Does transparency of central banks communication affect credit market? Empirical evidence for advanced and emerging markets

This study examines the effect of the transparency of central banks communication on credit market. In particular, this study investigates how central banks’ effort to provide more detailed information about their objectives regarding the price stability (monetary policy transparency) and financial stability (financial stability transparency) policies are able to mitigate information asymmetry on credit market, through the net interest margin charged by the banks to engage in financial intermediation (credit spread). The findings denote central bank transparency is able to reduce the credit spread. Additionally, the evidence suggests the effect of central bank transparency on the credit spread is greater in emerging markets, where there is less information available on credit market. In brief, transparency in central banks communication is an important tool to mitigate the information asymmetry in the credit market.     

The Drivers of Sovereign CDS Spread Changes: Local Versus Global Factors

We use daily data for a panel of 34 countries to investigate regional differences in sovereign credit default swaps (CDS) spread determinants and the significance of local versus global market factors. Similar to prior studies, we find a high level of commonality among CDS spreads, but our results show that this effect is stronger in Latin American CDS. The results of our quantile panel regression model show that although global forces drive spreads across the conditional distribution, changes in credit ratings are significant in explaining CDS spreads only in the upper quantiles. We also confirm the existence of regional differences in spread determinants.     

扩频系统多通道相位差测量技术

论述了扩频无线电信号侦收和测向等应用领域中,在多通道天线和接收机后端采用数 字处理手段,在低信噪比下实现多通道相位差精确提取的方法。阐 述了多通道相位差提取的基本工程模型、中频信号采样处理方法、普通ASK调制信号的相位 差提取方法,以及BPSK调制的扩频信号的相位差提取方法,给出了基于MATLAB7.0.1平台的 仿真图形和结果。该技术已在工程中成功实现。     

基于软件无线电的中频数字化直扩系统的设计与实现

本文根据直接序列扩频原理,给出了一种基于软件无线电思想的中频数字化直扩系统的设计方案,并采用可编程数字器件实现。实验结果表明该方法达到了设计要求,并具有良好的通用性和灵活性。     

降息周期对寿险公司的影响及产品对策

自2008年9月以来,中国人民银行连续出台了降息政策,预示着新一轮降息周期来临。本文对此轮降息周期进行基本分析后,提出了降息周期未来预期的三种假设,并对比上次降息周期对寿险业产生的影响,研究了不同降息周期假设对公司已产生和可能产生的多种影响,初步探讨了基于产品层面的应对策略。     

Competition between Exchanges: Euronext versus Xetra

Exchanges in Europe are in a process of consolidation. After the failure of the proposed merger between Deutsche Börse and Euronext, these two groups are likely to become the nuclei for further mergers and co‐operation with currently independent exchanges. A decision for one of the groups entails a decision for the respective trading platform. Against that background we evaluate the attractiveness of the two dominant continental European trading systems. Though both are anonymous electronic limit order books, there are important differences in the trading protocols. We use a matched‐sample approach to compare execution costs in Euronext Paris and Xetra. We find that both quoted and effective spreads are lower in Xetra. The differences are more pronounced for less liquid stocks. When decomposing the spread we find no systematic differences in the adverse selection component. Realised spreads, on the other hand, are significantly higher in Euronext. Neither differences in the number of liquidity provision agreements nor differences in the minimum tick size or in the degree of domestic competition for order flow explain the different spread levels. We thus conclude that Xetra is the more efficient trading system.     

New low-frequency spread measures

I develop new spread proxies that pick up on three attributes of the low-frequency (daily) data: (1) price clustering, (2) serial price covariance accounting for midpoint prices on no-trade days, and (3) the quoted spread that is available on no-trade days. I develop and empirically test two different approaches: an integrated model and combined models. I test both new and existing low-frequency spread measures relative to two high-frequency benchmarks (percent effective spread and percent quoted spread) on three performance dimensions: (1) higher individual firm correlation with the benchmarks, (2) higher portfolio correlation with the benchmarks, and (3) lower distance relative to the benchmarks. I find that on all three performance dimensions the new integrated model and the new combined model do significantly better than existing low-frequency spread proxies.     

直接序列扩频系统多音扫频干扰性能分析

为有效干扰直接扩频通信系统,通过分析扫频信号及多音信号在干扰直扩通信系统时 存在的优缺点,提出了一种针对直扩通信系统的多音扫频干扰技术。该方法将直扩通信系统 的频谱划分为若干个子频谱,针对每个子频谱采用扫频信号进行干扰。理论分析和仿真验证 表明,该方法可以明显改善扫频干扰直扩通信系统时扫频时间过长以及多音干扰依赖音调位 置的缺点,具有良好的干扰效果。     

西方银行理论在近代中国的传播及影响

从19世纪中叶到20世纪中叶,西方银行理论在中国得到了日益深入广泛的传播,推动了中国金融思想的近代化,促进了银行制度在近代中国的建立与发展。近代国人在引进、研究西方银行理论,改造传统金融思想,建立银行制度的过程中,大多主张学习借鉴西方的银行制度,但他们反对照抄照搬,而是要求结合中国实际,有所创新,有所发展,以建立适合中国国情的银行制度。这种学习西方的态度和方法值得我们的今天借鉴。     

我国公司债券信用溢价的实证研究

本文基于Duffle和Singleton分析技术,对5只国债和5只公司债券（2008—2009年）在扩展卡尔曼滤波拟极大似然估计法下实证研究的结论是：中国公司债券信用溢价近期斜率为负,国债与公司债券利率期限结构的斜率都偏小,中国债券收益率曲线过于平滑,长期债券收益率与短期债券收益率相差微小;债券信用溢价与股市大盘指数收益率、居民消费物价指数增长率以及债券指数收益率之间的关系并不显著;公司债券信用溢价与无风险利率溢价利率期限结构有着显著的负相关关系;公司债券信用溢价与层次的货币供应增长率之间存在显著的正相关关系,我国货币政策对债券市场有较强的影响。