bevictor伟德官网2018年科研成果（國際期刊）

[發布日期]:2019-01-18 [浏覽次數]:

顧弦：Does economic structure determine financial structure?

顧弦

《Journal of International Economics》

Volume 114, September 2018, Pages 389-409

作者簡介：

顧弦

顧弦，bevictor伟德官网金融學副教授，碩士生導師。北京師範大學經濟學博士，美國賓夕法尼亞大學法律碩士，沃頓商學院金融系博士後與訪問博士生，研究領域為實證公司金融、銀行與監管。其研究論文曾發表于Annual Review of Financial Economics,Journal of Banking and Finance等期刊與Oxford Handbook of Banking（牛津大學出版社）、Sveriges Riksbank and the History of Central Banking（劍橋大學出版社）等論文集，或入選AEA（美國經濟學會年會）、FMA（美國金融管理學會年會）、NBER（美國國民經濟研究局）中國經濟會議、CICF（中國金融國際年會）等國際學術會議。曾在芬蘭中央銀行、香港金管局等機構擔任訪問研究員。2011-2013年曾供職于中信證券研究部。

内容摘要：

In this paper, we examine the relationship between the structure of the real economy and a country's financial system. We consider whether the development of the real economic structure can predict the direction of evolution of a country's financial structure. Using data for 108 countries, we find a significant relationship between real economic structure and financial structure. Next, we exploit shocks to the economies in India, Finland and Sweden, and South Korea and show that changes in the economic structure of a country influence the evolution of its financial system. This suggests that financial institutions and capital markets change in response to the structure of industries.

遊五嶽：Women’s political participation and gender gaps of education in China: 1950–1990

遊五嶽

《World Development》

Volume 106, June 2018, Pages 220-237

作者簡介：

遊五嶽

遊五嶽，2017年6月畢業于北京大學國家發展研究院，現任bevictor伟德官网講師，講授《中國金融史》等課程。研究關注于政治經濟學、經濟史方向。目前的研究興趣有，精英結構與網絡對于長期經濟增長、社會變遷和債務結構的影響。已有的研究在實證上探讨了政治精英的性别結構對于社會性别觀念的塑造，以及由此帶來的對性别比例、性别教育差距等方面的影響；從戰争對于官員網絡結構塑造的角度，探讨了建國以來長期經濟增長、工業所有制變化、教育普及、地方政府與企業債務規模的政治經濟學邏輯。研究成果發表在World Development等期刊上。

内容摘要：

Does women’s political participation have long-lasting impacts on gender equality? Using female membership in the Chinese Communist Party (CCP) as a measure for women’s political participation and relying on data provided by Chinese county chronicles, we show that female political participation in 1950 had a long-term and positive impact on gender equality of education in 1990. Relying on individual-level data provided by the 1990 census, we construct a panel dataset comprising of people of different age cohorts in individual counties and find that contemporary women’s political participation significantly narrows the gender gap by raising girls’ probability of enrollment and completion of school relative to those of boys. The positive effects remain when we use the time of “liberation”, i.e., the time when the CCP got control of a county, to construct an instrument for the female party membership in 1950 and future periods. These effects also remain significant when the period of Cultural Revolution is studied. Finally, we test two channels, the policy channel and the perception channel, by which these effects were possibly exerted. For the policy channel, public spending on education is studied; and for the perception channel, parents’ aspiration and investment for daughters’ education are studied. The paper finds supporting evidence for the perception channel, but not for the policy channel.

蘇治、尹力博：Oil prices and news-based uncertainty：Novel evidence

蘇治、尹力博

《Energy Economics》

Volume 72, May 2018, Pages 331-340

作者簡介：

蘇治、尹力博

蘇治，經濟學博士，bevictor伟德官网金融科技系主任，教授、博士生導師。教育部新世紀優秀人才，清華大學金融學博士後，吉林大學數量經濟學博士，美國德克薩斯大學EMBA。在《中國社會科學》、《經濟研究》、《管理世界》、《世界經濟》、《Quantitative Finance》等雜志發表論文70餘篇，主持國家社科基金重大項目、國家自然科學基金面上項目和青年項目、教育部人文社科基金項目等十餘項。研究成果獲第七屆高等學校科學研究優秀成果獎（人文社會科學）經濟學論文類二等獎，被《新華文摘》、《高等學校文科學術文摘》、《中國社會科學文摘》、《中國人民大學複印報刊資料》等多次轉載。

尹力博，bevictor伟德官网副教授，管理學博士。2013年畢業于北京航空航天大學經濟管理學院。主持并參與國家和省部級基金項目9項，在《經濟研究》、《管理世界》、《管理科學學報》、Quantitative Finance、Journal of Futures Markets、Energy Economics等國内外重要學術期刊上發表論文30餘篇。

内容摘要：

In this paper, using news implied volatility (NVIX) as a key variable to measure news-based uncertainty, we investigate whether the world price of oil and three classical oil shocks affect news-based uncertainty, or vice versa. Our analysis is conducted through the news mechanism that is unrelated to fundamentals. This research contributes to the literature on the effect of oil prices on news-based uncertainty by studying the dynamics, in both the time and frequency domains, using the wavelet coherence analysis. Our results illustrate that oil prices exhibit a statistically and economically significant leading role on NVIX, especially in the long run. Further, we distinguish the different impacts of oil shocks and find that the oil supply and aggregate demand shocks usually play a leading role on relatively long-term NVIX while the oil specific demand shocks are sensitive to the fluctuations of NVIX. We also find that the rules of comovement between oil prices (oil shocks) and news-based uncertainty change at different frequencies and times. They usually move together in opposite directions with the exception of the oil supply shocks and NVIX. These findings apply to both oil spot and futures markets. Our results present new and interesting implications for investors and policy makers by supporting the news reallocation channel as an important transmission mechanism from oil markets.

尹力博：Investor attention and currency performance: international evidence

尹力博

《Applied Economics》

VOL. 50, NO. 23,2018, Pages2525–2551

作者簡介：

尹力博

内容摘要：

This article investigates the relationship between investor attention measured by Google searchvolume index and the performance of several currencies. We find that currency performance isremarkably responsive to changes in investor attention. These impacts, generated rapidly, arepresent over the relatively long term, especially for emerging currencies, and are intensifiedduring periods of high uncertainty. We also demonstrate that there is a prominent asymmetriceffect for the impact of attention, as past currency performance also influences attention.Typically, past currency performance can determine the magnitude of the impact on currentcurrency performance. Moreover, we confirm that investor attention has a predictive power forforecasting emerging currency performance in the out-of-sample analysis. Further, these forecasts generate substantial economic value in the framework of asset allocation. By contrast,statistical predictability and economic value do not exist in the currencies from developedmarkets. These results indicate that investor attention can alter currency performance and itspredictability. More broadly, our study emphasizes the potential of employing investor attentionfor emerging currency performance forecasting applications.

陳銳：Rational expectations, difference of opinions and asset pricing

陳銳

《Applied Economics》

Volume 50, 2018 - Issue 31

作者簡介：

陳銳

陳銳，bevictor伟德官网副教授，中國資産管理研究中心研究員。澳大利亞悉尼大學金融學博士，主要研究方向包括資産定價，利率期限結構模型，市場微觀結構，基金業績評價。曾在Financial Management, International Review of Economics and Finance, Finance Research Letter, Applied Economics,Australian Economic Papers, Asia-Pacific Journal of Financial Studies，金融研究等期刊發表論文。曾在中國金融國際年會、中國金融工程年會、世界金融年會、澳大利亞金融與銀行年會、清華大學、人民大學、武漢大學、西南财經大學、江西财經大學等宣講論文。

内容摘要：

This article applies the concept of relative overconfidence (the measure of how heavily investors depend on others’ information) to combine the rational expectations equilibrium (REE) and difference of opinions (DO) models. And we discuss the effects of relative overconfidence on asset price efficiency and trading volume. We find that when investors hold assets to maturity, relative overconfidence has no effect on price efficiency and trading volume; however, when investors speculate, relative overconfidence reduces price informativeness and trading volume, because investors will reckon asset prices as more noisy and find it meaningless to speculate on capital gains based on their private information. Our results highlight the role of speculation in differentiating REE and DO models and influencing the effects of overconfidence.

尹力博：Our currency, your attention: Contagion spillovers of investor attention on currency returns

尹力博

《Economic Modelling》

作者簡介：

尹力博

内容摘要：

This study investigatesfinancial contagion among currency markets through the novel channel of investorattention measured by Google search volume index (SVI). These contagion spillovers, generated rapidly, aremainly positive and relatively short-lived. The effects are more remarkable for lagged currency attention fromdeveloped markets on emerging currency returns. Besides, the effects are barely affected by additionally controlling for liquidity, which means that investor attention plays an indispensable role in financial contagion.Additionally, past currency appreciation negatively impacts contagion spillovers of attention on present currencyreturns. Hence, increased attention diminishes the return predictability and therefore alleviates market inefficiency. Furthermore, we corroborate that investor attention provides a statistically significant out-of-sampleforecast on currency returns, which is congruent with the previous in-sample results. Overall, our findings support the attention reallocation channel as an important contagion mechanism among currency markets and showthat attention works as a predictive variable.

蘇治、尹力博：Understanding stock market volatility: What is the role of U.S. uncertainty?

蘇治、尹力博

《The North American Journal of Economics and Finance》

Available online 1 August 2018, In Press

作者簡介：

蘇治、尹力博

内容摘要：

This study investigates the spillover of U.S. economic uncertainty on the stock market volatility of six industrialized and three emerging-market countries, using a bivariate GARCH-MIDAS model. We consider three different U.S. uncertainty indices: economic policy uncertainty (EPU), financial uncertainty (FU), and news implied uncertainty (NVIX). Our results indicate that EPU is positively associated with the industrialized countries’ stock market volatility; FU does not appropriately predict long-term stock market volatility; and NVIX is the more powerful predictor of market volatility, with higher NVIX leading to lower volatility. Our study highlights a new channel of market contagion and furthers our understanding of the sources of stock market volatility.

尹力博：Can investors attention on oil markets predict stock returns?

尹力博

《North American Journal of Economics and Finance》

作者簡介：

尹力博

内容摘要：

This paper sets out to explore the predictability of the U.S. equity risk premium directly based oninvestor attention to oil. Wefind that the predictive power of oil attention exhibits statistical andeconomic significance within different models in both in-sample and out-of-sample tests.Meanwhile, oil attention reveals considerable and robust economic value for asset allocation inthe sense of positive utility gains. Furthermore, supportive evidence that oil attention is closelylinked to stock market volatility endues it with a macroeconomic meaning, serving as an explanation for its predictive power. Overall, investor attention to oil does have a direct predictivepower to forecast the U.S. stock excess returns.

尹力博：Can skewness predict currency excess returns?

尹力博

《North American Journal of Economics and Finance》

作者簡介：

尹力博

内容摘要：

This paper investigates whether the skewness of returns is informative about future currencyexcess returns. Wefirst conduct portfolio-level analyses with and without control variables, suchas volatility, liquidity and global foreign exchange (FX) volatility risk. Then, we run regressionsat the currency level to examine the predictive ability of skewness. The empirical results indicatea positive and significant relationship between skewness and future currency excess returns. Wethen compare the skewness strategy with the traditional carry trade andfind that skewness stillmatters after excluding the effects of the carry trade. Our empiricalfindings are robust to subsamples (emerging, non-Euro and Group of Twentyeconomies) and different business cyclestates. Finally, wefind that skewness strategies cannot be enhanced by considering informationabout currency regimes.

尹力博：Uncertainty and currency performance: A quantile-on-quantile approach

尹力博

《North American Journal of Economics and Finance》

作者簡介：

尹力博

内容摘要：

姜富偉：Q-theory, mispricing, and profitability premium: Evidence from China

姜富偉

《Journal of Banking & Finance》

Volume 87, February 2018, Pages 135-149

作者簡介：

姜富偉

姜富偉，現任bevictor伟德官网副教授，碩士生導師，資産管理研究中心研究，FRM。新加坡管理大學金融學博士，廈門大學金融學碩士。主要研究方向包括行為金融，資産定價，收益預測，市場異象，投資管理等。主要講授課程包括實證金融方法，金融市場與機構，資本市場，金融研究專題，博士論文寫作等。曾在Review of Financial Studies，Journal of International Money and Finance, Journal of Banking and Finance, Journal of Portfolio Management，Pacific-Basin Finance Journal，Emerging Market Finance and Trade，《金融研究》,《經濟學動态》等重要期刊發表多篇學術論文。曾獲得中國金融評論國際研讨會Emerald優秀論文獎、《金融研究》優秀論文三等獎、全美華人金融協會最佳論文獎等學術獎項。曾在中國金融國際年會、财務管理協會年會、亞洲金融協會年會、Q-Group論壇、澳大利亞金融與銀行年會、中國金融年會、芬蘭中央銀行、清華大學、北京大學、人民大學、浙江大學、中山大學、廈門大學等宣講論文。

内容摘要：

Using various empirical measures, we find that, in China, firms with high profitability generate substantially higher future stock returns than those with low profitability. This positive effect of profitability on expected returns is robust to controlling for other firm characteristics and risks. We show that the profitability premium is stronger among firms with low investment friction, which is consistent with the implications of investment-based q-theory asset pricing models. However, the premium is not stronger among firms with high limits to arbitrage, contradicting behavioral mispricing explanations.

顧弦：Political influence and financial flexibility: Evidence from China

顧弦

《Journal of Banking and Finance》

Volume99,January2019, Pages142-156

作者簡介：

顧弦

内容摘要：

This paper investigates how political influence affects firms’ financial flexibility and speed of adjustment toward target leverage ratios. We find that at the macro level, firms in environments with high political advantages, proxied by provincial affiliations with heads of state as well as political status and party rank of provincial leaders, adjust faster. At the micro level, firms that are state-owned, have CPC members as executives, or bear low exposure to changes in political uncertainty adjust faster. When interacted, the micro-level political factors have more significant impact.

尹力博：Oil and the short-term predictability of stock return volatility

尹力博

《Journal of Empirical Finance》

Volume47, 2018 Pages 90-104

作者簡介：

尹力博

内容摘要：

The goal of this paper is to show that crude oil volatility is predictive of stock volatility in theshort-term from both in-sample and out-of-sample perspectives. The revealed predictability is alsoof economic significance, as shown by examining the performance of portfolios constructed onthe oil-based forecasts of stock volatility. Results from robustness tests suggest that oil volatilityprovides different information from traditional macro variables. Further analysis shows thatsimple linear regression is sufficient for capturing predictive relationships between oil and stockvolatility. Oil volatility is found to predict return volatilities of a significant number of industryportfolios during recent periods.

顧弦：How creditor rights affect the issuance of public debt: The role of credit ratings

顧弦

《Journal of Financial Stability》

Volume 39, November 2018, Pages 133-143

作者簡介：

顧弦

内容摘要：

We propose that credit ratings act as an information channel which, combined with more power being given to creditors by countries strengthening creditor rights, leads to an increase in the supply of public debt. From a firm-level dataset covering 51 developed and developing countries for 1989 through 2013,we find that in countries with stronger creditor rights, firms tend to have higher credit ratings. Weconfirm that in these countries, firms with higher credit ratings exhibit a greater issuance of public debt than that of equity. As further evidence that credit ratings reduce agency costs of debt, we find that improvements in creditor rights and resulting higher credit ratings increase capital expenditures among firms experiencing severe bondholder-shareholder conflicts.

尹力博：Does news uncertainty matter for commodity futures markets? Heterogeneity in energy and non-energy sectors

尹力博

《Journal of Futures Markets》

Volume38, Issue10 Pages 1246-1261

作者簡介：

尹力博

内容摘要：

This study investigates the impact of news implied volatility (NVIX) and its two sub‐components (news about stock markets, SMI, and news about banks and other financial intermediaries, FII) on the long‐term volatilities of commodity futures. Our empirical results clearly show that NVIX behaves heterogeneously in energy and non‐energy sectors. NVIX exerts a positively significant influence on volatilities of non‐energy futures. By contrast, volatilities of energy futures cannot be triggered by NVIX. We further show that SMI significantly affects both energy and non‐energy futures, whereas, FII only impacts non‐energy futures.

尹力博：Causality between oil shocks and exchange rate A Bayesian, graph-based VAR approach

尹力博

《Physica A: Statistical Mechanics and its Applications》

VOL. 508, 2018, Pages 434–453

作者簡介：

尹力博

内容摘要：

Our paper studies the casual relationship between oil and major bilateral exchange ratesagainst US dollar via a novel Bayesian, graph-based approach. This approach is shown tobe quite effective in dealing with identification in Vector Autoregression (VAR) model, inwhich the temporal causal structure is represented by a graph sampled by Markov ChainMonte Carlo (MCMC) method. Empirical evidence demonstrates that oil price leads theexchange market in the after-crisis period whereas vice versa before crisis, implying apotential impact from financial crisis on the causality between these two markets. Wefurther show that in general, oil-market specific shock affects the dependence structuremost, while aggregate demand shock plays a weaker role and supply shock contributesleast. Specifically, these three oil shocks take effect during different periods, thus capturingsome invisible information about market evolutions.

尹力博：Optimistic bias of analysts' earnings forecasts Does investor sentiment matter in China

尹力博

《Pacific-Basin Finance Journal》

VOL. 49, 2018, Pages147–163

作者簡介：

尹力博

内容摘要：

This paper primarily studies the effects of irrational factors (investor sentiment) on analysts'forecast bias and the impacts of rational factors (conflicts of interest) on the sentiment-forecastbias nexus. Empiricalfindings show that investor sentiment does have significant positive impacts on analysts' forecast bias. This effect still holds after controlling for rational factors(commission relationship, underwriting relationship and reputation factors). Moreover, investorsentiment has more notable impacts on analysts' forecast bias for those who are under thepressure of conflicts of interest, particularly for the commission relationship. The stronger thecommission relationship is, the greater the analysts' forecast bias. Our results provide new insightinto the mechanism through which investor sentiment affects returns.

尹力博：Forecasting the CNY-CNH pricing differential The role of investor attention

尹力博

《Pacific-Basin Finance Journal》

VOL. 49, 2018, Pages232–247

作者簡介：

尹力博

内容摘要：

As the exponential expansion in the international use of RMB, the issues concerning“one currency, two markets”have attracted increasing attentions from both policymakers and academics.We investigate the forecast power of investor attention for the CNY-CNH pricing differential.Investor attention displays statistically and economically significant in-sample and out-of-samplepredictability of the CNY-CNH pricing gap at both weekly and monthly frequencies. Also, investor attention provides more useful information than macro variables for detecting the typicalrise (decline) behavior near a CNY-CNH differential peak (trough). In addition, investor attentiongenerates substantial economic values in asset allocation exercise. Moreover, we demonstratethat investor attention provides statistically and economically significant out-of-sample forecastfor the CNY and CNH carry trade.

張學勇：Mutual Fund Managers’ Prior Working Experience and Their Investment Skills

張學勇

《Financial Management》

作者簡介：

張學勇

張學勇，bevictor伟德官网研究生院副院長，bevictor伟德官网教授、博士生導師，中國資産管理研究中心主任。主持國家自然科學基金兩項，中國博士後基金一項，并在Financial Management，Asia-Pacific Journal of Financial Studies , Pacific-Basin Finance Journal，China Journal of Accounting Research、《經濟研究》、《管理科學學報》、《金融研究》、《中國工業經濟》等重要期刊發表論文多篇，2011年入選教育部新世紀優秀人才培養支持計劃，中國注冊會計師協會會員（CPA）。主要研究方向包括：共同基金與對沖基金的業績評價、策略分析；量化投資策略構造與數據回測；私人股權投資基金與風險投資的投資策略與回報渠道；公司并購、重組、IPO與價值創造。主要講授課程：實證金融學、量化投資、高級财務報表分析、大數據、互聯網與金融創新、股權投資與資本運作。

内容摘要：

This paper examines the relationship between mutual fund managers’ past professional backgrounds and their portfolio performance using Chinese mutual fund data from 2003 to 2016. We focus on managers with prior work experience either as industry analysts or as macroanalysts. We hypothesize that managers who worked as industry analysts exhibit superior stock picking skills, while managers with a background as macroanalysts time the market better. These hypotheses are supported by the data after controlling for observable fund and manager characteristics. Bootstrap analyses suggest that a significant difference in performance between these two types of managers cannot be attributed purely to luck.

張學勇：The role of foreign and domestic venture capital in innovation: evidence from China

張學勇

《Accounting & Finance》

作者簡介：

張學勇

内容摘要：

This paper analyses the different effects of foreign venture capital (FVC) and domestic venture capital (DVC) on innovation for IPOs. Using patent counts to measure innovation, the results indicate that FVC‐backed firms are less innovative than DVC‐backedfirms. Our findings are robust after controlling for the sample selection bias using a propensity score matching approach. One possible underlying mechanism through which FVCs nurture less innovation is their inferior geographic proximity to investment targets.

苟琴：Does ownership matter in access to bank credit in China?

苟琴

《The European Journal of Finance》

2018, VOL. 24, NO. 16, 1409–1427

作者簡介：

苟琴

苟琴，bevictor伟德官网副教授。2014年在北京大學獲經濟學博士學位；2009年在南開大學獲經濟學學士學位；2011年至2012年在美國紐約大學訪問。主要研究領域包括國際金融、宏觀經濟、實證銀行經濟等。曾在China Economic Review，European Journal of Finance,《管理世界》、《世界經濟》及《金融研究》等期刊發表10餘篇學術論文。曾獲得澳大利亞中國經濟學會（CESA）最佳論文、《金融研究》優秀論文、中國新興經濟體研究會優秀論文等學術獎項。曾多次參加國内外高水平學術會議。主持國家自然科學基金青年項目等課題。

内容摘要：

Employing two World Bank survey datasets of small- and medium-sized enterprises(SMEs), we investigate whether ownership discrimination exists in Chinese banks’credit allocation. By comparing firms’ credit demand and loan availability, we identifytwo types of credit-rationing, self- and bank-rationing. We find that more thanhalf of potential borrowers are credit-rationed, most of which is due to self-rationing.While several firm characteristics and macro-financial factors are important in determiningchances of credit-rationing, there is no evidence to support the popular assertionof ownership discrimination in credit allocation in China. This also suggests thatownership reform alone is not sufficient for alleviating SMEs’ funding difficulties.

尹力博：Investor Attention and Stock Returns International Evidence

尹力博

《Emerging Markets Finance and Trade》

作者簡介：

尹力博

内容摘要：

This article examines the asymmetric/discriminative effects of investor attention on expectedstock returns among 15 markets through economic expansions and recessions. The predictive power ofattention tends to be short-lived and weakens the autocorrelation within returns. Accounting for businesscycles not only confirms that the predictability of attention endures with volatility but also explicates theasymmetric effects that underlying pessimism functions better. International evidence contributes to theliterature on investor attention and reveals the discrepant effects of attention with three levels of marketefficiency: semi-strong, stronger than semi-strong, and weak.

尹力博、蘇治：Common idiosyncratic volatility and returns: From an investment horizon

尹力博，蘇治

《International Journal of Finance & Economics》

作者簡介：

尹力博，蘇治

内容摘要：

“Idiosyncratic risk–return puzzle” is conflicting and confusing. It becomes more complex by the introduction of the common idiosyncratic volatility(CIV). We shed new light on the issue from the perspective of heterogeneity of investors with different investment horizons. We study the“CIV puzzle”with Chinese A‐Share market evidence and further contribute by employingthe wavelet multiresolution analysis framework to decompose the over all CIV into timescales that refer to risks in different terms. We apply these time scales in Fama–Macbeth regressions to investigate their pricing effects. The results suggest that the“CIVpuzzle”is an investment horizon specification problem. The relationship between returns and common idiosyncratic risk is negative in the short run, positive in the intermediate run, and then negative again in the longer run. We also contribute to the international empiricalevidence with an in‐depth analysis of the Chinese stock market over the period1999–2016. The results are robust across different specifications of the CIV. Our findings have important implications for portfolio and risk management.

顧弦：The Interplay between Regulations and Financial Stability

顧弦

《Journal of Financial Services Research》

June 2018, Volume 53, Issue 2–3, pp 233–248

作者簡介：

顧弦

内容摘要：

The crisis demonstrated that microprudential regulation focusing on the risks taken by individual banks is not sufficient to prevent crises. This is because it ignores systemic risk. Six types of systemic risk are identified, namely: (i) panics – banking crises due to multiple equilibria; (ii) banking crises due to asset price falls; (iii) contagion; (iv) financial architecture; (v) foreign exchange mismatches in the banking system; (vi) behavioral effects from Knightian uncertainty. We focus on the first three as they are arguably the main causes of the 2007–9 crisis and consider regulatory and other policies to counteract them.

尹力博：The predictive performance of the currency futures basis for spot returns

尹力博

《Quantitative Finance》

作者簡介：

尹力博

内容摘要：

This paper investigates the predictive performance of the futures basis in directly forecasting currency spot returns and compares it with that of the one-month forward basis. We consider the settleprices of both front-month and nearby-month continuous futures contracts and find that the futuresbasis exhibits statistically and economically significant in-sample and out-of-sample forecastingpower, which clearly exceeds that of the well-known forward basis. The empirical results show thatspot returns correspond negatively to both the front-month futures basis and nearby-month futuresbasis. Furthermore, the futures basis reveals substantial economic value for investors in terms ofsizable and tangible portfolio gains, which are consistent with statistical measures. The differencein the forecasting ability of the futures basis and forward basis can be explained by the level ofexposure to the time-varying risk premium. Finally, we find that impacts of the futures basis on spotreturns vary with time and experienced substantial structural changes during the Global FinancialCrisis.

張碧瓊：Global Volatility Spillover in Asian Financial Markets

張碧瓊

《Mediterranean Journal of Social Sciences》

Vol 9 No2,March 2018

作者簡介：

張碧瓊

張碧瓊，bevictor伟德官网教授、國際金融系主任，碩士、博士生導師，博士後合作導師。主講課程：國際金融，國際金融管理，國際經濟學、跨國公司财務管理、财務報表分析、外彙市場與風險管理等。每年指導本科生論文3-5篇，指導碩士論文5-7篇，博士1-3篇。研究興趣：國際資本流動與國際投融資風險管理，彙率與貨币國際化理論及實踐。近年來主持縱向和橫向課題7項，出版專著和教材5項，在國内外期刊公開發表論文約10篇。2014年，鄧子基财經學術論文獎，2018年獲得bevictor伟德官网成心優秀科研成果推廣獎，2018年北京市師德（先鋒）先進個人獎。

内容摘要：

The present paper accommodates the spillover impact of market volatility index of S & P 500 (VIX) and China exchange-traded fund’s volatility (VXFXI) on the emerging equity (KSE-100 index) and foreign exchange markets of Pakistan. In this context, we use a vector autoregressive (VAR) model and impulse response functions (IRF) to explore link among VIX indices and financial markets of Pakistan for the differential time periods. The study concludes that a rise in both VIX and VXFXI results in price falls of KSE-100 index and deteriorates exchange rate market. This implies that VIX act as ‘fear gauge’ on both stock and exchange rate markets in Pakistan. These outcomes provide an imperative implication on the pattern of currency and stock sensitivities against global volatility. This reveals that adverse movements in global volatility in the USA and Chinese financial market have a significant impact and a rise in VIX causes an outflow of investment from financial markets of Pakistan. Moreover, our results may guide local and global investors to anticipate the potential direction of stock and exchange rate markets based on market volatility index.

王忏：Optimal Fiscal and Monetary Policy with Durable Goods

王忏

《ANNALS OF ECONOMICS AND FINANCE》

2018年第19-2期，729–748

作者簡介：

王忏

王忏， bevictor伟德官网講師，經濟學博士。研究領域宏觀經濟學，在《Applied Mathematics and Computation》《Annals of Economics and Finance》，《Open Economies Review》，《Journal of International Money and Finance》，《Journal of Economic Dynamics and Control》，《Journal of Macroeconomics》，《The B.E. Journal of Macroeconomics》,《經濟研究》,《世界經濟》等雜志上發文。擔任《Annals of Economics and Finance》,《China Economic Review》,《Emerging Markets Finance and Trade》《International Journal of Finance and Economics》,《Journal of International Money and Finance》,《Macroeconomic Dynamics》,《Open Economies Review》,《The Journal of International Trade and Economic Development》,《World Development》，《經濟研究》，《金融研究》，《經濟學動态》等雜志匿名審稿人。

内容摘要：

In this paper, we examine the question of how to conduct fiscal and monetary policy in a two-sector Ramsey model with durable and non-durable goods. Due to the fact that the intertemporal elasticity of substitution of durable goods is much higher than that of non-durable goods, the introduction of durable goods changes the policy prescriptions substantially. Specifically, in comparison with the findings in the literature, we find that the labor income tax rate and the interest rate exhibit greater volatility. In addition, the volatilities of the labor income tax rate and the interest rate increase with the decrease in the depreciation rate of durable goods.

上一條：弗吉尼亞大學Eric Young教授來我院授課（3月10-15日）下一條：bevictor伟德官网2018年科研成果（國内期刊）

【關閉】