系统风险联动分析:以股市和银行间债市为例

金融子市场间系统风险的联动是决定目前监管政策趋向的一个重要因素,本文以中国银行间债市面向非金融机构开放为例,基于我国金融市场分业监管的现状,对两个股市和银行间债券市场之间的波动联动性进行了实证检验,并在此基础上,试图基于分析结果对金融子市场之间的资金流动现状做出分析和判断。     

经济政策不确定性如何影响金融市场间的流动性协同运动？——基于中国金融周期的视角

金融市场间流动性出现高协同运动是发生危机传染的重要表现之一，因此，针对流动性动态联动效应的研究显得极为重要。本文基于中国金融市场数据测算了2003-2018年间我国股市、债市流动性，并对Colacito等（2011）的混频数据抽样动态条件相关系数模型（DCC-MIDAS）进行了扩展，同时从金融周期视角出发，运用扩展后的模型考察了经济不确定性在不同时间区间内对于流动性波动率和相关性是否存在不同的作用效果。研究结果表明，相较于单因子混频模型，引入经济政策不确定性的多因子混频模型可以更好地捕捉我国股债两市相关性的动态变化；同时，经济政策不确定性的提高会降低股债两市流动性的正相关性，但这一作用效果会在金融周期的拐点处转为加强两者的正相关性。本文不仅为讨论股债两市联动效应提供了流动性的新视角，也为金融市场风险监管提供了重要的参考依据。     

基于全球证券投资网络的中国金融影响力测评

金融市场的国际影响力是一国综合国力的重要组成部分，到目前为止，对一国金融市场的国际影响力进行系统性测评的指标体系还没有形成。本文基于国际货币基金组织（IMF）协调证券投资调查数据库公布的全球双边证券投资头寸数据编制了2017年6月“国家（地区）×国家（地区）”形式的全球证券投资头寸表，并以该表的数据为基础模拟了全球证券投资网络。然后采用社会网络与马尔可夫链分析方法，编制了金融影响力指数，系统考察了中国在全球证券市场的直接与潜在金融影响力。研究发现：全球证券交易以美国、卢森堡、英国、日本、法国、德国等发达国家为中心，中国金融影响力在全球排名第17位，尚未进入全球证券决策的核心，但已经成为全球证券市场中一支不可或缺的力量。     

Globalization,financial development and economic growth: Perils on the environmental sustainability of an emerging economy

The study examines the effects of globalization, financial development, economic growth, and energy consumption on environmental sustainability in India over the period 1980–2015. The novelty of the study is the assessment of environmental sustainability in a single framework encompassing globalization, financial development, and growth effects. Findings reveal that an increased level of globalization and financial development while improving economic performance are inimical to the sustainability of the environment. In the short-run, globalization, economic growth, and increased energy consumption are contributing directly to environmental degradation, while banking sector development is impacting environmental sustainability adversely through the economic growth channel. Given the severity of the findings amidst India’s tryst with economic growth, proactive policies are warranted to encourage adaptation of greener and cleaner technologies in environmentally sustainable areas. This necessitates improved institutional quality encompassing stringent environmental standards, legal systems, property rights, corruption, financial information quality, etc., alongside the provision of incentives and subsidies to manufacturing firms undertaking technological innovations and complying with the environmental standards.     

Changes in financial status influencing level of satisfaction in households

This study explores the impact of changes in family financial status over a four year period on level of satisfaction with various aspects of household finances. Data were collected through personal interviews with 123 families in 1982 and 1986. Information was obtained on household income, assets, liabilities, and on the satisfaction of the money managers with seven aspects of household finances. Two-tail pairedt-tests were used to compare differences in financial and satisfaction variables between the two time periods. Regression analyses were applied to ascertain factors affecting the satisfaction of the money managers. The financial status of households improved during the 4 year period as reflected by net worth. The mean net worth, with and without real estate, increased significantly during this time period. In spite of this improvement, money managers are less satisfied with various aspects of their household finances.This research was supported by the Iowa Agriculture and Home Economics Experiment Station Project No. 2773 (Journal Paper No. J-13098).Tahira K. Hira is a Professor and Alyce M. Fanslow is a Distinguished Professor in the College of Family and Consumer Sciences; Patricia Titus is an Instructor in the College of Education; all are at Iowa State University, Ames, IA 50011-1120. Dr. Hira's research interests include consumer bankruptcies and various aspects of household economic well-being Dr. Fanslow's and Dr. Titus' research interests include competencies of household money managers.     

Charging and Quasi-Markets in Community Care: Implications for Elderly People with Dementia

Social services authorities in the UK are increasingly involved in charging and fee collection activities with clients in receipt of community care services. This article explores the implications of these developments for elderly people with dementia. The starting point of the article is a critique of existing legal and administrative options for handling other people's money, including the difficulties and dilemmas raised for both paid and unpaid carers by the existing arrangements. This is then related to the failure of charging and fee collection systems which have developed as a result of the community care reforms to address the particular needs of elderly people with dementia. A case study of policies in one local authority is outlined and this is followed by the presentation of the view of 37 fieldlevel professionals who were interviewed in focus groups. The concerns of these respondents included the complexity of the assessment task, conflicts between care managers and finance/revenue staff, the difficulty of defining and responding to financial abuse, and dilemmas over the extent to which relatives and carers should be trusted. The final section of the article considers the implications of a move to quasi-markets in social care for elderly people with dementia, particularly in terms of their vulnerability to financial exploitation.     

对我国银行业资本充足监管法则的反思与建议

资本充足监管是防范与化解金融风险的一种重要制度.虽然这一法则在我国日益受到关注,银监会也对相关的法律规则进行了整合;然而,规则与中国金融业的本土资源性存有断层,同时与当今的资本充足监管规则之创新也存在脱节.因此,客观而公正地对我国银行业的资本充足监管法则进行反思具有重大的现实性意义.     

“一带一路”倡议下我国设立国际商事法庭的必要性

“一带一路”倡议对深化沿线各国商事交往提出了新的挑战,世界范围内现存的国际商事纠纷解决途径并不能满足处理“一带一路”倡议下可能产生国际商事纠纷的需要。结合“一带一路”倡议,通过对新加坡国际商事法庭和迪拜国际金融中心法院的研究,认为我国设立国际商事法庭有其必要性。必要性一方面在于国际商事法庭的自身优势,另一方面在于其可帮助我国处理不断激增的涉外案件、减少文化冲突等。     

国家养老金体系及其体制机制建设

进入老龄社会之后,OECD 国家政府养老金替代率开始降低、高龄老人附加养老金需求加大,一个“ 夯实政府养老金、增加雇主养老金、发展个人养老金”的国家养老金体系的发展战略和体制机制正在形成,以平衡各类单一养老金计划的风险和适度保持养老金的充足性,这是培育老龄人口消费能力的积极老龄化举措之一。 对典型国家养老金体制机制改革的回顾研究发现,不同福利模式下的国家养老金在建立之初有差异,且发展路径不同,但在体制机制方面的发展趋势却日趋一致。 OECD 国家在进入老龄社会之初(20 世纪 50 年代) ,快速发展政府养老金,并启动雇主养老金;在进入深度老龄社会之时,重点促进雇主养老金的发展,并启动个人养老金;在进入超级老龄社会之时,个人养老金快速发展。 中国应当按照老龄社会发展的时间表,从中央统筹基础养老金、促进雇主养老金、发展个人养老金 3 个方面建设国家养老金体系,创新管理体制和运行机制。     

Multi-modal tempered stable distributions and prosses with applications to finance

Abstract

The assumption of underlying return distribution plays an important role in asset pricing models. While the return distribution used in the traditional theories of asset pricing is the unimodal distribution, numerous studies which have investigated the empirical behavior of asset returns in financial markets use multi-modal distribution. We introduce a new parsimonious multi-modal distribution, referred to as the multi-modal tempered stable (MMTS) distribution. In this article we also generate the exponential Lévy market models and derive the value-at-risk (VaR) induced from them. To demonstrate the advantages, we will present the results of the parameter estimation and the VaRs for financial data.