企业部门债务率与经济增长波动的关系——中美两国比较研究
贺力平 于 航（ 3 ）
The Relationship between Debt Ratio of Enterprises and Fluctuation in Economic Growth——A Comparison between China and USA
HE Li-ping YU Hang（ 3 ）
经济基本面可以预测人民币汇率吗？
李 振 魏谙书 李洋洋（12）
Can Economic Fundamentals Predict the RMB Exchange Rate?
LI Zhen WEI An-shu LI Yang-yang（12）
人民币入篮后SDR债券市场风险收益特征
石建勋 王盼盼（27）
The Risk-Return Characteristics of SDR Donds after the Inclusion of RMB into SDR Basket
SHI Jian-xun WANG Pan-pan（27）
中国金融市场风险交互溢出效应分析——来自股灾期间的新证据
张 岩 胡 迪（41）
An Analysis of the Mutual Spillover-Effects of Chinese Financial Market Risks——New Evidences of Stock Market Crisis
ZHANG Yan HU Di（41）
P2P网贷债权市场中违约舆情的传染机制
王书斌 谭中明 陈艺云（56）
The Contagion Mechanism of Default Public Opinion in P2P Network Lending Creditor’s Rights Market
WANG Shu-bin TAN Zhong-ming CHEN Yi-yun（56）
居民幸福感与居民通货膨胀预期——基于中国家庭金融调查中心（CHFS）的数据
朱俊杰 马 良 王 军（70）
Residents’Happiness and Their Inflation Expectation——A Study Based on the Data of China Household Finance Survey (CHFS)
ZHU Jun-jie MA Liang WANG Jun（70）
企业部门债务率与经济增长波动的关系
——中美两国比较研究
贺力平 于 航
［摘 要］ 本文使用中美两国非金融企业去趋势后的债务率或负债率数据来检验其与国内生产总值（GDP）实际增长率之间的相关性。在所考察的时期内，美国数据未能通过统计显著性检验，中国2000~2014年数据则表明两者之间具有负相关性。中国非金融企业作为一个整体其负债率所显现的“逆周期性”与若干使用上市企业个体数据的研究结果有明显差别。这种差别不必是相互矛盾，而更可能反映了中国经济内部结构的一些问题。
［关键词］ 非金融企业；债务率；周期性；去杠杆
［Abstract］ The authors of this paper use the de-trending debt ratio data of non-financial enterprises in China and USA to test the correlation between debt ratio and real growth rate of gross domestic product (GDP). During the sample period, the USA’s data fail to pass the statistical significance test, nonetheless, China’s 2000-2014 data show that there is a negative correlation. The counter-cyclical feature of the debt ratio of China’s non-financial enterprises as a whole is obviously different from the studying results based on the data of some listed companies. This difference does not show any contradiction, but more likely reflects some problems in the internal structure of China’s economy.
［Key words］ non-financial enterprise; debt ratio; cyclicality; de-leveraging
经济基本面可以预测人民币汇率吗？
李 振 魏谙书 李洋洋
［摘 要］ 本文选用七个主流基本面模型，利用2005年8月至2016年12月间数据建立美元、日元、英镑、欧元兑人民币汇率的预测模型，检验经济基本面模型对人民币汇率的预测效果。预测结果表明：纳入实际汇率的基本面模型，人民币汇率的预测效果显著提高；在所有预测期限，基本面模型的可预测性均不弱于随机游走模型；基本面模型的短期预测能力较好，中长期预测能力较差；日元和美元兑人民币汇率的预测效果均好于欧元和英镑。
［关键词］ 经济基本面；汇率预测；人民币汇率；预测能力
［Abstract］ In this paper, seven mainstream fundamental models and the data during the August 2005-December 2016 are used to set up the models to predict the exchange rates of USD/JPY/GBP/EUR against RMB, and test the roles of economic fundamentals to predict RMB exchange rate. The prediction results show that the abilities to predict RMB exchange rate increase greatly if the fundamental models include the real exchange rate; in all prediction periods, the predictability of the fundamental models is not weaker than that of random walk models; the short-term prediction abilities of the fundamentals are good, but their medium and long-term prediction abilities are poor; the prediction results of the exchange rates of JPY/USD against RMB are better than those of EUR/GBP against RMB.
［Key words］ economic fundamental; exchange rate prediction; RMB exchange rate; prediction ability
人民币入篮后SDR债券市场风险收益特征
石建勋 王盼盼
［摘 要］ 本文在人民币入篮后中国与IMF积极推动扩大SDR使用的背景下，以2002~2016年月度数据为基础，利用模拟投资方法考察SDR债券市场的风险收益特征及其未来发展前景。结果表明：相比单币种计价债券，SDR债券具有显著和稳健的风险分散效应，能有效降低利率和汇率风险，并具有较高的风险调整收益。此外，SDR债券还具有提前配置的内在优势，人民币纳入SDR有助于进一步提升SDR债券吸引力；但SDR债券市场发展面临着货币权重相对固定、复杂性较高以及流动性不足等结构性障碍。
［关键词］ SDR计价债券；风险收益分析；国际货币体系改革；人民币国际化
［Abstract］ Based on the monthly data during 2002-2016, the authors of this paper use the simulated-investment method to research the risk-return characteristics of SDR bond market and its future development prospects in the context of inclusion of RMB into SDR basket and the IMF actively promoting the use of SDR. The results of the paper show that the SDR bonds have significant and robust risk-diversification effects, effectively reduce the interest rate and exchange rate risk and have higher risk-adjustment returns compared with single currency denominated bonds. In addition, the SDR bonds have the inherent advantages of the pre-packaging, and the inclusion of RMB into the SDR helps enhance the attractiveness of SDR bonds further; however, the development of the SDR bond market faces the structural obstacles such as the relatively fixed monetary weight, high complexity and lack of liquidity, etc.
［Key words］ SDR-denominated bond; risk-return analysis; reform of international monetary system; RMB internationa-lization
中国金融市场风险交互溢出效应分析
——来自股灾期间的新证据
张 岩 胡 迪
［摘 要］本文分析股市、债市和汇市的联动性及其风险传导，测度中国三个市场间波动信息溢出的方向、水平以及动态趋势。研究发现：三个金融资产市场之间存在风险交互溢出效应，股市、债市和汇市在金融危机和两次股灾期间的互相溢出效应明显增强，关联度明显增大；中国汇市受股市影响较大，汇市与股市形成大致的互补，在无政策干扰的情况下，具有较强的溢出匹配关系；债市呈现较强的市场分割现象，与汇市的风险传递稍强。
［关键词］ 金融市场；股市；债市；汇市；联动效应；溢出效应
［Abstract］ The authors of this paper analyze the linkage and risk transmission between stock market, bond market and foreign exchange market, and measure the direction, level and dynamic trend of fluctuation information spillover between the three markets in China. The study shows that there are mutual risk-spillover effects between the three financial asset markets; the mutual spillover effects between stock market, bond market and foreign exchange market increase significantly during the financial crisis and the two stock market crises, and the linkage level increases obviously; the Chinese foreign exchange markets are impacted by stock markets greatly, and there is a complementary relationship between foreign exchange markets and stock markets, and there is a strong spillover-matching-relationship in the absence of policy interference; the bond markets show a strong characteristic of market segmentation and a strong risk transmission to foreign exchange markets.
［Key words］ financial market; stock market; bond market; foreign exchange market; linkage effect; spillover effect
P2P网贷债权市场中违约舆情的传染机制
王书斌 谭中明 陈艺云
［摘 要］ 本文基于传染病模型，分析P2P债权转让模式和违约舆情传染机制，并进行模拟仿真。结果发现，当转让债权人传染再生数超过阀值时，P2P恐慌情绪传染将始终存在，并导致P2P平台陷入危机。当债权市场转让标受网络舆情影响急剧上升时，情绪传染时间将会缩短，债权市场中的转让标存量将会倍增，导致债权市场功能丧失，并陷入危机。
［关键词］ P2P网贷；债权转让；违约风险；传染病模型；传染机制
［Abstract］ Based on the infectious disease model, the authors of this paper analyze the pattern of credit assignment and the contagion mechanism of default public opinion, and present a simulation. The results of the paper show that the P2P panic contagion will always exist and P2P platform will be in crisis if the contagion regeneration number of the assignor of creditor’s rights is more than the threshold. The emotional contagion time will be shortened when the assignment of the creditor’s rights market rises markedly due to the influence of the network public opinion, and the assignment stock of the market will be doubled, which results in the loss of creditor market function and the crisis.
［Key words］ P2P loan; credit assignment; default risk; infectious disease model; contagion mechanism
居民幸福感与居民通货膨胀预期
——基于中国家庭金融调查中心（CHFS）的数据
朱俊杰 马 良 王 军
［摘 要］ 基于2013年中国家庭金融调查项目的数据研究发现，主观幸福感可以显著影响居民的通货膨胀预期且对通货膨胀预期的影响呈倒U形，只有在高幸福感群体中通货膨胀预期才会随着幸福感增强而降低；幸福感通过社会互动和政府信任两种途径分别对居民通货膨胀预期产生提升效应和抑制效应：一方面，幸福感通过增强居民社会互动获取更多经济信息对通货膨胀预期产生提升效应；另一方面，幸福感增强了居民对政府的信任水平进而对通货膨胀预期产生了抑制效应。
［关键词］ 居民幸福感；社会互动；政府信任；通货膨胀预期
［Abstract］ Based on the data of the China Household Finance Survey (CHFS) in 2013, the study shows that the subjective happiness can significantly affect residents’ inflation expectation, and the influence on inflation expectations is an inverted-U shape; the inflation expectation decreases with the increase in happiness only in high-happiness group; the happiness has a boost effect and a suppression effect on residents’ inflation expectation in two ways of social interaction and government trust: on the one hand, the happiness enhances social interaction so the residents can obtain more economic information which has a boost effect on inflation expectations; on the other hand, the happiness enhances residents’ trust in the government which has a suppression effect on inflation expectation.
［Key words］ residents’ happiness; social interaction; government trust; inflation expectation