How does competition affect bank systemic risk?

Using bank level measures of competition and co-dependence, we show a robust negative relationship between bank competition and systemic risk. Whereas much of the extant literature has focused on the relationship between competition and the absolute level of risk of individual banks, in this paper we examine the correlation in the risk taking behavior of banks. We find that greater competition encourages banks to take on more diversified risks, making the banking system less fragile to shocks. Examining the impact of the institutional and regulatory environment on bank systemic risk shows that banking systems are more fragile in countries with weak supervision and private monitoring, greater government ownership of banks, and with public policies that restrict competition. We also find that the negative effect of lack of competition can be mitigated by a strong institutional environment that allows for efficient public and private monitoring of financial institutions.     

THE IMPLICATIONS OF TRADER COGNITIVE ABILITIES ON STOCK MARKET PROPERTIES

Market structure and individual rationality remain at the centre of a debate as to which is the main driving force in market performance. We examine the role of individual rationality, comparing zero‐intelligence traders with traders with different levels of intelligence using a special adaptive form of strongly typed genetic programming‐based learning algorithm. We use this approach with real data: historical quotes of the S&P 500 and Coca‐Cola stock prices. We find a mixture of positive and negative impacts from intelligence on market performance. Because the concept of market structure as a driving force has been significantly challenged in the literature, we suggest that the inclusion of both intelligence and market structures is important when examining the driving forces of market performance. This inclusion is consistent with the research of Todd and Gigerenzer (Journal of Economic Psychology, 24 (2003) 143–165), which asserts that both environment (market structure) and agents’ cognition play important roles. Copyright © 2013 John Wiley & Sons, Ltd.     

Testing for financial contagion based on a nonparametric measure of the cross‐market correlation

When contagion is defined as a significant increase in market comovement after a shock to one country, we propose a test for financial contagion based on a nonparametric measure of the cross-market correlation. Monte Carlo simulation studies show that our test has reasonable size and good power to detect financial contagion, and that Forbes and Rigobon's test (2002) is relatively conservative, indicating that their test tends not to find evidence of contagion when it does exist. Applying our test to investigate contagion from the 1997 East Asian crisis and the 2007 Subprime crisis, we find that there existed international financial contagion from the two financial crises.     

What explains the lack of monetary policy influence on bank holding companies?

In this paper, we investigate how monetary policy innovations affect the equity returns of bank holding companies (BHCs). We also examine bank characteristics to determine what explains the cross-sectional and time-series variation in the returns' sensitivity. Similar to non-financial firms, we find that only unanticipated components affect bank equity returns; however, this effect is absent in the second half of our sample period. Smaller, less liquid banks have higher sensitivity; a higher ratio of time deposits to total deposits reduces this sensitivity. A higher ratio of non-interest income to total income also reduces this sensitivity, while capital-constrained banks have a higher sensitivity to monetary policy innovations. We argue that a higher dependence on non-interest income and the use of interest rate derivatives together may explain the disappearing influence of monetary policy on these BHCs.     

基于多维剥夺的城市社区公共设施空间分布及类型特征研究

随着中国经济社会结构加速转变,社区日益成为社会治理的着力点。虽然中国的社区建设已经取得了一些实质性的成绩,但在其建设过程中存在设施配置的差异化,打造共建共治共享的社会治理格局是当前城市建设的重中之重。以乌鲁木齐市为研究对象,基于乌鲁木齐市城市社区设施社会经济统计数据、网络兴趣点（POI）数据和路网数据,分析城市各区县社区设施数量特征,通过构建单一维度剥夺指数和多维剥夺指数,探讨城市社区设施的空间剥夺程度及类型划分。结果表明：①数量上看,乌鲁木齐市社区公共设施分布不均衡,新市区最多,在6类不同设施中,购物及商业服务设施数量最多;②单维度剥夺指数的结果分析表明,6类设施对应的单维剥夺指数整体从城市中心向外围空间递增,但不同剥夺维度呈现不同空间格局,具有明显的空间异质性特征;③多维剥夺指数在空间上的分布主要呈现“中心低、外围高”的格局,城市西南部的剥夺指数稍大于东北部区域,当延伸到绕城高速附近时,多维剥夺值明显上升;④运用地理探测器中的分异及因子探测和交互作用探测,购物及商业服务对多维剥夺指数空间分异的解释力最强,将多维剥夺程度高的社区划分为4种类型,即教育交通剥夺型、体育服务剥夺型、教育医疗剥夺型和体育教育剥夺型。通过对社区设施空间格局及其剥夺的分析,为解决社区设施空间剥夺问题提出对策和建议。     

Exploring the dynamic spillover of cryptocurrency environmental attention across the commodities,green bonds,and environment-related stocks

We analyze the dynamic spillover impact of cryptocurrency environmental attention (ICEA) on three asset classes: commodities, green bonds (GBs), and environment-related stocks. Our wavelet-based analysis suggests that ICEA is sharply escalated after the first quarter of 2021. During this period of intense attention, only the soybean commodity and Solactive GB tend to move positively and negatively with ICEA, respectively. Accordingly, the clean energy, sustainability, and Environmental, Social, and Governance (ESG) stock indices are positively associated with ICEA during 2018–2019 at the medium frequency bands. In most periods and frequency domains, most commodities, GBs, and environment-related stocks are not strongly linked to ICEA. Moreover, Diebold and Yilmaz’s (2014) spillover estimations signify no strong spillover effect of ICEA on the asset classes considered in this study. These findings are further corroborated by the wavelet-based Granger causality analysis. Moreover, our quantile regression (QR) estimations suggest that most assets are adversely influenced by ICEA, depending on the market conditions. Our research conveys some novel and vital policy ramifications to both investors and policymakers.     

Measuring agricultural knowledge and adoption

Understanding the tradeoffs in improving the precision of agricultural measures through survey design is crucial. Yet, standard indicators used to determine program effectiveness may be flawed, and at a differential rate for men and women. We use a household survey from Mozambique to estimate the measurement error from male and female self‐reports of their adoption and knowledge of three practices: intercropping, mulching, and strip tillage. Despite clear differences in human and physical capital, there are no obvious differences in the knowledge, adoption, and error in self‐reporting between men and women. Having received training unanimously lowers knowledge misreports and increases adoption misreports. Other determinants of reporting error differ by gender. Misreporting is positively associated with a greater number of plots for men. Recall decay on measures of knowledge appears prominent among men but not women. Findings from regression and cost‐effectiveness analyses always favor the collection of objective measures of knowledge. Given the lowest rate of accuracy for adoption was around 80%, costlier objective adoption measures are recommended for a subsample in regions with heterogeneous farm sizes.     

国内服务贸易竞争力文献回顾、评述与展望--基于2001-2014年CSSCI期刊的分析

服务贸易竞争力是衡量一国经济实力的重要指标。本文基于文献学视角对2001-2014年发表在CSSCI期刊上的117篇相关论文进行分析,透视国内服务贸易竞争力研究的进展状况,并对其视角、方法与结论进行归纳与述评,指出当前研究存在的不足：重实证,轻理论;研究视角单一,研究方法存在缺陷;缺少文献回顾,研究层面集中。进而提出未来的研究方向：矫正学术误区,重视理论支撑;拓宽研究视角,科学构建评价体系;分类梳理文献,注重中、微观层面研究。     

中国寿险公司多元化经营的风险分析

选取新华、国寿、太平、泰康、平安等五家寿险集团公司从2001~2011年每年绩效指标中总资产收益率和净资产收益率的标准差作为度量公司风险的指标,将五家公司的业务线熵指数的均值作为多元化经营的指标进行实证分析。结果表明:多元化经营与寿险公司总资产收益率、净资产收益率的标准差之间存在一定的非线性关系,即多元化经营在一定范围内可以降低ROA和ROE的波动性,但在一定范围内又可能会增大这种波动性。