Assessing credit quality from the equity market: can a structural approach forecast credit ratings?

We investigate the empirical performance of default probability prediction based on Merton's (1974) structural credit risk model. More specifically, we study if distance‐to‐default is a sufficient statistic for the equity market information concerning the credit quality of the debt‐issuing firm. We show that a simple reduced form model outperforms the Merton (1974) model for both in‐sample fitting and out‐of‐sample predictability for credit ratings, and that both can be greatly improved by including the firm's equity value as an additional variable. Moreover, the empirical performance of this hybrid model is very similar to that of the simple reduced form model. As a result, we conclude that distant‐to‐default alone does not adequately capture the firm's credit quality information from the equity market. Copyright © 2007 ASAC. Published by John Wiley & Sons, Ltd.     

金融外包与产业链延伸:信用卡产业集约化发展路径选择

如何通过金融外包,实现发卡机构降低营运成本、突出主业、提高市场竞争力;推进中国以银行为主体,多元化金融外包机构共同协作,形成中国信用卡产业链,成为中国银行业、金融业共同关心的问题。本文从信用卡业务分割入手,通过机具配置、服务水平、财务成本和市场竞争力等方面的分析,揭示信用卡实施金融外包的内生性因素,阐述金融外包不仅提升了发卡机构管理和盈利效率,而且对信用卡产业形成、丰富中国金融服务体系具有积极意义。     

日本银企信用关系的约束机制分析

战后,基于日本企业融资结构的特点,日本银企之间形成了一种长期的交易关系,其得以维系依赖于日本主银行制度与企业内在机制约束作用的双重迭加。分析表明,充分发挥作为企业主要金融援助者的银行对于企业的指导与监督作用是实现银企信用关系约束机制有效性的关键。     

Risk and Return Around Bond Rating Changes: New Evidence From the Spanish Stock Market

Abstract:  This study analyzes the effect of corporate bond rating changes on stock prices in the Spanish stock market. We explore their effects on excess of returns and systematic risk. Rating changes by Moody's, Standard and Poor's and FitchIBCA are analyzed. On an efficient market, these changes will only have some effect if they contain some new information or if they are associated to a redistribution of wealth between shareholders and bondholders. We use an extension of the event study dummy approach. Our results support the redistribution of wealth hypothesis in the abnormal returns behavior. We also find that changes in both directions cause a rebalancing effect in the total risk of the firm, with significant reductions on their systematic component.     

大学生助学贷款的信用评估

国家助学贷款违约现象屡见不鲜，鉴此，科学选择大学生助贷信用行为的评估指标，合理评估助学贷款信用，有效防范助学贷款风险尤显重要。文章结合现有商业银行可获取的相关数据，应用因子分析法与Logistic回归法相结合，建立起较为理想的信用评估模型，解决了单纯Logistic回归法的变量多重共线性问题，同时又较好地分析了影响学生助贷信用行为的因素，为银行防范助学贷款风险提供依据。     

Consumption, house prices, and collateral constraints: a structural econometric analysis

If borrowing capacity of indebted households is tied to the value of their home, house prices should enter a correctly specified aggregate Euler equation for consumption. I develop a simple two-agent, dynamic general equilibrium model in which home (collateral) values affect debt capacity and consumption possibilities for a fraction of the households. I then derive and estimate an aggregate consumption Euler equation, and estimate its structural parameters. The results provide robust support for housing prices as a driving force of consumption fluctuations.     

中小企业信用体系建设的实践与探索——以“三品三表”信用考核为例

为发挥中小企业信用体系在破解中小企业融资难困境中的作用,人行铜仁市中心支行建立了企业信用考核机制,在推动中小企业信用体系建设、化解中小企业融资难方面取得了明显成效。本文归纳总结了信用考核机制的主要措施及取得成效,并针对当前存在的问题提出了政策建议。     

“大水漫灌”还是“精准滴灌”:基于时-频域动态视角下房价调控机制研究

基于时-频域动态视角采用小波分析模型,文章结合高频序列和低频数据在同一框架内研究总量货币政策、结构性信贷政策和房价波动三者之间不同时期的动态影响关系,并进一步甄别供需调控对房价的异质性影响。实证发现,作为房价调控的手段,结构性信贷要优于总量货币政策,而结构性信贷的影响机制是,中期时供给端调控存在非对称性,长期和超长期需求端优于供给端调控,这表明需求结构性信贷政策+总量货币政策工具的调控效果更佳。因此,应用价值体现在遏制房价的过程中,政府应该让"大水漫灌"式的总量货币政策用于"事前预防",而让"精准滴灌"式的结构性信贷政策用于"事后控制",在不同的时-频域中以前者为辅后者为主交替或协调使用,以此防止房地产市场泡沫累积而爆发风险。     

利率市场化下“三方机制”探析——基于商业银行、农信社、民间金融三元结构

我国的金融抑制决定了利率市场化的制度变迁路径,正规金融制度的信用渗透力不足,无法满足中小企业的融资需求“诱导”了民间金融的兴起。本文从我国金融市场的诱导性制度变迁角度,分析了我国的商业银行、农信社、民间金融三元并立的结构,并提出只有商业银行、农信社、民间金融之间的“三方机制”协调发展,才能使我国利率市场化改革顺利进行。     

国地税合并与企业债务融资——基于税收征管独立性视角

文章将2018年国地税合并改革视为一项准自然实验,采用双重差分方法从税收征管独立性视角考察了其对企业债务融资行为的影响。研究发现,国地税合并会导致企业总体债务规模显著上升。区分债务类型来看,国地税合并未促使企业增加具有利息税盾效应的银行贷款,而是促使企业增加了不具有利息税盾效应的商业信用,这一结果否定了债务税盾效应假说,而支持了流动性约束效应假说。异质性分析表明,在非国有企业、融资约束严重的企业以及成本转嫁能力较弱的企业中,国地税合并对企业债务规模的促进作用更为凸显,再次验证了流动性约束效应假说。此外,文章还发现在国地税合并之后,企业的经营绩效和股利分配显著下降以及财务风险显著上升。文章结论表明,在国地税合并改革过程中,政府部门需要注意税收征管加强给企业带来的流动性约束,这对于现阶段的税收征管体制改革具有一定的实践参考意义。