人民币离岸市场利率波动的新解释
贺力平 马 伟
A New Explanation for Interest Rate Fluctuations in Offshore RMB Markets
HE Li-ping, MA Wei
基于流动性囤积视角的银行间流动性风险研究——以2013年“钱荒”为例
周爱民 余 粤
A Research on Interbank Liquidity Risk from the Perspective of Liquidity Hoarding——A Case Study of “Money Shortage” in 2013
ZHOU Ai-min, YU Yue
贷款集中、货币政策与银行风险承担——来自2007-2017年中国银行业的证据
顾海峰 戴云龙
Loan Concentration, Monetary Policy and Bank Risk Exposure——Evidence of Chinese Banking Sector During 2007-2017
GU Hai-feng, DAI Yun-long
人民币国际化与外汇市场压力——基于TVP-SV-VAR 模型的实证检验
吴立雪
The RMB Internationalization and the Pressure of Foreign Exchange Market——An Empirical Test based on TVP-SV-VAR Model
WU Li-xue
外汇衍生工具使用与企业价值——基于A股上市公司的实证研究
赵 昕 高 楠 丁黎黎
Foreign Exchange Derivatives and Corporate Value——An Empirical Study based on A-Share Listed Companies
ZHAO Xin, GAO Nan, DING Li-li
招股说明书负面语调能预测IPO后业绩表现吗？
贾德奎 卞世博
Can the Negative Tone of Prospectus Predict Post-IPO Performance?
JIA De-kui, BIAN Shi-bo
地方政府放权与信贷配置效率——基于地方国企金字塔结构的视角研究
白 俊 刘园园 邱善运
The Decentralization of Local Government and the Efficiency of Credit Resource Allocation——From the Perspective of the Pyramid Structure of Local State-Owned Enterprises
BAi Jun, LIU Yuan-yuan, QIU Shan-yun
人民币离岸市场利率波动的新解释
贺力平 马 伟
本文对近年来人民币离岸市场发展中出现的利率“异常波动”提出一个新解释，认为这种利率波动同时反映在岸市场和离岸市场人民币汇率走势的差别以及这两个市场之间跨境资金流动性变化的影响。与适用于两个不同“在岸”市场的常规利率平价模型不同，本文建议的利率平价模型特别针对在岸市场和离岸市场之间的关系。使用人民币在香港离岸市场上的数据所进行的计量检验表明，人民币在两个市场的汇率差同时影响到离岸市场人民币存款数量以及人民币离岸市场利率。
This paper puts forward a new explanation for the “abnormal interest rate fluctuations” in the offshore RMB markets in recent years. The authors of this paper argue that such interest rate fluctuations could reflect not only the difference in trends of RMB exchange rate between onshore and offshore markets, but also the impacts of the changing cross-border capital flows between the two markets. Unlike the conventional interest rate parity model applicable to two different onshore markets, the interest rate parity model proposed in this paper specifically aims at the relationship between the onshore and offshore market. The econometric test of Hong Kong offshore market shows that the RMB exchange rate differential between the two markets impacts both the amount of RMB deposits and the interest rate of RMB in the offshore market.
基于流动性囤积视角的银行间流动性风险研究——以2013年“钱荒”为例
周爱民 余 粤
本文从流动性囤积视角出发，分析2008年金融危机时期欧洲商业银行和2013年“钱荒”时期中国商业银行的流动性管理行为，说明商业银行流动性囤积造成利率上升。本文对2012年至2014年中国银行间隔夜拆借量价关系的实证检验结果显示，交易量的变化率对于利率的条件方差具有较强的解释能力，交易量大幅缩减时利率波动明显上升。本文认为商业银行流动性囤积是“钱荒”的重要影响因素，背后包含着更深层次的经济、金融结构因素。
From the perspective of liquidity hoarding, the authors of this paper analyze the liquidity management of both European commercial banks during the financial crisis in 2008 and Chinese commercial banks during the “cash crunch” period in 2013, and prove that the liquidity hoarding of commercial banks results in the rise in interest rate. The empirical test on the relationship between the volume and price of China’s interbank overnight lending during 2012-2014 shows that the change in trading volume has a strong explanatory power for the conditional variance of interest rate, and the interest rate fluctuation increases significantly when the trading volume is greatly reduced. The authors of this paper argue that the liquidity hoarding of commercial banks, as an important factor of the “money shortage”, could be further affected by economic and financial structural factors.
贷款集中、货币政策与银行风险承担——来自2007-2017年中国银行业的证据
顾海峰 戴云龙
本文选取2007-2017年中国56家银行数据，采用面板回归模型对贷款集中与货币政策对银行风险承担的影响进行实证分析。研究表明：贷款集中的上升会增大银行风险承担水平，上市银行存在市值效应驱动下的过度信贷扩张倾向；高利率货币政策及扩张性货币政策会抑制银行风险承担水平，并且对上市银行影响更显著；银行规模增大会助推银行风险承担水平，大银行更具高风险资产配置倾向。宏观经济增速的提高会助推银行风险承担水平，银行存在顺周期放贷倾向。
The authors of this paper use the data of 56 Chinese banks during 2007-2017 in the panel regression model, and empirically analyze the impacts of loan concentration and monetary policy on bank risk-taking. The results of the paper show that the rise in loan concentration will increase the bank risk exposure, and the listed banks show the tendency of excessive credit expansion driven by market value effect; the high interest rate monetary policy and the expansionary monetary policy will curb the bank risk-taking, which is more significant for listed banks than non-listed banks; the increase in bank size will promote the bank risk-taking, and large banks tend to have high risk asset allocation. The increase in macroeconomic growth speed could boost the bank risk-taking, and the bank’s loan is pro-cyclical.
人民币国际化与外汇市场压力——基于TVP-SV-VAR 模型的实证检验
吴立雪
为解释人民币国际化、汇率和外汇储备的关系，本文建立一个内嵌人民币国际化、境内外汇差、外汇市场压力和货币当局有限干预的一般均衡理论模型，并通过三因子TVP-SV-VAR模型验证。研究结果表明：人民币国际化与外汇市场压力和离岸市场价格等因素紧密相关；人民币国际化的快速发展与长期以来的人民币升值压力、外汇储备累积压力以及以离岸市场价格代表的升值预期压力有较强相关度；人民币国际化会对中国的外汇市场压力带来额外波动。
In order to explain the relationship among RMB internationalization, exchange rate and foreign exchange reserve, the author of this paper establishes a general equilibrium theoretical model including factors of RMB internationalization, offshore-onshore exchange rate gap, foreign exchange market pressure and limited intervention of monetary authorities, with verification by the three-factor TVP-SV-VAR model. The results of the paper show that the RMB internationalization is closely related to the pressure of foreign exchange market and the offshore RMB price; the rapid development of the RMB internationalization is closely related to the long-term pressure of RMB appreciation, the accumulated pressure on foreign exchange reserves, and the pressure of expected appreciation represented by offshore market prices; the RMB internationalization causes additional fluctuation in the foreign exchange market pressure of China.
外汇衍生工具使用与企业价值——基于A股上市公司的实证研究
赵 昕 高 楠 丁黎黎
本文运用回归分析模型与中介效应检验方法，以“外汇衍生工具使用→企业治理效果调整→企业价值变化”为分析路径，实证考察中国外汇衍生工具的使用对企业价值影响的实施效果。研究发现：外汇衍生工具的使用能够提高企业价值约3.3%；从作用路径来看，使用外汇衍生工具可通过减缓投资不足、代理成本下降和避免财务困境来提高企业价值，但节税收益增加的渠道未能通过中介效应检验。
The authors of this paper analyze the effects of foreign exchange derivatives on corporate value, with regression analysis and the intermediary effect test, via the analytic path of “foreign exchange derivative use→corporate governance effect adjustment→enterprise value change”. It’s found that foreign exchange derivatives will increase the corporate value by about 3.3%, through impacting mechanism like reducing investment deficiency and agency costs, and avoiding financial difficulties, except increasing earnings through tax-saving as it fails the intermediary effect test.
招股说明书负面语调能预测IPO后业绩表现吗？
贾德奎 卞世博
本文通过构建中文财经情感词典，利用文本分析方法对IPO招股说明书负面语调进行量化，在此基础上实证分析招股说明书负面语调与公司上市后业绩表现之间的关系。结果发现，招股说明书文本负面语调与IPO后业绩表现之间呈现显著的负相关关系，即招股说明书文本中的负面语调越强，则公司上市后业绩下滑的可能性越大。研究结论表明个股招股说明书的负面语调具有有效信息含量，其量化结果对IPO后上市公司的业绩变化有较好的解释和预测能力。
The authors of this paper construct a Chinese financial sentiment dictionary, and quantify the negative tone in IPO prospectus with the method of textual analysis, to empirically analyze the relationship between the negative tone of the prospectus and the company’s post-IPO performance. It’s found that there is a significant negative correlation between the negative tone and the post-IPO performance, more negative tone, more possibility in post-IPO performance decline. The conclusion of the paper indicates that the negative tone of stock prospectus contains effective information, and its quantitative results could explain and predict the changes in listed company’s post-IPO performance.
地方政府放权与信贷配置效率——基于地方国企金字塔结构的视角研究
白 俊 刘园园 邱善运
本文从信贷数量和信贷价格两个角度考察地方政府放权对信贷资金配置的影响，研究发现：（1）整体而言地方政府放权在降低地方国企长期信贷数量的同时降低了其信贷价格，长期信贷数量的降低损害了信贷配置效率，但信贷价格对信贷配置效率的影响不显著；（2）信贷数量对配置效率的损害作用是由于在市场化进程较低的地区高盈利企业长期贷款下降所致，表明政府放权对信贷配置效率的提升作用需要依赖外部市场环境才能得以发挥。
The authors of this paper examine the impacts of local government decentralization on the allocation of credit funds from the perspectives of credit quantity and credit price. It’s found that: (1) in general, the local government decentralization reduces both the amount and price of long-term credits of local state-owned enterprises. The decrease in the amount of long-term credit could inhibit the efficiency of credit allocation, while the effect of credit price on efficiency is not significant; (2) the inhibition effect of credit quantity on allocation efficiency is due to the decline in the long-term credits of high-profit enterprises in areas with lower marketization, which shows that government decentralization’s improvement on credit allocation efficiency relies on the external market environment.