我国债券型开放式基金申赎行为的实证研究

债券型基金和偏股型基金的投资对象有所不同,在其申赎行为的影响因素上也自然有所不同。文章对影响我国债券型基金申购和赎回的主要因素进行了实证研究,结果表明在我国债券型基金的投资者中存在着"处置效应",也即是投资者倾向于赎回高收益率基金而持有低收益率基金,但并不存在收益率越高、净赎回越多的"赎回困惑"现象。另外,市场利率对债券型基金的申购和赎回也有重要影响。     

我国对外直接投资的逆向技术溢出效应——基于省际面板数据的实证分析

本文利用2002-2007年省际面板数据研究了我国对外直接投资的短期与长期逆向技术溢出效应。结果表明:短期内我国对外直接投资对总专利、发明和实用新型专利申请有显著的逆向溢出,而长期内只对技术含量较低的外观设计专利申请有显著的逆向溢出。此外,我国对外直接投资的短期、长期逆向技术溢出还存在着地区差异。     

Bond pricing in a hidden Markov model of the short rate

Abstract. We consider a diffusion type model for the short rate, where the drift and diffusion parameters are modulated by an underlying Markov process. The underlying Markov process is assumed to have a stochastic differential driven by Wiener processes and a marked point process. The model for the short rate thus falls within the category of hidden Markov models.     

我国棉花产业短期竞争行为的治理分析

近期,由于受国际金融危机的影响,我国棉花产业陷入了十分困难的境地,企业的短期竞争行为频繁发生。本文运用博弈论相关知识,分析了企业短期竞争行为的发生机理,进而指出了与棉花直接相关的棉花种植、收购、加工企业所组成的棉花产业的短期竞争行为发生的主要原因,并提出相应治理对策,以减少棉花产业的短期竞争行为。     

债务结构优化与企业创新——基于企业债券融资视角的研究

本文在我国保持宏观杠杆率基本稳定及实施创新驱动发展战略的现实背景下,从债券融资的视角,探讨债务结构优化对企业创新的影响。研究发现,债券融资与企业创新之间显著正相关,表明债券融资优化企业债务结构、提升企业创新能力的积极作用占据主导地位。进一步研究表明:(1)债券融资能够通过降低整体债务融资成本并延长整体债务期限促进企业创新;(2)债券融资对于银行贷款存在溢出效应,即企业通过债券融资,还能降低银行贷款利率、延长银行贷款期限,进而促进企业创新;(3)产品市场竞争和代理问题会在一定程度上削弱债券融资对企业创新的促进作用;(4)不同类型的债券对企业创新能力的作用存在异质性,债券发行的便利性是其影响企业创新的一个重要因素。     

发行高新技术企业高收益债券的探讨

发行高新技术企业高收益债券有利于培育和发展战略性新兴产业、解决技术创新融资困境、深化金融改革、丰富科技和金融结合的内涵。目前我国发行高新技术企业高收益债券的条件已经具备,时机已经成熟,建议适时推出。与此同时,我国还需要在发行和交易规则、配套制度建设以及推动形成规范统一的债券市场等方面给予前瞻性关注。     

Margin trading,short selling,and bond yield spread

Using a quasi-natural experiment, this study examines the effects of margin trading and short selling on bond yield spread in China. It finds that both margin trading and short selling can reduce bond yield spread. Additionally, it finds that margin trading lowers firms’ debt ratios and increases their credit ratings, which explains the reduced spread. In other words, margin trading can impact investors’ decisions by revealing positive information about a firm. Another finding is that short selling lowers the bond yield spread by decreasing earnings management, suggesting that short selling has an impact on investors’ decisions through its effect on corporate governance. Our results suggest that margin trading transmits positive information and short selling impacts firms’ policies. These results provide support for future regulations of margin trading and short selling.     

Locational effects and the cost of corporate bonds: the role of information

The public yield spreads of bonds vary widely between Chinese provinces/municipalities, with the average for the highest province double that of the lowest one. Although we find that these patterns are mainly attributable to economic and legal conditions, locational effects like geographic distance and public firm credit ratings also appear to be contributory. We show that these effects are induced by different regional informational environments and are robust to controlling for potential endogenous location choices.     

政府债券、宏观效应与政策调节--基于规模和流动性双重视角的DSGE效应分析

本文基于政府债券规模和流动性的双重视角,构建动态随机一般均衡模型,通过理论分析和数值模拟,研究二者对实体经济发展和金融风险变量的影响。研究显示:政府债券规模的增加促进了投资,刺激了产出和劳动供给,但过度扩张对实体经济也带来"挤占投资"和物价上升、消费下降等负面效应,同时通过债券作为金融资产的特性向金融部门蔓延并形成金融风险集聚;政府债券流动性增强一定程度上刺激了投资,促进了物价稳定,但也存在"挤占消费"和引起经济波动等负面效应;而政府债券流动性的提升有利于缓释金融风险,对实体经济长期可持续发展有益,但流动性过高也会带来系统性金融风险集聚。本文从促进政府债券一级市场和二级市场协同发展、总量和结构合理匹配、政府债券与实体经济有机契合、政府债券流动性管理与金融供给侧密切衔接等方面提出政策建议。     

State ownership and the cost of debt: Evidence from corporate bond issuances in China

Corporate credit risk can be reduced through implicit government guarantees. State-owned enterprises (SOEs) in China provide a distinctive setting to investigate government roles in corporate debt financing. We find that non-SOEs’ corporate bond issuance costs are significantly higher than those of SOEs. We also observe relatively lower bond issuance costs for firms controlled by the central government (CSOEs) than those controlled by local governments (LSOEs). In addition, we demonstrate that compared with SOEs, non-SOEs’ financial constraints are mitigated to a larger extent after the bond issuances. Overall, we show that state ownership plays an important role in determining corporate bond issuance costs.