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.     

Pricing default swaps: Empirical evidence

In this paper we compare market prices of credit default swaps with model prices. We show that a simple reduced form model outperforms directly comparing bonds' credit spreads to default swap premiums. We find that the model yields unbiased premium estimates for default swaps on investment grade issuers, but only if we use swap or repo rates as proxy for default-free interest rates. This indicates that the government curve is no longer seen as the reference default-free curve. We also show that the model is relatively insensitive to the value of the assumed recovery rate.     

The consequences to analyst involvement in the IPO process: Evidence surrounding the JOBS Act

The JOBS Act allows certain analysts to be more involved in the IPO process, but does not relax restrictions on analyst compensation structure. We find that these analysts initiate coverage that is more optimistically biased, less accurate, and generates smaller stock market reactions. Investors purchasing shares following these initiations lose over 3% of their investment by the firm's subsequent earnings release. By contrast, issuers, analysts, and investment banks appear to benefit from this increased bias, as optimism is more positively associated with proxies for firm visibility and investment banking revenues when analysts are involved in the IPO process.     

Raise Rates to Raise Inflation? Neo‐Fisherianism in the New Keynesian Model

Increasing the inflation target in a New Keynesian (NK) model may require increasing, rather than decreasing, the nominal interest rate in the short run. We refer to this positive short‐run comovement between the nominal rates and inflation conditional on a nominal shock as Neo‐Fisherianism. We show that the NK model is more likely to be Neo‐Fisherian the more persistent is the change in the inflation target and the more flexible are prices. Neo‐Fisherianism is driven by the forward‐looking nature of the model. Modifications that make the framework less forward‐looking make it less likely for the model to exhibit Neo‐Fisherianism.     

金融投机、实需与国际大宗商品价格——信息摩擦视角下的大宗商品价格影响机制研究

本文实证考察了2005-2015年金融投机和实需对国际大宗商品现货价格的影响及其作用机理。首先对具有信息噪音属性的金融投机进行了明确识别。其次,从多个维度出发区分市场信息摩擦状态,定量分析不同信息摩擦环境中金融投机和实需的影响差异。研究发现:大宗商品价格在长期中由实需因素主导,短期中由金融投机主导;短期中,相对于低信息摩擦环境,在市场波动性较高、金融压力上升以及投资者情绪高涨的高信息摩擦环境中,以金融投机为主的信息噪音对大宗商品价格的影响更强。进一步分析证实,相比于低信息摩擦环境,高信息摩擦环境中金融交易者的市场份额反而降低。据此,本文提出稳定大宗商品市场的关键在于提高市场透明度,减少信息摩擦,从市场质量出发降低信息噪音的影响。     

基于资源视角的农业供给侧结构性改革的路径研究

[目的]粮食安全是世界各国政府普遍关注的问题,都将其列为重中之重.粮食主产区是我国粮食生产的核心地带和关键区域,为保障国家粮食安全、协调区域发展,必须从国家战略角度出发,实施粮食主产区利益补偿理念,充分体现社会公平与正义的价值取向和主旨,为粮食安全提供坚实的区域基础.[方法]运用实证分析方法,借助统计年鉴,通过粮食产量、人均粮食产量、粮食播种面积、人均粮食播种面积、人均地区总产值、地区财政收入、人均地区财政收入、城镇化率、居民人均可支配收入等数据分析,比较13个粮食主产区和7个粮食主销区在10年间粮食生产和经济社会发展的客观现实差距.[结果]粮食主产区在粮食产量、粮食播种面积等方面的生产规模优势和生产能力显著,对我国经济社会贡献巨大;粮食具有准公共产品的属性,粮食主产区需要支付高额的生产费用,承担运输成本与储存成本,无法通过市场获得补偿;粮食产销区之间囿于主体功能与发展责任的迥异而导致经济差距较大,主要体现在人均地区总产值、地区财政收入、人均地区财政收入、城镇化率、居民人均可支配收入等差别.[结论]据此提出,必须实施粮食主产区利益补偿,需要完善粮食主产区利益补偿的价值选择与国家政策导向:应在中央政府、区域政府层面完善相应的政策:一是国家层面制定粮食主产区区域政策;二是完善产粮大县奖励政策;三提高财政转移支付力度与精准度;四是建立产销区利益联动机制;五是加强农业基础设施和公共事业建设等.     

Exchange rates and order flow in the long run

Several recent papers have underlined the importance of microstructure effects in understanding exchange rate behavior by documenting stable long-run relationships between cumulated order flows and spot exchange rates. This stands in contrast to the widely-studied failure of exchange rates to conform to the long-run behavior implied by “conventional” macroeconomic models and is consistent with the prediction of micro-structure models. We re-examine the evidence for stable long-run relationships. We find that such evidence exists only for a small number of the major currencies we examine and that it is statistically fragile. We conclude that this implication of microstructure models does not fit the data as well as previous studies suggest.     

利率市场化背景下银行系统性危机的实证研究

从利率市场化的国际经验来看,无论是在发达国家还是发展中国家,其实施过程都容易导致不同程度的银行业危机。采用1973~2012年42个国家的面板数据,对利率市场化背景下的银行业危机进行的实证研究表明：利率市场化的推进将增加银行系统性危机发生的机率,特别是在存款利率市场化阶段,而严格的银行监管是抑制银行系统危机发生的有效方法;显性存款保险制度的设立无助于利率市场化后银行系统性风险的防范,甚至有可能会增加危机发生的机率;资本账户开放下进行利率市场化会增加银行系统危机发生的机率。利率市场化进程中允许开设民营银行不会增加银行系统危机的发生机率。     

房地产市场在货币政策传导机制中的作用研究

利用2006年1月至2008年12月的相关数据，运用协整分析、格兰杰因果检验等计量方法，先研究货币政策到房地产市场传导的有效性，再分析房地产市场到最终目标（实体经济）传导的有效性。结果表明：房地产市场在货币政策传导机制中发挥了重要作用，M2、M1是房价指数变化的格兰杰原因，房价指数是工业增加值、居民消费物价指数、社会消费品零售总额变化的格兰杰原因。