审慎实施TLAC监管 推进金融稳健发展
张红力（ 3 ）
Implement the TLAC Regulations Prudently and Promote the Steady Development of Finance
ZHANG Hong-li（ 3 ）
银行业发展提升区域创新绩效了吗？
李华民 廉胜南 吴 非（11）
Has the Development of Banking Industry Improved Regional Innovation Performance?
LI Hua-min LIAN Sheng-nan WU Fei（11）
中小银行、银团贷款与小企业贷款
马 理 高 冰 葛 斌（24）
Small and Medium-Sized Banks, Syndicated Loans and Lending to Small Enterprises
MA Li GAO Bing GE Bin（24）
货币与信贷：谁更精确地预测了产出？—— 基于机器学习算法的比较研究
战明华 刘志媛 许月丽 田 远（38）
Currency and Credits: Which One Forecasts Output More Accurately?——A Comparative Study Based on Machine Learning Algorithm
ZHAN Ming-hua LIU Zhi-yuan XU Yue-li TIAN Yuan（38）
开放经济条件下中国的最优货币政策规则—— 基于DSGE模型的模拟分析
刘尧成（53）
China’s Optimum Monetary Policy Rules in Open Economy Conditions——Simulation Analysis Based on DSGE Model
LIU Yao-cheng（53）
境内外人民币国债市场联动关系研究
时旭辉 王楚云（68）
An Empirical Study of Dynamic Correlation between Offshore and Onshore RMB Government Bond Markets
SHI Xu-hui WANG Chu-yun（68）
审慎实施TLAC监管 推进金融稳健发展
张红力
［摘 要］ 金融稳定理事会（FSB）于2015年11月公布了总损失吸收能力（TLAC）监管规则，大幅提高了全球系统重要性银行（G-SIBs）的广义资本充足要求。从监管有效性、全球系统重要性评价标准、公司股权结构、企业激励机制、资金来源稳定性、债券市场发展阶段、市场融资结构等方面综合考虑，中国应稳妥审慎推进TLAC监管实施。如完全套用欧美国家模式实施TLAC监管，将可能大幅推高银行合规成本、对债券市场形成压力、加剧实体经济融资难融资贵等。因此，中国应持续加强国际监管沟通，争取长期豁免实施或进一步推迟实施TLAC监管；实施模式上，建议统筹考虑风险防范和金融发展需要，通过一系列制度性安排稳妥、审慎、有序地实施TLAC监管。
［关键词］ 金融监管；TLAC；金融稳定；发展权益
［Abstract］ The Financial Stability Board (FSB) announced the regulations of the Total Loss Absorption Capacity (TLAC) in November 2015, which greatly increased the generalized capital adequacy requirements of global system-important banks (G-SIBs). From the perspectives of regulatory effectiveness, evaluation criteria of global system importance, company equity structure, corporate incentive mechanism, stability of funding sources, development stage of bond market, market financing structure, etc., China should appropriately promote the implementation of the TLAC regulations. China’s application of European and American countries’ models to implement the TLAC regulations may greatly increase the regulation compliance costs of banks, result in impact on bond markets, and intensifying the financing difficulties and financing costs of real economy. China should continue to strengthen the communication with international regulatory institutions, and strive for a long-term exemption from the implementation or further postponing the implementation of TLAC regulations. As to the implementation model, it is recommended to consider risk prevention and financial development needs as a whole to implement the TLAC regulations appropriately, prudently and orderly by institutional arrangements.
［Key words］ financial regulation; TLAC; financial stability; development rights
银行业发展提升区域创新绩效了吗？
李华民 廉胜南 吴 非
［摘 要］ 本文借助1999～2015年银行业存贷款数据和宏观经济数据集，检验银行业发展的区域创新效应。研究表明，银行业部门是影响区域创新能力的重要因素。但是，单一市场条件下，银行业部门更倾向于支持“低含金量”的专利开发项目，其区域创新能力提升效果不够明显；但嵌入政府政策引导和财政支持条件后，银行业发展的区域创新绩效提升效果明显，展示出较强的“结构性创新”效果。政府重视政策导引，加大财政支持力度，是区域创新驱动能力提升的重要举措。
［关键词］ 银行业发展；区域创新；市场逻辑；政策引导；中介效应检验
［Abstract］ Based on the data of banking deposits and loans and macro-economy during 1999-2015, the authors of this paper examine the regional innovation effects of banking development. The results of the paper show that the banking sector is an important factor affecting regional innovation capabilities, but under the single market conditions, the banking sector is more inclined to support the“low value” patent development projects, and the effects of improving regional innovation capability is not great; if the government policy guidance and financial supports are introduced, the effects are improved greatly, which indicates a great effect of“structural innovation”. Therefore, it is an important measure for the improvement in regional innovation capabilities that the government attaches great importance to policy guidance, and increases financial supports.
［Key words］ development of banking industry; regional innovation; market logic; policy guidance;intermediary effect test
中小银行、银团贷款与小企业贷款
马 理 高 冰 葛 斌
［摘 要］ 本文基于合作型博弈的视角，提出一种创新的小企业贷款难的理论解释与解决方案。研究发现，存在一个中小银行向小企业贷款的阈值条件，当中小银行的议价能力小于阈值条件时，由于向小企业贷款无利可图，中小银行将偏好组成银团向大企业提供贷款；只有当中小银行的议价能力大于阈值条件可以获得净收益时，中小银行才会向小企业提供贷款。通过修改模型中的某些参数变量并调整监管策略，可以适当地缓解小企业贷款难。
［关键词］ 中小银行；银团贷款；小企业贷款难；合作型博弈
［Abstract］ The authors of this paper propose an innovative theoretical explanation and a solution for the difficulty in lending to small enterprises from the perspective of cooperative game theory. It’s found that there is a threshold for small and medium-sized banks to lend to small enterprises, and if the bargaining power of small and medium-sized banks is below the threshold, the small and medium-sized banks prefer to form a syndicate to lend to large companies because it’s unprofitable to lend to small enterprises; only the bargaining power of the banks is above the threshold and the banks can obtain net earnings, the banks will lend to small enterprises. By modifying some of the parametric variables in the model and adjusting regulatory strategies, the difficulty in lending to small enterprises can be alleviated.
［Key words］ small and medium-sized banks; syndicated loan; difficulty in lending to small enterprises; cooperative games
货币与信贷：谁更精确地预测了产出？——基于机器学习算法的比较研究
战明华 刘志媛 许月丽 田 远
［摘 要］ 本文利用网格搜索SVR算法、遗传SVR算法和粒子群SVR算，对货币与信贷预测产出的效果进行经验测算与比较，得到如下结论：（1）无论哪种方法均显示，信贷相对货币对产出的预测效果更好；（2）货币与信贷对产出的预测效果均在2013年后发生了结构性突变；（3）从货币政策与金融监管的角度来看，应充分重视数量型政策工具的运用并注意促进金融中介创新与防控风险之间的平衡。
［关键词］ 货币；信贷；产出；预测；机器算法
［Abstract］ The authors of this paper use the grid search SVR algorithm, genetic SVR algorithm and particle swarm optimization SVR algorithm to empirically measure and compare the effects of the forecasting output of currency and credits. The conclusions and policy suggestions of the paper include: (1) all methods show that the effects of forecasting output of credits is better than currency; (2) the forecasting effects of both currency and credits show a structural mutation after 2013; (3) from the perspective of monetary policy and financial regulation, we should pay attention to the use of quantitative policy instruments and promoting the balance between innovation in financial inter-mediation and risk prevention.
［Key words］ currency; credit; output; forecast; machine algorithm
开放经济条件下中国的最优货币政策规则——基于DSGE模型的模拟分析
刘尧成
［摘 要］ 本文通过建立开放经济DSGE模型，对比分析国内外冲击下不同货币政策对应的经济波动方式和社会福利损失，并构建“经济波动相关性指数”对中国货币政策的实施情况进行经验分析。主要结论包括：首先，无论是在国内冲击还是国外冲击下，理论上都存在着同一种最优货币政策，且不同货币政策的福利效果有所差别；其次，从全样本时段来看，设定中国实施的货币政策为盯住汇率制时相关性指数经验值最高，但分样本时段的研究显示中国货币政策的实施存在一定的时变性，体现相机抉择的特点。
［关键词］ 开放经济；货币政策；经济波动；相机抉择；DSGE模型；贝叶斯估计
［Abstract］ The author of this paper establishes an open economy DSGE model to compare the economic volatility pattern and social welfare loss corresponding to different monetary policies in domestic and international shocks, and constructs an“economic volatility correlation index” for the empirical analysis of the implementation of China’s monetary policy. The main conclusions include: first, whether the domestic shocks or foreign shocks, there is theoretically the same optimal monetary policy, and the welfare effects of different monetary policies vary; second, in the total sample period, the correlation index of China’s monetary policy with pegged exchange rate system is the highest, but the study of sub-sample period shows that the implementation of China’s monetary policy changes to some extent, which reflects the characteristics of discretion.
［Key words］ open economy; monetary policy; economic volatility; discretion; DSGE model; Bayesian estimation
境内外人民币国债市场联动关系研究
时旭辉 王楚云
［摘 要］ 本文利用Granger因果检验、ARMAX-BEKK模型以及ARMAX-FIAPARCH-DCC模型，研究境内外人民币国债市场之间的联动关系。结果表明：在岸人民币国债市场对离岸人民币国债市场存在单向的报酬溢出效应；在岸人民币国债市场和离岸人民币国债市场之间存在双向的波动溢出效应；利差因素对境内外人民币国债的收益率及其相关性均有显著影响；中国宏观经济的平稳运行对两个市场的相关性具有显著的提升作用。
［关键词］ 人民币国债；离岸市场；联动关系；溢出效应；ARMAX-FIAPARCH-DCC模型
［Abstract］ The authors of this paper use the Granger causality test, ARMAX-BEKK model and ARMAX-FIAPARCH-DCC model to analyze the dynamic correlation between onshore and offshore RMB government bond markets. The results of the paper show that the onshore RMB government bond markets has return spillover effects on offshore markets; there is a two-way volatility spillover effect between onshore and offshore RMB government bond markets; the interest rate spread between offshore and onshore markets has a significant impact on the return of onshore and offshore RMB government bonds as well as the correlation; China’s macroeconomic stability strengthens the correlation between the two markets significantly.
［Key words］ RMB government bond; offshore market; dynamic correlation; spillover effect; ARMAX-FIAPARCH-DCC model