关于人民币资本项目可兑换的战略问题

中国共产党十六届五中全会通过的《中共中央关于制定国民经济和社会发展第十一个五年规划的建议》中明确提出“逐步实现可兑换”为人民币资本项目可兑换的战略。人民币资本项目可兑换对我国经济增长和社会发展具有极其重要的影响,事关金融稳定和金融安全,因此准确理解和把握“逐步实现可兑换”的战略内涵,即渐进的模式、慎重的态度和稳健的操作,将有助于人民币资本项目可兑换战略的实施。     

Asset pricing dynamics

This paper is concerned with the issue of dynamics in financial data and asset pricing models such as the CAPM. A literature review in this area is undertaken and highlights the need for a modern time series econometric approach in asset pricing. Such an approach is discussed and deals with problems related to structural breaks and microstructures, dynamics in the mean and variance process, and non-stationary regressions and cointegration. An empirical application using UK stock market data demonstrates the merit of the proposed methodology in correcting market model regressions.     

Approximation of aggregate and extremal losses within the very heavy tails framework

The loss distribution approach is one of the three advanced measurement approaches to the Pillar I modeling proposed by Basel II in 2001. In this paper, one possible approximation of the aggregate and maximum loss distribution in the extremely low frequency/high severity case is given, i.e. the case of infinite mean of the loss sizes and loss inter-arrival times. In this study, independent but not identically distributed losses are considered. The minimum loss amount is considered increasing over time. A Monte Carlo simulation algorithm is presented and several quantiles are estimated. The same approximation is used for modeling the maximum and aggregate worldwide economy losses caused by very rare and very extreme events such as 9/11, the Russian rouble crisis, and the U.S. subprime mortgage crisis. The model parameters are fit on a data sample of operational losses. The respective aggregate and extremal loss quantiles are calculated.     

Turbo warrants under stochastic volatility

Turbo warrants have experienced huge growth since they first appeared in late 2001. In some European countries, buying and selling turbo warrants constitutes 50% of all derivative trading nowadays. In Asia, the Hong Kong Exchange and Clearing Limited (HKEx) introduced the callable bull/bear contracts, which are essentially turbo warrants, to the market in 2006. Turbo warrants are special types of barrier options in which the rebate is calculated as another exotic option. It is commonly believed that turbo warrants are less sensitive to the change in volatility of the underlying asset. Eriksson (2005 Eriksson, J. 2005. Explicit pricing formulas forturbo warrants. Uppsala Dissertation in Mathematics, 45 [Google Scholar]) has considered the pricing of turbo warrants under the Black–Scholes model. However, the pricing and characteristics of turbo warrants under stochastic volatility are not known. This paper investigates the valuation of turbo warrants considered by Eriksson (2005 Eriksson, J. 2005. Explicit pricing formulas forturbo warrants. Uppsala Dissertation in Mathematics, 45 [Google Scholar]), but extends the analysis to the CEV, the fast mean-reverting stochastic volatility and the two time-scale volatility models. We obtain analytical solutions for turbo warrants under the aforementioned models. This enables us to examine the sensitivity of turbo warrants to the implied volatility surface.     

“关系”理论及其在企业研究中的应用

中国是一个讲究关系的社会,其”关系”内涵丰富且复杂,不同于西方一般意义上的涵义。本文梳理了”关系”及其相关理论以及这些理论在企业研究中的应用现状,发现”关系”在企业的研究主要体现在企业与其外部的关系上,如政治关联和社会资本,而企业内部的”关系”主要从人口特征变量的相似与否来研究,集中在组织行为学领域。绝大部分学者都认同关系、基于关系的信任、由关系构成的社会网络和社会资本对企业发展是必不可少的要件,并得出了一些一致的结论。最后本文还提出了”关系”在企业研究中可能的研究方向。     

江苏省民间资本进入金融领域的现状及风险研究

国务院出台了＂新老36条＂,鼓励和规范民间资本进入金融业等投资领域,这不仅有利于民间资本投资渠道多元化,有利于缓解弱势群体融资难题也有利于金融改革与创新,促进金融业的繁荣发展。然而,随着民间资本进入金融领域,金融业竞争将异常激烈,如何应对民间资本进入金融领域后出现的风险以及采取相应的防范措施,对于规范民间资本投资,提高民间资本的投资效率乃至促进整个国民经济的健康发展都具有重要意义。论文着重对江苏民间资本进行分析,拟从江苏省民间资本进入金融领域现状分析,分析江苏民间资本进入金融服务领域的风险因素,并提出江苏民间资本进入金融领域的风险对策。     

我国传媒上市企业资本结构与公司绩效关系的实证研究

资本市场的大幅膨胀,传媒企业竞相上市,中国传媒行业掀起一波融资热潮。以我国的传媒行业2007～2009年数据为研究样本对我国传媒上市企业资本结构与公司绩效关系进行实证研究,结果表明,我国传媒业的资本结构与企业绩效之间存在负相关关系,此外,模型中加入的控制变量中股权集中度、公司成长性、资产流动性以及股权流动性与资本结构存在显著的线性相关性。     

国际资本流动下的中国金融安全实证分析

分析了国际资本流动对金融安全的冲击路径以及非均衡机制测试我国外汇市场压力指数的大小,建立了资本净流入和外汇市场压力指数之间的VAR（6）模型,研究结论表明,国际资本的净流入会增大外汇市场压力,但货币当局的冲销干预会削弱这种影响,降低发生货币危机的可能性;货币当局的政策选择应该是盯住外汇市场,而不是单纯的货币市场。     

中国经济增长中的公共资本外溢

本文估算了中国1952-2010年的水利基础设施的物质资本存量,并在基于政府生产性支出的内生增长框架中估计水利资本的产出效率,证实公共资本具有显著的外溢效应。在此基础上,本文着重揭示,在基于历史数据的中国经济增长研究中,不仅水利等基础设施公共资本存量存在明显的测量误差,而且总的资本存量、劳动投入等生产要素的基础数据,也可能存在严重的准确性问题,影响了对经济增长的准确判断,急需系统深入的研究讨论加以完善以形成理论共识。     

中国企业资本结构动态调整的估计方法与蒙特卡罗模拟

本文首先从计量经济学以及资本结构动态调整的视角逐一评述了资本结构部分调整模型的六种主要估计方法,即混合OLS估计法、Fama-MacBeth估计法、固定效应估计法、GMM估计法、长差分LD估计法以及双边截取Tobit估计法。然后,针对我国上市公司的实际样本使用这六种估计方法进行了实证检验。在此基础上,依据我国上市公司资本结构的分布形态,采用蒙特卡罗模拟技术来识别和判断这六种方法在估计我国上市公司资本结构调整速度中的有效性。本文发现,传统的混合OLS估计法及Fama-MacBeth估计法反而是检验我国上市公司资本结构动态调整的有效方法,其估计所得的市值杠杆平均调整速度为16.3%－20.1%。