This paper uses a dataset of more than 100,000 firms over the period of 2000-07 to assess whether and why Chinese firms overinvest. We find that corporate investment in China has become increasingly efficient over time, suggesting that overinvestment has been declining. However, within all ownership categories, we find evidence indicating a degree of overinvestment by firms that invest more than the industry median. The free cash flow hypothesis provides a good explanation for China’s overinvestment in the collective and private sectors, whereas in the state sector, overinvestment is attributable to the poor screening and monitoring of enterprises by banks.

Using a panel of listed Chinese firms over the period 2001-2008, we investigate the interactions among corporate investment, financing, and payout decisions within a simultaneous equations system, where each decision is treated as endogenous and is subject to the constraint that sources much equal uses of cash, as implied by the flow-of-funds framework. We find that capital investment and dividend payout, being the competing uses of limited funds, are negatively interrelated, whilst both of them are positively connected to net amount of new debt issued, suggesting the existence of a joint determination of corporate decisions under financial constraints. In addition, we find that the simultaneity among the corporate decisions becomes more intensified for firms that are more financially constrained, which may reduce managerial flexibility of Chinese firms. Therefore, our result reveals new insight into the complex interdependence of corporate behaviour under financial constraints.

We investigate the power structure of the Chinese political system and explore its implications on corporate finance. With a large sample of firms from 1999-2007, we document large-scale ‘re-nationalization’—local governments re-establish controlling ownership stakes in previously privatized firms. We find that firms located in provinces with newly appointed, top-ranked Party leaders who do not belong to any of the three dominant political factions are more likely to be renationalized. With a number of instrument variables, including the political status of the top-ranked provincial party leaders, we find that re-nationalization leads to lower sales and labor productivity for the firms. We also find some evidence that re-nationalization temporarily lowers the unemployment rate in the region without any significant, long-term economic benefits.

through the analysis of the input and output of goods, industrial chain is considered in this paper: for any commodity in the industry chain and GDP, and the final product price are equal, so the impact on the consumption of GDP is directly; influence of investment to GDP is more complicated, because the investment specific effects on the GDP not only depends on the input factor, output rate, organic composition of capital, need to realize through the consumption way to; the use of modern computing technology, analysis of different commodities industry chain, can accurately measure related to consumption, investment on GDP specific effects, related to the entity economy monetary demand.

Using annual time series data (1978-2010), the present paper examines the nexus between financial intermediation development and economic fluctuation in China. The time series properties of the data are analyzed by bounds testing approach, ARDL model and vector error-correction model. The empirical results show that, there is long-term negative equilibrium relationship between financial intermediation development and economic fluctuation margin. However, although the short-term dynamics of volatility in economy growth can make adjustments in light of the long-term equilibrium relationship, it is not enough for economic fluctuation margin to revert to the equilibrium only through the error correction mechanism. Meanwhile, using the Granger causality test based on error correction model, the present paper finds the empirical evidence to support unidirectional Granger causality from financial intermediation development to economic fluctuation margin.

The topic about the nexus of economic fluctuation and financial development in China is being on cutting-edge research. Using monthly time series data from 2001 to 2012 in China, the present paper examines the nexus of fluctuation of economic growth and financial development. Based on an exponential generalized autoregressive conditional heteroskedasticity (EGARCH) model with exogenous variables, the present paper suggests that financial development has statistically significantly reduced fluctuation of economic growth, which is in line with theoretical expectation that financial development as a shock absorber to mitigate economic volatility.

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.

It has been long that literature in finance focuses mainly on price and return but much less on trading volume, even completely ignoring it. There is no information on supply-demand quantity and trading volume in neoclassical finance models. Contrary to one of the clearest predictions of rational models of investment in a neoclassical paradigm, however, trading volume is very high on the world’s stock market. Here we extend Shi’s price-volume differential equation, propose a notion of trading conditioning, and measure the intensity of market crowd trading conditioning by accumulative trading volume probability in the wave equation in terms of classical and operant conditioning in behavior analysis. Then, we develop three kinds of market crowd trading behavior models according to the equation, and test them using high frequency data in China stock market. It is hardly surprising that we find: 1) market crowd behave coherence in interaction widely and reach agreement on a stationary equilibrium price between momentum and reversal traders; 2) market crowd adapt to stationary equilibrium price by volume probability increase or decrease in interaction between market crowd and environment (or information and events) in an open feedback loop, and keep coherence by conversion between the two types of traders when it jumps and results in an expected return from time to time, the outcome of prior trading action; 3) while significant herd and disposition “anomalies” disappear simultaneously by learning experience in a certain circumstance, other behavioral “anomalies”, for examples, greed and panic, pronounce significantly in decision making. Specifically, a contingency of return reinforcement and punishment, which includes a variety of internal and external causes, produces excessive trading volume. The behavioral annotation on the volume probability suggests key links and the new methods of mathematical finance for quantitative behavioral finance.长期以来，金融的学术文献主要关注价格和回报率，很少考虑甚至完全忽视了交易量。新经典金融模型就没有供需量和交易量的信息。然而，与新经典框架理性投资模型的预计结果不同，交易量在世界的股票市场上是非常大的。我们基于Shi的价-量微分方程，根据行为分析中的经典性和操作性条件反射，提出了交易性条件反射的概念，并且用该方程中的累计交易量概率来计量市场群体交易性条件反射的强度。由该方程，我们得到三种市场群体的交易行为模型，并且用我国股市的高频数据进行实证分析。不难发现：1）市场群体在相互作用的过程中普遍地表现出相互一致的行为特征，趋势和反转交易者之间存在着一个大家都能够接受的稳态均衡价格；2）交易行为有时会导致稳态均衡价格出现跳跃、带来预期收益率，这时，市场群体在开放的反馈环中，通过与环境（或信息和事件）之间的相互作用，由成交量概率的增加或减少来适应该均衡价格的变化，趋势和反转交易者也会通过相互转换保持市场群体行为的相互一致性； 3）尽管在某特定环境下市场群体通过学习实践，羊群和处置行为同时消失了，但是其他行为“异象”，例如贪婪与恐慌，在决策中却表现的十分显著。特别地，收益率强化和惩罚过程，其中包含各种内外因素，导致过度交易量。累计交易量概率的行为诠释为计量行为金融学提供了关键性的纽带作用和数学金融的新方法。

利率工具作为央行货币政策的重要组成部分，也是实施货币政策的主要手段之一。中央银行根据货币政策实施的需要，适时地运用利率工具，对利率水平和结构进行调整，以此影响社会资金供求状况，调节微观经济主体的具体经济行为，进而实现既定的货币政策目标。 自2008年经济危机以来，中国人民银行多次利用存款准备金率和利率工具对国家宏观经济进行调节，特别是2010年以来为了应对由之前过度宽松货币政策导致的严重通胀形势，央行5次提高存贷款基准利率，12次提高存款准备金率至21.5%的历史高位。尽管如此，但是国内利率水平依然处在低位，实际利率持续为负。存准率过度提高导致货币供给大幅减少，利率水平维持低位使货币需求上升，这样扭曲的货币政策导致了我国宏观经济在各方面的失衡，并且遭到了来自各界的非议。究竟利率工具的宏观经济调控效果如何呢，为何央行不愿意使用价格型货币政策工具——利率进行调控呢？虽然目前存准率工具的使用次数要远多于利率工具，但是随着今后利率市场化改革的深入推进和我国金融体制的开放改革，今后利率调控工具将会成为央行调节宏观经济运行节奏的主要手段。因此，研究利率政策调控对宏观经济的影响将有助于我们明确利率调控的效果、认清宏观经济变化的原因，在利率市场化的背景下也能够为央行制定科学的货币政策提供决策依据。 本文是按照“回顾改革以来利率政策的调整历史→实际利率变动对主要宏观经济目标的实证检验→影响利率政策效果的原因分析→增强利率调控效果的政策建议”的基本思路，展开全文的分析讨论。在对改革开放三十年以来的利率政策历史回顾分析的基础上，采用定性和定量分析相结合的方法，对利率变动与经济增长率、通货膨胀率以及城镇登记失业率进行实证检验，得出不同阶段实际利率的变化对不同宏观经济目标的影响。在此基础上得出全文结论，实际利率与经济增长率的关系从正相关逐渐发展为负相关，与通胀率则是显著的负相关，而实际利率与城镇登记失业率则呈现很弱的相关性。然后具体分析影响我国利率政策调控宏观经济效果的原因，主要包括利率管制政策、金融市场发展建设及经济主体行为三个方面。最后在前文讨论的基础上提出增强利率调控效果的政策建议，主要包括放松利率管制、继续推进利率市场化改革、完善货币市场发展建设、加强央行宏观调控能力等方面。 Interest rate policy is an important component of monetary policy，also the one main instruments of monetary policy implementation．According to the People’s Bank of China monetary policy needs in a timely manner，use of interest rate tools，include the level of interest rates and interest rate structure in order to affect the supply and demand of funds，micro-economic regulation of the main acts，and to achieve monetary policy objectives． After 2008 world economic crisis, the interest rate and deposit-reserve ratio has been changed more times to adjust China’s macroeconomic. Especially since 2010 to cope with the serious inflation caused by the prior overly lax monetary policy, the central bank raised the benchmark deposit and lending interest rates 5 times and 12 times to raise the deposit reserve ratio to 21.5% highs. In spite of this, but the domestic interest rate level is still low, the real interest rate is negative for longtime. Money supply is greatly reduced by the excessive increase of deposit reserve ratio, and monetary demand rises because the level of interest rates remains low. Such distortion of the monetary policy in our country makes our macro economy imbalance in all aspects, and has received criticism from all walks of life. How about the interest rate tool of macroeconomic regulation and control effect, why the central bank is not willing to use price monetary policy tools -- interest rate regulation? Although the deposit-reserve ratio has been changed more than the interest rate, but with the market-oriented reform of interest rate and financial system, interest rate regulation will be the main method of macroeconomic adjusting control. So studying on macroeconomic effects of real interest rate would help us to be more clearly knowing the results of the interest rate policy and understanding the reasons for changes in the economy. Furthermore，in our country, the interest rate is not fully market-oriented, the study is also helpful for authorities to make the correct monetary and interest rate policy. “Review the history of interest rate policy adjustment from Reform and Opening up→the empirical test of real interest rate on the main macroeconomic goals→the reasons analysis which have influence on the effects of interest rate policy→the policy recommendations which make interest rate regulation more effective" This is the main train of thought of this paper, around which expand the analysis and discussion. Based on the review of the history of interest rate policy after Reform and Opening-up from 1980, used the combination of qualitative and quantitative analysis, through analyzed the effects of real interest rates which impacted on the three macroeconomic objectives, include the GDP growth rate、the inflation rate and the urban registered unemployment rate, we get the result that in different stages, the interest rate policy have different impacts on economic objectives. At the last, we get the whole conclusion and analyzed the reasons which caused interest rate policy to be ineffective on the macro economy. Finally, according to China’s financial market, this paper gave some reform suggestions which can make interest rate policy to be more effective on macro economic adjusting control.

This paper examines the predictive power of trading volume for Chinese equity premium. High (low) trading volume significantly predicts subsequent high (low) equity premium in Chinese stock market in- and out-of-sample. The predictability of trading volume remains significant after controlling for a large number of China economic variables. The predictive power of trading volume is economically important from an asset allocation perspective. Overall, our study suggests that trading volume should be used in conjunction with economic variables to further enhance the Chinese equity premium predictability.