分析师对业绩披露信息含量及其市场定价效率的影响
巴曙松 王 超（ 3 ）
Analyst’s Influence on Information Disclosure Contents and Market Pricing Efficiency
BA Shu-song WANG Chao（ 3 ）
石油美元环流的新特点及其对石油人民币发展的启示
边卫红 郝 毅 蔡思颖（18）
The New Characteristics of Oil Dollar Circulation and Its Implications for the Development of Oil RMB
BIAN Wei-hong HAO Yi CAI Si-ying（18）
人民币在岸离岸市场极端风险溢出研究
李 政 贾妍妍 李晓艳（28）
The Extreme Risk Spillover of RMB Onshore and Offshore Markets
LI Zheng JIA Yan-yan LI Xiao-yan（28）
货币政策对银行风险承担的影响——基于中国51家商业银行的实证分析
黄之豪 孔刘柳（41）
The Impacts of Monetary Policy on the Risk Taking of Banks——An Empirical Analysis Based on Chinese 51 Commercial Banks
HUANG Zhi-hao KONG Liu-liu（41）
地方金融结构、制度环境与技术创新
郑录军 王 馨（54）
Local Financial Structure, Institutional Environment and Technological Innovation
ZHENG Lu-jun WANG Xin（54）
全球系统重要性银行的演变及其启示
熊启跃 易晓溦（68）
The Evolution of Global Systemically Important Banks and Its Implications
XIONG Qi-yue YI Xiao-wei（68）
分析师对业绩披露信息含量及其市场定价效率的影响
巴曙松 王 超
［摘 要］ 本文检验分析师在业绩预告、业绩快报和盈利公告构成的上市公司盈利信息披露链条中的信息中介作用，研究发现，分析师调整盈利预测行为的比例这一指标具有显著的预期效应和披露效应，并且能够显著降低一致预期与实际业绩的偏离度和分析师群体盈利预测的分歧度，证实分析师调整盈利预测的行为是公告披露的盈利相关信息向市场传递的媒介，具有显著的信息含量，业绩预告之后的20个交易日内累积超常收益与业绩快报或盈利公告后的累积超常收益具有显著的反转效应。
［关键词］ 会计盈余；信息披露；分析师预测；市场定价效率；有效市场
［Abstract］ This paper presents a test on the analyst’s information mediation role in the earnings information disclosure chain composed of earnings forecast, earnings report and profit announcement. The results of the paper show that the index, behavior proportion of analyst’s adjustment to profit forecasting, has significant expected effect and disclosure effect, and can significantly reduce the deviation between consensus expectation and actual earnings and the profit forecast disparity of analyst group, which confirms that the analyst’s adjustment to profit forecast is a medium for the profit-related information disclosed to markets, and it has significant information contents; the accumulated abnormal income in the 20 trading days after the earnings forecast and the accumulated abnormal income after the earnings bulletin or earnings announcement have a significant reversal effect.
［Key words］ accounting earnings; information disclosure; analyst forecast; market pricing efficiency; effective market
石油美元环流的新特点及其对石油人民币发展的启示
边卫红 郝 毅 蔡思颖
［摘 要］ 本文分析石油美元的发展历程、美国原油供给攀升的背景下石油美元环流的新特点以及石油人民币的未来发展路径。研究发现：产油国出于地缘政治的不确定性和对石油出口依赖的减少等原因，将更多的石油收入留在国内，石油美元逐渐青睐亚洲地区以及石油美元投资渠道呈现出多元化态势，给石油美元体系带来了极大的不确定性和挑战。发展石油人民币，需要从建立符合亚洲需求的原油定价体系，发挥INE中人民币—黄金兑换机制，抓住“一带一路”契机加强中国在石油贸易中的话语权等方面进行努力。
［关键词］ 石油美元；石油美元环流；石油供需结构；原油定价体系；石油人民币
［Abstract］ This paper presents an analysis of the new characteristics of oil dollar circulation in the background of the increase in US crude oil supply and a discussant about the future development path of oil RMB. The study of the paper shows that oil-producing countries leave more oil revenues in their own countries due to the geopolitical uncertainty and the reduced dependence on oil exports; the oil dollars gradually favor Asia and the oil dollar investment channels have shown diversification, which brings great uncertainty and challenges to the oil dollar system. To develop oil RMB, it’s needed to establish a crude oil pricing system that meets Asian demand and a RMB-gold exchange mechanism in INE, seize the opportunity of the“Belt and Road”, and strengthen China’s discourse power in the oil trade.
［Key words］ oil dollar; oil dollar circulation; oil supply and demand structure; oil pricing system; oil RMB
人民币在岸离岸市场极端风险溢出研究
李 政 贾妍妍 李晓艳
［摘 要］ 本文对在岸离岸人民币外汇市场间的极端风险溢出水平进行测度，结果表明：同地区跨品种、同品种跨地区和跨地区跨品种三种情形下各市场间均存在极端风险双向溢出效应，且在岸对离岸的极端风险溢出高于反方向溢出，即期对远期的极端风险溢出大于后者对前者的溢出。此外，各市场间的极端风险溢出效应具有较强的时变性，随汇率政策的调整而不断增强，尤其在“811汇改”后，极端风险溢出水平显著提高。
［关键词］ 极端风险溢出；滚动BEKK-MGARCH-CoVaR；在岸离岸市场；“811汇改”
［Abstract］ The authors of this paper measure the extreme risk spillover level between the onshore and offshore RMB foreign exchange markets. The results of the paper show that there are bidirectional extreme risk spillover effects between the markets of the same region & cross-species, the same species & cross-region and the cross-region & cross-species, and the extreme risk in onshore market spilling over to the offshore market is greater than that of the reverse direction; the extreme risk in the spot market spilling over to the forward market is greater than that of the reverse direction. In addition, the extreme risk spillover effects between markets show a strong characteristic of time-varying and increase with the adjustment of exchange rate policy, especially the level of extreme risk spillovers has increased significantly after the “811 exchange reform”.
［Key words］ extreme risk spillover; rolling BEKK-MGARCH-CoVaR; onshore and offshore markets; “811 exchange reform”
货币政策对银行风险承担的影响
——基于中国51家商业银行的实证分析
黄之豪 孔刘柳
［摘 要］ 本文利用中国51家商业银行 2011-2016 年的面板数据，实证检验中国货币政策对于银行风险承担的影响，研究结果表明：（1）货币政策对银行风险承担具有显著影响，并且扩张性的货币政策会加大银行的风险承担；（2）货币政策对银行风险承担的影响取决于银行核心资本。因此，在宏观审慎监管的框架下，中央银行制定货币政策时应该考虑以银行为核心金融体系的风险承担状况。
［关键词］ 货币政策；银行风险承担；宏观审慎监管；动态面板
［Abstract］ The authors of this paper use the panel data of Chinese 51 commercial banks during 2011-2016 to empirically test the impacts of China’s monetary policy on the risk taking of banks. The results of the paper show that, (1) monetary policy has a significant impact on the risk taking of banks, and the expansionary monetary policy increases the risk taking; (2) the impacts of monetary policy on the risk-taking depend on the core capitals of banks. Therefore, in the framework of macro-prudential supervision, the central bank should consider the risk-taking status of banks as core financial system when formulating monetary policy.
［Key words］ monetary policy; risk taking of bank; macro-prudential supervision; dynamic panel
地方金融结构、制度环境与技术创新
郑录军 王 馨
［摘 要］ 本文分析金融结构、制度环境对区域创新的影响。研究发现，随着地方金融结构层级的不断丰富，区域创新水平有所提升；不同的地方金融结构对技术创新的作用存在显著差异，表现在以证券发行和P2P为代表的金融创新能够从质量和数量两方面显著推动技术创新。加快非国有经济发展是增进新金融与技术创新关系最有效的制度环境改善措施。
［关键词］ 地方金融结构；技术创新；制度环境
［Abstract］ The authors of this paper analyze the impacts of financial structure and institutional environment on regional innovation. The results of the paper show that, with the gradual increase in local financial structure, the level of regional innovation improves; the role of different local financial structure in technological innovation varies significantly, the evidence of which is that the financial innovation represented by securities issuance and P2P can be significantly promote the quality and quantity of technological innovation. To accelerate the development of non-state-owned economy is the most effective institutional and environmental improvement measure to enhance the relationship between new financial and technological innovation.
［Key words］ local financial structure; technological innovation; institutional environment
全球系统重要性银行的演变及其启示
熊启跃 易晓溦
［摘 要］ 基于巴塞尔委员会公布的明细数据，本文分析G-SIBs名单的变化特点及中资银行的分布特征。结果显示，G-SIBs系统重要性呈下降趋势；跨境行为切换成为系统重要性得分中贡献最大的因素；中资G-SIBs数量大幅增加，欧洲G-SIBs显著下降；复杂性和金融机构基础设施是近来决定G-SIBs级别变动的主要因素。相比于一般银行，G-SIBs要满足额外资本缓冲要求、恢复与处置计划、有效风险数据加总、大额风险暴露等更高的监管标准。
［关键词］ 全球系统重要性银行；评分考核体系；额外资本缓冲；指标权重；监管配套措施
［Abstract］ Based on the detailed data released by the Basel Committee, this paper presents an analysis of the change in G-SIBs list and the distribution characteristics of Chinese banks. The results of the paper show that the importance of G-SIBs system is declining; the cross-border behavior switching has become the most contributor to systemic importance scores; the quantity of Chinese-funded G-SIBs has increased significantly, and the quantity of European G-SIBs have declined significantly; the complexity and the base facilities of financial institutions are major factors in determining the change in the level of G-SIBs in recent times. Compared to general banks, the G-SIBs are required to meet the higher regulatory rules such as additional capital buffer requirements, recovery and disposal plans, summation of effective risk data, and large risk exposures, etc.
［Key words］ global systemically important bank; scoring assessment system; additional capital buffer; indicator weight; regulatory support measure