The Innovation Research of Financial Early-Warning Index Measurement

The period economic fluctuation is vital for an enterprise to exist and further develop, it directly affect the enterprise financial health. So, it is significant to build up financial early-warning index and measure the warning condition that the enterprise faces and take the effective measures to eliminate. We criticize Altman’sZ calculating model and build up some new indexes for enterprise financial early-warning condition measuring and making sound decision.

Impact of petroleum and non-petroleum indices on financial development in Oman

This study analyzes the impact of petroleum and non-petroleum indices on the financial development of the Sultanate of Oman from 1978 to 2017.To this end,it uses the petroleum proxy of oil rents(%of gross domestic product,GDP)and the non-petroleum proxy of industry(including construction)value added(%of GDP);agriculture,forestry,and fishing value added(%of GDP);and services value added(%of GDP)to determine the effect on financial development,measured by the amount of domestic credit extended to the private sector by banks(%of GDP).It applies an autoregressive distributed lag(ARDL)model.The long-term equation illustrates that the agriculture and industry GDPs have a negative and significant relationship with domestic credit in Oman.However,the oil and service sector GDPs promote financial development.The short-term equation illustrates that the oil,agricultural,and service sectors have positive and significant effects on domestic credit.The conclusion is that the economy of Oman is still in the first phase of economic diversification.Accordingly,the government should use oil revenues to develop various non-oil industrial sectors.This would enhance the country’s competitiveness in the global economy and positively contribute to improving the liquidity of the banking sector for stimulating credit at the macroeconomic level.

Analysis of Financial Derivatives by Mechanical Method (Ⅰ)——Basic Equation of Price of Index Futures

Similar to the method of continuum mechanics, the variation of the price of index futures is viewed to be continuous and regular. According to the characteristic of index futures, a basic equation of price of index futures was established. It is a differential equation, its solution shows that the relation between time and price forms a logarithmic circle. If the time is thought of as the probability of its corresponding price, then such a relation is perfectly coincided with the main assumption of the famous formula of option pricing, based on statistical theory, established by Black and Scholes, winner of 1997 Nobel’ prize on economy. In that formula, the probability of price of basic assets (they stand for index futures here) is assummed to be a logarithmic normal distribution. This agreement shows that the same result may be obtained by two analytic methods with different bases. However, the result, given by assumption by Black_Scholes, is derived from the solution of the differential equation.

Empirical Analysis on Company＇s Competitiveness from Financial Index

Taking the enterprise survival ability and the development ability as a basis, this paper constructs the financial appraisal index system of enterprise competitiveness. Also, it draws the overall impression of the enterprise competitiveness through selecting listed f＇u＇ms＇ financial index of the equipment manufacturing industry, with the aid of factor analysis model, using the principal components analytic method, making rotation of varimax, and arranging the synthesizes enterprise competitiveness from the financial angle. After the empirical analysis, the paper completes appraisal and analysis which based on company＇s competitiveness from financial index.

ANALYSIS OF FINANCIAL DERIVATIVES BY MECHANICAL METHOD (Ⅰ)-BASIC EQUATION OF PRICE OF INDEX FUTURES

Similar to the method of continuum mechanics, the variation of the price of index futures is viewed to be continuous and regular. According to the characteristic of index futures, a basic equation of price of index futures was established. It is a differential equation, its solution shows that the relation between time and price forms a logarithmic circle. If the time is thought of as the probability of its corresponding price, then such a relation is perfectly coincided with the main assumption of the famous formula of option pricing, based on statistical theory, established by Black and Scholes winner of 1997 Nobel' prize on economy. In that formula, the probability of price of basic assets (they stand for index futures here) is assummed to be a logarithmic normal distribution. This agreement shows that the same result may be obtained by two analytic methods with different bases. However, the result, given by assumption by Black-Scholes, is derived from the solution of the differential equation.

The Design and Study on CEO Financial Monitoring Index System Based on Stakeholder Theory

This paper summarizes the current financial monitoring theory and the design of index system, analyzes the possible monitoring indexes relative to stakeholders to achieve their own interests, and then categorizes these indexes into five aspects： the finance, the customer, the process, the employee and the society. After a deep analysis of these indexes, we use the Analytic Hierarchy Process to conform the weight of every index, subsequently build up an effective financial monitoring index system.

Effect Study of Management Buyouts of Chinese Listed Companies ——On the Basis of the Company Financial Indexes

This paper selects 11 Chinese listed companies as the sample and compares the effect of premanagement buyouts and post-management buyouts （hereafter MBO）. The authors evaluate the effects of MBO according to the change of earnings capacity, management ability, debt paying ability, development ability and capital structure. The result shows that the obvious change does not take place in earnings capacity of the company and management ability, but the development ability of the company improves notably, and most of companies have taken advantage of financial leverage withir two years of post-MBO.

Risk Analysis of CSI 300 Index before and after 2007 Financial Crisis--Based on GARCH-VaR Approach

After the 2007 financial crisis,the world's major stock indexes have fluctuated greatly,and the investment risk of the stock market has increased.This thesis carries out volatility analysis and risk analysis for CSI 300 Index before and after financial crisis through GARCH-VaR model.After comparing the result with the stock market in developed countries,the paper will put forward appropriate suggestions for China's stock market based on the experience learnt from other mature stock markets,in order to reduce the risk of Chinese financial market and make it gradually move towards mature financial market.The main contents of this paper include:First,the paper selects index data from January 1,2005 to December 31,2016 and perform descriptive statistical analysis;Secondly,the paper uses the Var method of various GARCH family models to forecast the future risk of CSI 300 stock market to find the optimal model of it.Thirdly,based on the literature review and empirical results,the paper concludes the volatility factors of Chinese stock market and puts forward some suggestions.The empirical results show that before the financial crisis,CSI 300 index appeared significant volatility before and during the financial crisis.Moreover,after financial crisis,the volatility of CSI 300 still remains high.Based on the literature review,it is found that it is policy intervention,retailers,speculation and other reasons that lead CSI 300 index to high volatility.Therefore,in response to these problems,the thesis put forward some related suggestions to improve the Chinese stock market management mechanism,including less intervention,stricter supervision,setting barriers,etc.

Neural Network Model for Classifying the Economic Recession and Construction of Financial Stress Index

In this paper, a C5.0 decision tree and neural network models are proposed to classify recessions in the US with 12 common financial indices and new financial stress indices inferred from the neural network models are created. A detailed experiment is presented and demonstrates that the neural network models with proper regularization and dropout achieve 98% accuracy in the training set, 97% accuracy in validation set and 100% accuracy in test accuracy. The financial stress indices outperform other existing financial stress indices in many scenes and can accurately locate crisis events even the most recent 2018 US Bear Market. With these models and new indices, contraction can be detected before NBER’s announcement and action could be taken as early as the situation get worse.

Financial depth or breadth:What really matters for fighting air pollution in China?

China's rapid economic development leads to a series of environmental problems in the long run,such as air pollution.Environmental pollution has become a bottleneck restricting the sustainable development of China's economy.As such,pollution has become a key issue for China as让tries to continuously improve environmental quality and establish a harmonious coexistence between man and nature.This paper uses spatial econometric analysis to empirically test the existence of the Environmental Kuznets Curve(EKC)in China while also examining the impact of financial development on its inflection point by applying Air Quality Index and PM_(2.5) data of 283 prefecture-level cities in China from 2015 to 2017.Findings from this study indicate that the EKC of air pollution in the whole country presents an inverted U-shape based on both the traditional and new EKC models.After testing the sub-sample in different areas,the EKC still presents an inverted U-shape based on the new EKC model in the eastern and central areas,though not in the western area.In considering the moderating role of financial development based on the new EKC model,we find that the increase of financial depth will cause the EKC inflection point to shift to the left on the national scale and in the eastern region,while the effect of the financial breadth will be largely insignificant.With regard to the central area,both the breadth and the depth of financial development will significantly shift the inflection point to the right,delaying the arrival of the EKC inflection point.Therefore,the local authority of each area should formulate differentiated financial development policies to promote the early arrival of the EKC inflection point.

数字普惠金融发展、资源错配抑制与中小企业景气提升

金融歧视下的资源错配,已成为中小企业健康可持续发展的掣肘。如何突破这一约束,融合“普”与“惠”的数字普惠金融被寄予厚望。本文基于数字普惠金融的内涵与中小企业健康可持续发展对金融资源的诉求进行理论分析,然后构建链式多重中介效应模型,利用江苏省13个地级市的数字普惠金融指数及中小企业发展调研数据,检验数字普惠金融发展对中小企业景气提升的作用及其机制。结果发现:数字普惠金融对中小企业景气提升具有显著的正向作用,覆盖广度、使用深度和数字化程度的提高都能促进中小企业景气指数上升。机制分析表明,数字普惠金融的发展能降低中小企业融资成本,从而提高融资匹配度,由此提升中小企业景气指数。特别地,数字普惠金融发展对中小企业景气的提升作用具有“均衡器效应”,景气状况较差的中小企业能够从中获益更多。为此,应当持续推动数字普惠金融发展,借助其抑制金融资源错配功能,破解中小微企业融资约束,提升其发展中的景气度。

建设金融强国指数报告:分析框架、指标体系与评价结果

中央金融工作会议提出加快建设金融强国将金融工作上升到党和国家事业发展全局的战略高度,建设金融强国指数编制及数据库建设是核心主题相关研究领域及效应拓展研究领域的基础设施层面的根本需求。遵循习近平总书记关于加快建设金融强国的系统论述,围绕建设金融强国的关键核心金融要素,在传统的金融发展测评指标的基础上,确立建设金融强国指数编制的七大领域的指标体系;测定和编制全球36个主要经济体的金融发展指数,并从中比较分析中国建设金融强国在全球主要经济体中的实力地位、比较先进性及待提升空间。基于上述研究结论,演绎中国加快建设金融强国的实施路径和发展步骤等多方位措施。本文首次建构建设金融强国的测评指标体系,是为拓展金融发展测评的研究文献的边际贡献。

基于多级索引表的金融业务数据库精准查询方法

为提升金融业务数据库查询精准度和效率,设计了一种基于多级索引表的金融业务数据库精准查询方法。首先,构建多级索引的逻辑结构,设计多级索引表构建过程;其次,进行金融业务数据特征融合,为金融业务数据查询准备好数据条件;最后,设计金融业务数据库精准查询算法,完成基于多级索引表的金融业务数据库精准查询方法设计的全过程。实验结果表明:设计方法的金融业务数据库查询精准度均在90%以上,最高可达到98%,而且查询所需时间最短仅为5.25 s。本设计方法的适用性极强,具有较好的应用前景,以期能够为金融业务数据的精准高效查询提供参考借鉴。

我国交叉性金融业务分析与穿透式监管指数编制初探

中央金融工作会议提出防范风险跨区域、跨市场传递共振,中国人民银行提出构建以资管产品为代表的交叉性金融业务风险监测评估框架。通过对交叉性金融概念、衍生背景、演变历程、运行状况的分析,为提升我国交叉性金融风险管控能力提供有益参考。在交叉性金融统计数据缺口较大和信息公开程度较低的情况下,通过对资管产品与银行理财产品发展情况的分析了解我国交叉性金融业务的演变特征,同时通过构造投资广度指数与投资集中度指数为交叉性金融业务的穿透式监管提供有益的分析工具。研究发现,我国交叉性金融业务取得了长足的发展,交叉性金融业务野蛮扩张的势头得到了有效控制,交叉性金融业务发展的业务模式和资金运用方式都呈现出新的变化趋势。对投资广度指数和投资集中度指数进行试算分析发现,构造投资广度指数与集中度指数,能够加强对交叉性金融业务投资复杂程度的把握,仅依托公开数据即可初步实现穿透式监管。由于交叉性金融业务的底层资产难以穿透,蕴含着较大的系统性风险,因此应该规范交叉性金融业务活动,加强穿透式监管,避免金融风险的跨机构、跨市场传递共振;金融监管部门与金融机构应该积极依托业务数据对交叉性金融活动开展常规性和专项性的穿透式监管。

金融服务实体经济效率测度及影响因素研究

本文利用2000—2022年全国31个省(市、自治区)的数据,运用Malmquist指数测度了我国金融服务实体经济的效率及变化情况,并进一步运用GMM估计方法分析了银行业垄断程度、直接融资比重、普惠金融发展水平、实体经济产业结构、劳动力素质和外贸出口水平对金融服务实体经济效率的影响作用及效果。结果表明,受技术进步驱动,2000—2022年间我国金融服务实体经济效率整体呈上升趋势;这一效率受银行业垄断程度、直接融资比重等上述因素影响,其中除银行业垄断程度对金融服务实体经济效率存在负向影响外,其他因素均为正向影响,且以上影响在东部、中部、西部和东北地区存在异质性。据此,本文提出持续深化区域性金融供给侧改革;扩大股权债券融资规模,提高直接融资比重;鼓励中小银行发展,促进银行业内良性竞争等建议。

资本市场系统性风险监测及风险跨市场溢出研究——基于金融压力指数视角

本文从股票、债券、衍生品、外汇四个市场选取指标构建资本市场压力指数,对中国资本市场系统性风险进行动态测度;在此基础上,从时域和频域视角考察风险在四个子市场间的溢出效应。研究结果表明:本文构建的资本市场压力指数能够准确识别样本区间内的重大风险事件;极端冲击将导致风险溢出水平上升,各子市场在风险传递中的作用具有差异性和时变性;根据风险溢出的大小、方向和长短期结构,能够对风险动态演化过程及驱动因素进行有效判别。本文的研究对完善资本市场风险动态监测体系具有重要价值。

区域金融服务能力对中国经济增长的影响效应研究

以金融资源、金融效率和金融生态三个维度构建中国省级区域金融服务能力评价指标体系,测算结果表明:2003-2020年中国区域金融服务能力呈现明显上升趋势,东、中、西部地区与全国变化趋势基本一致,东部各省份的金融服务能力整体上高于中部、西部省份。选定的基准模型估计结果表明:2003-2020年区域金融服务能力对中国经济增长存在显著促进作用;三大地区子样本情形的分析也表明区域金融服务能力对其经济增长均存在显著促进作用;两类经济发展水平地区子样本分析表明:相对发达地区金融服务能力对其经济增长的促进作用更为明显,而欠发达地区这种促进作用相对较弱。全国样本情形下的修正模型估计结果表明:当经济系统遭受外生冲击影响时,区域金融服务能力对经济增长仍存在正向促进作用,但提升区域金融服务能力则对中国经济波动存在一定的反向抑制效应。进一步讨论表明:在全国样本和两类经济发展水平地区子样本情形下,区域金融服务能力对经济增长的贡献率基本上呈现出先波动变化再稳定上升的趋势;相较于增加金融资源而言,提高金融效率或改善金融生态手段在抑制外生冲击、平滑经济波动方面更为有效。优化金融生态环境和区域金融布局将为中国经济发展提供进一步支持。

重大突发事件下中国金融风险跨市场多周期溢出效应研究

在重大突发事件频发的背景下,从多周期角度考察中国金融风险的跨市场溢出效应,对于防范化解重大金融风险具有重要意义。采用小波多分辨分析、DY溢出指数与风险溢出网络模型,从静态和动态角度测度了重大突发事件的短期、中期、长期内我国金融市场间风险溢出的强度和方向,识别不同事件不同周期下的风险中心及演变规律。研究发现:从静态角度来看,中国金融市场平均风险溢出水平呈现随周期增加而增加的趋势,“欧债危机”时期的风险总溢出最小,市场在各个时期不同周期下的风险净溢出情况不同,净风险溢出、溢入市场不断变化;从动态角度来看,重大突发事件冲击下金融市场总体风险传染水平呈现先上升后逐渐平稳并回落的趋势,短期总溢出指数最低,中期最高,但在某些时期,短期总溢出水平可能高于中长期;不同重大突发事件、不同周期下风险的承担中心、风险在各金融市场间的传染路径均会发生变化。因此,在强化金融市场风险监管时,需要建立全流程风险防控体系以实现风险的有效处置,针对不同事件、不同周期的反应差异,实现金融风险的精准识别与重点管理。

清代财政能力的变化趋势与量化度量——基于雍乾嘉道四朝户部银库财政收支数据的尝试性考察

财政能力被认为是导致东西方在18—19世纪出现经济大分流的影响因素之一,但学界有关清代财政能力的量化度量仍是研究的空白点。根据清代户部银库收支数据,分析了清代财政收支变化的时间趋势,并基于财政盈余和实物折算两个维度构建了雍正、乾隆、嘉庆和道光四朝的财政能力指数,分析了这一时期的财政能力指数与相关经济变量之间的相关关系。结论显示:基于户部财政收支构建的清代前期的财政能力指数与相关宏观变量存在着预期关联关系,对当时人们的工资、福利与生活成本具有显著解释力。

基于SVM模型的农村金融机构农户信用风险评价体系研究——以黑龙江省为例

目前,对农户信贷风险的评估方法很多,但大多采用专家主观判断法、统计判别分析法,主观性强,受样本数量限制。随着引入人工智能技术,出现了遗传算法、神经网络模型、支持向量机、随机森林等方法。在诸方法中,SVM是一种适用于少量样本的学习方法,可用于处理线性和非线性分类问题,尤其适用于农户信贷信息获取少而难的评估。文章运用农户信贷理论,以黑龙江省某农商行为主要研究对象,分析了农户贷款信用风险管理和评价体系现状,运用SVM模型和主成分分析构建了农户信用风险评价指标体系,并运用某农商行的数据进行了实证分析研究。得出结论:SVM模型在所有数据集上表现最好,其提取规则的准确性超越了传统的分类方法,可用作特征选择法的基础来确定违约风险重要的特征。