以巴塞尔委员会成立至新巴塞尔协议发布为研究的时间区间，在考察国际市场风险监管发展演变的基础上，整理出一个新协议实施后的国际市场风险监管框架。并在此基础上得出对我国银行业市场风险管理的几点启示。

How corporate growth affects the choice between relationship-based debt and public debt remains an unsettled issue in the literature. For high-growth firms, the banking relationship mitigates asset-substitution and underinvestment problems due to debt financing. Close relationships, however, work against funding competition and facilitate holdup behavior by banks. This paper suggests an effective mechanism for high-growth firms, namely competition from equity, to curb banks’ rent extraction when public debt becomes more costly. According to the generalized Myers-Majluf view in the recent literature, new equity issues by high-growth firms actually reduce or even reverse the adverse-selection discount because asymmetric information about these firms’ valuations arise largely from growth rather than from assets-in-place. Our evidence from Japanese data for 1983 to 1997 shows that the relation between loan-to-debt ratio and growth, initially significantly negative, is indeed reversed toward the high end of growth spectrum and turns significantly positive. Consistent with our explanation, fast-growing high-flyers raise more new equity than do other firms. These results not only confirm the existence of both costs and benefits of monitored debt, but also explain why high-growth firms enjoy the benefits without fearing holdup behavior by banks.

? LCAPM (基于流动性风险的CAPM模型) 是Acharya and Pedersen (2005) 提出的，它将流动性风险可能影响资产价格多种方式纳入一个统一框架。本文利用LCAPM对中国股市进行检验，在该模型中，证券的收益依赖于它的期望流动性及其与收益(包括个股与市场收益)之间的协方差。检验结果发现，我国股市的风险升水在大盘升降区间体现了不同的特征；无论在总区间还是分时段，LCAPM 都能更好的拟合资产收益；进一步的稳健性检验依然得到同样结论。这说明流动性在我国股市的资产定价上有重要影响。

本文运用西方经济学的供需理论，分析了中国金融制度变迁的需求、供给以及均衡特点，由此得出中国金融制度变迁得轨迹是国家效用函数和政治银行家的个人效用函数的统一。

事件研究是一种重要的研究方法，通过对事件发生前后一段时间内股票价格变化的研究，既可以估计某一特定事件的影响程度，也可以检验市场的有效性程度。本文采用“事件研究”方法来研究宏观政策对上海股市的影响和上海股市的有效性，得出结论：政策对上海股市短期内股价走势有显著影响，上海股市尚未达到半强式有效。

We investigate how the market for corporate control (external governance) and shareholder activism (internal governance) interact. Looking at equity prices from 1990 to 2001, we find that these mechanisms are strong complements. A portfolio that buys firms with the highest level of takeover vulnerability and shorts firms with the lowest level of takeover vulnerability generates an annualized abnormal return of 10 - 15% only when public pension fund (blockholder) ownership is high as well. A similar portfolio created to mimic the importance of internal governance generates annualized abnormal returns of 8%, though only in the presence of ‘high’ vulnerability to takeovers. Further, we show that the complementary relation exists for firms with lower industry-adjusted leverage and is stronger for smaller firms. The complementary relation is confirmed using accounting measures of profitability. Using data on acquisitions, firm level Q’s and accounting performance, we explore possible interpretations, providing preliminary evidence for a risk effect as well.

本文应用模型EGARCH(1,1)-GED和GARCH(1,1)-N计算了深圳股票市场成份指数的日对数回报VaR值，通过后验测试和统计分析表明，对深圳成份指数的波动性分析，模型EGARCH(1,1)-GED优于GARCH(1,1)-N。在此分析结果的基础上，文中进一步分析了深圳股票市场的系统性风险并提出了相关结论与政策建议。

本文用购买力平价、外汇的影子价格和因素回归三种不同的方法，估计了人民币和美元的均衡汇率。购买力平价和因素回归两种方法估计的人民币均衡汇率，有相似之处。它们的估计结果都表明，1985年以前人民币汇率存在长期高估的现象，1985年以后则出现高估和低估交替出现的现象，并且人民币高估或低估的平均幅度有所缩小。影子价格方法包括关税和配额两种类型，估计结果表明，现实的人民币汇率介于用这两种类型估计的均衡汇率之间。

个人信用制度作为管理、监督和保障个人信用活动的一系列有机组成的制度体系对于挖掘个人信用资源、开展个人信用业务有着积极的促进作用。当前我国商业银行的改革、业务的拓展以及规范市场经济行为本身都对我国个人信用体系的建立和完善提出了新的要求。本文结合我国当前个人信用发展的实践和国外个人信用制度的建立、运行提出了一些具有针对性的操作建议，以期对个人信用制度在我国的完善提供帮助。

游程检验是检验股价变化相关性的方法之一，通常用来检验市场的弱式有效性。本文首先介绍了游程检验的基本方法和原理，然后根据我国股市交易制度的变化，将我国股市发展分为三个阶段，运用游程检验分别对三个阶段股市的弱式有效性进行了检验。得出结论为：自92年5月起，我国股市基本达到弱式有效，且股市有效性在不断加强。