Exchange rate exposure and foreign exchange derivatives: do ineffective hedgers modify future derivatives use?

Recent studies examining the relationship between stock returns and exchange rate changes have provided evidence that the exchange rate exposure of non-financial companies is reduced by the use of foreign exchange derivatives. Building on such research, this study investigates whether past ineffective derivative hedging contributes to explaining future derivatives use. To the extent that companies monitor the effectiveness of their currency risk management practices, past ineffective hedgers can be expected to modify their future use of foreign exchange derivatives accordingly. In our study of 94 non-financial US multinationals, we provide evidence that the change in derivatives use from 1996–1998 to 1998–2000 can be explained in part by the ineffective hedging of currency risk in 1996–1998, controlling for variables associated with theories of optimal hedging. Additional analyses confirm that such primary results are robust to firm size, the level of foreign operations, and the use of derivatives to partially hedge currency risk. Our results imply that as exchange markets and risk management practices change, the use of derivatives to manage exchange rate risk also changes. Our contribution to this field of study is that we find evidence that past ineffective hedgers tend to increase their future use of FXDs.     

Orange County Bankruptcy: Financial Contagion in the Municipal Bond and Bank Equity Markets

We examine the spillover wealth effects of the Orange County, California bankruptcy announcement in December 1994 on municipal bonds, municipal bond funds, and bank stocks. This bankruptcy is prominent because of unprecedented losses and because it was caused by a highly leveraged derivatives strategy rather than a shortage of tax revenues and excess spending. We find contagion in the bond market with significantly negative abnormal returns for municipal bond funds without direct exposure to Orange County and for non‐Orange County municipal bonds. In addition, our findings suggest the contagion spills over to the common stocks of investment and commercial banks that deal in or use derivatives; however, the equities of banks unexposed to derivatives are not affected.     

论中国承接金融服务离岸外包相关法律问题

吸引金融服务离岸外包已经成为一些发展中国家经济发展的新热点，中国也已将承接包括金融服务外包在内的服务外包作为下一步经济发展的新的增长点。本文从GATS角度探讨了金融服务外包的归类，这一问题涉及确认WTO成员是否在金融服务外包开放上作出承诺。本文建议中国在WTO多哈谈判中可要求有关成员承诺开放包括金融外包在内的服务外包。本文结合金融服务外包方关心的问题，着重探讨了中国承接金融服务离岸外包应注意的法律问题，如金融监管、数据信息保护、知识产权保护和网上商务税收优惠等。     

Valuation of commodity derivatives in a new multi-factor model

This paper extends existing commodity valuation models to allow for stochastic volatility and simultaneous jumps in the spot price and spot volatility. Closed-form valuation formulas for forwards, futures, futures options, geometric Asian options and commodity-linked bonds are obtained using the Heston (1993) and Bakshi and Madan (2000) methodology. Stochastic volatility and jumps do not affect the futures price at a given point in time. However, numerical examples indicate that they play important roles in pricing options on futures. This revised version was published online in June 2006 with corrections to the Cover Date.     

或有表外项目的分类和计量研究

2001～2002年，大量的重大会计丑闻曝光，这些问题暴露了公司治理、审计实务和财务报告中的薄弱环节，其中两个主要问题是表外项目的范围（包括特殊目的实体的使用）和股票发行者的财务报告是否透明地反映了表外项目的经济实质。本文主要对或有表外项目中投资的分娄和计量进行兮析，并提供了美国上市公司投资于其他实体的经验研究与发现，以期对今后的衍生金融工具的会计处理提供借鉴。     

金融衍生产品发展的新特点与国内商业银行的策略研究

近年来，国际金融衍生产品市场呈现三个新特点：市场需求及市场规模日趋扩大，产品创新层出不穷，风险防范问题日渐突出，并由此对国际金融市场的发展和稳定带来深刻影响。随着我国人民币汇率制度改革、利率市场化及资本市场股权分置改革等进程的不断加快，金融衍生产品在国内市场的发展契机已经到来。我国发展金融衍生市场应遵循“适应经济金融改革进程、满足市场需求、结构上由简到繁、风险上由低到高”的总体原则。国内商业银行应当以资产保值增值为目的，选择适当的产品切入金融衍生市场，并注重提高金融衍生产品的核心竞争力，加强风险防范和人才的培养与引进。     

聚天冬氨酸衍生物在水处理行业中的研究进展

聚天冬氨酸衍生物是一种可生物降解的带有羧酸侧链的聚氨基酸,具有螯合和分散等功能,综述了国内外有关聚天冬氨酸衍生物的合成及性能研究进展,介绍了聚天冬氨酸衍生物在水处理行业的应用现状,提出了聚天冬氨酸衍生物的研究方向。     

2011年银行间市场运行报告

2011年,银行间市场交易整体呈现稳步增长态势,市场成员继续壮大。主要特点是：货币市场利率对货币政策反应灵敏,随调控措施整体走高,波动加大,市场成交明显增长;债券市场基础设施及制度建设持续稳步推进,成交量微幅下跌,银行间国债收益率曲线先升后降;对外经济活动活跃、市场机制改革等多因素推动银行间外汇即期市场持续较快发展;衍生品市场基础设施建设进一步完善,利率互换成交活跃,境内外外汇衍生品价差反转。     

The impact of H-share derivatives on the underlying equity market

We conjecture that an introduction of the Hong Kong Hang Seng Chinese Enterprise Stock Index (H-share Index) futures induces additional speculating activities in the underlying equities, leading to an increase in volatility and volume of the underlying stocks. Whereas, a subsequent introduction of H-share index options increases the level of informed trading and opens up opportunities for speculative and arbitrage activities using futures directly against options. These futures and options trading activities are much cheaper and more efficient than using the underlying stocks, leading to a significant decline in spot market volatility and volume. Our results are consistent with these arguments. We also find that derivative trading does not change the liquidity of H-share constituent stocks. Further tests based on the difference-in-difference approach confirm that the above findings are robust.

完善信息报备机制崔动场外衍生品市场发展

文章在回顾《场外衍生品数据报备和汇总要求报告》（CPSS—IOSCO）的基础上,介绍了交易数据报备机制和报备数据汇总机制建设取得的成果及相关要点,分析了协调各国报备信息库建设步伐存在的难点,提出了对我国建立场外衍生品标准化机制的启示和借鉴。文章认为,我国应在充分参考国际经验的基础上,研究交易报备和数据汇集的方法,参与国际相关标准体系的制定,完善我国交易信息报备机制,推动场外衍生品市场发展。