Rigid payment breaking,default spread and yields of Chinese treasury bonds

While the existence of implicit payment guarantees has long characterized Chinese bond market, recent market oriented reforms in the country have gradually broken this regime. In this context, we examine how the breaking of rigid payment regime influences the yields of Chinese treasury bonds. We argue that the rigid payment breaking affects the yields of treasury bonds by influencing investors’ setup of default risk premiums and the demand for “flight-to-quality” and “flight-to-liquidity”. Our analysis of the daily data of Chinese treasury bond transactions over the period of 2009–2019 support our theoretical arguments, indicating that rigid payment breaking has a negative impact on the yields of Chinese treasury bonds. However, this impact is heterogeneous across the bonds with different maturities and the significant effect exists only for medium and long-term treasury bonds. Our findings advance understanding of how the breaking of rigid payment regime influences the yields of financial products, providing guidelines for how investors should optimize their investment portfolios in the bond market.     

Trading and liquidity in the catastrophe bond market

We provide first insights into secondary market trading, liquidity determinants, and the liquidity premium of catastrophe bonds. Based on transaction data from TRACE (Trade Reporting and Compliance Engine), we find that cat bonds are traded less frequently during the hurricane season and more often close to maturity. Trading activity indicates that the market is dominated by brokers without a proprietary inventory. Liquidity is high in periods of high trading activity in the overall market and for bonds with low default risk or close to maturity, which results from lower order processing costs. Finally, using realized bid–ask spreads as a liquidity measure, we find that on average, 21% of the observable yield spread on the cat bond market is attributable to the liquidity premium, with a magnitude of up to 141 bps for high-risk bonds.     

控股股东杠杆增持与审计定价

基于审计成本效益理论和审计风险溢价理论，以2015—2020年我国A股上市公司数据为样本，检验控股股东杠杆增持与审计定价的关系及内在机理。结果表明，控股股东杠杆增持与审计定价正相关。控股股东杠杆增持行为主要通过提高审计师风险溢价以及增加审计投入对审计定价产生促进作用。上述关系在企业存在控股股东股权质押、法律环境较为严格时得到强化，而较好的信息披露质量以及较高的股权制衡度会削弱控股股东杠杆增持与审计定价的正相关关系。同时，控股股东杠杆增持带来的风险溢价效应会抑制审计师出具标准的审计意见，损害审计质量。研究结论有助于强化审计师对控股股东杠杆增持的风险认知，进而为进一步提升审计报告质量、强化投资者保护提供了增量证据。     

Risk effects of GM corn: Evidence from crop insurance outcomes and high-dimensional methods

This study evaluates whether genetically modified (GM) corn hybrids with rootworm resistant traits (GM-RW) have lower yield risk. A crop insurance actuarial performance measure, the loss cost ratio (LCR), is used to represent yield risk. High-dimensional methods are utilized in this study to maintain parsimony in the empirical specification, and facilitate estimation. Specifically, we employ the Cluster-Lasso (cluster-least absolute shrinkage and selection operator) procedure. This method produces uniformly valid inference on the main variable of interest (i.e., the GM-RW variable) in a high-dimensional panel data setting even in the presence of heteroskedastic, non-Gaussian, and clustered error structures. After controlling for a large set of potential weather confounders using Cluster-Lasso, we find consistent evidence that GM corn hybrids with rootworm resistant traits have lower yield risk.     

Issuing bonds during the Covid-19 pandemic: Was there an ESG premium?

We rely on the ESG ratings assigned by four distinct agencies (MSCI, Refinitiv, Robeco, and Sustainalytics) to study the link between ESG scores and firms’ cost of debt financing during the Covid-19 pandemic. We document the existence of a statistically and economically significant ESG premium, i.e. better rated companies access debt at a lower cost. Despite some differences across rating agencies, this result is robust to additional controls for the issuer’s credit standing as well as several bond and issuer’s characteristics. We find that this effect is mainly driven by firms domiciled in advanced economies, whereas creditworthiness considerations prevail for firms in emerging markets. Lastly, we show that the lower cost of capital for highly rated ESG firms is explained both by investors’ preference for more sustainable assets and by risk-based considerations unrelated to firms’ creditworthiness, such as exposure to climate change risks.     

The dynamic effects of monsoon rainfall shocks on agricultural yield,wages, and food prices in India*

This paper shows that, first, the effects of monsoon rainfall shocks on agricultural yield in India are highly asymmetric: yield falls strongly after droughts, whereas excessive rainfall has only little effects. Second, our key novel finding is that the short-lived yield loss after a widespread drought elicits a persistent decline (increase) in wages (food prices), which lasts for up to five years. Third, affiliation to the same National Sample Survey region (and thus to the same state) seems to be a key determinant of internal migration, whereas distance appears more relevant for food arbitrage trading.     

数字普惠金融增收减贫效应

数字普惠金融借助互联网科技提供金融服务，具备更为广泛的触达能力，从理论上讲，更有利于实现增收减贫。围绕山东省数字普惠金融的增收减贫效应问题展开，利用“北大数字普惠金融指数”对山东省数字普惠金融现状进行分析，并用各地市 2011-2019 年数据，结合中介效应模型和面板门槛回归方法实证检验了数字金融的增收减贫效应，并进一步探讨了其内在机理。文章主要结论如下：（1）山东数字普惠金融发展低于全国水平，且差距逐年拉大，各地市发展水平分三个梯队，数字金融使用深度差异最大。（2）山东数字普惠金融发展对农民增收减贫有显著积极影响，收入增长是数字金融减贫的中介变量。（3）山东数字普惠金融的减贫效应随城镇化、经济发展和财政支出变化而变化。     

Inward-looking policies,finite change,and employment: The capital reallocation effect

It is well recognized that there emerged a trend of inward-looking trade policies even before the COVID pandemic crippled the world. These were reflected in both BREXIT and US-China trade conflicts. As countries become inward-oriented, usually local prices start rising. With this backdrop, this paper explores how rising local prices are likely to affect employment in the short and long runs when we accommodate for the finite change in a general equilibrium structure whereby sectors not only contract but might also close down altogether due to the capital reallocation effect following a price incentive.     

产业集聚与芜湖经济增长的实证研究

首先综述了国内外关于产业集聚的定义以及产业集聚与经济增长关系,其次选取芜湖典型行业,测算其区位熵指数,得出工业具有集聚效应,再次以芜湖工业集聚与经济增长设定数量模型,其后通过Eviews分析芜湖工业集聚与经济增长关系,得出二者成正相关关系,但其显著性不是很强,主要原因是其工业集聚规模不够大。