太阳集团tyc5392018年科研成果（国际期刊）

[发布日期]:2019-01-18 [浏览次数]:

顾弦：Does economic structure determine financial structure?

顾弦

《Journal of International Economics》

Volume 114, September 2018, Pages 389-409

作者简介：

顾弦

顾弦，太阳集团tyc539金融学副教授，硕士生导师。北京师范大学经济学博士，美国宾夕法尼亚大学法律硕士，沃顿商学院金融系博士后与访问博士生，研究领域为实证公司金融、银行与监管。其研究论文曾发表于Annual Review of Financial Economics,Journal of Banking and Finance等期刊与Oxford Handbook of Banking（牛津大学出版社）、Sveriges Riksbank and the History of Central Banking（剑桥大学出版社）等论文集，或入选AEA（美国经济学会年会）、FMA（美国金融管理学会年会）、NBER（美国国民经济研究局）中国经济会议、CICF（中国金融国际年会）等国际学术会议。曾在芬兰中央银行、香港金管局等机构担任访问研究员。2011-2013年曾供职于中信证券研究部。

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.

游五岳：Women’s political participation and gender gaps of education in China: 1950–1990

游五岳

《World Development》

Volume 106, June 2018, Pages 220-237

作者简介：

游五岳

游五岳，2017年6月毕业于北京大学国家发展研究院，现任太阳集团tyc539讲师，讲授《中国金融史》等课程。研究关注于政治经济学、经济史方向。目前的研究兴趣有，精英结构与网络对于长期经济增长、社会变迁和债务结构的影响。已有的研究在实证上探讨了政治精英的性别结构对于社会性别观念的塑造，以及由此带来的对性别比例、性别教育差距等方面的影响；从战争对于官员网络结构塑造的角度，探讨了建国以来长期经济增长、工业所有制变化、教育普及、地方政府与企业债务规模的政治经济学逻辑。研究成果发表在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.

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

苏治、尹力博

《Energy Economics》

Volume 72, May 2018, Pages 331-340

作者简介：

苏治、尹力博

苏治，经济学博士，太阳集团tyc539金融科技系主任，教授、博士生导师。教育部新世纪优秀人才，清华大学金融学博士后，吉林大学数量经济学博士，美国德克萨斯大学EMBA。在《中国社会科学》、《经济研究》、《管理世界》、《世界经济》、《Quantitative Finance》等杂志发表论文70余篇，主持国家社科基金重大项目、国家自然科学基金面上项目和青年项目、教育部人文社科基金项目等十余项。研究成果获第七届高等学校科学研究优秀成果奖（人文社会科学）经济学论文类二等奖，被《新华文摘》、《高等学校文科学术文摘》、《中国社会科学文摘》、《中国人民大学复印报刊资料》等多次转载。

尹力博，太阳集团tyc539副教授，管理学博士。2013年毕业于北京航空航天大学经济管理学院。主持并参与国家和省部级基金项目9项，在《经济研究》、《管理世界》、《管理科学学报》、Quantitative Finance、Journal of Futures Markets、Energy Economics等国内外重要学术期刊上发表论文30余篇。

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

作者简介：

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.

陈锐：Rational expectations, difference of opinions and asset pricing

陈锐

《Applied Economics》

Volume 50, 2018 - Issue 31

作者简介：

陈锐

陈锐，太阳集团tyc539副教授，中国资产管理研究中心研究员。澳大利亚悉尼大学金融学博士，主要研究方向包括资产定价，利率期限结构模型，市场微观结构，基金业绩评价。曾在Financial Management, International Review of Economics and Finance, Finance Research Letter, Applied Economics,Australian Economic Papers, Asia-Pacific Journal of Financial Studies，金融研究等期刊发表论文。曾在中国金融国际年会、中国金融工程年会、世界金融年会、澳大利亚金融与银行年会、清华大学、人民大学、武汉大学、西南财经大学、江西财经大学等宣讲论文。

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》

作者简介：

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.

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

苏治、尹力博

《The North American Journal of Economics and Finance》

Available online 1 August 2018, In Press

作者简介：

苏治、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》

作者简介：

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》

作者简介：

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》

作者简介：

尹力博

内容摘要：

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

姜富伟

《Journal of Banking & Finance》

Volume 87, February 2018, Pages 135-149

作者简介：

姜富伟

姜富伟，现任太阳集团tyc539副教授，硕士生导师，资产管理研究中心研究，FRM。新加坡管理大学金融学博士，厦门大学金融学硕士。主要研究方向包括行为金融，资产定价，收益预测，市场异象，投资管理等。主要讲授课程包括实证金融方法，金融市场与机构，资本市场，金融研究专题，博士论文写作等。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》,《经济学动态》等重要期刊发表多篇学术论文。曾获得中国金融评论国际研讨会Emerald优秀论文奖、《金融研究》优秀论文三等奖、全美华人金融协会最佳论文奖等学术奖项。曾在中国金融国际年会、财务管理协会年会、亚洲金融协会年会、Q-Group论坛、澳大利亚金融与银行年会、中国金融年会、芬兰中央银行、清华大学、北京大学、人民大学、浙江大学、中山大学、厦门大学等宣讲论文。

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.

顾弦：Political influence and financial flexibility: Evidence from China

顾弦

《Journal of Banking and Finance》

Volume99,January2019, Pages142-156

作者简介：

顾弦

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

作者简介：

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.

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

顾弦

《Journal of Financial Stability》

Volume 39, November 2018, Pages 133-143

作者简介：

顾弦

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

作者简介：

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

作者简介：

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

作者简介：

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

作者简介：

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.

张学勇：Mutual Fund Managers’ Prior Working Experience and Their Investment Skills

张学勇

《Financial Management》

作者简介：

张学勇

张学勇，太阳集团tyc539研究生院副院长，太阳集团tyc539教授、博士生导师，中国资产管理研究中心主任。主持国家自然科学基金两项，中国博士后基金一项，并在Financial Management，Asia-Pacific Journal of Financial Studies , Pacific-Basin Finance Journal，China Journal of Accounting Research、《经济研究》、《管理科学学报》、《金融研究》、《中国工业经济》等重要期刊发表论文多篇，2011年入选教育部新世纪优秀人才培养支持计划，中国注册会计师协会会员（CPA）。主要研究方向包括：共同基金与对冲基金的业绩评价、策略分析；量化投资策略构造与数据回测；私人股权投资基金与风险投资的投资策略与回报渠道；公司并购、重组、IPO与价值创造。主要讲授课程：实证金融学、量化投资、高级财务报表分析、大数据、互联网与金融创新、股权投资与资本运作。

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.

张学勇：The role of foreign and domestic venture capital in innovation: evidence from China

张学勇

《Accounting & Finance》

作者简介：

张学勇

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

作者简介：

苟琴

苟琴，太阳集团tyc539副教授。2014年在北京大学获经济学博士学位；2009年在南开大学获经济学学士学位；2011年至2012年在美国纽约大学访问。主要研究领域包括国际金融、宏观经济、实证银行经济等。曾在China Economic Review，European Journal of Finance,《管理世界》、《世界经济》及《金融研究》等期刊发表10余篇学术论文。曾获得澳大利亚中国经济学会（CESA）最佳论文、《金融研究》优秀论文、中国新兴经济体研究会优秀论文等学术奖项。曾多次参加国内外高水平学术会议。主持国家自然科学基金青年项目等课题。

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》

作者简介：

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、苏治：Common idiosyncratic volatility and returns: From an investment horizon

尹力博，苏治

《International Journal of Finance & Economics》

作者简介：

尹力博，苏治

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.

顾弦：The Interplay between Regulations and Financial Stability

顾弦

《Journal of Financial Services Research》

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

作者简介：

顾弦

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》

作者简介：

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.

张碧琼：Global Volatility Spillover in Asian Financial Markets

张碧琼

《Mediterranean Journal of Social Sciences》

Vol 9 No2,March 2018

作者简介：

张碧琼

张碧琼，太阳集团tyc539教授、国际金融系主任，硕士、博士生导师，博士后合作导师。主讲课程：国际金融，国际金融管理，国际经济学、跨国公司财务管理、财务报表分析、外汇市场与风险管理等。每年指导本科生论文3-5篇，指导硕士论文5-7篇，博士1-3篇。研究兴趣：国际资本流动与国际投融资风险管理，汇率与货币国际化理论及实践。近年来主持纵向和横向课题7项，出版专著和教材5项，在国内外期刊公开发表论文约10篇。2014年，邓子基财经学术论文奖，2018年获得太阳集团tyc539成心优秀科研成果推广奖，2018年北京市师德（先锋）先进个人奖。

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

作者简介：

王忏

王忏，太阳集团tyc539讲师，经济学博士。研究领域宏观经济学，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》,《经济研究》,《世界经济》等杂志上发文。担任《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》，《经济研究》，《金融研究》，《经济学动态》等杂志匿名审稿人。

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.

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