FASB公允价值计量准则的制定及其框架

金融工具和衍生金融工具的产生和发展,使公允价值日益受到会计学术界和实务界的广泛关注。公允价值的实施必须解决其计量问题,FASB在2004年推出的公允价值计量准则征求意见稿引起了美国社会各界的强烈反响。经过反复讨论,FASB在2005年发布了准则草案,并计划在2006年正式发布公允价值计量准则。本文主要介绍FASB公允价值计量准则草案的基本框架。     

Diversity in foresight: Insights from the fostering of innovation ideas

Foresight activities have often provided support for objectives such as priority-setting, networking and consensual vision-building. In this paper, we draw upon complementary evolutionary perspectives and discuss these objectives from the viewpoint of diversity which may be vital in contexts characterized by technological discontinuities and high uncertainties. We also argue that although the scanning of weak signals has been widely advocated in such contexts, the solicitation of ideas for prospective innovations may provide more focused, action-oriented, and comparable reflections of future developments. For the analysis of such ideas, we develop a collaborative foresight method RPM Screening which consists of phases for the generation, revision, multi-criteria evaluation, and portfolio analysis of innovation ideas. We also report experiences from a pilot project where this method was employed to enhance the work of the Foresight Forum of the Ministry of Trade and Industry in Finland. Encouraging results from this project and other recent applications suggest that RPM Screening can be helpful in foresight processes and the development of shared research agendas.     

美国商业银行内部控制制度及其对我国的启示

随着我国经济的不断高速发展，金融银行业在国民经济中的地位和重要性也日趋凸现，本文从我国国有商业银行内部控制制度的现状分析入手，详细介绍了美国商业银行内控的基本理论，并以此为依据．提出了建立、健全我国商业银行内部控制制度的方法和措施，从而对我国商业银行的发展起到一定的借鉴作用。     

Risk management under extreme events

This article presents two applications of extreme value theory (EVT) to financial markets: computation of value at risk (VaR) and cross-section dependence of extreme returns (i.e., tail dependence). We use a sample comprised of the United States, Europe, Asia, and Latin America. Our main findings are the following. First, on average, EVT gives the most accurate estimate of VaR. Second, tail dependence of paired returns decreases substantially when both heteroscedasticity and serial correlation are filtered out by a multivariate GARCH model. Both findings are in agreement with previous research in this area for other financial markets.     

Inference with Dependent Data in Accounting and Finance Applications

We review developments in conducting inference for model parameters in the presence of intertemporal and cross‐sectional dependence with an emphasis on panel data applications. We review the use of heteroskedasticity and autocorrelation consistent (HAC) standard error estimators, which include the standard clustered and multiway clustered estimators, and discuss alternative sample‐splitting inference procedures, such as the Fama–Macbeth procedure, within this context. We outline pros and cons of the different procedures. We then illustrate the properties of the discussed procedures within a simulation experiment designed to mimic the type of firm‐level panel data that might be encountered in accounting and finance applications. Our conclusion, based on theoretical properties and simulation performance, is that sample‐splitting procedures with suitably chosen splits are the most likely to deliver robust inferential statements with approximately correct coverage properties in the types of large, heterogeneous panels many researchers are likely to face.     

Classical meets modern in the IDEA protocol for structured expert judgement

Expert judgement is pervasive in all forms of risk analysis, yet the development of tools to deal with such judgements in a repeatable and transparent fashion is relatively recent. This work outlines new findings related to an approach to expert elicitation termed the IDEA protocol. IDEA combines psychologically robust interactions among experts with mathematical aggregation of individual estimates. In particular, this research explores whether communication among experts adversely effects the reliability of group estimates. Using data from estimates of the outcomes of geopolitical events, we find that loss of independence is relatively modest and it is compensated by improvements in group accuracy.     

Sovereign Risk Contagion in East Asia: A Mixture of Time-Varying Copulas Approach

This study analyzes sovereign risk contagion between four East Asian economies (China, Hong Kong, Japan, and Korea) and its structural changes through the Global Financial Crisis (GFC) and the European Debt Crisis (EDC) by applying the mixture of time-varying copulas to those economies’ credit default swap (CDS) spreads.

This article first finds a strong contagion from the US and PIIGS economies to the East Asian sovereign CDS markets and intraregional contagion within the East Asian markets. Second, the impact of contagion is different according to whether it is measured by the linear (Gaussian) or the upper tail dependence. Third, Japan plays an important role in increasing the linear dependence whereas China and Korea are crucial in terms of the upper tail dependence. Lastly, the GFC has structurally increased the linear dependence but not the upper tail dependence between the East Asian sovereign CDS markets.     

Cyclical fiscal policy,credit constraints,and industry growth

What are the effects of cyclical fiscal policy on industry growth? We show that industries with a relatively heavier reliance on external finance or lower asset tangibility tend to grow faster (in terms of both value added and of labor productivity growth) in countries that implement fiscal policies that are more countercyclical. We reach this conclusion using Rajan and Zingales׳s (1998) difference-in-difference methodology on a panel data sample of manufacturing industries across 15 OECD countries over the period 1980–2005.     

Role of income diversification in reducing forest reliance: Evidence from 1838 rural households in China

Among a number of households worldwide, forest use and income diversification have been seen as substitute livelihood strategies: farmers with more diverse income sources face a higher opportunity cost in harvesting forests and so tend to rely less on forestry resources. The current study uses rural household survey data captured in the Chinese provinces of Fujian, Shaanxi, Hunan, and Jiangxi. It applies a Heckman regression model and a quantile regression model to determine the effect of income diversification on forest dependence. The three main findings of this study are as follows. (1) The mean income diversification index values in Fujian, Shaanxi, Hunan, and Jiangxi are 1.81, 1.46, 1.63, and 2.00, respectively; this indicates that livelihood activities within the study areas are limited. (2) When the income diversification index increases by 10%, the proportion of forest income to total income within the study areas decreases by 4–8%; this indicates that income diversification can significantly reduce a household's dependence on forest resources, especially among the poorest households. (3) For the top 20% of high-income households, the effect of income diversification on forest dependence is insignificant, but for the bottom 20% of low-income households, income diversification has a major impact in terms of reducing their forest reliance (6–10%). The findings of this study will help inform the design of alternative policies that could alleviate pressure relating to forest-resource protection.     

How are Africa's emerging stock markets related to advanced markets? Evidence from copulas

The finance literature provides ample evidence that diversification benefits hinges on dependence between assets returns. A notable feature of the recent financial crisis is the extent to which assets that had hitherto moved mostly independently suddenly moved together resulting in joint losses in most advanced markets. This provides grounds to uncover the relative potential of African markets to provide diversification benefits by means of their correlation with advanced markets. Therefore, we examine the dependence structure between advanced and emerging African stock markets using copulas. Several findings are documented. First, dependence is time-varying and weak for most African markets, except South Africa. Second, we find evidence of asymmetric dependence, suggesting that stock return comovement varies in bearish and bullish markets. Third, extreme downward stock price movements in the advanced markets do not have significant spillover effects on Africa’s emerging stock markets. Our results, implying that African markets, with the exception of South Africa, are immune to risk spillover from advanced markets, improves the extant literature and have implications for portfolio diversification and risk management.