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。

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.

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.

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。

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.

商业银行采用新巴塞尔协议能够加强风险管理，但是当商业银行采用内部模型时贷款供给的波动会加剧宏观经济 的波动，这就是通常所说的顺周期效应。顺周期效应的产生很大的原因是内部模型在计算经济资本各个变量，特别是违约率变 量时考察的时间区间较短（通常为一年）造成的。中国商业银行资产组合的历史违约数据较少，这对于定量考察中国商业银行 采用内部模型是否会产生顺周期效应构成一定的障碍。本文通过上市公司的交易数据并利用结构性模型得到了上市公司每年的 违约率，按照时间序列取均值发现2006 年以前上市公司违约率不具有顺周期效应，2007 年的违约率则具有顺周期效应，可能的 原因是股权分置改革之前股市的运行与宏观经济脱节。对横截面特征的考察表明我们得到的违约率数据能够很好的区分不同信 用等级的上市公司，因此我们的模型能够反映市场方面的信息，对银行构建信用风险模型也具有参考意义。

What might interest rate liberalization do to intermediation and the cost of capital in China? China’s most binding interest rate control is a ceiling on the deposit rate, although lending rates are also regulated. Through case studies and model-based simulations, we find that liberalization will likely result in higher interest rates, discourage marginal investment, improve the effectiveness of intermediation and monetary transmission, and enhance the financial access of underserved sectors. This can occur without any major disruption. International experience suggests, however, that achieving these benefits without unnecessary instability, requires vigilant supervision, governance, and monetary policy, and a flexible policy toolkit.

发达国家资本市场的开放使得它们不得不选择浮动汇率制度。而这样一种选 择并非意味着这些国家并不希望汇率稳定。事实上，无论是就发达国家还是发展中国家而言， 汇率稳定总是一件好事：它将减少贸易和投资的风险,并提高经济社会的稳定性和安全性。 然而,中国目前仅定住美元的固定汇率制度并不能完全发挥固定汇率制度的好处。为此我们 建议中国应执行全方位的固定汇率制度。当中国执行全方位的固定汇率制度时，世界主要货 币之间的汇率也将变得稳定。与此同时，中国这种全方位的固定汇率制度也将促使发达国家 （特别是美国）对其金融体制的重新审视，并可能被迫做出抑制其信用无限扩张的制度安排。

Early-stage ?rms usually have a single large Research and Development (R&D) project that requires multi-stage investment. Firms? volatility can dramatically change due to the evolvement of R&D e¤orts and stage clearing. First, the success (failure) of R&D e¤orts within each stage (jump risk) decreases (increases) the un- certainty (i.e. volatility) level of the ?rms?future returns ?"jump e¤ect". Second, at the end of each stage, ?rms decide whether to continue next stage investment upon re-evaluating the project prospect conditional on the resolution of technical uncertainty and other information; as ?rms survive each investment stage and are becoming mature, the uncertainty level of their future returns should eventually decrease in later investment stages that lead to maturity ?"stage-clearing e¤ect". Ignoring these e¤ects results in incorrect estimation of ?rms?future volatility, an important element for early-stage ?rm valuation. In this paper, I develop a gener- alized Markov-Switching EARCH methodology for early-stage ?rms with discrete stage-clearing and jumps. My methodology can identify structural changes in the idiosyncratic volatility and also explore the relation between price changes and future volatility. Using a hand-collected dataset of early-stage biotech ?rms, I con?rmed the existence of the "stage-clearing e¤ect" and the "jump e¤ect". In the second part of my paper, I model early-stage ?rms as sequences of nested call options with jumps that lead to mature ?rms. "Jump e¤ect" arises because the early-stage ?rms are modeled as compound call options with jumps on the underly- ing cash ?ows, the volatility of the early-stage ?rms at each stage is determined by the compound call option elasticity to the underlying cash ?ows. If the downside (upside) jump happens, the value of the underlying cash ?ows decreases (increases), which makes the compound call option elasticity go up (down). As a result, the compound call option becomes riskier (less risky). "Stage-clearing e¤ect" arises because as ?rms exercise their option to continue investment, the new options that ?rms enter into will eventually become a less risky option.

Theoretical models predict that the value of a real option should be increasing in the volatility of the underlying asset. Thus, if real options are economically important, then firm values should be positively related to volatility. Consistent with this prediction, we find evidence that stock returns are contemporaneously positively correlated with changes in volatility. Moreover, this positive relation is stronger for firms that are more likely to have more real options and for firms with more irreversible investment opportunities. Most importantly, we find that the sensitivity of firm values to changes in volatility declines significantly after firms exercise their real options. These results indicate that real options constitute an economically meaningful component of firm values.