商业银行压力测试宏观情景构建及应用——基于FAVAR模型
潘岳汉 易晓溦（ 3 ）
The Construction and Application of Macro Scenario of Commercial Bank Stress Testing——Based on FAVAR Model
PAN Yue-han YI Xiao-wei（ 3 ）
中国宏微观杠杆率背离之谜研究——基于资产收益率的视角
胡 迪 莫 璇（15）
A Research on the Mystery of China’s Macro and Micro Leverage Deviation——From the Perspective of Return on Asset
HU Di MO Xuan（15）
空气质量是否影响信用卡消费？
邓 然（27）
Does Air Quality Impact Credit Card Consumption?
DENG Ran（27）
实际汇率失调、部门资源错配与内需结构失衡
苏明政 张满林（38）
Real Exchange Misalignment, Department Resource Mismatch and Imbalance in Domestic Demand Structure
SU Ming-zheng ZHANG Man-lin（38）
富豪榜会降低公司融资约束吗？——基于媒体关注的视角
翟淑萍 白素文 白冠男（50）
Does the Rich List Ease Corporate Financial Constrains?——From the Perspective of Media Attention
ZHAI Shu-ping BAI Su-wen BAI Guan-nan（50）
劳动成本粘性与股票收益——基于A股上市公司的经验证据
田存志 容宇恩 刘 可（68）
Labor Cost Stickiness and Return on Stock——Empirical Evidences from the China’s A-Share Listed Companies
TIAN Cun-zhi RONG Yu-en LIU Ke（68）
商业银行压力测试宏观情景构建及应用
——基于FAVAR模型
潘岳汉 易晓溦
［摘 要］ 本文遵循国际最新监管要求并结合商业银行主要风险来源和自身经营模式，利用FAVAR模型构建包含68个风险因子的未来九个季度宏观情景。模型预测结果显示，当关键风险因子不出现结构性变动时，模型表现出极强的预测能力；当关键风险因子出现结构性变动时，模型预测能力会出现减弱迹象。此外，模型生成的宏观情景除可通过进一步传导广泛运用于风险损失、拨备前净利润预测外，还有助于提升银行对经济资本及监管资本的主动管理能力，有效推进银行全面风险管理体系的构建。
［关键词］ 商业银行；压力测试；宏观情景；全面风险管理体系；FAVAR模型
［Abstract］ The authors of this paper follow the latest international regulatory requirements, consider the main risk sources and business models of commercial banks, and use the FAVAR model to construct macro-scenarios with 68 risk factors in the following nine quarters. The results of the model prediction show that, if the key risk factors do not structurally change, the model has a strong predictive ability; if the key risk factors structurally change, the predictive ability of the model will be weakened. In addition, the macro-scenario generated by the model not only can be widely used to predict the risk loss and the pre-provision net profits, but also helps improve the bank’s ability in active management of economic capitals and regulatory capitals, and effectively promote the construction of the comprehensive risk management system of banks.
［Key words］ commercial bank; stress testing; macro-scenario; comprehensive risk management system; FAVAR model
中国宏微观杠杆率背离之谜研究
——基于资产收益率的视角
胡 迪 莫 璇
［摘 要］ 本文从宏观和微观杠杆率的定义出发，基于资产收益率的视角，解释宏微观杠杆率背离问题。研究发现：（1）非金融企业整体宏微观杠杆率背离问题严重，主要原因是行业资产收益率普遍偏低，工业企业、各行业的国有企业贡献最大；（2）非金融企业整体宏微观杠杆率背离程度持续扩大，主要原因是资产收益率持续降低，工业企业、各行业国有企业在背离问题中一直占主导地位，但私营和外资企业的贡献程度正逐年上升；（3）建筑业中，私营企业背离程度加剧且贡献最高。
［关键词］ 宏微观杠杆率；资产负债率；资产收益率；非金融企业
［Abstract］ Based on the definitions of macro and micro leverages, the authors of this paper use return on asset to explain the mystery of the deviation between macro and micro leverages. The results of the paper show that, (1) the deviation between macro and micro leverages of non-financial enterprises is great, the main reason is because the return on asset is low, in which the industrial enterprises and the state-owned enterprises contribute the most, (2) the deviation degree of non- financial enterprises continuously increases, the main reason is because the return on asset continuously decreases, in which the industrial enterprises and the state-owned enterprises in various industries play a dominated role in the deviation, while the contribution of private and foreign enterprises is increasing year by year, (3) the deviation of private construction enterprises is increasing and contributes the most.
［Key words］ macro and micro leverage; asset-liability ratio; return on asset; non-financial enterprise
空气质量是否影响信用卡消费？
邓 然
［摘 要］ 本文基于北京某银行客户交易数据及北京空气质量数据，实证研究空气质量对信用卡消费的影响。研究发现，空气质量对信用卡消费有负向影响；在空气质量作用下，周末、三天假期有利于促进信用卡消费，但七天长假对信用卡消费不产生显著影响；餐饮、美容美发等时间选择自由程度较高的消费与空气质量显著负相关，而医药消费等时间选择自由程度较低的消费不受空气质量影响。
［关键词］ 空气质量；信用卡消费；消费行为；消费升级；假日消费
［Abstract］ Based on the transaction data of a bank in Beijing and the data of Beijing air quality, the author of this paper empirically studies the impact of air quality on credit card consumption. The results of the paper show that the air quality has a negative impact on credit card consumption; due to the impact of air quality, the weekends and the three-day holidays are conducive to promoting credit card consumption, but the seven-day holidays do not have a significant impact on credit card consumption; the consumption with high degree of freedom in time choice such as catering, hairdressing and beauty treatment, etc. is significantly and negatively correlated with air quality, but the consumption with low degree of freedom in time choice such as medical consumption,etc. is not affected by air quality.
［Key words］ air quality; credit card consumption; consumer behavior; consumption upgrade; holiday consumption
实际汇率失调、部门资源错配与内需结构失衡
苏明政 张满林
［摘 要］ 本文基于资源错配视角分析实际汇率失调对内需结构失衡的影响。结果表明，实际汇率失调导致内需结构失衡的加剧，实际汇率失调与内需结构失衡之间具有非线性关系，即部门资源错配程度越大，实际汇率失调对内需结构失衡的影响就越明显；非线性关系的区域异质特征明显，西部最明显，中部次之，最后是东部。
［关键词］ 实际汇率失调；部门资源错配；内需结构失衡
［Abstract］ This paper presents an analysis of the impact of real exchange rate misalignment on the imbalance in domestic demand structure. The results of the paper show that the real exchange rate misalignment leads to the aggravation of the imbalance in domestic demand structure; there is a nonlinear relationship between the misalignment and the imbalance, and the greater the departmental resource mismatch, the more significant the impact of the misalignment on the imbalance is; the nonlinear relationship shows a significant characteristic of regional heterogeneity, and it’s most significant in the western regions, then the middle regions, and finally the eastern regions.
［Key words］ real exchange rate misalignment; departmental resource mismatch; imbalance in domestic demand structure
富豪榜会降低公司融资约束吗？
——基于媒体关注的视角
翟淑萍 白素文 白冠男
［摘 要］ 本文以2008-2015年沪、深两市A股上市公司为样本，研究富豪榜对融资约束的影响。研究发现，实际控制人登上富豪榜显著加剧上市公司融资约束，具体表现为富豪公司股权与债务融资成本的提高；在公平和平等主义文化背景下，上榜富豪的财富被认为是不公平的或者是不适当的，公众的负面关注和不满引起公司政治成本提高、财政补贴减少，进而加剧公司信息不对称程度和代理成本。
［关键词］ 富豪榜；媒体关注；融资约束；融资成本；PSM-DID
［Abstract］ In this paper, the Shanghai and Shenzhen A-share listed companies during 2008-2015 are used as samples for the research on the impacts of rich list on financial constraints. The analysis of the paper shows that the actual controllers of the companies entering the rich list significantly increases the financial constrains of the listed companies, which is specifically reflected in the increase in financing costs of the equity and debts of the companies. In the context of fair and egalitarian culture, the wealth of the rich is considered unfair or inappropriate, so the public’s negative concerns and dissatisfaction result in the increase in political costs and the decrease in financial subsidies of the companies, and then the increase in the information asymmetry and agency costs of the companies.
［Key words］ rich list; media attention; financial constraint; financing costs; PSM-DID
劳动成本粘性与股票收益
——基于A股上市公司的经验证据
田存志 容宇恩 刘 可
［摘 要］ 本文研究劳动成本粘性和企业股票收益率的关系。数据显示中国上市公司的劳动成本粘性近年呈现上升趋势。本文的回归分析表明企业劳动成本粘性与股票收益率存在显著的正向关系，同时高劳动成本粘性的企业具有更高的股票收益风险。研究还发现，劳动成本粘性与工资粘性相比是预测股票收益率更直接和有效的指标。
［关键词］ 上市公司；劳动成本粘性；股票收益率；股票收益风险
［Abstract］ This paper presents an analysis of the relationship between labor cost stickiness and return on stock of firms. The data indicate an upward trend in the labor cost stickiness of China’s listed companies in recent years. The regression analysis of the paper shows that there is a significant positive relationship between labor cost stickiness and return on stock of firms, and the enterprises with high labor cost stickiness have higher risks of return on stock. The study shows that the labor cost stickiness is a more direct and effective indicator to predict return on stock than the wage rigidity.
［Key words］ listed company; labor cost stickiness; return on stock; risk of return on stock