• 详情 股指期货的最优套期保值率:基于沪深300指数期货仿真交易的实证研究
    本文在分析和比较常用的几种股指期货最优套期保值比率确定模型的基础上,基于风险最小化模型框架,利用沪深300指数期货合约模拟运行以来的样本数据,通过最小二乘回归模型、向量自回归模型、误差修正模型以及广义自回归条件异方差模型四种估计方法,对其最优套期保值比率进行了实证测算和绩效比较,并提出了相应的政策建议和投资策略。
  • 详情 可转债定价的蒙特卡罗模拟方法与误差分析
    可转债的定价问题是学术界和实务界都关心的问题。本文在考虑行权策略的基础上,采用最小二乘蒙特卡罗模拟(LSMC)对沪深证券市场中交易的可转债进行定价分析。结果表明, 该方法确定的价格略低于市场价格, 模型价格与市场价格误差较小, 且不具有系统性。这与 Black-Scholes 等传统模型系统性高估可转债的价格形成了鲜明对比。另外,最小二乘蒙特卡罗模拟的稳定性要优于 Black-Scholes 模型,尤其是在转股价格调整的时候更是如此。可转债是否处于转股期对于可转债价格的敏感性以及定价误差有一定影响。我们认为,可转债市场价格偏高既与投资者的预期有关,也与市场缺乏套利机制有关。
  • 详情 The Value of Mortgage Prepayment and Default Options
    We use an implicit alternating direction (IAD) numerical procedure to estimate the value of a fixed-rate mortgage (FRM) with embedded default and prepayment options. The value of FRMs depends on interest rates, the house value, and mortgage maturity. Our numerical results suggest that the joint option value of prepayment and default is considerably high, even at loan origination. We extend the model to include prepayment penalties in FRM valuation.
  • 详情 中国股市超涨-超跌模型:建立、检验及策略研究
    从股市的两次周期性调整入手,基于对传统物理理论和绝对定价理论在证券市场应用局限的分析,阐述了超涨超跌格局背后的理论根源,进而以中国宏观经济和中国股市的本土化特征为假设前提,构建了超涨-超跌模型。将股市的运行分为朦胧期、理性期、超涨期、回归期和超跌期等五个循环时期,对前提假设条件和各时期特征进行了拟合检验分析,并从估值体系的建议、参与者教育和政府引导等三个方面,对如何走出超涨-超跌模型进行了策略研究。
  • 详情 具有结构变化的资产定价模型的贝叶斯ARCH检验
    在现代资产定价理论中,一个基本的假定是证券资产风险溢价满足方差齐性,然而,这样的假设未必是正确的,因此,需要对资产定价模型进行异方差的检验。本文在贝叶斯框架下考察了具有结构变化的资产定价模型,提出了检验该模型的自回归条件异方差的贝叶斯检验方法。最后利用一个具体实例论证了所提方法的有效性。
  • 详情 沪深债券市场信用利差影响因素分析
    本文应用结构化模型对有信用风险的沪深债券进行了详细的实证定价分析,发现结构化模型高估了大部分债券的价格,这可能与样本债券全部为高信用等级债券有关,同时也在一定程度上反映了国内公司债券市场存在较大的流动性风险。最后,本文还运用线性回归模型进行回归分析发现息票率和剩余期限与结构化模型误差系统相关。
  • 详情 Domestic Bank Regulation and Financial Crises: Theory and Empirical Evidence from East Asia
    A model of the domestic financial intermediation of foreign capital inflows based on agency costs is developed for studying financial crises in emerging markets. In equilibrium, the banking system becomes progressively more fragile under imperfect prudential regulation and public sector loan guarantees until a crisis occurs with a sudden reversal of capital flows. The crisis evolves endogenously as the banking system becomes increasingly vulnerable through the renegotiation of loans after idiosyncratic firm-specific revenue shocks. The model generates dynamic relationships between foreign capital inflows, domestic investment, corporate debt and equity values in an endogenous growth model The model's assumptions and implications for the behavior of the economy before and after crisis are compared to the experience of five East Asian economies. The case studies compare three that suffered a crisis or near-crisis, Thailand and Malaysia, to two that did not, Taiwan Province of China and Singapore, and lend support to the model.
  • 详情 Foreign Ownership and the Risk Behavior of Chinese Banks:Do Foreign Strategic Investors Matter?
    Great credit risk is a big headache which blocks the development of the banking sector of China. Based on the panel data of the Chinese banking sector from 2002 to 2006, this paper empirically examines the effects of foreign strategic investors’ participation on the risk behavior of Chinese banks. The results show that foreign strategic investors (FSI) had a positive, but limited impact on the credit risk of Chinese banks. Further analysis reveals that the risk management abilities of Chinese banks have improved apparently when the proportion of shareholding of the leading foreign strategic investors exceeds 15 percent, which results in a significant drop of the credit risk. However, due to the ‘minority ownership’ restriction on foreign investors' stock shares, the positive effect of the participation of foreign strategic investors is limited. The visible decline in both non-performing loans (NPLs) and the NPL ratio of Chinese banks mainly reflects the rapid growth of China's economy and benefits a lot from the massive financial restructuring of state-owned banks.
  • 详情 预警金融危机:从单向范式到循环范式
    给出一个新的金融危机预警研究范式。在压力—状态—影响—响应的概念框架下,发展了一个预警金融危机的循环范式,该范式中将金融危机预警问题划分为压力,状态,影响和响应四个方面。它具备的循环要素流动特点能更好地表现投资者、市场与政策三者之间的关系。
  • 详情 Does Good Financial Performance Mean Good Financial Intermediation in China?
    Chinese banks generate large profits and have relatively low nonperforming loans. However, good financial performance does not, in itself, guarantee that banks efficiently intermediate the economy’s financial resources. This paper first examines how efficient Chinese banks are in financial intermediation, using the stochastic production frontier approach. Quality of loans are controlled for by focusing on net loans and correcting for nonperforming loans; Hong Kong SAR banks are included in the sample to have a more universally representative production frontier. The results suggest that Chinese banks indeed became more efficient during 2001–07. Nevertheless, a majority of banks remain quite inefficient, including several large state owned banks and many city banks. Large banks tend to hoard deposits and operate beyond the point of diminishing returns to scale, while smaller banks operate at increasing returns to scale. This suggests that reallocating deposits from large to smaller banks would increase overall efficiency. The paper finds no significant correlation between bank efficiency and profitability. Possible factors leading to large profits in the banking system, despite wide-spread inefficiencies, are low deposit interest rates, large interest margins, and high market concentration. Moving to indirect monetary policy and deepening capital markets to channel some of the savings to productive investment would help improve the efficiency of financial intermediation. This may spur loan growth, however, which will need to be handled with monetary policy and regulatory/supervisory tools.