Constrained Kalman Filtering: Additional Results

This paper deals with linear state space modelling subject to general linear constraints on the state vector. The discussion concentrates on four topics: the constrained Kalman filtering versus the recursive restricted least squares estimator; a new proof of the constrained Kalman filtering under a conditional expectation framework; linear constraints under a reduced state space modelling; and state vector prediction under linear constraints. The techniques proposed are illustrated in two real problems. The first problem is related to investment analysis under a dynamic factor model, whereas the second is about making constrained predictions within a GDP benchmarking estimation.     

Study on Principal-agent Mechanism in Chinese Private Enterprises

Based on the principal-agent theory, this paper analyzes the current situation and the developing trends of Chinese private enterprises. It points out the obstacles confronted by Chinese private enterprise in setting up the principal-agent mechanism and proposes the corresponding solutions to these problems.     

Market Orientation and Raw Material Control

Much of the existing literature on market orientation emphasizes the role played by the competencies of companies in selling products. However, in industries that rely on a natural resource sector for its primary input, another constraint may dominate: the limitations on supply of that input. We examine this issue in the context of a particular natural resource sector, the fishery, as a case study of the more general phenomenon. Using the example of Norway's apparent lack of market orientation as a supplier of fresh fish, the paper demonstrates how the characteristics of natural resource sectors as well as how public policies are used to manage those sectors may place significant roadblocks in the way of developing a market orientation by the industries that depend on those sectors for raw material. The paper notes that there has been an increased consumer demand for fresh fish, away from the frozen product. This, in principle, should lead to an increased need for a market orientation by sellers and closer relationships between the primary processors and the distributors of fresh seafood. However, several barriers, including those associated with fishery management, hinder this process. These include the presence of a structure where earnings from fishing are independent of quality, the seasonality of supplies in the raw fish markets, the way fish quotas are managed, the structure of first hand sales, and the underdeveloped relationships between supermarkets and the primary processors. In short, the analysis identifies critical linkages between fishery management and the marketing of seafood. Its broader contribution is to increased understanding of the interdependencies between the marketing of natural resource-based products and public management of that resource.     

Proxy-quality thresholds: Theory and applications

We consider alternative models of a regression containing a proxy for an unobserved regressor. For each model at most two pieces of prior information are necessary to determine the sign of any regressor coefficient: the sign of the partial correlation between the proxy and the unobserved regressor, and a lower bound on the partial or simple correlation between the proxy and the unobserved regressor. We apply our technique to investment and leverage regressions that contain a proxy for the incentive to invest. In both cases proxy quality must be high for the coefficient of interest to be non-zero.     

What do fiscal stimulus packages mean for household debt?

We study the links between fiscal stimulus packages during times of crisis and households' liabilities. We do so by using household-level data on income and liabilities from the Consumer Expenditure Survey, and estimating an empirical model along those in the literature on the consumption effects of these packages. We find that receiving a check from the government tends to translate into a reduction in outstanding liabilities for American households. This effect is robust to controlling for income levels and household size. The effects are driven by households whose income is below the median and by those who remain employed during the crisis.     

Testing for the Presence of Financial Constraints in US Agricultural Cooperatives: An Investment Behaviour Approach

This study examines the presence of financial constraints in US agricultural cooperatives. We test the cooperative capital constraint hypothesis with a panel data econometric analysis of agricultural cooperatives’ investment behaviour. Regression results suggest that agricultural cooperatives’ capital expenditures are significantly affected by the availability of internal funds. Results also indicate that the sensitivity of investment to cash flow is correlated with cooperative structural characteristics.     

Corporate investment and financing under asymmetric information

We develop a dynamic model of corporate investment and financing decisions in which corporate insiders have superior information about the firm's growth prospects. We show that firms with positive private information can credibly signal their type to outside investors using the timing of corporate actions and their debt-equity mix. Using this result, we show that asymmetric information induces firms with good prospects to speed up investment, leading to a significant erosion of the option value of waiting to invest. Additionally, we demonstrate that informational asymmetries may not translate into a financing hierarchy or pecking order over securities. Finally, we generate a rich set of testable implications relating firms’ investment and financing strategies, abnormal announcement returns, and external financing costs to a number of managerial, firm, and industry characteristics.     

论资本约束下商业银行如何实施战略转型

在国际金融形势的影响下,巴塞尔委员会提出了更高的资本监管要求,我国商业银行资本缺口在扩大,资本补充能力受到很多限制,对此,银行业要充分认识转型的必要性和紧迫性,加强核心竞争力,实现可持续发展。     

破解农村金融排斥问题的几大思路

广大农村当前受到严重的金融排斥,农民的金融需求普遍得不到满足,本文从农村金融排斥的角度提出破解的几大思路,目的在于解决我国"三农问题",促进城乡统筹发展。     

融资约束差异会提高企业金融化水平吗?——来自我国A股上市非金融企业的经验证据

目前,我国越来越多实体企业偏离主业,将资金投入金融等收益率高的部门,出现经济的“脱实向虚”现象,一定程度上阻碍了实体经济的发展。本文基于2009—2018年我国非金融类A股上市公司数据,研究融资约束与企业金融化之间的关系。研究发现:融资约束与企业金融化之间存在显著的负向关系,受融资约束越小的企业,配置越多的金融资产,提高了企业金融化水平。进一步研究发现,融资约束与短期、长期金融资产之间均存在显著的负向关系,但与长期金融资产之间的负向关系更加明显。在受融资约束小和非国有企业的样本中,融资约束对企业金融化的影响程度更大。作用机制检验表明,企业业绩是融资约束影响企业金融化的中介变量。