外部冲击对银行风险承担波动的影响
孙建雅 何 凯 程细玉(3)
The Influence of External Impacts on the Fluctuations in Bank’s Risk-Taking
SUN Jian-ya HE Kai CHENG Xi-yu (3)
贷款集中度对银行风险承担行为的影响——来自中国上市银行的经验证据
黄秀秀 曹前进(9)
The Influence of Loan Concentration on the Risk-Taking Behaviors of Banks——Empirical Evidences of Chinese Listed Banks
HUANG Xiu-xiu CAO Qian-jin (9)
风险相关性与银行系统性风险测度
王 璐 童中文 (15)
Risk Correlation and the Measurement of Bank Systemic Risks
WANG Lu TONG Zhong-wen(15)
扩容后新三板市场的流动性风险
田娟娟 邢天才 (22)
The Liquidity Risks of the New Third Board Market after Expansion
TIAN Juan-juan XING Tian-cai (22)
支付体系变革对中国货币体系的影响
李 楠 黄 旭 谢尔曼 (29)
The Impacts of Payment System Innovation on Chinese Monetary System
LI Nan HUANG Xu XIE Er-mann (29)
资本账户开放、制度质量与经济增长
陆 军 熊衍飞 (35)
Capital Account Liberalization, Institutional Quality and Economic Growth
LU Jun XIONG Yan-fei(35)
银行理财产品是庞氏骗局吗？——基于中国银行业理财产品市场的实证分析
苏薪茗 (43)
Is Bank WMP a Ponzi Game?——An Empirical Analysis Based on Chinese Bank WMP Market
SU Xin-ming(43)
投资者对银行金融产品的选择行为研究
张 蕾 高登第 冯梦璐(53)
A Study of Investors’ Behaviors to Choose the Financial Products of Banks
ZHANG Lei GAO Deng-di FENG Meng-lu (53)
中国农村金融对农户生产经营的支持——基于时间序列的经验证据
韦克游(61)
The Supports of Chinese Rural Finance to Farmer’s Production——Empirical Evidences Based on Time Series
WEI Ke-you (61)
商业银行反洗钱信息系统现状及研究进展
毛宇星 张成洪 凌 鸿(72)
The Status and Research Progress in the Anti-Money-Laundering Information Systems of Commercial Banks
MAO Yu-xing ZHANG Cheng-hong LING Hong (72)
“民营银行、村镇银行、民间银行问题研究”征文结果通告 (42)
外部冲击对银行风险承担波动的影响
孙建雅 何 凯 程细玉
［摘 要］ 本文以2005年1季度至2013年4季度中国14家上市银行的相关数据为样本，构建PVAR模型研究经济增长、资本充足率管制、市场预期和货币政策等银行外部因素对银行风险承担的动态冲击效应及其影响。实证研究表明：资本充足率管制对银行风险承担波动的影响最大，且能有效降低银行风险承担波动；经济增长能在半年内显著改善银行风险承担水平；货币政策有一定的影响，而市场预期的影响则相对较小。因此，应加强商业银行的资本充足率约束，并重视经济增长与货币政策对银行风险承担的影响，以维护金融稳定。
［关键词］ 银行风险承担；资本充足率；经济增长；货币政策；PVAR模型
［Abstract］ This paper uses the relevant data of Chinese14 listed banks during the first quarter of 2005-the fourth quarter of 2013 as samples to construct a PVAR model to research the dynamic impacts and influence of external factors, such as economic growth, capital adequacy regulation, market expectation and monetary policy, etc., on bank’s risk-taking. The empirical study shows that the influence of capital adequacy regulation on the fluctuations in bank’s risk-taking is greatest, and the regulation can effectively reduce the fluctuations in bank’s risk-taking; economic growth can significantly improve the level of bank’s risk-taking within six months; monetary policy have some influences to a certain extent, but the influence of market expectations is relatively small. Therefore, it is necessary to strengthen the constraint on the capital adequacy ratio of commercial banks, and pay attention to the influence of economic growth and monetary policy on bank’s risk-taking, so as to maintain financial stability.
［Key words］bank’s risk-taking; capital adequacy ratio; economic growth; monetary policy; PVAR model
贷款集中度对银行风险承担行为的影响——来自中国上市银行的经验证据
黄秀秀 曹前进/p>
［摘 要］ 本文采用中国13家上市银行2005~2012年的相关数据，构建动态面板数据模型分析贷款集中度对银行风险承担行为的影响。研究表明，贷款集中度的不同代理变量对银行风险承担行为的影响存在差异性，在一定范围内提高最大十家客户贷款比例可抑制银行风险承担行为，行业贷款集中度和地区贷款集中度对银行风险承担行为无显著影响。分析结果显示，地区贷款集中度对银行风险承担行为的影响依赖于银行规模与其资本充足率，银行规模越大、资本越充足，则风险承担行为对贷款集中度的反应越不敏感。监管部门应据此采取有针对性的措施防范银行的信贷集中度风险。
［关键词］ 贷款集中度；银行风险承担；上市银行；银行规模；资本充足率
［Abstract］ Based on the data of 13 Chinese listed banks, this paper builds a dynamic panel data model to analyze the influence of loan concentration on the risk-taking behaviors of banks. It is found that the influence of the different proxy variables of loan concentration on the risk-taking behaviors of banks shows difference; the increase in the ratio of top 10 customer’s loans to a certain extent can suppress risk-taking behaviors; industrial loan concentration and regional loan concentration do not significantly impact the risk-taking behaviors. The analytic results show that the influence of regional loan concentration on the risk-taking behaviors depends on the size and capital adequacy ratio of bank. The larger the size of bank and the higher the capital adequacy ratio, the less sensitive the response of risk-taking behaviors to loan concentration is. Accordingly, the regulatory authorities need to take appropriate measures to prevent the loan concentration risks of banks.
［Key words］ loan concentration; risk-taking of bank; listed bank; bank size; capital adequacy ratio
风险相关性与银行系统性风险测度
王 璐 童中文
［摘 要］ 本文研究风险相关性对系统性风险的影响，对风险相关性指标进行设计和量化并纳入风险测度体系，基于1996~2013年中国商业银行的数据，运用主成分分析法对系统性风险进行度量。结果表明：相比单一变量而言，交叉变量与其他风险指标相关性更高；若忽略风险相关性，在银行业较稳健的情况下将会高估银行业系统性风险，而在银行业风险水平较高的情况下将会低估银行业系统性风险；M2/GDP、信贷、房价指数、不良率、资本充足率等指标是影响银行系统性风险水平的重要因素；GDP增长率、通货膨胀率等指标与系统性风险水平的相关程度较低。
［关键词］ 商业银行；风险相关性；系统性风险；信贷市场；房地产市场；证券市场
［Abstract］ This paper researches the influence of risk correlation on systemic risks, the design and quantization of risk correlation indicators, introduces the indicators into risk measurement system. Based on the data of Chinese commercial banks during 1996-2013, the paper uses principal component analysis to measure systemic risks. The results of the paper show that, compared to a single variable, cross-variables have more correlation with other risk indicators; if risk correlation is ignored, bank systemic risks will be overestimated in the case of banking sector being stable, and bank systemic risks will be underestimated in the case of banking sector risks being high; M2 /GDP, credit, house price index, non-performing loan ratio, capital adequacy ratio and other indicators are important factors to impact the level of bank systemic risks; GDP rate, inflation rate, etc. have less correlation with the level of systemic risks.
［Key words］ commercial bank; risk correlation; systemic risk; credit market; real estate market; security market
扩容后新三板市场的流动性风险
田娟娟 邢天才
［摘 要］本文从交易方式和交易规则两个角度分析新三板市场流动性风险成因的特殊性，并通过统计性描述将新三板市场与主板等证券市场的流动性进行比较，在此基础上利用价量结合的计量指标进行测度，并结合GARCH模型对研究样本的流动性变化率序列进行拟合。研究得出，新三板市场流动性远低于国内其他证券市场，流动性风险值的稳定性较差且风险特征明显。这证明现阶段的新三板市场流动性风险较大，流动性明显不足。因此，扩容之后的新三板市场应从调整交易规则、强化做市商制度、规范信息披露和完善转板机制方面进行改革。
［关键词］新三板市场；主板市场；流动性风险；市场扩容
［Abstract］ This paper analyzes the special causes about liquidity risks in the new third board market from the perspectives of trading way and trading rule, and compares the liquidity of the new third board, main board market and other security markets by statistical description. On the basis of the analysis, the paper uses price-amount combined parameters to measure the liquidity, and uses the GARCH model to fit the series of the liquidity change rate of samples. The conclusions of the paper show that the liquidity of the new third board market is much less than that of other domestic security markets; the stability of liquidity risk value is poor and its risk characteristics are obvious. The above conclusions indicate that currently the new third board market has great risks and its liquidity is obviously insufficient. Therefore, the new third board market after expansion needs to be reformed in the aspects of adjusting trading rules, strengthening market maker system, standardizing information disclosure, improving the mechanism of transferring board, etc.
［Key words］ new third board market; main board market; liquidity risk; market expansion
支付体系变革对中国货币体系的影响
李 楠 黄 旭 谢尔曼
［摘 要］ 本文在分析互联网技术推动中国支付体系发展的基础上，将支付变革影响因素引入经典货币分析模型，从货币供给、货币需求和货币政策传导机制三个角度分析中国支付体系的升级对中国货币体系产生的影响。研究发现，互联网技术在支付体系中的持续渗透与应用，将通过放大基础货币的乘数效应，扩大货币供给；通过降低交易成本、降低现金转换成本、提高资金利率等方式，削弱企业对于货币总量的需求；对于货币政策的传导，支付体系的金融创新将削弱货币收缩政策对于企业投资的影响，但会放大货币扩张政策对于企业投资的刺激。
［关键词］ 互联网技术；支付体系；货币体系；货币政策；金融创新
［Abstract］ Based on the analysis of internet technology promoting the development of Chinese payment system, this paper introduces factors that impact payment innovation into classical monetary analysis model, and analyzes the impacts of the upgrading in Chinese payment system on Chinese monetary system from three perspectives, money supply, money demand and the mechanism of monetary policy conduction. It is found that the continued penetration and application of internet technology in payment system will result in amplifying the multiplier effects of base money and then increase money supply; enterprises will reduce total money demands because the internet technology reduces transaction costs and cash conversion costs, and increases the interest rates of money, etc.; as for monetary policy conduction, the financial innovation in payment system will weaken the influence of monetary contraction policy on enterprise investment, but amplify the stimulating effects of monetary expansion policy on enterprise investment.
［Key words］ internet technology; payment system; monetary system; monetary policy; financial innovation
资本账户开放、制度质量与经济增长
陆 军 熊衍飞
［摘 要］ 本文使用44个国家和地区在1973~2013年间的面板数据，考察资本账户开放、制度质量与经济增长三者间的关系。结果表明，资本账户开放、制度质量对人均实际GDP增长率的影响呈倒U形；相同资本账户开放程度下，OECD国家解禁资本账户获得的经济增长红利显著高于新兴市场—发展中国家。在政策操作层面，实证结果表明，资本账户开放对经济增长的影响是间接的，其作用力大小取决于一定的制度基础。中国目前应努力从国内金融改革、国际金融参与两个层面培植一个具备深度、流动和开放的金融市场；努力完善健全的法律法规，以规范投资者行为，保护投资者利益。
［关键词］ 资本账户开放；制度质量；经济增长；OECD国家；新兴市场—发展中国家
［Abstract］ This paper uses the panel data of 44 countries and regions during 1973-2013 to examine the relationships between capital account liberalization, institutional quality and economic growth rate. The results of the paper show that the influence of capital account liberalization and institutional quality on real per capita GDP growth rate is inverted U-shaped; if the level of capital account liberalization is same, the OECD countries obviously gain more economic growth bonus from capital account liberalization than the emerging markets-developing countries. As to policy execution, the empirical results show that the influence of capital account liberalization on economic growth is indirect, and the extent of influence depends on some institutional foundations. Currently, China should make efforts in the fields of domestic financial reform and international financial involvement to build a deeply-influencing, flowing and open financial market, improve laws and regulations to regulate investor behaviors and protect investors’ interests.
［Key words］ capital account liberalization; institutional quality; economic growth; OECD country; emerging market-developing country
银行理财产品是庞氏骗局吗？——基于中国银行业理财产品市场的实证分析
苏薪茗
［摘 要］ 本文对“资金池—资产池”这一银行理财产品的主流运作模式进行分析，发现银行通过“资金池—资产池”模式的运作，进行了期限错配，从而提高了收益率，同时可以绕过表内监管，并通过资产池进行风险分散化，但是，因运作风险无法传导给投资者，导致银行出现“刚性兑付”和“隐性担保”问题。虽然短期利率的迅速上升或期限利差的倒挂均可能导致“资金池—资产池”运作进入庞氏结构，但当期信用利差的影响是不确定的，“资金池—资产池”模式尚未进入“庞氏结构”。利差下降可能导致“庞氏骗局”的风险，因此需要加快这一产品运作模式的转变。
［关键词］ 银行理财产品；资金池；资产池；庞氏骗局
［Abstract］ This paper analyzes “money pool-asset pool”, the main mode of bank wealth management product (WMP). It is found that, by the operation of the“money pool-asset pool” mode, banks design term structure and increase return rate. Meanwhile, banks can avoid balance-sheet-supervision and disperse risks by asset pool. But operational risks can not be transmitted to investors, so the problems of “rigid payment” and “implicit guarantee” have emerged in banks. Though the rapid rise in short-term interest rates and the term spreads upside down may cause the operation of“money pool-asset pool” to be a “Ponzi structure”, the influence of current credit spread is uncertain, and the“money pool-asset pool” mode has not yet become a“Ponzi structure”. The decline in spread may cause “Ponzi game” risks, therefore, the transformation of WMP product needs to be accelerated.
［Key words］ bank wealth management product; money pool; asset pool; Ponzi game
投资者对银行金融产品的选择行为研究
张 蕾 高登第 冯梦璐
［摘 要］ 本文基于投资者对个人金融产品的选择行为，研究信息明暗示程度、多面性和论据质量等因素对于不同人格特质的投资者面对金融产品宣传信息时投资决策态度的影响。结论表明：具有促进性调节焦点的趋利型银行客户偏好具有弱论据质量的单面明示性结论信息，而具有防御型调节焦点的避害型投资者偏好具有强论据质量的双面暗示性结论信息。因此，对趋利型投资者，明示性信息更具有说服力，在宣传个人金融产品时应多强调正面信息，提供较少可分辨属性；对避害型投资者，暗示性信息更有效，应全面告知正面和负面信息，更多强调产品的可分辨属性。
［关键词］商业银行；金融产品；趋利型投资者；避害型投资者；产品宣传策略
［Abstract］Based on investors’ behaviors to choose individual financial products, this paper researches the influence of the explicit-implicit degrees, sidedness of message, argument quality and other factors on investors’ decision-making, who have different personality and receive the promotion message of financial products. The results of the paper show that, the hunting-bonus bank customers who have promotion-typed regulatory focus prefer explicit conclusion with weak argument quality and one-side message, and the averting-risk investors who have prevention-typed regulatory focus prefer implicit conclusion with strong argument quality and two-side message. To hunting-bonus investors, the explicit message is more persuasive, and banks need to show the good messages and little distinguished-attributes of personal financial products. To averting-risk investors, implicit message is more persuasive, and banks need to show full good and bad messages and emphasize the distinguished attributes of products.
［Key words］ commercial bank; financial product; hunting-bonus investor; averting-risk investor; product promotion strategy
中国农村金融对农户生产经营的支持——基于时间序列的经验证据
韦克游
［摘 要］ 本文基于1979~2011年的相关数据研究中国农村金融对农户生产经营的支持问题。结果表明，改革开放以来，在资金投入对农业产出具有显著性影响的情况下，却出现农村金融对农业生产资金投入和农户收入的影响不显著现象。这说明中国农村金融对农户信贷供给不足，金融支农不力，农户资金问题主要不在于对资金的有效使用环节，而在于资金的可得性环节。农户对信贷资金可得性较低的原因主要在于：一是农户生产性贷款在农村贷款结构中边缘化；二是农村金融机构贷款非农化，农户资金要素通过存贷正差外流；三是农村金融效率及金融产品创新不足。
［关键词］农村金融；农户生产投入；农户经营收入；信贷可得性；金融支持
［Abstract］Based on the relevant data during 1979-2011, this paper researches the supports of Chinese rural finance to farmer’s production. The result of the paper shows that, since China’s reform and opening up, the rural finance does not significantly influence fund investment in agricultural production and farmer’s income, though the fund investment significantly influences agricultural output. It indicates that Chinese rural finance has not provided sufficient loans for farmers and financial supports for agriculture are inadequate. The issue of farmer’s funds does not exist in the effective use of the fund, but exists in the availability of the fund. The first reason that farmers’ fund availability is low is because production loans are marginalized in rural loan structure. The second reason is because the loans of rural financial institutions are used in non-agricultural fields and farmers’ funds flow out of agriculture due to the positive difference between deposits and loans. The third reason is because the efficiency of rural finance is low and financial products lack innovation.
［Key words］ rural finance; farmer’s production investment; farmer’s operational income; loan availability; financial support
商业银行反洗钱信息系统现状及研究进展
毛宇星 张成洪 凌 鸿
［摘 要］ 本文系统回顾了中国商业银行反洗钱信息系统的发展历程，分析目前反洗钱信息系统建设现状，认为目前反洗钱信息系统在规则显性化、人工依赖度、处理时效性、实时干预和自学习能力等方面存在局限性；结合国内外在新一代智能反洗钱系统方面的最新研究成果，本文对决策树、神经网络、支持向量机和聚类等人工智能识别方法的实现原理、适用场景进行了分析和对比研究；针对中国商业银行未来智能化反洗钱系统建设，提出了构建反洗钱完整生态环境、推动产学研协同研究、开展数据综合治理等具体实施建议。
［关键词］商业银行；反洗钱；信息系统；智能化；数据挖掘
［Abstract］This paper systematically reviews the development of the anti-money-laundering information systems of Chinese commercial banks, and analyzes the current construction status of the systems. The paper argues that some weaknesses exit in the current systems, which are related to rule explicitness, relying on person, timely processing, timely intervention, self-learning ability, etc. Based on the latest research results of the new generation of intelligent anti-money-laundering system, the paper presents an analysis and comparison of the work principle and application conditions of decision tree, neural network, support vector machine, clustering and other artificial-intelligence identification methods. For the future construction of the intelligent anti-money-laundering systems of Chinese commercial banks, the paper proposes to build a complete ecological environment of anti-money-laundering, promote the collaborative research of enterprises, colleges and research institutions, strengthen the comprehensive management of data.
［Key words］ commercial bank; anti-money-laundering; information system; intelligent; data mining