With the accelerating process of interest rate marketization, the local banks in Henan Province face a greater risk of interest rate marketization, managing risk effectively can promote the development of local banks ...With the accelerating process of interest rate marketization, the local banks in Henan Province face a greater risk of interest rate marketization, managing risk effectively can promote the development of local banks in Henan Province and the economic development of Henan Province. This paper analyzes the present situation of management of interest rate marketization in Henan Province, then puts forward some suggestions, such as promoting the development of intermediate business; promoting the product innovation; strengthening the management of assets and liabilities, improving the quality of employees, strengthening the management of non-performing loans, and etc.展开更多
With the deregulation of interest rates in China, the interest rate channel of monetary policy transmission is becoming more and more important. Firstly, this paper makes empirical studies on the transmission mechanis...With the deregulation of interest rates in China, the interest rate channel of monetary policy transmission is becoming more and more important. Firstly, this paper makes empirical studies on the transmission mechanism in China represented by the conventional interest rate channel of monetary policy transmission by using the Granger causality test. The result shows that there is no causality neither between investment expenditure and the market interest rate nor between household consumption and the market interest rate, which suggests that the transmission of monetary policy in China is impeded. Then the reasons from three aspects including interest rate liberalization, asset-backed securitization and household consumption behavior are analyzed.展开更多
The level of Chinese interest rate liberalization is very low. The interest rate liberalization reform is an inevitable choice under the general trend of economic globalization in the world. Mean while, interest rate ...The level of Chinese interest rate liberalization is very low. The interest rate liberalization reform is an inevitable choice under the general trend of economic globalization in the world. Mean while, interest rate liberalization is indispensable for Chinese economic development and financial stabilization. The interest rate liberalization reform should follow a certain principles and satisfy a certain require ments, otherwise the financial order will be in a state of chaos and the negative influence on economy will appear. The interest rate liberaliza tion reform needs a good economic environment and a series of relative reforms.展开更多
This paper analyses the essential cause of exchange market fluctuation by using IS－LM model: excessive investment causes goods overstocking in goods market, which brings about supply exceeding demand:financial market...This paper analyses the essential cause of exchange market fluctuation by using IS－LM model: excessive investment causes goods overstocking in goods market, which brings about supply exceeding demand:financial market loses equilibrium as well, resulting imbalance of money demand and money supply, which causes interest rate to drop. This Paper gives the relationship between interest rate and exchange rate: as a result of interest rate dropping, exchange rate is in great turbulence,whose fluctuation range relates to some coefficients.展开更多
Nelson-Siegel model （ NS model） and 2 extended NS models were compared by using daily interbank government bond data Based on the grouping of bonds according to the residual term to maturity, the empirical research ...Nelson-Siegel model （ NS model） and 2 extended NS models were compared by using daily interbank government bond data Based on the grouping of bonds according to the residual term to maturity, the empirical research proceeded with in-sample and outof-sample tests. The results show that the 3 models are almost equivalent in estimating interbank term structure of interest rates. Within the term to maturities between 0 and 7 years, the gap of the absolute errors of the 3 models between in-sample and out-of-sample is smRller than 0.2 Yuan, and the absolute values of the in-sample and out-of-sample errors are smaller than 0. 1 Yuan, so the estimation is credible. Within the term to maturities between 7 and 20 years, the gap of the absolute errors of the 3 models between in-sample and out-of-sample is larger than 0.4 Yuan, and the absolute values of the in-sample and out-of-sample errors are larger than 1.0 Yuan, so the estimation is incredible.展开更多
为准确度量碳市场风险,利率与碳价之间的相依性纳入考虑范围。选取有代表性的区域试点及全国碳市场的碳价数据,并结合银行间同业拆放利率数据进行分析。首先,利用ARMA-GARCH(Auto-regressive and moving average-generalized autoregres...为准确度量碳市场风险,利率与碳价之间的相依性纳入考虑范围。选取有代表性的区域试点及全国碳市场的碳价数据,并结合银行间同业拆放利率数据进行分析。首先,利用ARMA-GARCH(Auto-regressive and moving average-generalized autoregressive conditional heteroskedasticity)模型对碳价和利率2个风险因子的边缘分布进行拟合,在此基础上,分别采用历史模拟法、蒙特卡罗模拟法、正态模拟法和极值分布法,计算未考虑碳价与利率相依性的碳市场单一风险VaR(Value at risk)。为全面评估碳市场风险,进一步地构建Copula-VaR模型,测度考虑碳价与利率相依性的碳市场集成风险。通过研究发现:碳市场集成风险具有区域异质性,风险由大到小排序为:北京、天津、全国、广东、湖北、深圳。此外,将集成风险与碳市场单一风险VaR进行对比分析,发现忽视碳价格与利率的相依性将导致风险高估。展开更多
In this paper, optimal investment and consumption decisions for an optimal choice problem in infinite horizon are considered, for an investor who has available a bank account and a stock whose price is a log normal di...In this paper, optimal investment and consumption decisions for an optimal choice problem in infinite horizon are considered, for an investor who has available a bank account and a stock whose price is a log normal diffusion. The bank pays at an interest rate r for any deposit, and takes at a larger rate r′ for any loan. As in the paper of Xu Wensheng and Chen Shuping in JAMS(B), where an analogous problem in finite horizon is studied, optimal strategies are obtained via Hamilton Jacobi Bellman (HJB) equation which is derived from dynamic programming principle. For the specific HARA case, i.e. U(t,c)=e -βt c 1-R 1-R , this paper gets the optimal consumption and optimal investment in the form ofc * t=β-Rw t\ and \ π * t=b-γRσ 2w twith γ:= max{ r, min{ r′,b-Rσ 2 }}, =(1-R)γ+(b-γ) 22Rσ 2]. This result coincides with the classical one under condition r′≡r.展开更多
P2P作为传统融资模式的有效补充,对缓解长尾人群的融资约束、实现金融的普惠职能有十分重要的促进作用。不同于国外P rosp e r的利率竞价机制,我国P2P的借款利率是由借款人设定的,在信息不对称和非完全市场化双重因素作用下形成的利率...P2P作为传统融资模式的有效补充,对缓解长尾人群的融资约束、实现金融的普惠职能有十分重要的促进作用。不同于国外P rosp e r的利率竞价机制,我国P2P的借款利率是由借款人设定的,在信息不对称和非完全市场化双重因素作用下形成的利率是否有效?本文借助"人人贷"上的借款订单数据,从订单达成的时间、满标参与人数、订单完成度和参与人数比例四个维度检验其有效性。本文发现借款利率并没有起到明显的违约风险信号的作用,投资者首先注重收益而后才会意识到风险,因此借款人往往设定较高的利率以减少订单达成的时间和提高投资者的参与度。进一步本文发现,借贷双方经过多次利率博弈后建立的声誉可以缓解借款人的融资约束。展开更多
文摘With the accelerating process of interest rate marketization, the local banks in Henan Province face a greater risk of interest rate marketization, managing risk effectively can promote the development of local banks in Henan Province and the economic development of Henan Province. This paper analyzes the present situation of management of interest rate marketization in Henan Province, then puts forward some suggestions, such as promoting the development of intermediate business; promoting the product innovation; strengthening the management of assets and liabilities, improving the quality of employees, strengthening the management of non-performing loans, and etc.
文摘With the deregulation of interest rates in China, the interest rate channel of monetary policy transmission is becoming more and more important. Firstly, this paper makes empirical studies on the transmission mechanism in China represented by the conventional interest rate channel of monetary policy transmission by using the Granger causality test. The result shows that there is no causality neither between investment expenditure and the market interest rate nor between household consumption and the market interest rate, which suggests that the transmission of monetary policy in China is impeded. Then the reasons from three aspects including interest rate liberalization, asset-backed securitization and household consumption behavior are analyzed.
文摘The level of Chinese interest rate liberalization is very low. The interest rate liberalization reform is an inevitable choice under the general trend of economic globalization in the world. Mean while, interest rate liberalization is indispensable for Chinese economic development and financial stabilization. The interest rate liberalization reform should follow a certain principles and satisfy a certain require ments, otherwise the financial order will be in a state of chaos and the negative influence on economy will appear. The interest rate liberaliza tion reform needs a good economic environment and a series of relative reforms.
文摘This paper analyses the essential cause of exchange market fluctuation by using IS－LM model: excessive investment causes goods overstocking in goods market, which brings about supply exceeding demand:financial market loses equilibrium as well, resulting imbalance of money demand and money supply, which causes interest rate to drop. This Paper gives the relationship between interest rate and exchange rate: as a result of interest rate dropping, exchange rate is in great turbulence,whose fluctuation range relates to some coefficients.
文摘Nelson-Siegel model （ NS model） and 2 extended NS models were compared by using daily interbank government bond data Based on the grouping of bonds according to the residual term to maturity, the empirical research proceeded with in-sample and outof-sample tests. The results show that the 3 models are almost equivalent in estimating interbank term structure of interest rates. Within the term to maturities between 0 and 7 years, the gap of the absolute errors of the 3 models between in-sample and out-of-sample is smRller than 0.2 Yuan, and the absolute values of the in-sample and out-of-sample errors are smaller than 0. 1 Yuan, so the estimation is credible. Within the term to maturities between 7 and 20 years, the gap of the absolute errors of the 3 models between in-sample and out-of-sample is larger than 0.4 Yuan, and the absolute values of the in-sample and out-of-sample errors are larger than 1.0 Yuan, so the estimation is incredible.
文摘为准确度量碳市场风险,利率与碳价之间的相依性纳入考虑范围。选取有代表性的区域试点及全国碳市场的碳价数据,并结合银行间同业拆放利率数据进行分析。首先,利用ARMA-GARCH(Auto-regressive and moving average-generalized autoregressive conditional heteroskedasticity)模型对碳价和利率2个风险因子的边缘分布进行拟合,在此基础上,分别采用历史模拟法、蒙特卡罗模拟法、正态模拟法和极值分布法,计算未考虑碳价与利率相依性的碳市场单一风险VaR(Value at risk)。为全面评估碳市场风险,进一步地构建Copula-VaR模型,测度考虑碳价与利率相依性的碳市场集成风险。通过研究发现:碳市场集成风险具有区域异质性,风险由大到小排序为:北京、天津、全国、广东、湖北、深圳。此外,将集成风险与碳市场单一风险VaR进行对比分析,发现忽视碳价格与利率的相依性将导致风险高估。
文摘In this paper, optimal investment and consumption decisions for an optimal choice problem in infinite horizon are considered, for an investor who has available a bank account and a stock whose price is a log normal diffusion. The bank pays at an interest rate r for any deposit, and takes at a larger rate r′ for any loan. As in the paper of Xu Wensheng and Chen Shuping in JAMS(B), where an analogous problem in finite horizon is studied, optimal strategies are obtained via Hamilton Jacobi Bellman (HJB) equation which is derived from dynamic programming principle. For the specific HARA case, i.e. U(t,c)=e -βt c 1-R 1-R , this paper gets the optimal consumption and optimal investment in the form ofc * t=β-Rw t\ and \ π * t=b-γRσ 2w twith γ:= max{ r, min{ r′,b-Rσ 2 }}, =(1-R)γ+(b-γ) 22Rσ 2]. This result coincides with the classical one under condition r′≡r.
文摘P2P作为传统融资模式的有效补充,对缓解长尾人群的融资约束、实现金融的普惠职能有十分重要的促进作用。不同于国外P rosp e r的利率竞价机制,我国P2P的借款利率是由借款人设定的,在信息不对称和非完全市场化双重因素作用下形成的利率是否有效?本文借助"人人贷"上的借款订单数据,从订单达成的时间、满标参与人数、订单完成度和参与人数比例四个维度检验其有效性。本文发现借款利率并没有起到明显的违约风险信号的作用,投资者首先注重收益而后才会意识到风险,因此借款人往往设定较高的利率以减少订单达成的时间和提高投资者的参与度。进一步本文发现,借贷双方经过多次利率博弈后建立的声誉可以缓解借款人的融资约束。
