金融安全、流动性与中国外汇储备风险管理——基于交易价差估计的主权债市场流动性及其风险分析
朱孟楠 段洪俊（ 3 ）
Financial Security, Liquidity and Risk Management of China’s Foreign Exchange Reserves——An Analysis of the Liquidity and Risks of Sovereign Bond Markets Based on Transaction Price Spread
ZHU Meng-nan DUAN Hong-jun（ 3 ）
资产证券化、风险贷款与商业银行流动性风险
高 磊 郭红玉 许 争（16）
Asset Securitization, Risk Loan and the Liquidity Risks of Commercial Banks
GAO Lei GUO Hong-yu XU Zheng（16）
商业银行金融创新、风险承受能力与盈利能力
胡文涛 张 理 李宵宵 王子姣（31）
Financial Innovation, Risk Tolerance and Profitability of Commercial Banks
HU Wen-tao ZHANG Li LI Xiao-xiao WANG Zi-jiao（31）
杠杆率约束对银行融资成本与信贷扩张的影响——基于中国银行业的实证研究
王连军（48）
The Impact of Leverage Ratio Constraint on the Financing Costs and Credit Expansion of Banks——An Empirical Study of China’s Banks
WANG Lian-jun（48）
金融科技发展动力指数研究
乔海曙 黄荐轩（64）
A Research on the Index of Fintech Development Power
QIAO Hai-shu HUANG Jian-xuan（64）
金融安全、流动性与中国外汇储备风险管理——基于交易价差估计的主权债市场流动性及其风险分析
朱孟楠 段洪俊
［摘 要］ 本文基于主权债交易价差估计指标对债券市场流动性进行直接测度，并结合时变COPULA理论对市场之间的流动性风险相依性进行实证检验。研究结果表明，世界主要主权债市场流动性发生明显变化，流动性变差；流动性风险随流动性的降低而加大，但各个市场的流动性风险表现出相对独立特性；各市场之间的流动性风险相依关系保持相对稳定性，且呈现周期性变化。
［关键词］ 外汇储备；主权债市场；金融安全；估计价差；流动性风险；风险管理
［Abstract］ The authors of this paper present a direct measurement of the liquidity of bond markets based on the estimated indexes of the transaction price spread of sovereign bonds, and use the time-varying Copula theory to test the inter-dependence between the liquidity risks of markets. The results of analysis show that the world’s major sovereign bond markets change greatly, and the liquidity has decreased; the liquidity risk increases with the decrease in liquidity, however, the liquidity risk of each market shows relatively-independent characteristics; the inter-dependence between the liquidity risks of markets remains relatively stable and periodically changes.
［Key words］ foreign exchange reserves; sovereign bond market; financial security; estimated price spread; liquidity risk; risk management
资产证券化、风险贷款与商业银行流动性风险
高 磊 郭红玉 许 争
［摘 要］ 从资产证券化发行强度角度出发，本文采用PSM和GMM方法并利用中国商业银行2012-2016年数据实证分析资产证券化对商业银行流动性风险的影响。研究表明，资产证券化发行在提高商业银行风险偏好的同时显著增加银行风险贷款水平，并且资产证券化通过增加商业银行风险贷款而溢出流动性风险；资产证券化强度导致银行增加风险贷款，并在一定程度上提高流动性风险水平，集聚流动性危机。
［关键词］ 商业银行；资产证券化；风险贷款；风险偏好；流动性风险
［Abstract］ From the perspective of the intensity of asset securitization issuance, the authors of this paper use the PSM and GMM methods, and the data of Chinese commercial banks during 2012-2016 to empirically test the impacts of asset securitization on the liquidity risks of commercial banks. The results of the paper show that the asset securitization issuance increases risk loans of commercial banks while it enhances the risk preference of commercial banks; the asset securitization make the liquidity risks spill over by increasing risk loans of the banks; the intensity of asset securitization increases the risk loans of the banks, the level of liquidity risks and the liquidity crisis to some extent.
［Key words］ commercial bank; asset securitization; risk loan; risk preference; liquidity risk
商业银行金融创新、风险承受能力与盈利能力
胡文涛 张 理 李宵宵 王子姣
［摘 要］ 本文通过建立以商业银行风险承受能力为门限变量的面板门限模型，实证检验商业银行金融创新、风险承受能力及盈利能力之间的内在非线性关系。研究表明，商业银行金融创新对盈利能力的作用大小和方向均存在基于风险承受能力的双门限效应；当风险承受能力较弱时，商业银行过多的金融创新会对盈利能力产生抑制效应；当风险承受能力达到并跨过临界门限值后，适度的金融创新能够增强商业银行盈利能力。研究还发现，商业银行风险承受能力对盈利能力具有直接的正向促进作用。
［关键词］ 商业银行；金融创新；风险承受能力；盈利能力；面板门限模型
［Abstract］ The authors of this paper constructs a panel threshold model, in which the risk tolerance of commercial banks is used as a threshold variable, for an empirical test on the inherent nonlinear relationship between the financial innovation, risk tolerance and profitability of commercial banks. The results of the paper show that a double-threshold effect, which is based on the risk tolerance, exists in the extent and direction of the impacts of financial innovation on the profitability of commercial banks; the excessive financial innovation has an inhibitory effect on the profitability when the risk tolerance of commercial banks is relatively weak; the moderate financial innovation can enhance the profitability of commercial banks when the risk tolerance reaches and exceeds the critical threshold. It’s also found that the risk tolerance has a direct positive effect on profitability.
［Key words］ commercial bank; financial innovation; risk tolerance; profitability; panel threshold model
杠杆率约束对银行融资成本与信贷扩张的影响——基于中国银行业的实证研究
王连军
［摘 要］ 本文利用中国120家商业银行2003-2015年度面板数据，分析在巴塞尔协议Ⅲ框架下杠杆率对银行融资成本与信贷扩张的作用。研究发现，杠杆率监管对银行信贷扩张的影响取决于银行调整的时间，长期内可防止银行规模扩张，而信息不对称环境下提高银行杠杆率则显著降低下一期的融资成本，加速信贷扩张；施加杠杆率约束放大银行融资成本的顺周期性，弱化货币政策信贷渠道传导的效果；国有控股银行的融资成本与资产负债扩张速度都明显低于非国有银行。
［关键词］ 商业银行；杠杆率约束；银行融资成本；信贷扩张；杠杆率监管
［Abstract］ Based on the panel data of 120 commercial banks during 2003-2015, the authors of this paper analyze the impacts of the leverage ratio constraint of Basel Ⅲ on the financing costs and credit expansion of banks. It’s found that the impact of leverage ratio regulation on bank credit expansion depends on the time of bank adjustment, and it can prevent the scale expansion of banks in the long run, however, increasing the leverage ratio of banks in an information-asymmetry environment significantly reduces the financing costs in the next period and accelerates credit expansion; applying the leverage ratio constraint intensifies the pro-cyclicality of the financing costs of banks and weakens the effect of the credit channel transmission of monetary policy; the financing costs and the asset-liability growth of state-owned banks are significantly lower than those of non-state-owned banks.
［Key words］ commercial bank; leverage ratio constraint; financing cost of bank; credit expansion; leverage ratio regulation
金融科技发展动力指数研究
乔海曙 黄荐轩
［摘 要］ 本文将金融科技发展动力划分为供给动力和需求动力两个子系统，用主成分分析法分别计算金融科技发展供给动力指数和金融科技发展需求动力指数，然后再用等值赋权法合成综合动力指数。通过对10个国家2010-2015年的金融科技发展动力指数及动力结构进行比较，发现中国金融科技发展综合动力水平领先金砖五国，但离发达国家还存在一定差距；短期内，中国金融科技发展的优势在于其发展动力的供需结构和期限结构保持较好的均衡性。
［关键词］ 金融科技；经济价值；动力指数；动力水平；动力结构
［Abstract］ In this paper the development power of fintech is divided into two subsystems: supply power and demand power. The two indexes are calculated by the principal component analysis, and then are synthesized by the equivalent weighting method into the fintech development power index. By comparing the 10 countries’ fintech development power index and its structure during 2010-2015, it’s found that China’s fintech development is leading the Brics, but there is still a big gap between China and the developed countries. In the short term, the advantage of China’s fintech development is that its supply-demand structure and maturity structure of development power are the most balanced.
［Key words］ fintech; economic value; power index; power level; power structure