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.

We find that firms that timed their external financing more in the past (i.e., that issued more capital when market conditions were good) have a lower expected cost of equity than those that timed their issuance less. This result is economically significant, and holds for numerous specifications. The benefits of market-timing activity are more pronounced for equity than for debt. These findings are consistent with the hypothesis that the gains from future market-timing activity are priced by current investors, and suggest that investors in the secondary market believe in the ability of firms to successfully time the market. We also find that the benefits of timing activity are enhanced for firms with a higher fraction of shares held by dedicated long-term investors, and are reduced for firms with shareholders that are more likely to time their own trades.

由于管理者与股东的目标函数不一致，当公司存在自由现金流量时，管理者可能会：或超额在职消费、或过度投资、或闲置。因管理者为己谋私利的机会主义行为所造成的股东财富的损失，就是自由现金流量的代理成本。根据美国财务学家Jensen的思想，参考现有研究，本文设计了自由现金流量的度量方法，利用我国775家上市公司的面板数据进行实证检验，结果表明，闲置资金、过度投资和随意性支出都显著地与自由现金流量正相关。自由现金流量越多，就意味着代理成本越高，自由现金流量可以作为代理成本的表征变量，自由现金流量必须予以控制。

为揭示证券投资基金行为对市场质量的影响，论文从市场微观结构的视角出发，利用沪市证券投资基金的交易账户，重点研究证券投资基金的投资仓位变化对市场质量（流动性、波动性和信息冲击度等）的冲击效应。在研究过程中，利用2007年基金交易数据和市场运行数据，构建流动性三维指标（宽度、深度和即时性）、GARCH模型拟合的异质波动率指标、以及即期冲击和持久性信息冲击指标，利用横截面模型分析基金交易行为对价格的冲击和交易的私人信息。实证结果表明，基金投资行为受到市场情绪和正反馈效应的推动，导致证券投资基金非理性特征突出。无论市场上涨抑或是下跌、基金增仓抑或是减仓，基金参与程度越高、增仓幅度越大，其对市场的流动性冲击成本越大，尤其在“2.27”、“5.30”暴跌期间。在波动性冲击上，基金显著性加仓行为带来较大的异质波动性，但基金作为机构投资者在牛市调整阶段可以起到部分维稳作用。