分析

股份回购早已成为上市公司为配合资本结构决策或股利政策而广泛采用的财务举措,而在我国股份回购无疑也是证券市场上的一项重大制度突破和金融创新。本文首先阐述了股份回购的基本理论,然后结合东北老工业基地公司股份回购的相关情况,着重地分析了股份回购的负财务效应。最后针对股份回购负财务效应分析中所发现的问题,提出了一系列相应的建议和解决措施,使其无论在理论上还是实践上的研究都得到了进一步的完善。     

新疆吐鲁番地区农村国债发行情况调查分析

多年来，国债一直是城镇居民投资的热点，农村居民购买国债难的问题日趋突出。一方面，城市内的银行机构承担着国债承购包销任务却完不成承销计划；而另一方面却是农村居民想买而买不到国债。本文对这一问题的深层次原因及农村居民购买国债的可能性进行了分析，在此基础上，提出了拓宽农村居民购买国债渠道的几点建议。