利率市场化对商业银行经营绩效的影响——基于动态GMM模型的实证分析

利率市场化改革通过多种渠道影响商业银行的经营绩效,商业 银行为适应利率市场化改革也朝多元化经营方向发展。为探求利率市场 化及商业银行收入结构变化对其经营绩效的影响程度,选取我国2006— 2015年68家商业银行的非平衡面板数据,建立动态面板数据模型进行实 证检验。研究结果表明,利率市场化对商业银行绩效有显著的负面效应 ,且城市商业银行受到的负面冲击最为明显,但商业银行收入结构的改 变对其经营绩效的影响并不明显,风险控制与管理水平是商业银行经营 绩效的重要影响因素。商业银行应推动金融创新,走符合自身的差异化 发展道路,积极拓展除佣金和手续费以外的非利息业务收入,紧密依托 互联网和大数据,以有效提高商业银行的经营绩效。     

模糊厌恶下关系型借贷定价和最优贷款利率

考虑决策者是模糊厌恶的,利用实物期权方法,解析地给出了银行价值,企业价值和最优停贷水平。分析了模糊厌恶和基准波动率对最优贷款利率,最优停贷水平,企业价值和银行价值的影响。数值分析表明：模糊厌恶提高了贷款利率,降低了企业和银行价值。在基准波动率水平较小时,模糊厌恶推迟了停贷水平;在基准波动率较大时,模糊厌恶加速了停贷水平。此外,在模糊中性下,企业价值是基准波动率凸函数,银行价值是基准波动率凹函数。而在模糊厌恶下,企业价值和银行价值都随着基准波动率的增加而递减。本文从行为金融角度为中小企业"融资贵"提供了新的解释。     

基于过度外推的资产定价

基于卢卡斯纯交换经济模型和部分信息假设,研究了消费者在学习过程中表现的过度外推信念偏差对市场均衡和资产价格的影响.研究发现基于较低的风险厌恶系数,代表性消费者的过度外推信念偏差不但降低了无风险利率,而且提高了风险溢价和风险资产收益率的波动性.因此,研究结论在统一的框架内为“股权溢价之谜”、“利率之谜”和“波动之谜”提供了理论解释。     

中国关税有效保护率的动态变迁

全球价值链分工和区域贸易自由化的发展对有效保护率的测度提出了新的挑战.基于全球多区域投入产出框架,通过构建新的有效保护率测度方法,整理双边产业关税数据库,揭示了中国关税有效保护率的新发展趋势,并就中美贸易摩擦及其可能的应对情景进行了模拟分析.研究表明:2000年~2014年,中国的总体有效保护率从22.25%下降至12.56%,中国国内生产者面临的国际竞争正日益增强.产业的有效保护率水平与产业增加值占GDP比重变化呈正相关关系,关税的资源配置效应明显.但有效保护率的产业间差异呈缩小趋势,借助关税政策引导产业间资源配置的政策空间在缩窄.中美贸易摩擦会提升中国化学原料及其制品业的有效保护率,为供给侧改革带来不利影响,同时也会降低具有劳动密集型特征的纺织品、服装和皮革制品业的有效保护率,从而对就业造成冲击.不论中国加入CPTPP还是RECP,均可以一定程度上平抑中美贸易摩擦在一些产业引起的有效保护率变化,有助于缓解中美贸易摩擦的负面影响.     

化被动为主动:共享型领导对员工主动变革行为的影响及作用机制研究

如何让员工将其工作角色外的行为,如主动变革行为,视为其角色内的行为越来越受到学者和管理者的关注。主动变革行为是指个体通过自愿的和建设性的努力来影响组织功能改变的行为,属于一种挑战性的组织公民行为。尽管以往研究对员工主动变革行为的影响因素进行了一些探讨,但主要聚焦于正式垂直领导和个体因素,鲜有研究关注团队情景因素对其的作用效果。通过问卷调查法,以69个部门和262名员工的配对数据为样本,本研究考察了共享型领导对员工主动变革行为的影响及作用机制。跨层次分析结果表明:(1)共享型领导对员工主动变革行为有积极影响;(2)主动变革行为的角色定义与和谐工作激情会分别中介共享型领导与员工主动变革行为之间的关系;(3)领导-成员交换质量会分别调节共享型领导与员工角色宽度自我效能与和谐工作激情之间的关系,领导-成员交换质量越高,共享型领导对员工角色宽度自我效能与和谐工作激情的积极作用越显著;(4)领导-成员交换质量会调节共享型领导通过角色宽度自我效能对员工主动变革行为的间接作用,领导-成员交换质量越高,这一间接作用越显著。     

Valuation of contingent claims with stochastic interest rate and mortality driven by Lévy processes

Abstract

In this paper, we consider a model with stochastic interest rate and stochastic mortality, which is driven by a Lévy process. Under the assumption that the stochastic mortality and interest rate are dependent, we discuss the valuation of life insurance contracts. Employing the method of change of measure together with the Bayes’ rule, we present the pricing formulas in closed form for the survival and death benefit models. Finally, numerical experiments illustrate the effects of some parameters.     

The Effect of Viewing a Landscape on Physiological Health of Elderly Women

Abstract

A quasi-experiment was undertaken to measure physiological characteristics of elderly women as they viewed different landscapes. Blood pressure and heart rate were monitored as elderly women living in a retirement centre viewed a natural landscape, a built landscape, and a control room with no view to the outside. Other characteristics of the individuals and the settings that have been shown to affect blood pressure and heart rate were controlled. The results indicated that, in all cases, viewing the natural landscape resulted in lower systolic and diastolic blood pressures and lower heart rates than those measured in the control room. Viewing the built landscape also had the general effect of lowering blood pressures and heart rates, but the effect was less consistent and the magnitude was smaller than that caused by the natural landscape. Lowering of blood pressure and heart rate have both been shown to be positively correlated with increased health and well-being, indicating the benefit of simply viewing a landscape. These results have important implications for design of housing for the elderly. Even if individuals are unable or unwilling to go outside, they can still benefit from seeing out into a landscape.     

提升广州对外文化影响力的思考

提升广州文化软实力是走新型城市化道路的必然趋势,是建设国家中心城市、培育世界文化名城的重要路径。以"策源地文化"为主线创新与建设广州对外文化交流平台和载体,有利于凸显作为国家中心城市的广州,在对外文化交流与合作中的地位与作用,为广州建设国家中心城市及培育世界文化名城做出贡献。     

Interorganizational Groups in Human Services: Environmental and Interpersonal Relationships

Despite the frequent use of interorganizational groups in human services, their performance tends to be uneven. A dual focus on both environmental and interpersonal dimensions is required to understand variations in the development and outcomes of these groups. The author proposes a conceputal framework, grounded in open systems theory, exchange theory, and small group theory, to integrate both external and internal perspectives. Four types of interorganizational groups are identified based on their origin (mandated vs. voluntary) and the source of task structure (externally directed vs. internally developed). The four group types are illustrated with scenarios that highlight potential benefits and concerns. Characteristics of each group type are discussed. Further, administrative and policy guidelines are suggested for improving the performance of each type of group.     

扩散过程进行速率的计算及讨论

基于非平衡系统的局域平衡假设，参照扩散不可逆过程中熵流密度与局域熵产生率的计算，对扩散过程中系统的自由能和吉布斯函数的流密度与局域自由能和吉布斯函数减小率进行了计算，并把它们和熵增加率作了比较和讨论．这些计算和讨论对用辅助热力学函数来研究不可逆过程进行的速率问题提供有益的参考．