随着VaR模型的不断创新，各类VaR模型的比较技术也由采用单一的回顾测试转变为设计一套较完整的比较评价体系来进行比较研究。近十年来，通过将指标评价工具、假设检验工具和比较评价工具三类VaR模型的比较工具进行不同的组合，学术界涌现出了大量相关的理论和实证文献。本文尝试对其进行较全面的回顾，并结合中国实际进行初步探索。

本文基于格兰杰因果检验方法和MGARCH-BEKK模型，检验人民币即期外汇市场与境外期货市场、境外NDF市场之间的信息流动关系。结果表明：境外期货市场对即期市场不具有任何溢出效应，期货市场的建立并未对即期市场的稳定性产生影响；境外NDF市场对即期市场存在显著的报酬溢出效应；即期市场对境外各衍生市场仅具有滞后的报酬溢出效应，在价格变动上被境外NDF市场所引导；但在波动溢出效应方面，市场信息则由即期市场向各境外衍生市场单向传递。在一个市场中，境外NDF市场的价格引导力量强于即期市场和期货市场，处于市场价格信息的中心地位。

根据Van Norden和Schaller的周期性破灭型投机泡沫模型，本文建立了一个马尔可夫区制转换模型对我国沪市周期性破灭型投机泡沫的存在性问题进行实证研究。结果表明，上证综合指数月度超额收益率的变化可以明确划分为泡沫生存和泡沫破灭两个状态，且沪市投机泡沫特征显著符合周期性破灭型投机泡沫模型。在此基础上，本文提出了相应的政策建议。

自70年代以来，通货膨胀和相对价格波动之间的相关关系引起了国外学术界的普遍关注。若通货膨胀和相对价格波动存在相关关系，则微观层面的相对价格波动将藉由通货膨胀渠道对宏观经济产生影响。本文在国外研究的基础上，检验了中国经济中，预期到的通货膨胀、未预期到的通货膨胀、通货膨胀变化率和相对价格波动性之间的相关关系，并分析了其理论和实际含义。而后通过建立VAR模型，分析了通货膨胀-相对价格波动在宏观经济系统内的传导关系，并分析了传导效应的持久性。

本文研究在不同控制权和经营环境下的投资者关系管理水平对公司价值的影响。将样本公司依据投资者关系管理水平和是否发布盈利预测划分子样本，结果表明，高IRM公司比低IRM公司具有更高的积累异常收益，发布盈利预测的公司比未发布盈利预测的公司具有更高的积累异常收益，而高IRM公司中提前发布盈利预测的公司市值损失最小。在考察投资者关系管理水平与股权结构的互相作用时发现，股权集中度对投资者关系管理水平具有负效应，而股权制衡度对于公司的决策和管理所能发挥的作用并不显著，无法有效起到制衡的作用。

本文通过在Taylor展开式基础上构建的嵌套logistic模型，研究最终控制人所有 权、控制权、两权分离以及最终控制人类型等信息对企业财务失败预警的影响。基于采用配对方法选择的研究样本的实证结果显示嵌套模型具有更高的拟合优度、更好的预警功效以及更强的稳健性。更为重要的是，研究发现，传统上对财务比率与企业财务失败预警之间存在稳定关系的理解并不成立，两者间关系取决于企业最终控制人的所有权和控制权结构以及最终控制人的类型，而导致稳定关系发生变化的主要原因是最终控制人为实现利益输送而采取的盈余管理行为。研究结论为上市公司所有权改革，增强财务信息透明度和质量提供了新的经验证据。

he paper assesses the vulnerability of China to external shocks via the indirect negative effect of a slow-down in exports on domestic demand for investment. In the last decade China has increased its dependence on external demand, particularly from the advanced countries; at the same time it has become a primary destination market for goods produced in the rest of emerging Asia. Since 2001 investment expenditures have represented a key driver of Chinese GDP growth; as a very large share of activity in the manufacturing sector is export oriented, we expect fixed capital investment in this sector to be highly related to exports. Overcoming serious shortcomings in available data, we estimate an investment equation for the period 1993-2006 and find an elasticity of investment to exports in the manufacturing sector in the range between 0.9 and 1. Taking into account the dominant contribution of capital accumulation to Chinese GDP growth, we conclude that the growth effects of an external demand shock could become significant when taking into account the domestic investment channel.

The Chinese state owned enterprises (SOEs) have become quite profitable recently. As the largest shareholder, the state has not asked SOEs to pay dividends in the past. Therefore, some have suggested that the state should ask SOEs to pay dividends. Indeed, the Chinese government has adopted this policy advice and started to demand dividend payment starting from 2008. While we do not question the soundness of the dividend policy, the point we raise is whether those profits are real if all costs owned by SOEs are properly accounted for. Among other things, we are interested in investigating whether the profits of SOEs would still be as large as they claim if they were to pay a market interest rate. Using a representative sample of corporate China, we find that the costs of financing for SOEs are significantly lower than for other companies after controlling for some fundamental factors for profitability and individual firm characteristics. In addition, our estimates show that if SOEs were to pay a market interest rate, their existing profits would be entirely wiped out. Our findings suggest that SOEs are still benefiting from credit subsidies and they are not yet subject to the market interest rates. In an environment where credit rights are not fully respected, dividend policy, though important, should come second and not first. Keywords:

This paper analyzes empirically what explains the low profitability of Chinese banks for the period 1997-2004. We find that better capitalized banks tend to be more profitable. The same is true for banks with a relatively larger share of deposits and for more X-efficient banks. In addition, a less concentrated banking system increases bank profitability, which basically reflects that the four state-owned commercial banks - China’s largest banks - have been the main drag for system’s profitability. We find the same negative influence for China’s development banks (so called Policy Banks), which are fully state-owned. Instead, more market oriented banks, such as joint-stock commercial banks, tend to be more profitable, which again points to the influence of government intervention in explaining bank performance in China. These findings should not come as a surprise for a banking system which has long been functioning as a mechanism for transferring huge savings to meet public policy goals.

Vertical fragmentation of product value chain across borders is the driving force of growing economic interdependency in East Asia. A common currency, not flexible exchange rates between national currencies, would reduce flexibility in relative prices within East Asia. Its impact would be far greater for exports that have stronger production network linkage. In order to test the hypothesis, the paper estimates the effect of a common currency on China's processing and ordinary exports separately. The distinction is necessary because the processing exports, unlike the ordinary exports, are produced along the regional production networks, with final stages of assembly and exporting being increasingly concentrated in China. The short-run dynamics indicate that the effect on China's processing exports is more than double the corresponding effect on China's ordinary exports. The long-run effect on the processing exports of intra-regional RER flexibility, which is otherwise the lack of a regional currency, is almost nine times as large as the long-run effect of a unilateral RMB appreciation. By contrast, the corresponding long-run effect is statistically insignificant for the case of ordinary exports that are produced primarily by using local inputs. The long-run coefficient of this intra-regional RER flexibility implies that the actual volume of processing exports is 20 percent below the potential. The magnitudes of these effects are consistent with the hypothesis that a common currency would further integrate East Asian production networks and promote regional economic integration.