基于权益久期的商业银行利率风险度量技术研究

在我国的利率市场化进程中,商业银行将面临巨大的利率风险,商业银行的利率风险管理势在必行。文章全面分析了利率风险的形成和对商业银行的影响,指出久期是利率风险度量方法的必然趋势,在此基础上,引入权益久期的概念,全面衡量商业银行面临的利率风险,并对权益久期的应用环境     

Loan Portfolio Swaps and Optimal Lending

Theories on loan portfolio swap hedging are based on a portfolio-choice approach. This paper presents an alternative: a firm-theoretic model for bank behavior with loan portfolio swaps. Our paper derives the optimal loan rate and rate-taking loan amount of the banks portfolio, and relates them to the market loan rate, counterparty loan rate, swap default risk, capital-to-deposits ratio, and deposit insurance. We find that in the bilateral default risk approach, the comparative static results are generated by four factors: the banks risk magnitude about the equity market value, loan composition in the swap contract, the substitution effect in the loan portfolio, and the income effect from the swap transaction. The results imply that changes in the payoff asymmetry in the event of swap default and the banks regulatory parameters have a direct effect on the banks loan portfolio for lending and swap transactions.We would like to thank two anonymous referees for helpful comments and advice.     

International Asset Excess Returns and Multivariate Conditional Volatilities

This paper constructs a multivariate model in relating multi-asset excess returns to their conditional variances. Applying weekly data to investigate the foreign-exchange risk premium, the evidence from a multivariate GARCH model shows that the foreign-exchange excess returns are significantly correlated with economic fundamentals such as the real interest-rate differential, long-short interest-rate spread differential, and equity-premium differential. The evidence also suggests that foreign-exchange excess returns are not independent of the conditional variances of these fundamental variables, supporting the time-varying risk-premium hypothesis.     

Determinants of stock market volatility and risk premia

Summary. We show the dynamics of diverse beliefs is the primary propagation mechanism of volatility in asset markets. Hence, we treat the characteristics of the market beliefs as a primary, primitive, explanation of market volatility. We study an economy with stock and riskless bond markets and formulate a financial equilibrium model with diverse and time varying beliefs. Agents states of belief play a key role in the market, requiring an endogenous expansion of the state space. To forecast prices agents must forecast market states of belief which are beliefs of others hence our equilibrium embodies the Keynes Beauty Contest. A market state of belief is a vector which uniquely identifies the distribution of conditional probabilities of agents. Restricting beliefs to satisfy the rationality principle of Rational Belief (see Kurz, 1994, 1997) our economy replicates well the empirical record of the (i) moments of the price/dividend ratio, risky stock return, riskless interest rate and the equity premium; (ii) Sharpe ratio and the correlation between risky returns and consumption growth; (iii) predictability of stock returns and price/dividend ratio as expressed by: (I) Variance Ratio statistic for long lags, (II) autocorrelation of these variables, and (III) mean reversion of the risky returns and the predictive power of the price/dividend ratio. Also, our model explains the presence of stochastic volatility in asset prices and returns. Two properties of beliefs drive market volatility: (i) rationalizable over confidence implying belief densities with fat tails, and (ii) rationalizable asymmetry in frequencies of bull or bear states.This research was supported by a grant of the Smith Richardson Foundation to the Stanford Institute for Economic Policy Research (SIEPR). We thank Kenneth Judd for constant advice which was crucial at several points in the development of this work. We also thank Kenneth Arrow, Min Fan, Michael Magill, Carsten Nielsen, Manuel Santos, Nicholas Yannelis, Ho-Mou Wu and Woody Brock for comments on earlier drafts. The RBE model developed in this paper and the associated programs used to compute it are available to the public on Mordecai Kurzs web page at http://www.stanford.edu/ mordecai.This revised version was published online in January 2005 with corrections to the Cover date.     

制热的新途径——液力冲击制热

文章介绍了一种国内外尚无先例的制热的新方法——液力冲击制热。并阐述了它的理论价值、经济意义、实用意义以及能容高的特点。还简要分析了冲击制热的工作原理及计算。     

人民币汇率波动背景下的“钟摆效应”探析

2012年以来,人民币对美元汇率继续呈现双向波动趋势,升值和贬值预期交替出现。企业等市场主体根据人民币汇率预期变动,灵活调整外币资产负债配置结构,使财务运作呈现较为明显的“钟摆效应”。“钟摆效应”的出现,反映了国内市场主体对汇率风险意识的增强,也影响到外汇资产在央行和市场主体间配置的变动,增加跨境资金流动的波动性。为更好地适应国内市场主体外币资产配置需求的变化,文章提出相关政策建议。     

Inflation targeting in an import dependent indebted economy

This paper develops a one-sector Kaleckian model of an import dependent indebted small open economy; where the mark-up rate is sensitive to both changes in the interest rate and the exchange rate and foreigners provide part of the long-term finance. The short-run consequences of an inflation targeting policy in the form of high interest rates and strong domestic currency are explored. Among the possible short-run scenarios, the one most relevant for developing countries involves a decline in the profit rate, the capacity utilization rate and the rate of accumulation as well as the employment rate and the real wage. Leverage ratio of the firms and the extent of external indebtedness play an important role in bringing about this result. Long-run analysis reveals that this scenario is associated with instability in the long run and that, also in the long run, the extent of foreign indebtedness and the responsiveness of capital inflows to the return on existing portfolios are important in determining the direction of the effects of inflation targeting on the equilibrium debt–capital ratio.     

人民币升值对我国银行业影响的实证分析

随着我国外汇业务的逐渐成熟,人民币升值的呼声愈来愈高,汇率的频繁波动已是无法避免。通过实证分析来具体量化汇率变动对商业银行所造成的正负面影响,进而分析人民币升值对我国银行业稳定性的影响程度。     

基于行业差异的企业年金最优个人缴费率研究

借助于两期叠代模型,构建个人效用函数以及政府社会福利函数,测算满足个人生命周期效用最大化和社会福利最大化的最优企业年金个人缴费率.研究表明:全社会最优的年金个人缴费率为6.40％,当前费率水平还有较大提升空间;按各行业最优缴费率征缴年金费用,可以提高年金制度的养老保障程度;把过剩的年金缴费能力转移给个人账户,可以实现帕累托优化效果;给予年金个人缴费5％的税收优惠,可以鼓励和加快年金制度发展.     

证券投资组合损失率概率评价模型的开发与实证检验

通过建立证券投资组合损失率概率评价模型,定义损失率概率为单个资产或投资组合的损失率超过市场平均损失率的概率,用于对投资组合的风险进行评价。以某基金为例,计算得到该基金的损失率概率为39.74%,表明该基金有39.74%的概率损失率超过市场平均损失率。以证券投资组合损失率概率最小为目标函数,采用遗传算法进行求解,得出该基金投资组合损失率概率最小时的投资权重系数,最小损失率概率为36.01%,与该基金公司的投资组合相比,损失率概率降低了3.73%,实例证明该模型是降低证券投资组合风险的一种实用方法。