资管2.0时代商业银行理财业务的转型与发展
周月秋 藏 波（ 3 ）
The Transformation and Development of Wealth Management Business of Commercial Banks in the Era of Asset Management 2.0
ZHOU Yue-qiu ZANG Bo（ 3 ）
基于银行同业网络与资产重叠的金融风险传染研究
沈沛龙 李志楠 王晓婷（12）
A Study of Financial Risk Contagion Based on Inter-Bank Network and Assets Overlap
SHEN Pei-long LI Zhi-nan WANG Xiao-ting（12）
混合多属性商业银行绩效的测度——基于BSC-FANP-EVIKOR方法的研究
徐 斌 郑垂勇（26）
The Measurement of the Performance of Commercial Banks with Mixed Multi-Attribute——A Research Based on BSC-FANP-EVIKOR Method
XU Bin ZHENG Chui-yong（26）
境外人民币存量会弱化货币政策有效性吗？——基于2004-2017年境外人民币存量数据的实证研究
李金凯（35）
Will the Offshore RMB Stocks Weaken the Effectiveness of Monetary Policy?——An Empirical Study Based on the Data of Offshore RMB Stocks during 2004-2017
LI Jin-kai（35）
央行汇率沟通与股票市场波动
李 力 王 博 郝大鹏（52）
Central Bank Exchange Rate Communication and Stock Market Volatility
LI Li WANG Bo HAO Da-peng（52）
金融科技的社交网络关注：理论模型及其实证分析
田婧倩 刘晓星（67）
Social Network Concern of Fintech: Theoretical Model and Empirical Analysis
TIAN Jing-qian LIU Xiao-xing（67）
资管2.0时代商业银行理财业务的转型与发展
周月秋 藏 波
［摘 要］ 2017年之后，中国进入强监管、去杠杆的金融新周期，金融周期和经济周期趋向同步演进。资管新规和细则是严监管政策的重要举措，其核心内容是打破刚兑、规范资金池、去除多层嵌套、约束杠杆比例，引导近30万亿元的银行理财净值化转型。通过统计分析发现，2018年年初至二季度，净值型产品发行速度加快，但非净值型理财占新发行产品比重不降反升。说明银行理财业务转型速度较慢，整改空间和挑战较大。未来，银行理财业务转型需兼顾客户端和投资端，采取两端发力、系统推进的策略选择。
［关键词］ 资管新规；资管细则；银行理财；净值化转型；监管政策
［Abstract］ After 2017, a new financial cycle of strong supervision and de-leveraging emerges in China, and the financial cycle and economic cycle tend to evolve simultaneously. The new regulations and rules for asset management are important measures in the policies of strict supervision, and the core contents are breaking rigid payment, standardizing fund pool, removing multi-layer nesting, constraining leverage ratio, and guiding the net-worth transformation of nearly 30 trillion yuan wealth management of banks. The statistical analysis shows that, the issuance of net-worth products is accelerated, and the proportion of non-net-worth wealth management products in new-issued products does not fall but rises, which indicates that speed of the transformation is slow, and more reforms are needed. In the future, both the client and the investor needed to be considered in the transformation of wealth management business of banks, and forcing at both ends and systematical promotion should be the strategic choices.
［Key words］ new regulation of asset management; asset management rule; bank wealth management; net-worth transformation; supervision policy
基于银行同业网络与资产重叠的金融风险传染研究
沈沛龙 李志楠 王晓婷
［摘 要］ 本文分析当银行遭受不同类型初始冲击时，传染概率、传染范围、损失程度随资产多样化程度、初始冲击程度变化的分布情况。研究表明，在两类传染途径共同作用下，资产多样化程度和初始冲击程度很低时风险传染概率与范围仍呈现较高水平，资产多样化程度较高时风险传染概率与范围呈现较低水平；不同网络结构中资产多样化对于初始冲击具有不同的吸收能力，且传染范围呈现出明显的由稳定转向非稳定的相变过程；在传染范围稳定的区域，损失程度仍随资产多样化程度的增加而增大。
［关键词］ 银行同业网络；系统风险；金融风险传染；对手违约风险；共同资产持有风险
［Abstract］ The authors of this paper analyze the changes in contagion probability, contagion range, loss degree due to the asset diversification degree and initial impact degree when banks suffer different types of initial impact. The results of the paper show that, the two types of contagion channel make the contagion possibility and contagion range great when the asset diversification and initial impact are at a low level, and small when the asset diversification is at a high level; the ability of the asset diversification to absorb initial impact varies in different network structure, and the contagion range shows a clear phase transition from stable to unstable;in the zone of stable contagion, the loss degree rises with the increase in asset diversification level.
［Key words］ inter-bank network; systemic risk; financial risk contagion; risk of counter-party default; risk of holding common asset
混合多属性商业银行绩效的测度——基于BSC-FANP-EVIKOR方法的研究
徐 斌 郑垂勇
［摘 要］ 本文基于BSC、FANP和扩展的VIKOR集成方法研究商业银行绩效测度问题。首先基于平衡计分卡（BSC）构建商业银行绩效测度指标体系，然后采用模糊网络层次法（FANP）确定指标的权重。考虑到测度过程中可能存在不完全信息和不确定信息，即属性值可能为模糊数，提出扩展的VIKOR方法，以解决银行绩效混合多属性（确定数、模糊数）测度问题。以5个银行为例进行绩效测度，发现本文提出的方法具有一定的稳定性。
［关键词］ 商业银行；绩效测度；模糊网络层次法；扩展的VIKOR；混合多属性决策
［Abstract］ This paper presents a study of the measurement of the performance of commercial banks based on BSC, FANP and extended VIKOR integration method. The authors construct a index system based on the balanced score card (BSC) to measure the performance of commercial banks and then use the fuzzy analytic network process (FANP) to determine the we- ight of the index. Considering that there may be incomplete and uncertain information in the measurement process, meaning that the attribute value may be a fuzzy number, an extended VIKOR method is proposed to solve the problem of the performance measurement of banks with mixed multi-attribute (deterministic number, fuzzy number). The performance measurement of five banks show that the proposed method has some stability.
［Key words］ commercial bank; performance measurement; FANP; extended VIKOR; mixed multi-attribute decision-making
境外人民币存量会弱化货币政策有效性吗？——基于2004-2017年境外人民币存量数据的实证研究
李金凯
［摘 要］ 本文基于改进缺口法测算境外人民币存量，并研究境外人民币存量对货币政策产出效应和价格效应的影响。研究发现：境外人民币存量整体呈现上升趋势；无论从货币政策产出效应还是价格效应来看，境外人民币存量均弱化了货币政策有效性。对此，本文提出建立并完善人民币跨境流通的风险预警系统和风险防范机制，继续将货币供应量作为货币政策中间目标，拓宽人民币回流渠道，促使人民币跨国良性循环等政策建议。
［关键词］ 境外人民币存量；货币政策有效性；改进缺口法；产出效应；价格效应
［Abstract］ Based on the improved gap method, the author of this paper calculates the offshore RMB stocks, and analyzes the impact of the offshore RMB stocks on the output effect and price effect of monetary policy. It’s found that the offshore RMB stocks show an upward trend as a whole, and weaken the effectiveness of monetary policy in terms of the output effect and the price effect of monetary policy. Therefore, it’s suggested to establish and improve the risk early warning system and risk prevention mechanism of RMB cross-border circulation, continue to regard the the money supply as the intermediate goal of monetary policy, broaden the channels of RMB return, and promote the sound cross-border circulation of RMB.
［Key words］ offshore RMB stock; effectiveness of monetary policy; improved gap method; output effect; price effect
央行汇率沟通与股票市场波动
李 力 王 博 郝大鹏
［摘 要］ 本文基于2005年7月至2017年2月的日度数据，检验中国央行汇率沟通对于股票市场波动率的影响，研究结果发现：（1）央行汇率沟通会对本国股票市场产生明显的溢出效应，并显著增加股票市场的波动率，B股市场波动率反应程度显著强于A股市场。（2）书面沟通的效果强于口头沟通，口头沟通中行长沟通效果强于非行长沟通；汇率贬值的沟通效果显著强于汇率升值沟通。（3）汇率沟通对于股票市场波动率的影响存在着明显的非线性。
［关键词］ 中央银行；汇率沟通；股票市场；波动率；EGARCH模型；STR-STGARCH模型
［Abstract］ Based on the daily data during July 2005-February 2017, the authors of this paper examine the impacts of exchange rate communication of China’s central bank on stock market volatility. The results of the paper show that, (1) the exchange rate communication has a significant spillover effect on the domestic stock market, and significantly increases the volatility of the stock market, and the response of the B-share market volatility is significantly stronger than that of the A-share market; (2) the effect of written communication is stronger than that of oral communication; as to the oral communication, the effect of president communication is stronger than that of non-president communication; the effect of exchange rate devaluation communication is stronger than that of exchange rate appreciation communication; (3) the effect of exchange rate communication on stock market volatility is significantly non-linear.
［Key words］ central bank; exchange rate communication; stock market; volatility; EGARCH Model; STR-STGARCH model
金融科技的社交网络关注：理论模型及其实证分析
田婧倩 刘晓星
［摘 要］ 本文研究舆情话题在社交网络上的传播机制与社交网络话题选择决策机制，分析关系羊群效应在社交网络中的实现机制，构建金融科技关注指数。实证研究发现：（1）追求收益的投机心理促使社交网络中的舆情主体进行相同的选择决策，在紧密度复杂的网络中更易产生关系羊群效应；（2）中国社交网络对金融科技话题的关注实际是对金融科技公司的关注；（3）金融科技公司的社交网络关注是产生金融科技话题搜索变化的主要原因。
［关键词］ 金融科技；社交网络关注；演化博弈模型；关系羊群效应；社交网络关注指数
［Abstract］ The authors of this paper research the dissemination mechanism of public opinion topics and the decision-making mechanism of topic selection in social networks, and analyze the realization mechanism of relational herding effect in social networks, and construct the fintech concern index. The empirical analysis shows that, (1) the speculative psychology of pursuing profits encourages the public opinion subjects in social networks to make the same choice decision, and the herding effect is produced easier in the tight and complex networks; (2) the Chinese social network concern on fintech topics is actually a concern on fintech companies; (3) the social network concern of fintech companies is the main reason for change in fintech topic search.
［Key words］ fintech; social network concern; evolutionary game model; relational herding effect; social network concern index