信贷扭曲下系统性风险形成和“双支柱”政策协调问题研究——基于异质性企业的视角

我国国有企业和私营企业在信贷获取和生产效率上的差异性会扭曲信贷资源配置,进而抬高宏观杠杆率,增加系统性风险。本文基于抵押约束机制构建了包含异质性企业的动态随机一般均衡模型,从理论上分析了由企业信贷扭曲引起的系统性风险形成机制,并探讨了货币政策和宏观审慎政策"双支柱"调控的协调问题。研究发现：在异质性企业环境下,宏观审慎政策通过减缓信贷市场顺周期行为,抑制信贷规模过度膨胀,起到降低宏观杠杆率、防范系统性风险的作用,并显著改善社会福利损失,为货币政策制定创造更多空间;货币政策与宏观审慎政策"双支柱"的调控框架仅减缓了抵押约束机制对经济周期的放大效应,未解决异质性企业对经济结构的扭曲问题。因此,深化供给侧结构性改革,提高国有企业市场竞争力和自负盈亏能力,充分发挥市场对资源的配置作用,是建立"去杠杆"长效机制、提高金融韧性以形成能够内生消化风险的市场环境的关键所在。     

Global Financial Crisis: The Australian Experience in International Perspective

This article addresses the impact of the global financial crisis in Australia. Obviously the impact has been varied and complicated, so that the picture presented can be no more than a sketch seeking to identify some of the main influences and governmental responses to them. In the event, the impact was relatively light in Australia, with credit accruing to a fairly effective regulatory system, though serious implementation problems developed. The article also explores the issue of the economic stimulus strategy more generally, and connections between the crisis experience and related movement in the arena of government-private sector relations.     

LIQUIDITY AND CONTAGION: THE CRISIS OF 1763

The financial crisis that swept across northern Europe in 1763 bears a strong resemblance to more recent episodes of financial distress. The combination of the specific contractual arrangements at the time, interlocking credit relationships, and the high leverage of market participants triggered distress sales of assets, leading to a severe liquidity crisis. Hence, the crisis is an early instance of contagion on the asset side of the balance sheet. We highlight the salient features of the 1763 crisis and propose a stylized model of the events. While the financial institutions have changed fundamentally in the intervening 200 or so years, the underlying problems appear to be universal. (JEL: 6621, E44, N23)     

Bagging方法在基于日常交易数据解决中小企业的信用评价问题中的应用

关于信用风险评价问题至今已经做了很多研究,各种信用评价模型与方法也已被开发.但是这些模型与方法几乎都是基于财务数据、股票价格或风险调研机构发表的各种调查结果.因为几乎所有的中小企业的财务数据都是非公开的,至今开发的信用评价模型与方法都不免成为无米之炊.为此,本文提出了一个新的途径,只需要根据销售额、顾客付款额、拖欠款额等日常业务处理数据来评价顾客企业的信用度.本文提出一个应用Bgging方法评价顾客信用的系统,其目的在于解决由于异常顾客数比正常顾客要少很多而带来的问题,提高分辨异常顾客的能力.本文所提出的信用评价系统将应用到一个实际企业的信用评价问题中,借此来验证系统的性能和效果.     

会计诚信危机治理机制研究

会计诚信危机作为一种经济现象,也遵循供求规律,信息不对称的客观存在是其产生的经济根源,法律等外在制度约束和道德等内在制度约束的缺失及不健全,使经营者道德风险和逆向选择变为现实.会计人员是否遵守职业操守、讲求诚信是利益驱动下重复博弈的结果.建立会计诚信的制度规范,优化会计诚信环境,是治理诚信危机的根本措施.     

国际金融危机潜在传染源的识别及其传染力分析

亚洲金融危机和希腊债务危机表明中小国家也可以引发严重危机，这种现象不容忽视。基于复杂网络理论，使用2007年国际贸易数据构建了包含148个国家和地区的全球宏观经济网络；利用S.I.R模型模拟了各国在发生不同等级的金融危机时所影响到的国家数量和经济总量，发现不同国家传染力的差异存在一定的区域特征，许多经济总量不大的国家也具有引发严重危机的潜力；使用动态聚类法对各国的传染力进行分类，处于类别1至类别4的国家为国际金融危机潜在传染源；通过计算传染力与GDP、进口和网络拓扑结构指标的Spearman相关系数发现，GDP、进口较大以及聚类系数小的国家在低危机等级时就表现出一定的负面溢出；而贸易伙伴较多以及处于网络中心位置的国家在较高的危机等级下具备引发严重危机的潜力；使用2009年的数据进行模拟，本文的主要结论依然稳健。     

嵌入网络舆情指数的中国金融机构系统性风险传染效应研究

首先基于文本挖掘技术构建反映投资者情绪的网络舆情指数,然后将所构建的网络舆情指数嵌入到系统性风险传染效应度量模型,得到修正的单指标非对称CoVaR模型,并运用线性分位数LASSO算法与局部多项式估计方法进行参数估计,以此为基础构建金融有向网络,进而对中国金融机构系统性风险传染效应进行实证分析。实证研究表明：(1)以单指标非对称CoVaR为代表的金融机构风险指标与网络舆情的协同变化趋势明显;(2)证券类和银行类金融机构对外部风险非常敏感,极易受到其他金融机构的影响,也极易影响其他金融机构;(3)非银行类机构在风险积累阶段占据重要位置,银行在风险爆发时刻占据重要位置;(4)相对于非银行类金融机构,银行类机构具有较强的传染能力。     

Organizational Responses to Contending Institutional Logics: The Moderating Effect of Group Dynamics

This paper advances knowledge on how the forms of institutional logics that emerge and become venerated among members of a singular organization in a heterogeneous field are influenced by struggles between contending interest groups. It examines the moderating effect of group dynamics that occur when an organization attempts to balance novel institutional complexity within organizational bounds through its hiring and promotion systems. The authors argue that, while the specific institutional oppositions of heterogeneous fields compel organizational changes, the institutional forms that emerge and become legitimate among members of an organization in such fields are the effects of indeterminate social processes of regularization and breaking of coexisting logics. The paper provides insights into how the negotiations among groups of organizational actors over the process and outcome of institutional change are influenced by asymmetric power relationships yet significantly mediated by their social strategies. The findings reported are from an ethnography of the enactment of institutional changes at a South Korean credit card company following the economic crisis in 1997 and the International Monetary Fund bailout programme.     

基于逆周期缓冲机制的或有可转债研究

基于逆周期缓冲机制的双触发器或有可转债（简记为CoCoCb）为债券发行银行提供资本再重组机会。当经济与金融系统性风险累积到较高的水平，CoCoCb可以按照事先约定的折扣率回售，或者被转换为等价值的普通或有可转债（CoCo）。当债券发行银行陷入财务困境时，CoCo转换为股权以吸收银行的损失，并维持银行正常运营。CoCoCb的回售机制允许银行在经济与金融危机爆发前债务减记，即CoCoCb嵌入了逆周期缓冲机制；债转股机制使得CoCoCb具有很强的损失吸收能力。基于Black-Scholes期权定价模型、Jarrow-Turnbull简约化定价模型和无违约风险假设，利用复制方法求解零息票CoCoCb定价解析式。实证分析表明：信贷与GDP的缺口（Gap）值达到峰值事件服从泊松过程。选取适当的回售比率能保证CoCoCb兼具逆周期缓冲与损失吸收能力。     

Global Financial Crisis and International Institutions: Challenges, Opportunities and Change

The global financial crisis is not just another economic downturn. It signals the need for fundamental changes in the management of the global market economy. Certainly, time has come to reshuffle voting rights in the World Bank and International Monetary Fund, recognizing shifts in global economic power. Also, the question remains of whether effective collective international action can be taken on climate change and global ecology. The crisis has offered the opportunity for reflection on the basic rules, leading hopefully to institutional evolution and not merely a huge anti-cyclical spending frenzy with a rejuvenated Keynes.     

基于时序多目标方法的主权信用违约风险研究

次贷危机所引发了冰岛、希腊等国主权债务危机使我们更加关注传统主权信用评级系统的滞后性问题.提出基于时间序列的多目标决策模型,通过对1990—2006年间,32个国家相关经济数据的分析,得到各国主权信用风险效用值的排序.通过聚类分析得到高风险国家簇,该结果与2007年美国次贷危机爆发后发生主权信用违约事件的国家一致,表明该模型具有良好的预测性能,文章最后对模型进行了敏感性分析.     

基于VAR模型的金融危机传染效应检验方法与实证分析

随着国际经济一体化程度的提高,经济风险的波及效应也日益显著。20世纪90年代以来爆发的国际金融危机,通过金融市场体系对各国产生的传染效应便是典型的表现之一。本文运用VAR系统的方法,提出了通过分析危机前后各国市场波动性之间的因果关系的变化、以及被传染国家对危机发源国的冲击响应的变化,来检验金融危机传染效应的新方法。并运用此方法,实证分析了亚洲金融危机的传染效应。     

Social Enterprises as Hybrid Organizations: A Review and Research Agenda

The impacts of the global economic crisis of 2008, the intractable problems of persistent poverty and environmental change have focused attention on organizations that combine enterprise with an embedded social purpose. Scholarly interest in social enterprise (SE) has progressed beyond the early focus on definitions and context to investigate their management and performance. From a review of the SE literature, the authors identify hybridity, the pursuit of the dual mission of financial sustainability and social purpose, as the defining characteristic of SEs. They assess the impact of hybridity on the management of the SE mission, financial resource acquisition and human resource mobilization, and present a framework for understanding the tensions and trade‐offs resulting from hybridity. By examining the influence of dual mission and conflicting institutional logics on SE management the authors suggest future research directions for theory development for SE and hybrid organizations more generally.     

RELATIONSHIP LENDING DURING A FINANCIAL CRISIS

This paper studies whether relationship lending mitigates the transmission of the Lehman default shock to the supply of credit in Italy. Exploiting the presence of multiple banking relationships, we control for banks' and firms' unobserved characteristics. Results show that the growth of credit itself is higher and its cost lower the shorter the distance between the bank and the firm, the longer the relationship, and the higher the share of credit held by the bank. Credit growth by relationship lenders is 4.6% higher than that by transactional lenders; the increase in the cost of credit is 50 basis points lower. The positive effect of relationship lending on credit supply increased during the crisis, compared to a pre‐crisis period. The beneficial effect of relationship lending is weaker if the relationship lender is more exposed to the financial crisis, especially when lending to weaker borrowers.     

The impact of the board of directors characteristics on corporate performance and risk-taking before and during the global financial crisis

Over recent years, the effectiveness of good corporate governance practices has received considerable attention by the financial literature. In the current global finance crisis, several practitioners, academic and regulators argue that mechanisms of corporate governance have not served their purpose to safeguard equitably the interest of stakeholders, increasing the corporate risk-taking without proper management. This research contributes to the empirical literature, analyzing the impact of board characteristics and the capital structure on corporate performance and corporate risk-taking, in two different economic contexts: in an economic growth and in an economic recession. The methodology implemented takes into account the bidirectional causality and addresses endogeneity problem using a simultaneous equations system with three-stage least squares estimation method. The results show that the effectiveness of the board is sensitive to the economic period and the capital structure leads to reduce the levels of corporate risk-taking during the crisis. This research suggests that good corporate governance mechanisms should mitigate excessive corporate risk-taking and protect the interest of stakeholders in both periods: before and during the global financial crisis.     

金融压力指数构建及其有效性检验——基于中国数据的实证分析

金融压力指数能较好地实时反映一国金融体系承受风险的压力状况,帮助决策者和市场参与各方及时准确地前瞻性评估潜在风险来临时可能承受的金融压力水平。根据各市场对整个金融体系的影响程度,利用CDF-信用加总权重法确定各指标权重,构建了包括银行、股票、外汇、保险四大市场的我国金融压力指数测度模型体系。实证研究表明,我国金融压力的阶段性特征明显,在国际金融危机发生时,往往伴随着高的金融压力;我国金融压力主要来自于银行部门,随着近年来我国银行治理水平提高和资本市场发展,银行部门压力指数正缓慢下降,股票市场压力却逐渐上升;外汇市场和保险市场压力指数长期保持在低位运行。有效性检验表明,来自我国FSI的冲击在滞后6个季度会对宏观经济产生显著的不利影响。     

An agency approach to debt maturity of unlisted and listed firms in the European setting

This study analyses the debt maturity of two groups of companies – unlisted and listed – throughout the period 2005–2013. The research takes an agency costs approach to explore the determinants of firms' debt maturity structure for a set of five countries, chosen for being representative of the European Union (France, Germany, Italy, Spain and the United Kingdom). Agency costs, as well as institutional and macroeconomic factors, turn out to be decisive in explaining firms’ financial policies regarding debt maturity, during the economic crisis that started in 2007–2008. Our findings indicate that contracting costs had a greater impact on unlisted firms during the post-crisis subperiod than on their listed counterparts. Additionally, the economic effect of this has been estimated, corroborating the overall findings of the study.     

Hybridizing logistic regression with product unit and RBF networks for accurate detection and prediction of banking crises

As the current crisis has painfully proved, the financial system plays a crucial role in economic development. Although the current crisis is being of an exceptional magnitude, financial crises are recurrent phenomena in modern financial systems. The literature offers several definitions of financial instability, but for our purposes we identity financial crisis with banking crisis as the most common example of financial instability. In this paper we introduce a novel model for detection and prediction of crises, based on the hybridization of a standard logistic regression with product unit (PU) neural networks and radial basis function (RBF) networks. These hybrid approaches are fully described in the paper, and applied to the detection and prediction of banking crises by using a large database of countries in the period 1981–1999. The proposed techniques are shown to perform better than other existing statistical and artificial intelligence methods in this problem.     

THE FAILURE TO PREDICT THE GREAT RECESSION—A VIEW THROUGH THE ROLE OF CREDIT

Much has been written about why economists failed to predict the latest crisis. Reading the literature, it seems that this crisis was so obvious that economists must have been blind not to see it coming. We approach this failure by looking at one of the key variables in this analysis, the evolution of credit. We compare the conclusions reached in the recent literature with those that could have been drawn from an ex‐ante analysis. We show that the effect of credit on the business cycle cannot be exploited from a policymaker's point of view.     

金融全球化、金融安全与金融演进——一个基于新兴古典范式的理论分析

本文运用新兴古典的分析范式 ,对金融全球化、金融安全和金融演进进行了一个深入细致的经济学考察和分析。本文认为 ,金融全球化是一股不可逆转的时代潮流 ,它是由分工演进和经济发展本身的逻辑所决定的 ,也是由金融本身的特点和演进逻辑决定的；对发展中国家而言 ,顺应金融全球化潮流、推进金融对外开放进程与保卫本国金融安全、维护本国金融利益始终是一对相伴相生的矛盾；要在一个全球化日甚的金融宏观背景下维护本国金融安全 ,关键在于实现金融创新的不断展开 ,而金融创新包括技术创新和制度创新两方面内容；文章最后探讨了维护我国直接…