国际金融体系的构造缺陷与亚洲金融危机的内在联系

近年来国际金融危机频发,这些危机的原因除了发生危机的国家的内在因素之外,更主要的还与其外在的整个国际货币金融体系存在着的巨大构造性缺陷息息相关。     

成交量、持仓量对我国大豆类期货价差波动影响的实证分析简

采用GARCH（1,1）模型就成交量、持仓量对大豆类期货价差波动率的影响进行实证分析,结果显示：当期成交量、持仓量对大豆期货价差波动的整体影响是显著的;滞后成交量、持仓量对大豆期货价差波动的整体影响也是显著的;当成交量、持仓量同时进入条件方差方程时,它们对大豆类期货价差波动的影响整体上也是显著的。这一结论揭示了我国大豆期货市场信息传递过程,验证了我国大豆期货市场的信息非有效性,对期货市场投资者以及期货市场监管者具有一定的借鉴意义。     

我国商业银行非利息收入影响因素的实证分析

我国商业银行非利息业务增长迅速，已经成为增加营业收入、获取利润的重要来源。以具有代表性的10家商业银行作为样本，对商业银行非利息收入的影响因素进行实证分析，并对国有大型银行与中小型银行展开对比研究，结果显示：核心存款、贷款数量、费用控制能力、资产规模是影响银行非利息收入的基本因素；如果银行更关注吸收存款传统业务，则非利息收入的发展会受到一定限制；规模较大的银行更容易实现非利息收入高速增长；影响国有大型商业银行非利息收入的主要因素是资产收益率、核心存款占比，影响中小股份制商业银行非利息收入的主要因素是贷款数量、费用控制能力、资产规模。     

Supply and Demand Effects of Bank Bailouts: Depositors Need Not Apply and Need Not Run

We address two key issues concerning bank bailout effects on depositor and bank behavior. The first is whether bailouts weaken or strengthen market discipline by depositors through deposit supplies. The second is if bailed-out banks decrease or increase their deposit demands. These questions can only be adequately addressed by analyzing the effects of bailouts on both deposit quantities and prices. We do so for the Troubled Asset Relief Program (TARP) bailouts. Overall, we find that demand changes empirically dominate supply changes, and suggest significantly reduced deposit demand from bailouts. In some cases, however, supply changes dominate and indicate weakened market discipline.     

Revisiting the valuation of deposit insurance

This study proposes a framework for pricing deposit insurance that evaluates the effect of depositor preference laws and the issuance of contingent capital bonds. Four main findings emerge from this study. First, traditional option pricing models of deposit insurance overestimate insurance premiums. Second, only large issuances of contingent capital bonds decrease deposit insurance premiums under depositor preference. Third, the issuance of contingent capital bonds can partially offset banks' excessive risk-taking caused by regulatory forbearance. Finally, although large banks have implied too-big-to-fail risks, the deposit insurer's costs from large banks are not nearly as high as reported in previous studies.     

Persistency of window dressing practices in the U.S. repo markets after the GFC: The unexplored role of the deposit insurance premium

We investigate whether the regulatory improvements made in the aftermath of the global financial crisis have been effective in limiting bank downward window dressing by means of repos in the United States. We find that a strict application of the Basel III regulation wipes out incentives to engage in window dressing to bolster the level of leverage Tier 1 ratio at quarter-end. We also show that the persistency of window dressing is related to the computation of the Federal Deposit Insurance Corporation assessment base, which motivates banks to engage in window dressing to reduce the deposit insurance premium.     

我国存款保险制度的机构模式选择*

基于规制经济学激励理论，本文从制度比较视角探讨了存款保险制度以附属机构模式和独立机构模式运行的不同制度绩效。在独立机构模式下的存款保险制度，激励机制更为清晰，有助于降低监管机构救助与处置成本的冲突。随着制度环境和制度条件的成熟、问题银行处理经验的积累、技术型专业化监管人力资源的增强，应当适时将我国存款保险制度转换为独立机构模式的存款保险制度。本文从存款保险制度机构模式选择的视角，对我国存款保险制度的完善和改进提出政策建议。     

Spillover analysis across FinTech,ESG, and renewable energy indices before and during the Russia–Ukraine war: International evidence

This study is epicentral to analyze the impact of the Russia–Ukraine war on the financial markets, specifically focusing on the connectedness and spillover dynamics of FinTech, Environmental, Social, and Governance (ESG), renewable energy, gold, and Morgan Stanley Capital International (MSCI) indices in developed and emerging countries. Data are collected from Thomson Reuters, ranging from May 8, 2020, to May 11, 2022, and a time-varying parameter vector autoregression (TVP-VAR) and the dynamic conditional correlation (DCC) generalized autoregressive conditional heteroskedasticity (GARCH) t-Copula (DCC-GARCH t-Copula) are used to analyze the data. The results show that FinTech, ESG, and MSCI are net transmitters in developed countries, whereas gold and renewable energy are net receivers pre- and during war periods. ESG and MSCI are net transmitters in emerging countries, while FinTech, renewable energy, and gold become net receivers in both periods. The hedging ratio sheds light on the costs and weights of efficient pair investments that might change in the context of each region and under the combined scenario. The study has important implications for merchant bankers, policymakers, investors, hedgers, and risk managers.     

民营资本进入银行业的效应和策略分析

2010年以来民营资本进入银行业已取得较大的进展。民营资本适度进入银行业可以带来推动银行业的市场化改革、疏导民间资本、服务实体经济的正面效应，但也存在引发恶性竞争、弱化公司治理、威胁金融系统稳定的风险。民营资本进入银行业有资本的进入、机构的进入两种方式。我国政府应在完善政策规则框架、严格控制准入数量、引导民营资本严格自律、建立风险补偿和市场退出机制方面规范民营资本进入银行业。     

基于纳米金等离子体共振光散射法测定阿米卡星

为简便、快速地对阿米卡星的注射液进行检测,基于纳米金颗粒的等离子体共振效应建立了一种检测阿米卡星的新方法。在适宜pH值的KH_2PO_4-Na_2HPO_4缓冲溶液中,利用阿米卡星与纳米金相互作用,使反应体系在640nm处共振光散射信号显著增强,且共振光散射强度增强值ΔI640nm与阿米卡星质量浓度在1.5~500ng/mL范围内线性相关,检出限为0.52ng/mL。在确定的实验条件下,阿米卡星可诱导纳米金颗粒聚集,纳米金颗粒之间距离的变化使其等离子体共振效应发生明显改变,聚集的纳米金颗粒表面等离子体耦合产生了较强的共振光散射信号,且共振光散射信号增强值与阿米卡星的浓度变化值呈现良好的线性关系。实验表明,该方法可用于快速测定阿米卡星。