本文从产业政策的视角深入探讨了企业聘请具有商业银行背景的人士担任公司董事（银行关联）的动机及其对债务融资的影响。论文发现，不属于产业政策支持行业的企业更有动机去建立银行关联。论文还发现，企业建立银行关联能够显著增加企业的银行借款总额和长期借款。对于不属于产业政策支持行业的企业而言，建立银行关联会显著减少其长期借款水平，以应对产业政策对长期债务融资的限制。但是，企业建立银行关联并不会显著降低银行借款成本。进一步的分析还表明，对于不属于产业政策支持行业的企业而言，政治关联与银行关联发挥互补作用，有助于缓解企业融资约束。本文的研究结论为理解企业如何突破制度约束所带来的发展瓶颈提供了一个合理的视角。

基于上市公司实际控制人的政治关联本文实证检验中国银行业改革是否成功。选择2003-2012年中国上市公司年度数据，分别采用OLS回归模型、固定效应面板回归模型和随机效应面板回归模型从银行贷款可获得性、银行贷款数量和银行贷款结构三个维度进行实证分析，实证结果表明中国上市公司实际控制人的政治关联并不显著地正向影响银行贷款，甚至为显著负向影响。最后通过上市公司财务信息、银行贷款余额、上市公司融资偏好和商业信用四个方面进行稳健性检验。因此，从政治关联的角度来看，中国银行业改革是成功的。

本文从产业政策的视角深入探讨了企业聘请具有商业银行背景的人士担任公司董事（银行关联）的动机及其对债务融资的影响。论文发现，不属于产业政策支持行业的企业更有动机去建立银行关联。论文还发现，企业建立银行关联能够显著增加企业的银行借款总额和长期借款。对于不属于产业政策支持行业的企业而言，建立银行关联会显著减少其长期借款水平，以应对产业政策对长期债务融资的限制。但是，企业建立银行关联并不会显著降低银行借款成本。进一步的分析还表明，对于不属于产业政策支持行业的企业而言，政治关联与银行关联发挥互补作用，有助于缓解企业融资约束。本文的研究结论为理解企业如何突破制度约束所带来的发展瓶颈提供了一个合理的视角。

自2006年以来，我国上市公司推出的股权激励计划都是业绩型股权激励。我们发现，这些股权激励计划中的行权业绩条件主要集中在加权平均净资产收益率（ROE）和净利润增长率（NIG）两项会计业绩指标上，且对它们所要求的业绩水平分别集中在“10%”和 “20%”上，形成了有趣的“10%/20%”现象。这到底是企业盈利能力的真实期望还是从众效应之结果呢？本文通过将行权业绩条件与推出股权激励计划公司自身往期、所在行业往期以及推出计划前分析师盈利预测等进行比较后发现，“10%/20%”并非推出股权激励计划公司盈利能力的真实期望和合理反映，而是从众效应之结果。本文还发现，这一从众效应与证监会的股权激励计划备案制及对股权再融资等的长期监管存在一定关联。

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.

运用2007年1月- 2012年2月，62个月间的钢铁价格及相关数据, 运用单位根检验、协整分析、VECM 模型,对影响钢铁价格的各因素进行了实证研究。实证结果表明, 影响钢铁价格的主要因素有钢铁产量、进口铁矿石价格、货币供给量、房地产投资额、汽车产量, 这些变量所构成的钢铁价格检验模型精确度较高, 能够较好地解释钢铁价格的变化; 同时, 各个变量和钢铁价格的综合长短期关系要好于长期关系。该模型定量测量了各影响因素对钢铁价格的影响权重及大小, 以期为宏观调控部门影响和调控钢铁价格提供借鉴。

本文回顾了中国、欧洲、美国三地关于风险投资（VC）收益及其影响因素与影响机制的相关文献，发现：（1）中国VC收益高于欧、美同行，但在“收益影响因素与影响机制”方面却处于相对劣势，并从三个角度对该“矛盾”予以了解释；（2）VC收益（至少在美国）总是高于同期股指收益；（3）“高风险、高收益”在VC行业并未得到证实。最后，本文指出了VC组合投资策略的八种研究思路。

基于广义超越对数函数，本文考察了 2006-2011 年间国内 76 家综合型证券公司 业务经营的范围经济效应。 研究结果显示， 国内证券公司经营过程中普遍存在范围经济效应， 并且大型证券公司的范围经济效应比中小型证券公司高。 为此， 本文提出证券监管部门应该 鼓励证券公司进行业务创新，减少对证券公司业务开展的限制；鼓励证券公司之间的兼并。 证券公司应该加快金融创新的步伐，不断开发新的产品，完善内部管理机制。

信贷自主和贷款利率市场化改革导致中国银行业竞争格局逐渐形成，中国银行机构面临巨大挑战。本文 在多投入多产出系统下估计了银行 Lerner 指数值，并利用面板门限回归技术对中国银行业 1998-2010 年具代表性的 14 家银行的竞争与稳定性关系进行了实证检验。结果表明：（1）银行贷款市场管制的不断放松促进了价格竞争格 局的形成。（2）银行竞争对银行稳定性具有门限效应，仅在高市场力下显著，且并不否定非线性关系的存在；（3） 市场力在信用风险和银行整体风险上的影响并不必然一致。

在各种因素的影响下，商业银行业面临着日益严重的操作风险，这就对银行业操作风险计量的 可靠性也提出了更高的要求，但商业银行业操作风险损失数据的缺乏始终影响着计量的准确性。针对 这个问题，本文将非寿险领域的半线性信度理论运用于操作风险估计，并改进了极值分布估计中阈值 的确定方法。通过半线性信度理论把商业银行自身的操作风险损失数据与行业内其它银行的外部损失 数据相结合进行建模分析，在一定程度上解决了数据缺乏问题。利用中国商业银行1990-2010 年的损 失数据对样本银行的操作风险进行了实证分析，估算了样本银行应配置的操作风险资本金，为监管部 门测算风险资本提供参考。