• 详情 Short-Term and Long-Term Effects of Chinese and Global Economic Policy Uncertainty and Geopolitical Risks on Chinese Tourism
    This paper focuses on how Chinese and global economic policy uncertainties (CNEPU and GEPU) and geopolitical risks (CNGPR and GGPR) affect the growth of inbound tourism in China using ARDL and NARDL models as well as monthly series of Chinese inbound tourism revenue and arrivals. Firstly, we find significant effects of CNGPR and GGPR as well as GEPU on the growth of inbound tourism in Hainan Province and even in China nationwide, while the impact of CNEPU is limited. Among them, GEPU always has a significant long-term negative impact on inbound tourism growth (both inbound tourism revenue and inbound tourism arrivals). However, CNGPR has a significant short-term negative impact on inbound tourism growth in China nationwide but it has a significant long-term negative impact on inbound tourism growth in Hainan Province. Besides, estimation results of NARDL model further show the significant short-term effects of GEPU and GGPR on the growth of inbound tourism arrivals in Hainan Province and even in China nationwide, and such short-term effects are always significantly asymmetric. Among them, the negative components of GGPR can always more influence the growth of inbound tourism arrivals. However, the positive components of GEPU can more influence the growth inbound tourism arrivals in Hainan Province, but the negative components of GEPU can more influence the growth of inbound tourism arrivals in China nationwide.
  • 详情 准备金规模与财政赤字货币化政策有效性
    本文探究了财政赤字货币化政策在中短期内提振总需求、促进经济增长的有效性,而银行体系的准备金规模状态是影响财政赤字货币化政策效果的关键因素。本文将财政赤字货币化政策定义为融资方式依赖于货币政策工具协调配合的扩张性财政政策,将准备金规模状态划分为稀缺准备金和充足准备金状态,并依据超额准备金数量相对流动性需求的充足程度对准备金规模状态进行了严格定义。依托包含银行体系和财政货币政策互动机制的动态随机一般均衡模型,本文解析和定量地研究了不同准备金规模状态下各类财政赤字货币化政策的效果,并以理论模型蕴含的检验标准为依据,分析和预测了我国当前准备金规模状态及未来变化趋势。研究结果表明,稀缺准备金状态下依赖准备金数量工具和充足准备金状态下依赖超额准备金利率工具配合的财政赤字货币化政策能够提升扩张性财政政策的有效性。我国银行体系当前处于稀缺准备金状态,但正在逐步向充足准备金状态靠近。现阶段政策当局可以考虑通过中央银行购买国债实施财政赤字货币化政策。
  • 详情 The Positive Investment Premium in China
    We document a positive investment premium in the Chinese market, in contrast to the typical negative investment premium in other markets. The premium only exists when we measure investment by quarterly asset growth, not annual asset growth. A positive premium can be attributed to the fact that quarterly asset growth positively predicts future profitability and GDP growth in the Chinese market, whereas both relationships are negative in the U.S. market. Furthermore, Chinese firms have shorter operating cycles compared to those in the U.S., which explains why quarter data is more valuable.
  • 详情 Is Mixed-Ownership a Profitable Ownership Structure? Empirical Evidence from China
    Despite nearly twenty years of privatization, mixed-ownership reform has been the mainstay of SOE reform in China in recent years. This raises the question of whether the financial performance of mixed-ownership firms (Mixed firms) is better than private-owned enterprises (POEs). Although Mixed firms suffer more from government intervention, unclear property rights, and interest conflicts between state shareholders and private shareholders, they can also benefit from the external resources controlled by the state. Therefore, the performance of Mixed firms is still unclear. Collecting data from the Chinese A-share listed market, we divide the firms into POEs, Mixed firms controlled by the state (MixedSOEs), and Mixed firms controlled by the private sectors (MixedPOEs). Measuring profitability using ROA and ROE, we find that on average, POEs perform better than Mixed firms, and MixedPOEs have a higher profitability than MixedSOEs. Within Mixed firms, more state shares are related to lower profitability, and more private shares are related to higher profitability. Using the NBS survey data, we further find that on average, SOEs exhibit the lowest profitability, with MixedSOEs and MixedPOEs in the middle, and POEs have the highest profitability. We try to address the endogeneity challenge in several ways and get similar results. Overall, our analysis provides new evidence on the financial performance of mixed-ownership firms.
  • 详情 Macro Announcement and Heterogeneous Investor Trading in Chinese Stock Market
    Using a proprietary granular database of a major Chinese stock exchange, we examine heterogenous investors’ trading dynamics around one of the most important macro announcements of the Chinese central bank, the monthly release of monetary aggregates data. Exploiting the trading heterogeneity across assets and across investor types, we find that before announcements, institutional investors reduce their aggregate stock exposure while over-weighing riskier stocks of smaller caps, whereas retail investors provide liquidity by increasing their aggregate stock exposure and avoiding the riskier stocks. Large retail and institutional investors become more informed before announcements and trade in correct directions consistent with the news surprises after announcements, while smaller retail investors trade in opposite directions. While the institutional investors accumulate positive returns with risk compensated, the market realizes sizable pre-announcement equity premium.
  • 详情 Accounting for the Evolution of China’s Production and Trade Patterns
    This paper studies the evolution of China's production and trade patterns during its integration into the global economy. We document and explain new facts concerning changes in production and exports at the industry and firm levels using microdata and a quantitative Ricardian and Heckscher–Ohlin model with heterogeneous firms. Counterfactual simulations reveal that capital deepening made China's production and exports more capital-intensive, although labor-biased productivity growth acted as a counterforce. Consistent with the data, our model demonstrates that China's trade openness peaked around the mid-2000s and fell until the 2020s, while the world's exposure to Chinese exports rose continuously.
  • 详情 金融创新能服务实体经济质效吗? ——基于信用保护工具提高企业投资效率的证据
    近年来,在债市违约潮频发制约债券融资的背景下,我国吸收借鉴国外信用衍生品发展经验,创新了中国版的信用风险缓释工具(Credit Risk Mitigation,以下简称CRM),推动了债市功能恢复和金融资源的有效配置。本文搜集银行间及交易所债券市场凭证类CRM数据,从提升企业投资效率的视角,考察了我国金融创新对实体经济提质增效的服务效果。结果发现,发行CRM能够同时降低企业投资不足与过度投资程度,有效抑制企业的非效率投资现象。CRM创设机构发挥了关键性的治理作用,主要通过缓解企业融资约束、降低信息不对称、增强债务治理等机制促进投资效率。CRM服务民营企业提升投资效率的效果更明显,且当CRM创设规模覆盖比率越高、保护期限越长时,提升投资效率的效果越强。结论显示,作为增强债券市场有效性的金融创新制度,CRM具有较好的增信效果和治理效果,契合了金融服务实体经济高质量发展的根本宗旨,对中央提出的“扩大有效益的投资”、“提高资金使用效率”都具有重要实践启示。
  • 详情 信贷约束、公共政策与生育决策---基于“干中学”效应
    本文研究放松信贷约束对家庭生育决策的影响,提出放松信贷约束对生育具有三方面影响。(1)家庭可支配收入水平提高,对生育有“收入效应”;(2)教育投资增加提高生育边际成本,对生育有“替代效应”;(3)育儿挤占劳动时间,“干中学”效应下工作技能水平降低,未来收入减少,对生育有“挤出效应”。在三种公共政策与金融组合中,托育服务与放松信贷约束组合能实现“更高生育率、更高人力资本增长”双目标。
  • 详情 Tax Streams, Land Rents and Urban Land Allocation
    This paper examines the fiscal motives behind municipal governments' decisions to allocate commercial and residential land when two categories of land use are subject to different fiscal revenue alternatives: business-related tax and/or land rent. We use urban parcel-level land transfers during China’s peak period of urbanization, match commercial parcels with residential parcels, and find significant price discounts on commercial parcels relative to adjacent residential parcels. The observed discounts arise from the future tax flows from commercial use, i.e., expected taxes from developed commercial land reduce its transfer price. We conduct a structural estimation to examine the implications on land use structure of future taxes lowering land transfer prices. Results show that while prospective taxes increase commercial land supply, a significant portion of the favorable treatment impact is mitigated by market price responses, suggesting that the land market counters commercial land favoritism when local revenues include both business-related taxes and land value-based charges. The results have implications for the design of urban public revenue systems.
  • 详情 个人投资者是聪明投资者吗?——来自科创板个人投资者新股中签后弃购数据的证据
    “注册制”改革后,新股弃购现象逐渐增多,已经成为新股市场中一个不容忽视的重要现象,对影响新股弃购因素的研究将有助于加深对投资者行为的理解,具有重要的现实和理论意义。本文以科创板个人投资者新股中签后的弃购行为作为研究场景,从“信息效应”和“关注效应”的视角结合发行人基本面、资本市场情绪和投资者关注度三个代表性指标研究了个人投资者新股中签后弃购决策的影响因素。研究发现:(1)发行人基本面、缴款时市场情绪和投资者关注度均对个人投资者弃购产生重要影响,尤其是市场情绪是导致个人投资者弃购最为显著的影响因素。(2)2021年9月份科创板定价制度显著提升了个人投资者的弃购率,并且造成投资者弃购决策更加依赖市场情绪。(3)弃购率高的企业IPO后续表现较差,说明科创板投资者趋于理性,并且参与弃购的个人投资者是聪明的投资者。本文结果表明企业层面,市场层面和网络信息层面的信息能够影响个人投资者交易行为,并且科创板的个人投资者中存在聪明投资者。因此,监管机构应完善科创板主承销商包销制度,允许聪明投资者弃购新股将有效制约科创板的“三高现象”。