中国经济增长与通货膨胀最优区间研究求
沈悦 储巍 (4)
A Study of China’s Economic Growth and the Optimal Interval of Inflation
SHEN Yue CHU Wei (4)
利率市场化对银行内部资金转移价格机制设计的影响
王平 肖军 (11)
The Impacts of the Liberalization of Interest Rate on the Design of Bank’s FTP Mechanism
WANG Ping XIAO Jun (11)
信贷资产质量前瞻性预测与压力测试——基于ARMA模型和VAR模型的研究
张 棋 王 玥 李 鑫 (19)
Forward-Looking Forecasting and Stress Testing of the Quality of Credit Assets——A Study Based on the ARMA and VAR Models
ZHANG Qi WANG Yue LI Xin (19)
银行债务对大股东资金占用的治理作用分析
连立帅 白 俊 (26)
An Analysis of the Role of Bank Debts in the Governance of Large Shareholder’s Occupying Fund
LIAN Li-shuai BAI Jun (26)
商业银行网点布局问题分析与优化策略
陶 江 胡荣尚 (32)
An Analysis of Network Layouts of Chinese Commercial Banks and the Optimization Strategy
TAO Jiang HU Rong-shang (32)
商业银行托管业务法律问题与法律风险
李江鸿 郑宏韬 黄旭 (38)
The Legal Problems and Risks of Bank’s Custody Business
LI Jiang-hong ZHENG Hong-tao HUANG Xu (38)
网上银行信息安全产品的服务定价策略
邢丘丹 李娜 牛冰洁 黄卫 (46)
Service Pricing Strategy for the Information Security Products of E-Banking
XING Qiu-dan LI Na NIU Bing-jie HUANG Wei (46)
商业银行跨境人民币业务的机遇与挑战
中国工商银行天津市分行课题组 (54)
The Opportunities and Challenges of Cross-Border Renminbi Business of Commercial Banks
The Study Group of ICBC Tianjin Branch (54)
政府干预下的城市商业银行风险行为
王倩 李颖华 (61)
The Risk Behaviors of City Commercial Banks under the Government Intervention
WANG Qian LI Ying-hua (61)
融资融券对股指收益率波动的影响
李德峰 张丽青 杜亚雄 (72)
The Impacts of Short Selling and Margin Trading on the Fluctuation of the Returns of Stock Index
LI De-feng ZHANG Li-qing DU Ya-xiong (72)
“银行支持实体经济”学术研讨会综述 (77)
The Views Digest of the Seminar “Banks Support Real Economy” (77)
中国经济增长与通货膨胀最优区间研究
沈 悦 储 巍
［摘 要］ 本文采用相关性分析，根据相关的经济影响因素，确定经济指标与通货膨胀的关系，从中选取与通货膨胀关系较大的4个指标作为研究对象。根据门限模型基本原理，使用回归模型，对1992年至2010年间这4个经济指标进行实证分析，并对中国通货膨胀的最优门限值水平进行估计，得到通胀率的最优目标区间。研究结果表明，通货膨胀率在最优区间内，将对中国经济有一定的促进作用，而超出该范围将对中国经济增长产生显著的负面影响；中国通货膨胀率与经济增长之间存在非线性关系，通货膨胀率的最优门限区间为（-0.3%～4.96%）。
［关键词］ 通货膨胀；经济增长；经济周期；最优门限值
［Abstract］ Based on the correlation analysis and the related factors to imapct economy, this paper determines the relationship between economic indicators and inflation and selects four indicators, which have significant relationships with the inflation, for the study. According to the basic principle of threshold model, the paper uses regression model to empirically analyses the four indicators from 1992 to 2010, estimates the optimal threshold level of Chinese inflation and gains an optimal target range of inflation rate. The results of the study show that, within the optimal range, the inflation will promote Chinese economy and it will have a significant negative impact on Chinese economy beyond this range; there is a non-linear relationship between Chinese inflation rate and economic growth rate; the optimal threshold range of the inflation rate is from -0.3% to 4.96%.
［Key words］ inflation; economic growth; economic cycle; optimal threshold range
利率市场化对银行内部资金转移价格机制设计的影响
王平 肖军
［摘 要］ 内部资金转移价格在完善商业银行绩效考核机制、加强对外定价管理、提升风险管理效率和促进资源有效配置方面发挥着积极的作用。商业银行内部资金转移价格定价模式和定价方法的选择需要综合考虑外部经营环境、内部管理需要及软硬件支持条件等多方面因素。随着利率市场化进程的推进，商业银行应不断提升价格杠杆的作用、风险管理水平和资产负债管理水平，这就要求商业银行在总结分析现状的基础上，通过不断完善内部资金转移定价管理机制和内部收益率曲线建设，优化资金管理部门职能和绩效考核机制，确保内部资金转移价格充分发挥相应职能。
［关键词］ 利率市场化；商业银行；内部资金转移价格；资金管理体制改革；收益率曲线
［Abstract］ Fund Transfer Price（FTP） plays an active role in improving the performance appraisal mechanism of commercial banks, strengthening the management of external pricing, enhancing the efficiency of risk management and promoting the efficient allocation of resources. To choose the pricing model and method of commercial bank’s FTP, it is necessary to consider external business environment, internal management requirements, hardware and software support conditions and other factors. With the advancement in the liberalization of interest rate, commercial banks should continue to enhance the function of price leverage, improve the management of risk, asset and liability, which requires commercial banks, on the basis of summarizing and analysing the status quo, to improve the management mechanism of FTP and the construction of yield curve, optimize the functions of fund management department and the appraisal mechanism of performance and ensure FTP to play a corresponding role fully.
［Key words］ liberalization of interest rate; commercial bank; Fund Transfer Price; reform of fund management system; yield curve
信贷资产质量前瞻性预测与压力测试——基于ARMA模型和VAR模型的研究
张棋 王玥 李鑫
［摘 要］ 本文利用ARMA模型和VAR模型，对重要宏观经济指标、商业银行信贷资产的规模与质量进行预测分析，对商业银行房地产开发贷款增速和质量进行压力测试，并对指标间的波动特性及变化规律进行量化。研究结果表明，宏观经济波动对商业银行信贷资产的增长和质量稳定均有显著影响。商业银行应加强基础数据的整理、储备，将土地、物业作为抵质押物的影响纳入压力测试范围，根据经济增长率、房贷增长率等关键指标的预测结果以及房贷规模和质量指标的压力测试结果，科学评估商业银行房地产开发贷款规模和质量变迁对整体信贷资产质量的影响。
［关键词］ 商业银行；信贷资产质量；压力测试；ARMA模型；VAR模型；房地产开发贷款
［Abstract］ With the ARMA model and the VAR model, this paper forecasts and analyses important macroeconomic indicators, the size and quality of credit assets of commercial banks, conduct stress testings on the growth and quality of the loans of the real estate development of commercial banks and quantifies the fluctuations characteristics and variation law of the indicators. The results of the study show that macroeconomic fluctuations significantly impact both the growth and the stablity of the quality of the credit assets of commercial banks. Commercial banks should strengthen the reserve and analysis of basic data, conducts the stress testing on the impacts of the collateral of land and property, scientifically assesses the impacts of the changes in the size and quality of commercial bank’s loans of real estate development on the overall quality of credit assets.
［Key words］ commercial bank; quality of credit asset; stress testing; ARMA model; VAR model; loan of real estate development
银行债务对大股东资金占用的治理作用分析
连立帅 白俊
［摘 要］ 本文以债务的“次优”治理特征为制度背景，研究银行债务对大股东资金占用行为的治理作用。研究结果表明，虽然中国目前存在着预算软约束及偿债机制不完善等制度缺陷，但债务的“次级”治理特征及商业银行的市场化改革仍能保证银行债务能够抑制大股东资金占用行为。由于利率管制政策的存在，银行通过贷款利率政策途径发挥治理作用并未实现，其治理作用主要体现在贷款续新上。当银行发现大股东通过资金占用的方式侵占上市公司利益时，会通过减少、停止发放贷款，甚至提前收回贷款的方式来减少损失，为了获得贷款银行的支持，贷款企业的大股东也会选择减少对资金的占用。
［关键词］ 银行债务；大股东；资金占用；贷款续新；贷款利率
［Abstract］ With the characteristics of the “subprime” governance of debts as the system background, this paper researches the role of bank debts in the governance of large shareholder’s behavior of occupying fund.The results of the paper show that, though there are system defects such as soft budget-constraint, imperfect debt-paying mechanism etc. currently in China, the “subprime” governance of debts and the market-oriented reforms of commercial banks can ensure bank debts to inhibit large shareholder’s behavior of occupying fund. Because of the control policy of interest rate, the role of banks in the governance through the interest rate of loan has not been realized and the role is mainly reflected in additional new loan. When banks find that the large shareholder encroach upon the benefits of listed companies in the way of occupying fund, they will reduce loss by reducing, stopping and even withdrawing the loan. In order to obtain the support of banks to lend, the large shareholder of the companies to borrow will choose to reduce occupying fund.
［Key words］ bank debt; large shareholder; occupying fund; additional new loan; interest rate of loan
商业银行网点布局问题分析与优化策略
陶江 胡荣尚
［摘 要］ 网点是商业银行重要的销售服务渠道和宝贵的战略资源，在银行业发展的过程中起着举足轻重的作用。近年来，随着商业银行股份制改革和经营战略的转型，银行网点布局有了重大的调整，但通过对中国商业银行网点布局的现状进行分析，我们发现商业银行网点布局还存在缺乏对网点布局的总量控制、网点选址不尽合理、网点运营效率低下以及网点的组织架构不合理等问题。在此基础上提出以下优化策略建议：整合多元化渠道，实现网点布局总量控制；建立合理的网点选址方案；加快网点转型，提高运营效率；优化银行网点组织架构等。
［关键词］ 商业银行；网点布局；网点选址；网点转型
［Abstract］ Network is the sale-service channel and valuable strategic resource of a commercial bank and it plays an important role in the process of the developmentof banking industry. In recent years, with the joint-stock reform and the business strategy transformation of commercial banks, the network layouts of the banks are adjusted greatly, but we find that there are still problems like the lack of a total control of network layout, unreasonable network location, inefficient network operation, unreasonable organizational structure of the network and so on. On the basis of the analysis, the paper proposes the optimization strategy to integrate diversified channels to achieve the total control of network layout, design a reasonable program for the site choice of network, speed up the transformation of network, improve operational efficiency, optimize the organizational structure of network and so on.
［Key words］ commercial bank; network layout; site choice of network; transformation of network
商业银行托管业务法律问题与法律风险
李江鸿 郑宏韬 黄旭
［摘 要］ 商业银行托管业务的法律依据整体上缺乏明确性和统一性，导致在业务实践中产生一些未决问题。从法律依据、法律主体以及权利义务来看，对商业银行托管业务的法律关系做统一定性存在障碍。在以托管人作为当事方而签署的协议中，主要依据当事方主体构成特征，可将商业银行托管业务分为二元结构和三元结构。从现有法律环境出发，除证券投资基金托管为信托关系外，其余托管业务宜界定为受国家干预的委托关系。商业银行托管业务中的法律风险主要包括与托管人独立性问题相关的法律风险、托管人监督职责问题引发的法律风险和关联关系引发的法律风险等。
［关键词］ 商业银行；托管业务；证券投资基金；准入监管；法律风险
［Abstract］ Overally, the legal basis for the custody business of commercial bank lacks of clarity and uniformity, which results in some problems unresolved in practice. In view of legal basis, entity, rights and obligations, there are some obstacles to give a unified identification of the legal relationships of bank’s custody business. In an agreement signed by custodian as party, the custody business of commercial bank can be divided into binary structure and ternary structure according to the characteristics of the party. In the existing legal environment, custody business should be defined as a fiduciary relationship intervened by the state, except for the custody of security investment fund which is a trust relationship. The main legal risks in the custody business of commercial banks includes the legal risks related to custodian’s independence, the legal risks triggered by the problem of custodian’s supervision duty and the legal risks triggered by association relationship.
［Key words］ commercial bank; custody business; security investment fund; supervision of access; legal risk
网上银行信息安全产品的服务定价策略
邢丘丹 李娜 牛冰洁 黄卫
［摘 要］ 本文将顾客感知价值的基本理论、常用的服务定价策略与运筹学的层次分析法相结合，根据网上银行信息安全产品（如USB-Key、动态口令卡）自身的特点，构建出网上银行信息安全产品顾客感知价值的层次分析结构模型，并针对模型进行相应的问卷设计、问卷调研和量化分析，归纳出网上银行信息安全产品顾客感知价值影响因素的归一化权重。对量化结果中所占比重较大的前四个影响因素提出相应的服务定价策略，主要包括：提升产品价值的服务定价策略、提升服务价值的服务定价策略、提升关系价值的服务定价策略和降低货币成本的服务定价策略。
［关键词］ 网上银行；信息安全产品；层次分析法；顾客感知价值；服务定价策略
［Abstract］ This paper combines the basic theory of customer perceptive value, the common service pricing strategy with the hierarchical analysis of operation research and, according to the characteristics of information security products such as USB-Key, dynamic password card, builds a structure model of hierarchical analysis for the customer perceptive value of the information security products of E-banking. The authors of the paper have conducted a questionnaire design, a questionnaire survey and a quantitative analysis for the model, and then summed up the normalized weight of the factors to impact the customer perceptive value of the information security products of E-banking. According to the four factors that have the largest proportion of the quantitative results, the authors propose corresponding service pricing strategies to improve product value, service value, relationship value and reduce the cost of monetary.
［Key words］ e-banking; information security product; hierarchical anlysis; customer perceptive value; service pricing strategy
商业银行跨境人民币业务的机遇与挑战
中国工商银行天津市分行课题组
［摘 要］ 跨境人民币业务发展有助于提升银行综合竞争力，促进银行国际化进程，拓展优质客户资源、银行资产负债业务，增加中间业务收入，促进银行金融创新。但是，目前跨境人民币业务境外接受程度不高，未形成规模优势，业务创新能力不足，国际化经营和全球服务能力有待提升，同时业务市场竞争压力在加大。中资商业银行应加快推进国际化经营和全球结算网络建设，不断提升金融创新能力，巩固和扩大境内外客户资源，提升境内外机构的风险管理能力，培养和引进各类国际专业人才，抢占跨境人民币业务市场，提升在国际银行中的竞争力和影响力。
［关键词］ 商业银行；跨境人民币业务；国际化经营；金融创新
［Abstract］ The development of cross-border renminbi business will enhance the comprehensive competitiveness of banks, promote the process of banking internationalization, expand high-quality customer resources and the balance business of banks, increase intermediary business revenue and promote the financial innovation of banks. However, at present, the cross-border renminbi business is not highly accepted outside and it has not formed the advantage of scale. The innovation ability of cross-border renminbi business is low and the international operation and the ability of global service should be upgraded. Meanwhile, the pressure of market competition is increasing. Chinese commercial banks should accelerate international operations and the construction of global clearing network, improve the ability of financial innovation, consolidate and expand the resources of domestic and overseas clients, improve domestic and foreign institutions’ abilities to manage risks management, train and introduce various kinds of international talents, seize the markets of cross-border RMB business, enhance competitiveness and influence in international banking.
［Key words］ commercial bank; cross-border RMB business; international operation; financial innovation
政府干预下的城市商业银行风险行为
王倩 李颖华
［摘 要］ 本文利用中国80家城市商业银行共242个样本观测值考察了不同环境下地方政府干预如何影响城市商业银行的风险行为。城市商业银行的地域性以及信贷资源的稀缺性导致当地政府部门为了达到其经济目标对银行进行干预，研究发现，政府干预会增加银行风险，特别是政府作为股东时，这种不利影响更加严重。在检验地方政府干预作用的同时，本文对银行所在地区外部环境的差异进行的研究发现，政府规模越大的地区，其总体的风险较小，并且风险随着金融发展水平的提高而增加。因此，外部环境的差异也影响到政府干预的风险效应。
［关键词］ 城市商业银行；银行风险承担；政府干预；制度环境
［Abstract］ With the data of 242 observation samples of 80 city commercial banks in China, this paper investigates how the local government intervention impacts the risk behaviors of city commercial banks. The locality of city commercial banks and the scarcity of credit resources lead to local government to intervene banks in order to achieve its economic goals. The study of the paper shows that government intervention will increase the risks of banks, and especially, such adverse effects will be more serious if the government is a shareholder. When we test the role of local government intervention and study the difference in external environment of the aera in which the bank locates, we find that the overall risk is relatively small in the area with big size of government and the risk increases with the rise of the level of financial development. Therefore, the difference in external environment also impacts the risk effects of government intervention.
［Key words］ city commercial bank; risk-taking of bank; government intervention; institutional environment
融资融券对股指收益率波动的影响
李德峰 张丽青 杜亚雄
［摘 要］ 本文利用TGARCH模型研究了融资融券制度对上证50和深证成指日收益率波动性的影响。研究结果表明，实行融资融券后，上证50和深证成指日收益率的波动均有所下降，融资融券具有一定的稳定市场的作用，其中上证50的表现好于深证成指。但是收益率波动的下降都比较少，短期内融资融券对市场的作用不明显。由于初期的入市资金有限，因此融资融券业务对市场的影响主要在心理层面上，对市场的直接影响很小。但是随着试点规模的扩大，将会有越来越多的信用资金进入股市，因此融资融券业务对股市的影响是渐进的，其长期影响则是深远的。
［关键词］ 融资融券；上证50指数；深证成指；日收益率
［Abstract］ With the TGARCH model, this paper studies the impacts of the Short Selling and Margin Trading on the daily return fluctuation of SSE 50 and Shenzhen Component Index. The results show that, after the implementation of the Short Selling and Margin Trading, the daily return fluctuations of both SSE 50 and Shenzhen Component Index are decreased. Short Selling and Margin Trading has the functions to stabilize market to a certain degree, and the performance of the SSE 50 is better than that of Shenzhen Component Index. But the decreases in the daily return fluctuations of both SSE 50 and Shenzhen Component Index are little and the impacts of Short Selling and Margin Trading are not obvious in the short term. Because the initial funds in market are limited, the impacts of Short Selling and Margin Trading on the market are mainly at psychological level and the direct impacts are very small. Nevertheless, more and more credit funds will enter the market with the expansion of the pilot of Short Selling and Margin Trading, so the impacts on the stock market are gradual and far-reaching in the long term.
［Key words］ Short Selling and Margin Trading; SSE 50 Index; Shenzhen Component Index; daily return