供给侧结构性改革对银行资产质量的影响测算与政策建议
中央汇金公司银行一部课题组 (3)
The Estimation of the Impacts of Supply-Side Structural Reform on the Quality of Bank Asset and the Policy Suggestions
The Study Group of the First Bank-Department, Central Huijin Investment Ltd (3)
中国对外直接投资、金融联系度及其对经济增长的影响——基于金砖国家视角
刘 刚 屈 恒 吴思虹 (12)
China’s Foreign Direct Investment, Financial Connection Level and Its Impacts on Economic Growth——From the Perspective of the BRIC Countries
LIU Gang QU Heng WU Si-hong (12)
人民币汇率波动原因的集成分析与实际有效汇率预测
王 轩 杨海珍 (24)
Integrated Analysis of the Cause of RMB Exchange Rate Fluctuation and the Prediction of Real Effective Exchange Rate
WANG Xuan YANG Hai-zhen (24)
共同资产持有的网络风险传染与政府救助
吴宜勇 胡日东 袁正中 (35)
The Network Risk Contagion of Common Assets and the Government Assistance
WU Yi-yong HU Ri-dong YUAN Zheng-zhong (35)
金融市场化、小额贷款与中国家庭信贷可得性——基于CHFS微观数据的实证研究
赵宸宇 李雪松 (46)
Financial Marketization, Micro-Credit and Credit Availability of Chinese Households——An Empirical Study Based on CHFS Microscopic Data
ZHAO Chen-yu LI Xue-song (46)
股指波动率、市场流动性与全球股市崩盘传染
徐 飞 唐建新（58)
Fluctuation Rate of Stock Index, Market Liquidity and Contagion of Global Stock Market Collapse
XU Fei TANG Jian-xin (58)
养老保险缴费率、就业人口增长率与最优退休年龄——基于社会福利最优视角
高 彦 杨再贵 王 斌（70)
Pension Contribution Rate, Employment Growth Rate and Optimal Retirement Age——From the Perspective of Optimal Social Welfare
GAO Yan YANG Zai-gui WANG Bin (70)
供给侧结构性改革对银行资产质量的影响测算与政策建议
中央汇金公司银行一部课题组
［摘 要］ 当前中国银行业经营中存在产能过剩风险暴露、资产结构不合理、金融产品与实体经济需求不匹配等结构性问题，供给侧结构性改革不可避免地对银行资产质量产生影响。通过数据测算发现：供给侧结构性改革对银行资产质量的短期冲击仍在可控范围，不会触发系统性金融风险，但是某些省份、行业的银行资产质量面临较大压力。银行应当把握改革机遇，优化资产结构，协助政府维护良好的金融环境，通过市场化、法制化、精细化的管理手段提升资产质量。
［关键词］供给侧结构性改革；银行资产质量；实体经济；产能过剩
［Abstract］ At present, there are structural problems such as excessive-capacity risk exposure, unreasonable asset structure, mismatch between financial products and demand of real economy, and the supply-side structural reform will inevitably affect the quality of bank assets. The data calculation shows that the short-term impact of the supply-side structural reform on the quality of bank assets is within the controllable level, and will not result in systemic financial risks, but the quality of bank assets in some provinces and industries is under great pressure. The banks should seize the reform opportunities, optimize the asset structure, assist the government to build a good financial environment, and improve the quality of assets through the market-oriented, law-based and meticulous management.
［Key words］ supply-side structural reform; quality of bank asset; real economy; excessive capacity
中国对外直接投资、金融联系度及其对经济增长的影响——基于金砖国家视角
刘 刚 屈 恒 吴思虹
［摘 要］ 本文基于金砖国家视角，研究中国对外直接投资、金融联系度及其对经济增长的影响。结果表明：中国对外直接投资与金砖国家经济周期存在协同性；中国与印度金融联系度最显著，与俄罗斯次之，与南非及巴西金融联系度较弱；中国OFDI对中国与其他金砖国家的GDP增长相关系数的影响存在金融联系度的单一门槛，中印金融联系度远超该门槛值，中俄已达该门槛值，中非、中巴远落后于该门槛值。
［关键词］ 对外直接投资；金砖国家；金融联系度；金融竞争力；经济周期协同性
［Abstract］ From the perspective of BRIC countries, the authors of this paper analyze the China’s foreign direct investment (OFDI), the level of financial connection and its impacts on economic growth. The results of the paper show that there is a synergy between China’s OFDI and BRIC countries’ economic cycle; the level of financial connection between China and India is the most significant, followed by that between China and Russia, and it’s weak between China and South Africa or Brazil; there is a single level threshold of financial connection in the impacts of China’s OFDI on the coefficient of correlation between China’s and other BRIC countries’ GDP growth, and the level of financial connection between China and India is far beyond the threshold, and that between China and Russia has reached the threshold, but that between China and Africa or Brazil is far below the threshold.
［Key words］ OFDI; BRIC country; financial connection level; financial competitiveness; economic cycle synergy
人民币汇率波动原因的集成分析与实际有效汇率预测
王 轩 杨海珍
［摘 要］ 本文从预测角度出发，结合TEI@I方法论的指导思想，综合运用文本挖掘、计量模型、集成分析等技术对人民币汇率数据进行“先分解再分析后集成”的综合分析，从而建立一套人民币汇率综合集成预测模型。研究发现，本文所构建基于支持向量回归的TEI@I集成预测模型对于人民币汇率这类线性特征、非线性特征共存的复杂系统表现出优异的拟合能力，与传统时间序列预测模型相比，体现出较高的预测精度。
［关键词］ 人民币汇率；汇率预测；互联网搜索指数；集成分析；TEI@I方法论
［Abstract］ From the perspective of prediction, the authors of this paper use the TEI@I method and such tools as text mining, econometric model and integrated analysis, etc. for a comprehensive“decomposition, analysis and integration”analysis of the data of RMB exchange rate, so as to build a set of comprehensive integrated predicting models of RMB exchange rate. It is found that the TEI@I integrated predicting models based on support vector regression show an excellent fitting function when they are used in such a complex system as RMB exchange rate which has linear and non-linear characteristics, and a high prediction accuracy if they are compared with the traditional time series prediction models.
［Key words］RMB exchange rate; exchange rate prediction; Internet search index; integrated analysis; TEI@I method
共同资产持有的网络风险传染与政府救助
吴宜勇 胡日东 袁正中
［摘 要］ 本文基于共同资产的价格波动研究银行违约的直接效应和间接效应，研究发现：变现费用和资本缓冲率会影响银行的实际支付水平，其中变现费用的增加导致违约损失非线性增长，而资本缓冲率的提高能有效延缓违约损失传染；共同资产销售的间接效应远大于资产关联的直接效应；资产注入和非流动资产直接购买的救助方法对于防范系统性风险发生都是有效的，但前者侧重于缓解资产关联的直接效应，后者侧重于防范资产销售的间接效应。
［关键词］ 共同资产；同业业务；资产价格波动；网络风险传染；政府救助
［Abstract］ Based on the fluctuation in the price of common assets, this paper presents an analysis of the direct effect and indirect effect of bank default. It is found that the realization cost and the capital buffer rate affect the actual payment of banks, and the increase in realization cost will lead to the non-linear growth of default loss, but the rise in capital buffer rate will effectively delay the contagion of default loss; the indirect effect of common asset sale is far greater than the direct effect of asset relation; the adding assets and the bailout pattern of buying non-current assets are effective in preventing systemic risk, but the former focuses on alleviating the direct effect of asset relation, and the latter focuses on the indirect effect of asset sale.
［Key words］ common asset; inter-bank business; fluctuation in asset price; network risk contagion; government bailout
金融市场化、小额贷款与中国家庭信贷可得性——基于CHFS微观数据的实证研究
赵宸宇 李雪松
［摘 要］ 本文基于中国家庭金融调查（CHFS）数据，研究金融市场化、小额贷款公司发展对中国家庭信贷可得性的影响。结果表明，小额贷款公司的发展可以显著提高家庭的信贷可得性，并且对农村和东部地区家庭信贷可得性的正向影响更加显著。家庭收入水平越高、拥有的金融资产和房屋套数越多，家庭信贷可得性水平越高。引入货币政策变量后发现，小额贷款在货币政策的宽松和紧缩时期对家庭融资的影响存在非对称性，在货币政策紧缩时期小额贷款公司为农村地区家庭信贷融资提供的支持作用更大。
［关键词］ 金融市场化；小额贷款；家庭信贷；小额贷款公司；普惠金融
［Abstract］Based on the data of China Household Financial Survey (CHFS), this paper researches the impacts of financial marketization and micro-credit companies on the credit availability of Chinese households. The results of the paper show that the development of micro-credit companies can significantly improve the credit availability of households, and has a more positive impact on the availability in rural and eastern regions. The more the income, financial assets and houses of the household, the higher the level of the credit availability is. By introducing monetary policy variables in the research, it’s found that the impact of micro-credit on the household financing in the loose-monetary-policy period is different from that in the tightening-monetary-policy period, and the micro-credit companies help the credit financing of households in rural regions more in the tightening-period.
［Key words］ financial marketization; micro-credit; household credit; micro-credit company; inclusive finance
股指波动率、市场流动性与全球股市崩盘传染
徐 飞 唐建新
［摘 要］ 本文以全球28个国家或地区股指为样本，通过构建全球股市关联网络，实证检验国际股市崩盘传染性与传染机制。研究结果显示：股指波动率、市场流动性黑洞频率与股市崩盘概率显著正相关；样本国家或地区股市崩盘事件会通过股价联动、国际贸易渠道传染至其他关联国家或地区；外部股市崩盘事件会增加本地区股指波动率和流动性黑洞频率，进而导致股市崩盘发生传染。
［关键词］ 股指波动率；资本市场关联；进出口贸易；股市崩盘；流动性黑洞
［Abstract］ In this paper, 28 countries or regions in the world are used as samples to build a link network of global stock markets and present an empirical test of international stock market collapse and the collapse mechanism. The results of the paper show that the fluctuation rate of stock index and the frequency of market liquidity black-hole are correlated with the probability of stock market collapse significantly and positively; the collapse events of the sample countries or regions transmit to other linked countries or regions by the channels of stock price linkage, international trade; collapse events of the external stock markets increase the fluctuation rate of stock index and the frequency of market liquidity black-hole of the local regions, and then result in the contagion of stock market collapse.
［Key words］ fluctuation rate of stock index; capital market linkage; import-export trade; stock market collapse; liquidity black-hole
养老保险缴费率、就业人口增长率与最优退休年龄——基于社会福利最优视角
高 彦 杨再贵 王 斌
［摘 要］ 本文在一般均衡模型框架内，运用OLG模型全面评估降低缴费率和延迟退休带来的经济影响，并从社会福利最大化的角度估计中国不同养老保险缴费率和不同就业人口增长率下的最优退休年龄。结果显示：降低企业缴费率比降低个人缴费率更具有优势；延迟退休政策需要结合降低缴费率的政策共同实施；就业人口增长率上升会提高最优退休年龄。因此，在制定退休年龄时要综合考虑不同缴费率水平和就业人口增长率。
［关键词］ 延迟退休；养老保险；缴费率；最优退休年龄；就业人口增长率；社会福利
［Abstract］ In the framework of the general equilibrium model, the authors of this paper use the OLG model to evaluate the impacts of the decrease in contribution rate and the extending retirement age on economy, and measure the optimal retirement age in China considering different pension contribution rate and employment growth rate from the perspective of optimal social welfare. The results of the paper show that reducing firm’s contribution rate is more advantageous than reducing individual contribution rate; the policy of extending retirement age should be implemented in combination with the policy of reducing contribution rate; the increase in employment growth rate will increase the retirement age. Therefore, the retirement age needs to take account of the contribution rate and the employment growth rate.
［Key words］ extending retirement age; endowment insurance; contribution rate; optimal retirement age; employment growth rate; social welfare