Ghysels, Horan, and Moench (2017) show that extracting principal component (PC) factors from real time as opposed to revised macro variables substantially reduces their power in forecasting bond excess returns. In this paper, we propose a predictive principal component (PPC) approach to extract factors from information pertaining to expected bond excess returns contained in real time macro variables. In so doing, the new PPC factors remove common noises in real time data and exhibit significant bond return predictability. The inand out-of-sample R2s improve by more than 50% relative to the PC factors. Moreover, the forecasted bond excess returns are countercyclical, consistent with standard asset pricing models.

公司的风险承担水平显著影响信用评级，进而影响公司债券的发行资格与融资成本，故发债公司存在基于评级的风险承担策略调整动机。本文考察发债公司获得首次评级前风险承担水平的变化情况，并检验风险承担水平对首次信用评级的影响及其市场反应。实证结果发现：在获得首次信用评级前公司风险承担水平持续下降，而后缓慢回升，公司存在针对性调整风险承担水平以迎合评级需求的行为；风险承担水平与主体信用评级显著负相关；通过信用评级的中介效应，风险承担水平与债券融资成本显著正相关。公司通过针对性地调整风险承担水平可获取较为理想的主体信用评级，并获得融资成本的有效节约。

We propose a model of trading in the over-the-counter corporate bond market where investors can buy and sell bonds through a dealer and can short bonds by borrowing them in the securities lending market. The model predicts that higher dealer inventory costs are associated with lower short interest for bonds, particularly for high-credit-quality bonds. We construct bond-level proxies for inventory costs and provide empirical evidence in support of the model's prediction. We find that much of the dramatic decline in short interest observed since the Great Financial Crisis (GFC) can be explained by an increase in proxies for inventory costs. We document that the short-sale constraints imposed by higher dealer inventory costs have had a negative impact on price efficiency. Our findings suggest that tighter post-GFC regulation may have had unintended consequences for bond market quality.

Studies of the dynamics of bond risk premia that do not account for the corresponding dynamics of bond risk are hard to interpret. We propose a new approach to modeling bond risk and risk premia. For each of the US and China, we reduce the government bond market to its first two principal-component bond-factor portfolios. For each bond-factor portfolio, we estimate the joint dynamics of its volatility and Sharpe ratio as functions of yield curve variables, and of VIX in the US. We have three main findings.(1) There is an important second factor in bond risk premia. (2) Time variation in bond return volatility is as important as time variation in bond Sharpe ratios. (3) Bond risk premia are solely compensation for bond risk, as no-arbitrage theory predicts. Our approach also allows us to document interesting cyclical and secular time-variation in the term structure of bond risk premia in both the US and China.

Although big data technologies such as digital contact tracing and health certification apps have been widely used to combat the COVID-19 pandemic, little empirical evidence regarding their effectiveness is available. This paper studies the economic and public health effects of the "Health Code" app in China. By exploiting the staggered implementation of this technology across 322 Chinese cities, I find that this big data technology significantly reduced virus transmission and facilitated economic recovery during the pandemic. A macroeconomic Susceptible-Infectious-Recovered (SIR) model calibrated to the micro-level estimates shows that the technology reduced the economic loss by 0.5% of GDP and saved more than 200,000 lives by alleviating informational frictions during the COVID-19 outbreak.

合理的股权结构设计是混合所有制改革的核心。本文基于公平竞争视角，分析国有资本转让国有股权吸引民营竞争企业参股时，民营企业的知识转移激励如何影响最优股权结构（即混合所有制企业中民营企业占股比例）。研究发现，两家企业同质产品竞争时，若国有资本只考虑社会福利，则当知识价值很高或很低时，不混改是国有资本的最优选择。只有当知识价值处于中等水平时，混改优于不混改，且最优股权结构可激励知识转移。随着市场竞争程度的提升，即使当知识价值很低时，混改也优于不混改，且最优股权结构可激励知识转移。随着产品差异程度的提升，即使当知识价值很高时，混改也优于不混改，且最优股权结构可激励知识转移。此外，随着国有资本更加重视利润目标，则混改优于不混改，但最优股权结构是否可以激励知识转移取决于利润权重大小和知识价值。多数情况下，最优股权结构下的混改会带来消费者福利损失，但当产品差异程度足够大且知识价值足够高时混改可以提升消费者福利。本文从理论上揭示了，不同市场结构下，知识价值对最优混改股权结构及其经济后果的影响，对进一步推进混改具有启示意义。

在中国金融市场中，中小微民营企业遭遇了银行业来自公有制和市场的双重信贷配给约束，出现了明显的二次信贷现象。融资相对容易的非金融上市公司从银行低利率借款，然后高利率转贷给遭遇银行信贷配给约束的中小微企业以赚取利差，从事实质性的信用中介活动。本文依据传统“融资优序”理论与信贷配给理论，基于2007—2018年中国上市公司财务报表数据，研究中国非金融上市公司的二次信贷（Borrow to Lend）影子银行活动。实证结果表明，中国非金融上市公司尤其是国企及大型民企存在明显的二次信贷活动，且公司个体及所在行业的实体经济回报率与二次信贷活动呈现反向变动关系。本文运用M2增速的外生增长部分作为货币政策松紧的度量，实证结果表明在金融危机后国有企业二次信贷活动与货币政策松紧同向变动，验证了信贷调控的货币政策对中国非金融上市公司的二次信贷活动有影响。本文提供了企业信用中介活动顺信贷周期特点的新证据，对于推动信贷资源配置的公平与效率，遏制实体经济“脱实向虚”有较强政策意义。

Convertible bonds were first introduced in China in 1998. Their popularity has risen in the past decades through various domestic regulatory reforms, as more and more companies came to recognize their advantages over conventional bond or equity issuances as ways to raise capital. In this paper, we study the role of convertible bonds in Chinese A-share listed companies’ decision to refinance, using data from 1999 to 2018. First, we find that firms with high information asymmetry tend to issue more convertible bonds than equities to mitigate financing cost, especially under the “Regulation of Restraining Non-public Issuance of Shares (NPIS)” launched in 2017, a regulation that retrains listed companies to issue shares non-publicly. Second, the introduction of “Breaking Rigid Redemption” policy, which breaks the custom of using rigid redemption clauses when financial institutes issue corporate bonds and asset management products, effectively promoted interest rate marketization in China and as a result, companies with a strong tendency to shift risks began to issue convertible bonds to reduce issuing cost after 2017. Third, regulatory requirements on the qualifications for companies played important roles in their refinancing choices. Lastly, we also find that SOEs in China are overall less sensitive to risk-shifting and information asymmetry, given their ample loan resources compared with non-SOEs. Our findings delineate the behaviors of Chinese A-share listed companies in their refinancing and explain the sudden surge in convertible bonds issuance since 2017.

本文梳理了我国股指期货市场交易机制的演进过程，分析了交易机制演进的路径，并参考国际经验，基于期货交易机制的现有研究，提出了调整交易机制的政策建议。研究表明，交易规则及实施细则的修订优化了业务规则体系，满足了产品创新需求，体现出专业化和综合化的特点。同时，建议中金所参考国际经验，充分征求多方意见，制定合理的、有预见性的修订方案。建议股指期货合约及其交易细则参考国际经验，调整现行的交易时间并修订熔断机制条款。为促进期货市场发展、提高市场流动性，保证金、手续费应进一步降低，而持仓限额应进一步增加。交易所在股市暴跌期间的应急措施应及时调整。

China's local government debt financing grows rapidly featuring surging chengtou bond issuance and risk exposure since the global financial crisis in 2008. The accumulation of local government debt poses systemic risks to China's fiscal and financial systems. Using weekly data from 2009 to 2014, this paper studies the joint dynamics and risk transmission mechanism between chengtou bond spreads and treasury yields under the framework of the extended no-arbitrage Nelson-Seigel term structure model, which guarantees the no-arbitrage relationship between treasury yields of different maturities. The results show that the chengtou bonds indeed exhibit considerable local risks and can lead to systemic risk of the treasury bonds, such that the treasury yields have significant component of risk premium due to chengtou risk. On the other hand, as the safest asset in China at present, the treasury yields with short-to-medium maturities decrease as a result of the “fly-to-safety" effect when the chengtou risk increases. Meanwhile, the dynamics of chengtou bond spreads reflect the market-oriented risk pricing by investors on credit and liquidity risks under limitations of the government implicit guarantee. Under this condition, it is the right timing to reasonably standardize and institutionalize the local government bond market with transparent market mechanism.