房地产风险和中小金融机构风险是当前经济金融工作“三大风险”中的两个风险，而我国房地产市场供求关系的重大变化可能诱发地方性中小银行的风险事件。本文以2010年—2022年中国地级市层面的房价数据和地方性中小银行数据为样本，研究发现城市房价泡沫上升会产生风险“粉饰效应”，表现为降低地方性中小银行风险，但是房价泡沫破灭会导致中小银行风险持续上升。影响机制的结果发现，城市房价泡沫带来的抵押品价值效应和银行风险资产结构调整效应会降低中小银行风险，即提升中小银行客户抵押品价值、促进中小银行信用风险资产替代进而降低中小银行风险。异质性研究表明：房价泡沫上升对于地方性中小银行风险粉饰作用在城商行、省域内经营的地方性银行、银行业竞争度较低地区银行影响更大。进一步研究表明：城市房价泡沫会扭曲地方性中小银行的信贷投放行为，表现为更多的信贷资金流向金融资产和房地产行业，并没能够有效支持中小企业融资。本研究不仅有助于厘清房地产市场风险传溢的影响机理，还能够深化对于房地产风险-地方性中小银行风险-信贷扭曲影响逻辑的理解，从而为防范和化解系统性金融风险提供政策启示。

《巴黎气候协定》以及碳达峰、碳中和目标要求中国向低碳经济发展模式转型。本文以《巴黎气候协定》签署为事件冲击，采用连续型 DID 模型探究了区域低碳转型风险对银团贷款定价的影响。研究发现，自协定签署后，中国高碳排放地区的银团贷款存在显著为正的碳风险溢价；由于地区碳风险导致贷款违约风险上升，从而提高了企业贷款成本。此外，研究还发现：碳风险溢价的高低受地区自然环境和制度环境特征的影响；在法制化程度高的地区，银行因承担污染连带责任而提高对碳风险的重视程度，相应地提高了碳风险溢价；在产品市场发育程度高的地区，价格机制和竞争机制能够激励低碳产品生产和低碳技术研发，从而降低碳风险溢价；在发生气候灾害的地区，银行执行国家救济职能，会降低碳风险溢价；在森林覆盖率高的地区，碳中和更易实现，林业碳汇收益和碳汇抵押资产能够增加现金流并降低信用风险，从而降低碳风险溢价。本文研究对于推动中国区域低碳转型和降低企业融资成本具有重要的政策启示意义。

银行规模越大，其在甄别企业家经营能力上越不具有比较优势，为了防范企业家风险，大银行需要严格要求贷款企业的抵押品数量并对其施行严格的违约清算。大银行的这种融资特性导致其难以为中小企业提供有效的金融支持，但却能帮助大企业有效地节约信息成本、减少利息支出，大银行的融资特性与大企业的企业特性相互匹配。要从根本上缓解中小企业的融资约束，关键在于改善银行业结构，满足中小企业对小银行的金融需求，发挥小银行善于甄别企业家经营能力的比较优势，而不是通过行政干预要求大银行服务中小企业。在金融监管方面，由于不同规模银行的融资特性以及适合的融资对象皆存在系统性差异，对不同规模银行的监管也应当有所区别和侧重。

在财政预算约束下，地方政府普遍面临财权事权不平衡，需要预算外其他收入支持城市发展。本文将地方政府融资端和投资端结合起来进行研究，参考公司金融中资本结构相关文献，构建土地市场资本结构变量。根据实证研究发现，城投平台多元化投资对土地市场资本结构中土地抵押贷款占比具有显著正效应。进一步研究发现，多元化投资对土地市场资本结构的影响同地方政府特征具有紧密联系，政府对未来经济增长预期以及官员之间的关系均会通过多元化投资对土地市场资本结构产生影响。而通过对每个城投平台的研究发现，在土地市场资本结构中土地抵押贷款占比越高的地区，各城投平台多元化投资的规模越高，其破产风险越高，投资项目的失败率也越高。这一发现提醒我们，政府在参与产业投资时应注意其对土地市场的影响，避免土地市场资本结构中抵押贷款规模过高对城投平台造成不良影响。

We examine the role of borrowers' digital footprints in debt collection. Using a large sample of personal loans from a fintech lender in China, we find that the information acquired by the lender through borrowers' digital footprints can increase the repayment likelihood on delinquent loans by 18.5%. The effect can be explained by two channels: bonding borrowers' obligations with their social networks and locating borrowers' physical locations. Moreover, the lender is more likely to approve loan applications from borrowers with digital footprints, even though these borrowers may occasionally have a higher likelihood of delinquency. The use of digital footprints can remain legitimate under stringent privacy protection regulations and fair debt collection practices. Our findings suggest that digital footprints, as a new type of collateral, can ultimately enhance financial inclusion by facilitating the lender's collection of delinquent loans.

本文针对商业银行流动性风险国际监管框架的演变，探讨监管重点与流动性风险变化的互动关系，从而梳理出国际流动性风险监管的目的、手段和发展趋势，进而研究其对我国流动性风险监管实践的影响。 本文从分析商业银行流动性风险的成因入手，指出其根源是银行存款和贷款业务所形成的期限错配，因此这种风险是银行在经营活动中难以避免的。流动性风险区别于银行面临的其他风险的主要表现是其低频率、高损失的特点，这使得银行一旦面临流动性危机的打击就很难在短时间内恢复过来，所以必须引起银行管理层和监管机构的重视。从20世纪90年代起单一的流动性指标监管方法已经逐渐被综合的流动性风险管理体系所取代，但各国之间尚存在较大差异。 本文对次贷危机前美国、英国和东亚各国的流动性风险监管框架作了横向比较。经过比较后发现，在流动性风险监管体系中，存在两种不同的方法，即定性方法和定量方法。前者偏重在制度层面对银行进行指导以提高其流动性风险管理能力，而后者则偏重以硬性指标客观计量和评估流动性风险，两者互有优劣，不可偏废。相对来说，英美国家因为金融制度比较完善、人才水平较高，其监管机构以使用定性方法为主；而东亚各国由于金融发展水平较低，产品结构简单，从业人员水平参差不齐，所以更偏好使用定量方法。 当各国金融监管机构还在为如何在定性方法和定量方法之间进行取舍的时候，美国次贷危机和之后席卷全球的金融危机不期而至，这大大加快了流动性风险管理理念和监管实践的发展速度。作为次贷危机的受害者，本文深入分析了英国北岩银行（Northern Rock plc）的挤兑危机案例，对危机背景、银行的经营特点、事件经过和后续影响都作了较为细致的论述，并指出银行自身流动性风险管理不善是形成危机的主要原因，这表现在不合理的资产负债结构、期限错配、利率缺口以及内部控制的缺失。尽管北岩银行管理层对于流动性危机的发生负有不可推卸的责任，但是监管失败的教训同样发人深省，这间接促成了巴塞尔银行监管委员会（Basel Committee on Banking Supervision，以下简称巴塞尔委员会）制定后危机时代的流动性风险监督管理新框架。 本文回顾了历年巴塞尔委员会制定的流动性风险监管文件，将其大致分为次贷危机前和次贷危机后两大类。本文指出，巴塞尔委员会早期制定的流动性监管框架已经很难适应飞速发展的国际金融形势，面临诸多迫切需要解决的问题，包括融资渠道的变化、资产证券化、复杂金融工具的泛滥、抵押品的广泛应用、支付结算系统和日内流动性需求以及跨境资金流。在这些问题中，很大部分也同样存在于危机前的北岩银行，因此危机的爆发带有某种必然性。巴塞尔委员会在次贷危机后发布的《流动性风险管理和监督稳健原则》和《第三版巴塞尔协议：流动性风险计量、标准和监测的国际框架》奠定了第三版巴塞尔协议下国际流动性风险监管新框架的基石。前者制定的17项流动性风险监管新原则和后者引入的流动性覆盖率（Liquidity Coverage Ratio，简称LCR）和净稳定资金比例（Net Stable Funding Ratio，简称NSFR）两大指标分别从定性方法和定量方法两方面完善了现有的流动性风险监管框架，这也反映了未来国际流动性风险监管的趋势。 正如在本文开篇提到的，流动性风险是银行不可避免的风险，对于中国银行业来说，也不能置身事外。经过分析我国银行业的流动性风险现状，笔者认为我国银行的资产负债结构仍属传统，偏重以存款作为融资来源、以贷款作为盈利来源，因此长期流动性风险不容忽视而短期流动性风险尚属可控。同时，不同类型商业银行的流动性风险来源也有所不同。此外，国内银行的流动性风险管理水平也有待提高。与巴塞尔协议类似，在次贷危机前后，我国的流动性风险监管框架也有了质的飞跃，这主要归功于中国银监会颁布的《中国银行业实施新监管标准的指导意见》、《商业银行流动性风险管理指引》和《商业银行流动性风险管理办法（试行）》（征求意见稿）。这些法规系统性地借鉴巴塞尔委员会的先进经验，辅以本地化的监测工具，从而形成了兼顾定性方法和定量方法的有中国特色的流动性风险监督管理新框架。 本文最后指出，无论是定性方法还是定量方法，在流动性风险监管中都起着举足轻重的作用，两者不可偏废。监管机构在设计流动性风险监管框架并实施现场或非现场监管时，应灵活运用定性方法和定量方法并结合压力情景评估银行的流动性风险，这样才能全面有效地实施流动性风险监管，避免系统性的流动性危机。另外，本文还建议我国监管机构在本地化国际流动性风险监管框架方面做更多尝试。 With respect to the evolution of the international supervision framework for commercial bank’s liquidity risk, this article aims to discuss the interaction between the regulatory focuses and the diversification of liquidity risk, in order to sort out the purposes, approaches and development trends of the international supervision on liquidity risk and their impacts on China’s supervision practice of liquidity risk. In regard to the causes of commercial bank’s liquidity risk, this article points out that the mismatch of maturity between the bank’s deposits and loans is the fundamental reason. Such risk is inevitable when conducting banking business. The features of liquidity risk (i.e. low frequency but extremely severe) distinguish itself from other risks that the bank faces, which hinders the bank from a quick recovery after being stricken by a liquidity crisis. Therefore, both the bank management and the regulators must draw their attentions to it. From 1990s, the monitoring method of single indicator has been gradually replaced with the comprehensive liquidity risk management system. However, there are still big variances between different countries. This article compares the framework for liquidity risk supervision between the United States, the United Kingdom and the East Asian countries prior to the subprime mortgage crisis. It is noted after comparison that there are two different approaches in the liquidity risk supervision system, namely the qualitative approach and the quantitative approach. The former emphasizes improving the bank’s liquidity risk management skill by guiding the bank from governance perspective, while the latter prefers measuring and evaluating the liquidity risk by means of objective indicators. Each of these two approaches has its pros and cons that neither should be overemphasized at the expense of the other. Relatively speaking, the Anglo-American countries prefer qualitative approaches due to their mature financial system as well as professional practitioners. By contrast, East Asian countries rely on quantitative approach because of their under-developing financial system, simple product structure and less experienced practitioners. When the financial regulators in various countries were still wondering whether to adopt the qualitative approach or the quantitative approach, the subprime mortgage crisis occurred in the United States and thereafter became a global financial crisis. This crisis accelerated the development of the management theory and the supervision practice of liquidity risk. This article analyzes the bank run on Northern Rock plc (the Bank) in the United Kingdom, a victim of the subprime mortgage crisis, by elaborating the crisis background, the business features of the Bank, the incident course as well as the subsequent impacts. The major cause of the bank run was the Bank’s own mismanagement of its liquidity risk, which included unbalanced structure of assets and liabilities, maturity mismatch, interest rate gap and ineffective internal control as well. Although the management of the Bank bore the ultimate responsibility for this liquidity crisis, the lesson of the supervision failure was thought-provoking. It also indirectly led to the renewed framework for the post-crisis liquidity risk management and supervision by the Basel Committee on Banking Supervision (the Basel Committee). This article reviews the historical documents of liquidity risk supervision that were formulated by the Basel Committee and divides them into two categories, i.e. before and after the subprime mortgage crisis. This article points out that the framework for liquidity risk supervision which was established by the Basel Committee at the early stage could no longer meet the rapid development of the international financial environment and faced many problems which need be solved urgently. These problems included the change of financing channels, asset securitization, misapplication of complex financial instruments, extensive use of collaterals, payment-settlement system, demand for intraday liquidity and cross-border cash flow. Northern Rock plc had most of these problems prior to its bank run crisis. Therefore, the crisis was with certain inevitability. After the subprime mortgage crisis, the Basel Committee issued “Principles for Sound Liquidity Risk Management and Supervision” and “Basel III: International Framework for Liquidity Risk Measurement, Standards and Monitoring” which laid the foundation of the renewed international framework for the liquidity risk supervision under Basel III. The former defines 17 new principles of liquidity risk supervision whilst the latter introduces two key indicators, i.e. the Liquidity Coverage Ratio (LCR) and the Net Stable Funding Ratio (NSFR). Both of the two foundational documents improve the existing framework for liquidity risk supervision from qualitative and quantitative aspects respectively. They also reflect the trends of international liquidity risk supervision. As mentioned at the beginning of this article, the liquidity risk is inevitable to all banks including the China’s banks. Based on the analysis of the status quo of the Chinese banks’ liquidity risk, the author draws the conclusion that the structures of assets and liabilities of the China’s banks are traditional, i.e. the deposits are the source of financing while the loans are the source of profit. Hence, their long-term liquidity risk cannot be ignored whilst their short-term liquidity risk is still under control. In addition, the liquidity risk management skills of the China’s banks need further improvement. Similar to the Basel Accord, the China Banking Regulatory Commission (the CBRC) promulgated “Guidance Opinions on the Implementation of the New Supervisory Standards of Basel III in China Banking Sector”, “Guidelines on Liquidity Risk Management for Commercial Banks” and “Administrative Measures on Liquidity Risk Management for Commercial Banks (Trial) (Draft for Consultation)” right after the subprime mortgage crisis, which made great improvement in the framework for liquidity risk supervision in China. By referring to the advanced experiences of the Basel Committee, together with the help of the localized monitoring tools, these regulations forms a new framework for liquidity risk management and supervision with Chinese characteristics which takes into account both the qualitative and quantitative approaches. Finally, this article reminds that both the qualitative and quantitative approaches play equally important roles in the field of liquidity risk supervision that neither of them is dispensable. When designing the framework for liquidity risk supervision and conducting the on-site or off-site inspections, the regulators should apply flexibility in the use of qualitative and quantitative approaches and attach importance to the stress scenarios to assess the bank’s liquidity risk. By this means, comprehensive and effective supervision on liquidity risk can be achieved to prevent systemic liquidity crisis. Furthermore, it is suggested that the domestic regulators should make more efforts to localize the international framework for liquidity risk supervision.

日本在2001年3月引入了“量化宽松”政策，为了达到政策目标，日本银行采取了很多具体的操作方法。本文通过细致分析日本银行所使用的具体操作方式，发现日本银行不仅对国债和抵押资产证券进行操作，而且将买入汇票和外汇干预都作为政策实施的重要手段。然后，通过将日本银行的操作与美联储“量化宽松”政策中所使用的方法进行了对比，本文发现，虽然在操作中介目标、操作方法等方面存在差异，但两个央行都将流动性以准备金的方式留在银行体系内，没有明显增加流通中的现金，致使货币创造能力下降。最后从两国金融体系、贸易部门重要性和货币的国际地位等角度分析了两国操作方式差异的原因。

本文采用高频数据对中国权证价格偏离的要因进行了全面的分析。研究结果表明： 影响中国权证价格偏离的主要因素分别是：创设抵押保证金带来的交易成本、投资者异 质信念导致的投机行为、卖空机制的缺失以及权证处于深度价内或价外的状态。带来权 证价格系统性偏离的主要原因，一方面是由于投资者的异质信念导致的投机行为所致， 而更主要的是我国权证天生的产品”缺陷”以及过于严格的创设制度所致。特别是对于认 沽权证来说，在样本期内其理论价值几乎为零，导致了抵押保证金带来的交易成本在其 价格偏离中占据了重要的比例。处于深度价内的认购权证以及处于深度价外的认沽权 证，其作为避险工具的作用几乎丧失，最终沦为投机的工具，导致了其价格的进一步偏 离。本文认为，导致这些现象的主要原因是我国不合理的创设机制产生的权证产品“缺 陷”所致，而不能将责任一味地归结为投机行为。

本文在包含借贷约束的动态随机一般均衡模型中，从定量的角度，探讨日本地产 价格与货币政策的关系，得到的结论是，如果央行同样地看重稳定产出和稳定价格水平这两 项目标， 与传统的泰勒规则相比， 盯住地产价格的货币政策可以将产出波动减少一半。 因此， 盯住地产价格的货币政策有助于稳定宏观经济。

本文基于银行与小企业有限理性的假设，运用演化经济学的非对称进化博弈方法分析了小企业融资问题，认为企业能否得到贷款与银行等金融机构的规模无关，而与企业项目的成功概率、抵押物的变现净额、企业贷款申请成本等高度相关，在此基础上提出了解决小企业融资问题重点应放在建立利于小企业股权融资的金融体系与制度环境、大力发展小企业融资担保体系、降低小企业融资成本等政策建议。