Evidence on the efficacy of interest-rate risk disclosures by commercial banks

This paper documents evidence on the efficacy of maturity-gap disclosures of commercial banks in indicating their net interest income that is exposed to interest-rate risk. For the large sample of banks that filed call reports from 1990 to 1997, a period that includes a wide range of interest rate movements, we find that (i) one-year maturity gap measures are significantly related to the one-year- and three-years-ahead change in net interest income, (ii) fixed-rate and variable-rate instruments differ in explanatory ability, and (iii) the one-to-five-year aggregate gap measures also have some power in explaining three-year-ahead changes in net interest income. These findings hold after controlling for the ex post growth in assets as well as the amount of rate-sensitive assets and liabilities (a competing set of explanatory variables). Because the Securities and Exchange Commission (SEC)'s [Securities and Exchange Commission (SEC), (1997). Disclosure of accounting policies for derivative financial instruments and derivative commodity instruments and disclosure of qualitative and quantitative information about market risk inherent in derivative financial instruments, other financial instruments, and derivative commodity instruments. Release Nos. 33-7386; 3438223; IC-22487; FR-48; International Series No. 1047; File No. S7-35-95 (January 31, 1997), Washington, DC] tabular disclosures are finer than maturity-gap data, our findings mitigate concerns about the usefulness of the SEC's market-risk-disclosure requirements. Furthermore, they suggest contrary to the claims of certain banks that the omission of prepayment and early withdrawal risk from gap measures does not totally compromise the ability of gap data to indicate interest-risk exposures.     

Stakeholder Returns of Islamic Banks Versus Conventional Banks

Sharia principle shaping the Islamic banking model is most determinant on collection and deployment of funds with its ban on interest. This study aims to look at the results of funded activities in isolation for a healthier comparison between Islamic and conventional deposit banks with respect to their financial stakeholders. The differences are reflected as lower asset returns and lower returns for depositors of Islamic banks. These differences sustain throughout normal and crisis periods. Our findings show that despite differences in asset structures and returns, Islamic banks retain similar returns for shareholders to position themselves close to and in competition with their conventional counterparts.     

公募基金内部羊群行为研究

以往对公募基金羊群行为的研究聚焦于宏观层面不同基金公司所持股票组合的相似性,而该研究则从微观视角研究了羊群行为:(1)单个公募基金公司所管理的多个基金相互模仿投资策略所呈现的羊群行为;(2)基金经理的交易行为所呈现的羊群行为。使用LSV模型测量2010—2019年多个公募基金公司内部的羊群行为,发现同个公募基金公司所管理的多个不同基金存在相互模仿投资策略的羊群行为,程度高于宏观层面不同公募基金之间相互模仿的羊群行为。此外,还发现基金经理的买入卖出交易行为存在羊群效应。研究从新的视角检验了微观层面的羊群行为,为基金公司加强内部管理、避免基金经理跟风投资造成风险聚集提供参考。     

泡沫前后的政府政策选择

在经济全球化的背景下,金融资本的国际化流动不断加强,促成了国际金融市场的联动性和互相影响程度不断加强.而金融市场的迅速发展和资产证券化程度的提高,使得金融对于经济的渗透程度和影响程度加大.伴随着经济周期的扩张和收缩,相应资产价格的泡沫的形成和破灭的过程也对经济产生巨大的影响,政府在这样的不同周期阶段的政策选择对于平滑经济和金融市场风险显得十分重要.文章作者试图探讨政府在泡沫形成期和泡沫破灭期的理性政策选择.     

主债务人破产后保证人停止计息的法理与实践

我国《企业破产法》第四十六条第二款规定:"附利息的债权自破产申请受理时起停止计息。"但是该条规定是否及于保证人在实务中存在不同的裁判路径。对不同判决的分析,法院比较偏向于保证从债权的范围不应超过主债权,所以停止计息也应当及于保证人。本文从突破保证责任从属性的角度分析,论证破产止息不及于保证人的合理性,并对现在的破产止息制度进行思考。     

基于截尾分布理论预测开放式基金大额赎回量

提出了开放式基金的巨额赎回量和大额赎回量的概念,将复合泊阿松分布和截尾分布理论运用在大额赎回量概率计算之中,得到了计算公式。由于开放式基金流动性风险主要来自于大额赎回量,因此使用截尾分布方法预测未来近期的大额赎回量更合适。推导出了正态分布下大额赎回量的期望和方差计算公式。为基金管理人合理规避这种流动性风险提供了一种预测方法。     

新凯恩斯框架下最优货币政策规则理论及在我国的实证研究

本文详细介绍了新凯恩斯经济学下IS曲线和Phillips曲线的理论渊源和两种主要货币政策规则的思想,并针对我国的经济数据进行实证检验。研究发现:我国的经济运行符合新凯恩斯经济下的前瞻性IS曲线和Phillips曲线,在此基础上模拟最优利率规则结果较理想。     

基于负债的中小企业经营策略

由于我国金融市场体系不健全和中小企业自身的原因,中小企业在发展过程中仍面临着较多问题,尤其资金短缺成为制约中小企业发展的瓶颈,负债更成为维持中小企业发展的一条捷径。中小企业应充分结合自身的特点、所在的外部融资环境、融资成本以及企业对资金的需求等要素,进行适度负债经营,选择适合自己的筹资方式,有效利用负债经营的有益之处,最大限度地提高经济效益。     

OECD国家企业年金基金监管模式及其对我国的启示

企业年金的发展已经有了100多年的历史,已成为社会保障体系的一个重要组成部分。本文从总结OECD国家的监管经验,对审慎性模式和定量限制模式进行比较出发,分析我国企业年金监管的内在动因,结合我国的具体国情,确定我国应当采用何种监管模式,保证企业年金的安全性和收益性。     

中美汇率利率互动效应研究：2000-2011

本文应用非线性平滑转换模型研究了2000-2011年中美名义汇率与名义利差之间的动态非线性关系．研究发现：中美名义汇率与名义利差之间存在着负相关关系,汇率对利率的影响呈现出非对称性特征。当名义汇率在7—8之间时,汇率的变动会引起两国利差的较大变动;当人民币被高估或低估时,汇率对利率的影响程度大大降低。