流动性风险压力测试的理论与实践

本文围绕流动性风险的特殊性及其压力测试的关键要素,对微观机构进行流动性风险压力测试的理论和实践进行了总结,并探讨了巴塞尔III的流动性风险监管指标与流动性风险压力测试的关系,给出宏观流动性风险压力测试最新进展和发展趋势,为中国银行业实施流动性风险压力测试提供借鉴。     

不成熟债权国、估值效应与中国的财富流失风险

中国从20世纪90年代初期开始转变为净国外资产持有者,目前是全球最大债权主体之一。但由于人民币尚未国际化,中国处于不成熟债权国地位;从债权结构看,由官方储备和债务性资产所构成的“风险资产”是中国净国外债权的主体部分;这一债权状况增加了中国的财富流失风险。基于向量误差修正模型和状态空间模型的实证检验结果表明,中国净国外债权变动中存在相当大的负估值效应,在国际金融危机期间尤为显著,人民币汇率变化是引起负估值效应的重要因素之一。因此,调整对外投资策略、稳定人民币汇率并积极推进人民币国际化是增强中国外部资产管理水平的关键。     

美国利率市场化改革对银行业的影响

本文通过对20世纪80年代美国利率市场化改革背景和过程的分析,重点考察了其对银行资产负债业务、向中间业务转型以及行业集中度的影响。本文研究表明,利率市场化导致存贷利差呈缩窄趋势,但由于贷款占资产比重的提升,改革完成初期对银行净息差冲击较小。但随着利率市场化改革的完善和金融脱媒的深化,净息差仍呈现下降趋势。此外,利率市场化对银行向中间业务转型有明显的促进作用,加强了行业竞争,并提升了行业集中度。     

Estimating Final Demand Expenditure at Factor Cost and Net Price Indices

This article describes the methodology which is currently used at Statistics Canada to compute price indices, net of taxes and subsidies (net price indices), and to estimate final demand expenditure at factor cost in the Canadian system of national accounts. This methodology involves the use of a specially designed input–output model of the Canadian economy. The model is used to extract the taxes, net of subsidies paid on the inputs used by industries, and to allocate these net taxes to the direct and indirect final demand deliveries of the industries. Downstream interindustry links are established to trace the final demand deliveries of industries. Using these links, the model could easily be extended to decompose final demand expenditure into other cost components, such as the embedded energy cost or the cost of imported inputs. Some empirical results are shown to illustrate how the calculations are made.     

Investment in site-specific crop management under uncertainty: implications for nitrogen pollution control and environmental policy

This paper applies an option‐pricing model to analyze the impact of uncertainty about output prices and expectations of declining fixed costs on the optimal timing of investment in site‐specific crop management (SSCM). It also analyzes the extent to which the level of spatial variability in soil conditions can mitigate the value of waiting to invest in SSCM and influence the optimal timing of adoption and create a preference for custom hiring rather than owner purchase of equipment. Numerical simulations show that while the net present value (NPV) rule predicts that immediate adoption is profitable under most of the soil conditions considered here, recognition of the option value of investment indicates that it is preferable to delay investment in SSCM for at least 3 years unless average soil quality is high and the variability in soil quality and fertility is high. The use of the option value approach reveals that the value of waiting to invest in SSCM raises the cost‐share subsidy rates required to induce immediate adoption above the levels indicated by the NPV rule.     

网络组织在跨国公司创新中的作用及其挑战

网络组织是现代跨国公司组织管理在网络技术推动下的新型组织形式,在当今全球竞争日趋激烈的环境下,知识和创新已成为企业竞争制胜的关键。本文分析了跨国公司网络组织创新的动因,并对我国企业管理组织发展提出了一些建议。     

对非经营性损益信息披露的思考

中国证监会要求上市公司在1999年度财务报告中增加披露“扣除非经常性损益后的净利润”信息。由于非经常性损益项目的持续性很低，所以中国证监会的新增信息披露要求能够在一定程度上增加净利润信息的相关性。而从第一次实施结果来看，上市公司选择的、归属于非经常性损益的项目名目繁多，且不尽符合非经常性损益的理论特征；上市公司的披露行为也存在各式各样的不规范情况，因此可靠性和可比性尚显薄弱，有用性有所削弱。     

中国外汇储备的安全性研究

外汇储备的安全性关系到我国的金融安全,已成为我国经济发展中亟待研究解决的一个重要问题。我国的外汇储备保持了高于常规水平的规模,外汇储备广义上的安全性处于良好状态,高额外汇储备为金融安全增加了保险系数;而我国外汇储备狭义上的安全性,即外汇储备资产本身的安全却令人担忧,已经为高额的外汇储备付出巨大成本和承担了很高的风险,特别是在美元弱势明显的情况下将要进一步承受巨大的损失风险。同时高额外汇储备也对我国经济发展产生了一系列负面影响和风险,如果从这个意义上来看,我国外汇储备的现状已成为威胁金融安全的一个重要隐患。我国在外汇储备规模方面存在的种种理论误区,导致了政策偏差,使得我国外汇储备处于高风险状况之中。因此,我国外汇储备政策的调整已经刻不容缓。     

私人银行：现代商业银行的战略核心业务

私人银行是指以财富管理为核心,面向高净资产客户所提供的顶级专业化的一揽子金融服务,其已成为当今国际知名商业银行的战略核心业务。以家庭办公室为主要组织形式,向富裕人士提供高品质金融服务,是私人银行的重要特征。随着市场经济的快速发展,中国已经形成了一支在社会经济中越来越具有影响力的高收入群体,但由于缺失真正的私人银行服务,该群体日益增长的财富管理需求难以得到有效满足。金融全面开放后,私人银行在国内具有广阔的发展空间。     

The Italian economia aziendale and chambers' CoCoA

At first glance the Italian accounting tradition of Economia Aziendale and Chambers’ system of Continuously Contemporary Accounting (CoCoA) appear extreme opposites. The ex ante financial calculation of distributable income drawing on the net present values of the aggregative net assets in the former, and in the latter a system of accounting for an all‐inclusive income with the separable assets measured in terms of their current cash equivalents, appear irreconcilable, unlikely bedfellows. But the International Financial Reporting Standards present a system using separable and aggregative assets’ fair values and calculations of their net present values in assessing asset impairment. Whether Economia Aziendale and CoCoA are indeed so opposed deserves renewed examination. Anglo‐American accounting, of which expositions of CoCoA are part, is said to lack a business economics tradition of the kind said to justify Economia Aziendale. This stands in stark contrast with European traditions manifested in the Dutch Bedrijfseconomie, the German Betriebswirtschaft, and the Italian Economia Aziendale. This article seeks to understand that absence by contrasting—the Economia Aziendale framework and accounting theory developed in the Anglo‐American tradition. The primary elements of space and time coordination—the lynchpins of the pure theory of the azienda (the core of Economia Aziendale)—are generally regarded as missing in the Anglo‐American tradition. But the original construction of Economia Aziendale leads to the generalization that any attempt to determine a firm's value or to measure and analyse its performance during its lifetime would result in an unacceptable interruption of the space and time coordination, and yield unreliable results. Curiously, the analysis here exposes an unexpected complementarity of Chambers’ CoCoA and some postulates of the pure theory of Economia Aziendale. The theory that has been only partially acceptable to the Anglo‐American profession (namely its use of market [fair] values) emerges as highly compatible with the most theoretically extreme in the Italian tradition.