可转换债券发行前后标的公司财务绩效研究

对2002～2004年间发行可转换债券上市公司的财务绩效表现进行了实证研究，研究结果表明，与配股、增发后公司迅速下滑的绩效表现不同，转债发行后，标的公司的财务绩效基本上维持原状，甚至还优于行业对照组。对这种相对稳定的绩效表现，我们将给出几种可能的解释。     

对中国可转换公司债券发展路径的评析

中国可转换公司债券的发展经历了探索期、试点期和发展期三个阶段，各阶段具有各自的经验教训。当前利用可转债融资在企业特性、行业选择和发行时机方面存在误区，基于经济理性假设，不同类别的企业以及企业发展的不同阶段，应根据自身的发展战略、市场状况以及融资成本来选择是否采用可转债融资。     

波兰市政债券的发展及其对我国的启示

波兰作为一个转型经济国家，其发展过程中表现出的特点对于中国具有参考意义。在市政债券方面，它比我国早发展。考察波兰市政债券市场的建立与发展将对于我国市政债券市场的形成具有一定价值波兰的市政债券市场是在非常有限的条件下发展起来的，而比较来看，我国更具优越性，而且现实也需要我们建立市政债券市场。因此，我国应在借鉴世界其他国家发展市政债券市场的经验教训的基础上，有步骤地有选择的发展市政债券市场。     

New Measures for Inflation Uncertainty and Disagreement from Treasury Auctions: Alternative to Surveys

In this article, we propose a novel methodology to construct new uncertainty and disagreement measures for the long-term inflation rate with the use of micro data of Treasury auctions. We employ individual bids submitted in Treasury auctions for nominal and inflation indexed bonds. We argue that these newly formed indicators do not have the problems associated with the survey and market-based uncertainty and disagreement measures. We also focus on the interactions of our proposed measures for inflation rate by comparing the measures commonly used in the literature. The findings of this article are believed to enhance the effectiveness of policy-making by introducing new proxies for crucial economic variables and also by providing the opportunity for other emerging economies with inadequate surveys to construct historical uncertainty and disagreement measures for inflation rates.     

企业债券市场波动性研究—基于ARMA-GARCH模型的实证分析

基于交易所企债指数,利用ARMA-GARCH模型分析市场波动性。结果表明ARMA（1,1）-GARCH（1,1）模型可以合理解释企业债券市场波动存在的持续性、丛集性和杠杆效应。场外冲击对条件方差的影响具有持久性,反向冲击比等量的正向冲击会导致更高的下一期的条件方差。EGARCH（1,1）-M模型回归结果表明,市场存在正的风险溢价,但是预期条件波动对预期收益仅有微弱补偿。     

企业债券市场波动性研究——基于ARMA-GARCH模型的实证分析

基于交易所企债指数,利用ARMA-GARCH模型分析市场波动性。结果表明ARMA(1,1)-GARCH(1,1)模型可以合理解释企业债券市场波动存在的持续性、丛集性和杠杆效应。场外冲击对条件方差的影响具有持久性,反向冲击比等量的正向冲击会导致更高的下一期的条件方差。EGARCH(1,1)-M模型回归结果表明,市场存在正的风险溢价,但是预期条件波动对预期收益仅有微弱补偿。     

When Does Relational Exchange Matters? Social Bond,Trust and Satisfaction

Purpose: The extant literature on business-to-business relationship has shown that trust, relationship duration, and social bond are the key drivers of relationship satisfaction. Notwithstanding, studies on the examination of when and why these variables translate into successful relationship are still scarce and need further exploration. This research investigates the conditions under which trust and social bonds influence satisfaction in a business-to-business relationship.

Design/methodology/approach: The data were collected from 159 footwear producers using a structured questionnaire. Four hypotheses were developed and tested using hierarchical multiple regression.

Findings: The authors found support for all hypotheses. Social bonds and longevity are crucial in enhancing supplier relationship satisfaction. Likewise, the role of social bonds in inducing supplier satisfaction heightens over time. However, the positive association between exchange partner trustworthiness and supplier satisfaction works well only in high degree of dependence situation.

Research limitations/implications: The study was based on the report on monadic data and cross-sectional design. Future research should adopt longitudinal design to overcome the shortcomings.

Theoretical implications: This study advances the social exchange theory (SET) by elucidating the condition in which social bonds and trust fail to produce relationship satisfaction. Social bonds fail to enhance relationship satisfaction at the beginning of the relationship. Moreover, trust alone cannot be good enough to boost relationship satisfaction in a lose dependence context.

Managerial implications: This study acclaimed a relationship-driven approach as the best choice for those firms who aspire to build a good relationship with their exchange partner. Managers should understand how and when to develop a strong social relationship with their trading partners, and recognize the situations in which to deal with honest and fair business partners in an exchange relationship.

Originality/Contribution: This is one of the very few studies, which have been conducted to investigate the conditions under which the relational variable influences satisfaction in a business-to-business relationships context. It expanded the boundary of the current literature as it investigated the moderating role of relationship duration and dependence in the relationship between relational constructs and relationship satisfaction.     

Black's Model of Interest Rates as Options, Eigenfunction Expansions and Japanese Interest Rates

Black's (1995) model of interest rates as options assumes that there is a shadow instantaneous interest rate that can become negative, while the nominal instantaneous interest rate is a positive part of the shadow rate due to the option to convert to currency. As a result of this currency option, all term rates are strictly positive. A similar model was independently discussed by Rogers (1995) . When the shadow rate is modeled as a diffusion, we interpret the zero-coupon bond as a Laplace transform of the area functional of the underlying shadow rate diffusion (evaluated at the unit value of the transform parameter). Using the method of eigenfunction expansions, we derive analytical solutions for zero-coupon bonds and bond options under the Vasicek and shifted CIR processes for the shadow rate. This class of models can be used to model low interest rate regimes. As an illustration, we calibrate the model with the Vasicek shadow rate to the Japanese Government Bond data and show that the model provides an excellent fit to the Japanese term structure. The current implied value of the instantaneous shadow rate in Japan is negative.     

地方公债探析

目前发行地方公债是大多数国家地方政府的普遍做法。从三个方面对地方公债发行进行了探析:从公共产品的性质来看其发行的必要性;从市场条件来看其发行的可行性;从公共资源的配置意义上认识其有效性。最后,针对现状提出了确定地方公债的法律地位、隐性地方债务显性化等建议。     

Time-frequency co-movement and network connectedness between green bond and financial asset markets: Evidence from multiscale TVP-VAR analysis

This study examines the time-frequency co-movement and network connectedness between green bonds and other financial assets in China. We propose wavelet coherence and multiscale TVP-VAR to explore the time-frequency co-movement and spillover connectedness. The empirical results are as follows. First, green bonds positively co-move with conventional bonds across time scales and negatively co-move with stocks and commodities. Second, there is a significant network connectedness of green bonds with conventional bonds in the short term, and the connectedness with stocks and commodities gradually strengthens with the increase in time scales. Third, the dynamic spillover between green bonds and other assets is much greater in the long and medium terms than in the short term. Finally, under crisis shocks, the spillovers spike temporarily in the short term, while they are persistent and at a high level in the long term. Overall, some practical implications are proposed for investors and policymakers.