The dynamics of swap spreads in China cannot be explained by commonly recognized factors documented in the literature. A unique feature of China's financial system is that commercial banks are not only long-term loan providers but also dominant bond investors. Thus, the loan prime rate (LPR) is an opportunity cost for commercial banks' bond holdings. However, the LPR is largely determined by the central bank and often deviates significantly from equilibrium. In contrast, the swap rate is largely determined by the market. Our illustrative model and empirical evidence show that the LPR and funding availability affect bond yields more than swap rates, while volatility in the money market interest rate affects swap rates more than bond yields. Therefore, the swap spread is largely driven by the monetary policy. We also show that swap spreads can be a predictor of excess returns on bonds but not swaps.

随着利率市场化,央行近年来推行公开市场业务和利率走廊制度调控短期利率,7天期政策逆回购利率事实上形成了同期市场回购利率的下限.本文基于这个特点构造了市场利率期限结构模型.模型有两个状态变量:第1个状态变量为7天期政策逆回购利率,假定其服从泊松过程;第2个状态变量为7天期市场回购利率.受CIR模型的启发,假定其瞬时波动率取决于它与政策逆回购利率的差,从而7天期政策逆回购利率决定了7天期市场回购利率的下限、均值水平以及波动率.利用随机因子定价模型,本模型给出了各期市场利率的解析表达式.文中使用卡尔曼滤波方法对模型进行实证分析,结果表明该模型能够很好地拟合市场回购利率的统计特征,并且能够解释回购利率期间风险溢酬的变化.

以2016-2019年中国境内发行的绿色债券为样本,研究其信用利差与非绿色债券的差异.研究结果表明,企业发行绿色债券并不能降低其债务融资成本,相反,投资者对未经第三方认证的绿色债券要求更高的收益率,即债券价格反映了"漂绿"风险;进一步的机制分析显示,走绿色债券市场准入审批的"绿色通道"为债券发行人"漂绿"的主要动机.基于此,提出推动中国绿色债券市场良性发展的政策建议.

利用上市公司的债券违约数据,从众多财务指标、公司治理指标、股票市场表现指标中逐步筛选出反映信用风险的指标,并采取经典的判别分析模型、Logistic回归模型、离散时间风险模型,对上市公司信用债违约的概率分别进行建模.最终确定了最适用于中国上市公司的风险评估模型.利用该模型对公司债进行评级,更能反映出公司债的信用风险差异.

本文以2014年1月至2017年11月商业银行发行的所有减记债为样本,在减记债定价模型的基础上,实证研究了银行盈余管理对银行融资成本的影响.本文研究发现,银行盈余管理显著降低了减记债的发行评级,同时增加了减记债发行利差,这种影响在中小银行中更显著,大型商业银行的减记债盈余敏感性较低.此外,本文还发现,提高银行资本质量和外部审计质量能够降低盈余管理对银行融资成本的影响.本文的研究丰富了银行盈余管理经济后果的文献,有助于投资者理解减记债风险.

市场利率期限结构是怎样形成的,与经济基本面的关系如何是各方关心的重要问题.本文基于中国的货币政策和金融市场特点,构造利率模型刻画债券市场利率期限结构的形成机制.不同于已有模型,本文将一年期存款基准利率作为影响债券市场利率期限结构的政策基准利率;短期市场利率与基准利率的偏差可以用来衡量资金流动性,将其作为影响市场利率的第二个因子变量;由于投资长期债券具有风险,将风险溢酬作为第三个因子变量.基于这三个变量构造仿射利率期限结构模型.实证表明模型很好地解释了国债各期利率从2002年到2017年的表现.模型揭示政策基准利率仍是决定市场各期利率重要的变量,而资金流动性因子主要影响短期利率的变动,风险溢酬因子主要决定长期市场利率的变动.研究还发现,政策基准利率与预期通胀率高度相关,但市场各期利率与预期通胀率联系很弱,原因在于资金流动性因子与预期通胀率在样本期的前后两个阶段都负相关.因此,简单地放松利率管制只是市场化改革的开始,建立紧密联系经济基本面的市场化利率是下一步改革的重点.

After reviewing the unique characteristics of the Chinese bond market, the authors investigate the factors that determine the returns and risks of Chinese bonds. Bond returns are found to be highly predictable and the predictability is largely driven by various institutional characteristics and China's unique monetary policy: the Chinese Central Bank controls the whole term structure of deposit rates and leading rates. The authors also show that a U.S. investor can gain potentially sizable economic benefits by investing in the Chinese bond market for diversification, given the market's high returns and low correlation with the U.S. bond market. TOPICS:Emerging, financial crises and financial market history, portfolio management/multi-asset allocation

In this paper, the nonlinear boundary value problem (BVP) for the Jeffery-Hamel flow equations taking into consideration the magnetohydrodynamics (MHD) effects is solved by using the modified Adomian decomposition method. We first transform the original two-dimensional MHD Jeffery-Hamel problem into an equivalent third-order BVP, then solve by the modified Adomian decomposition method for analytical approximations. Ultimately, the effects of Reynolds number and Hartmann number are discussed.

提出了离散情形下的累积前景理论(CPT)模型,讨论了CPT价值函数的性质(包括连续可微性、一阶随机占优性、凹凸性等),给出了投资组合适定的一般条件及两种特殊情形下最优投资组合的解析解.研究发现,存在一个与投资者效用密切相关的临界点.当超过这个临界点时,投资于风险资产的额度为有限的;反之,投资于风险资产的额度是无限的.最后提供了连续分布情形下最优解依离散分布最优解收敛的定理.

The noncooperative air pollution reduction model (NCRM) that is currently adopted in China to manage air pollution reduction of each individual province has inherent drawbacks. In this paper, we propose a cooperative air pollution reduction game model (CRM) that consists of two parts: (1) an optimization model that calculates the optimal pollution reduction quantity for each participating province to meet the joint pollution reduction goal; and (2) a model that distribute the economic benefit of the cooperation (i.e., pollution reduction cost saving) among the provinces in the cooperation based on the Shapley value method. We applied the CRM to the case of SO2 reduction in the Beijing–Tianjin–Hebei region in China. The results, based on the data from 2003–2009, show that cooperation helps lower the overall SO2 pollution reduction cost from 4.58% to 11.29%. Distributed across the participating provinces, such a cost saving from interprovincial cooperation brings significant benefits to each local government and stimulates them for further cooperation in pollution reduction. Finally, sensitivity analysis is performed using the year 2009 data to test the parameters’ effects on the pollution reduction cost savings. Implications: China is increasingly facing unprecedented pressure for immediate air pollution control. The current air pollution reduction policy does not allow cooperation and is less efficient. In this paper we developed a cooperative air pollution reduction game model that consists of two parts: (1) an optimization model that calculates the optimal pollution reduction quantity for each participating province to meet the joint pollution reduction goal; and (2) a model that distributes the cooperation gains (i.e., cost reduction) among the provinces in the cooperation based on the Shapley value method. The empirical case shows that such a model can help improve efficiency in air pollution reduction. The result of the model can serve as a reference for Chinese government pollution reduction policy design.

In this paper, the modified decomposition method (MDM) for solving the nonlinear two-dimensional viscous flow equations is presented. This study investigates the problem of laminar, isothermal, incompressible and viscous flow in a rectangular domain bounded by two moving porous walls, which enable the fluid to enter or exit during successive expansions or contractions. We first transform the original two-dimensional viscous flow problem into an equivalent fourth-order boundary value problem (BVP), then solve the problem by the MDM. The figures and tables clearly show high accuracy of the method to solve two-dimensional viscous flow.

采用中国交易所的公司债的季度数据,本文实证研究了Merton (1974)、Longstaff和Schwardz(1995),Leland和Toft (1996)等结构化模型的定价能力.研究结果显示结构化模型整体上高估中国公司债价格,且三个模型高估公司债价格的百分比逐渐减少;t值检验和回归分析结果显示,市值杠杆比率、资产收益波动率和1年期国债收益波动率对结构化模型定价误差具有显著的影响.未来适合中国公司债的结构化模型应降低低杠杆比率和低资产波动率公司债的价格,而提高高杠杆比率和高资产波动率公司债的价格.

In the United States and United Kingdom, the supply of bonds is occasionally found to have a substantial pricing impact that is not accounted for by popular term structure models. In emerging markets, where the supply factor can be much more pronounced, the authors show that the pricing effects are even greater and constantly present. They propose ways to modify the standard affine models to account for the supply effects, thereby yielding much smaller pricing errors and predicting better the time variation of risk. The results are of substantial economic significance for global bond portfolios in managing risk and boosting expected returns. TOPICS:Fixed income and structured finance, quantitative methods, developed

China’s interest rate market is unique because its central bank sets a term structure of official interest rates on bank deposits and loans as well as money supply. In this paper we explore both theoretically and empirically how market interest rates in China are related to economic fundamentals, bond demand and supply, and official interest rates and money supply. We first develop a theoretic model with both preferred habitat investors and arbitrageurs and show how the short term and long term market interest rates are related to these factors, and then empirically test their relationships. Different from the interest rate market in the U.S., we find that while the short-term rate in China is closely tied to the official interest rates and bond demand, it has a weak relationship with economic variables. In contrast, we find that the long-term rates are sensitive to the industrial production growth and inflation rate as well as the official interest rates and bond demand. We attribute these results to the unique monetary policy system in China.

It is well documented that the time-varying bond excess returns can be explained by predetermined variables such as information in the term structure and macro economic variables. Recent studies suggest that demand and supply of bonds influence bond excess returns. We extend the literature and find that monetary system attributes affect return dynamics in the bond market. By introducing a theoretical model to forecast excess returns on Treasury bonds in the context of China's unique monetary system, this paper attributes the predicted components of bond excess returns mainly to the inflexible term structures of official interest rates set by China's central bank. (C) 2011 Elsevier B.V. All rights reserved.

Recent empirical studies suggest that demand and supply factors have important effects on bond yields. Both market segmentation and preferred habitat hypothesis are used to explain these demand and supply effects. In this paper, we use an affine preferred-habitat term structure model and the unique Chinese bond market data to study these two hypotheses. Chinese bond market is unique because there exists an official term structure of lending rates, set exogenously by the government, on preferred habitat investors' alternative investments of loans. We show that demands of both the preferred-habitat investors and the arbitrageurs affect bond yields and returns. Moreover, we find that the preferred-habitat investors' alternative investment opportunities have expected effect on bond yields and returns. We further show that the preferred-habitat and demand factors improve bond pricing and return predictability in a no-arbitrage term structure model. Variance decomposition analysis shows that the preferred-habitat factor explains an important part of bond yield variations.

In this paper,the dynamics of oil prices is modeled with jump diffusion processes.Under certain risk premium assumption,a dynamic movement model and a pricing model of oil futures are derived.The models are also tested with the price data of oil futures,and it is found that there are two significant features of oil prices.The first feature is that the prices posses obvious jump and mean reversion.The second feature is that positive risk premium are required by the investors for both diffusion risk and jump risk.Another trait of the paper is that two time series data of two different futures are used in empirical analysis to determine the parameters of the risk premium and to analyze the time series features of the oil prices.

We study the pricing mechanisms and information content of block trades on the Shanghai Stock Exchange (SSE) for the six year period from 2003 to 2009.There is an average of about 4% block discount, which is large in magnitude and statistically significant, reflecting compensation for locating counterparties and the cost of negotiating terms. We also examine permanent price impacts of the trades and find that discount block trades (DBTs) have significant negative permanent price impacts for various periods extended up to 60 trading days after the block trades. Conversely, premium block trades (PBTs) have small and statistically insignificant negative permanent price impacts, suggesting that buyers do not possess valuable private information. Finally, we classify the trades into buys and sells using a set of stricter rules and note similar results to those of DBTs and PBTs. Of additional note, block sells on stocks with expirations of restricted shares seem to have significant information content. As these trades are more likely to be originated from insiders, our results suggest that they strategically time the sale of these shares to maximize gains.

The benchmark interest rate in China is one-year deposit interest rate,and its change and effect on market rates are different to that in the developed markets.New interest rate model should be constructed to reflect effect of the benchmark rate in China.This paper uses a Poisson process to describe the change of the one-year deposit rate,and uses a diffusion process to describe its change size and reflect its serial correlation. It is assumed that mean of one-year market rate is determined with the one-year deposit rate.Under the framework of affine model,making use of stochastic discount factor asset pricing model,a continuous-time affine interest rate model including benchmark rate as a factor is established.The model is empirically tested with MCMC(Markov chain Monte Carlo),and the results indicate that using one-year deposit rate as a factor improves the fit of model to data significantly,and the model matches the market yield curve very well.

Recent research shows that bond yields are influenced by monetary policy decisions.To learn how this works in an interest rate market that differs significantly from that of the U.S. and Europe, we model Chinese bond yields using the one-year deposit rate as a state variable.We also add the difference between the one-year interest rate and the one-year deposit rate as a factor.The model is developed in an affine framework and closed-form solutions are obtained.It is tested empirically and the results show that the new model characterizes the changing shape of the yield curve well.Incorporating the benchmark rate into the model thus helps us to match Chinese bond yields.