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1. The sustainable development of financial inclusion: How can monetary policy and economic base interact effectively with it? | |||
Yin Xuluo,XU Xuan,CHEN Qi,PENG Jiangang | |||
Economics 19 March 2019 | |||
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Abstract:It is necessary to analyze the relationship between financial inclusion and circumstances, which has practical reference value for policy makers. This paper studies the impact of monetary policy and economic base on financial inclusion factors by using vector autoregressive. Empirical results show that monetary policy has a short-term positive impact on financial inclusion factors, while the economic base has the opposite, which means the positive incentives of monetary policy promote the development of financial inclusion in the short term and the sudden change of the economic situation will make it harder.Based on the data of the World Bank and the situation of China, this paper makes an analysis and comparison of the empirical results, and draws two findings: first, the sustainable development of financial inclusion needs a suitable circumstance; second, the appropriate coordination and mutual facilitation of economic base and finance is conducive to the sustainable development of inclusive finance. | |||
TO cite this article:Yin Xuluo,XU Xuan,CHEN Qi, et al. The sustainable development of financial inclusion: How can monetary policy and economic base interact effectively with it?[OL].[19 March 2019] http://en.paper.edu.cn/en_releasepaper/content/4747874 |
2. Estimation of Equilibrium Term Structure Models: EKF and UKF Based Approaches | |||
SU Yunpeng,YANG Baochen | |||
Economics 06 December 2016 | |||
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Abstract:In a general framework, this paper introduces approaches of estimation for equilibrium models of term structure of interest rates based on the extended Kalman filter (hereafter EKF) and unscented Kalman filter (hereafter UKF). This paper treats the estimation of the equilibrium models as a nonlinear filtering problem, and adopts EKF and the UKF respectively to estimate the model via the maximum likelihood method. Using fourteen years of daily Canadian zero-coupon bond price data, we apply the estimator to Vasicek and Cox-Ingersoll-Ross models based on EKF and UKF respectively. It is found that the EKF-based algorithm offers generally the same performance with the UKF-based one in model estimation when the system is linear or weak linear and the Gaussian distribution assumption is satisfied. But when it comes to the strong nonlinear system with a non-Gaussian distribution, the UKF-based algorithm does a better job than the EKF-based one in model estimation. However the UKF-based algorithm is about 50% slower than the EKF-based one in actual computation, though it is regarded in literature that they both have the same order of computational complexity. | |||
TO cite this article:SU Yunpeng,YANG Baochen. Estimation of Equilibrium Term Structure Models: EKF and UKF Based Approaches[OL].[ 6 December 2016] http://en.paper.edu.cn/en_releasepaper/content/4712769 |
3. Contagion Risk in the Interbank Market in China and the US | |||
Fei Ziwei,Jiang Xiaoquan,Zeng Li,Peng Jiangang | |||
Economics 07 January 2014 | |||
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Abstract:In this paper, we investigate the contagion risk in the interbank market between China and the United States. We adopt the adjusted formula of the capital adequacy ratio proposed in Basel III as the criterion of contagion. Our simulation results show that the contagion risk of individual US banks in this market when they experience a single shock is relatively higher than that of China; however, when they encounter a larger shock by a specific group of banks, they perform better. A comparison of the two countries shows that higher financial system development does not necessarily indicate a higher risk of contagion in the interbank market. Government oversight of the financial system can facilitate the ability of banks to resist contagion risk in the interbank market. | |||
TO cite this article:Fei Ziwei,Jiang Xiaoquan,Zeng Li, et al. Contagion Risk in the Interbank Market in China and the US[J]. |
4. The Effects of Monetary Policy Instruments on Bank Risks in China | |||
Geng Zhongyuan,Zhai Xue | |||
Economics 21 January 2013 | |||
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Abstract:The effects of monetary policy on bank risks has become a hot issue since the 2008 international financial crisis. A panel data regression model is used to examine effects of main monetary policy instruments on commercial bank risks in China from 1998 to 2011.The main findings are as follows. The interest rate has a positive effect on bank risk while the interest rate margin, the reserve requirement ratio and open market operation have a negative effect. Among the three monetary policy instruments, the reserve requirement ratio has the greatest effect on bank risk, the interest rate (the interest rate margin) the second largest and the open market operation the weakest. These findings provide guidance to the monetary authority and regulatory authorities in monetary policy and banking regulation in China. | |||
TO cite this article:Geng Zhongyuan,Zhai Xue. The Effects of Monetary Policy Instruments on Bank Risks in China[OL].[21 January 2013] http://en.paper.edu.cn/en_releasepaper/content/4517114 |
5. Based on spatial analysis to study transmission from Chinese stock market to others | |||
Zhu Manling,Hui Xiaofeng | |||
Economics 29 April 2010 | |||
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Abstract:Chinese stock market has got more and more influence from other regions, since China began QFII and many stocks were back from Hong Kong stock market. Many scholars begin to study this. But they only study time series and don’t think about and ignore these regions spatial character. This paper use spatial analysis to study SSE composite index, Dow Jones Index, Nikkei-225, Singapore straits time index, TWII , HS index and FTSE 100 from January 1, 2006 to January 1, 2007 and from January 1 2007 to January 1 2008. This paper first will build spatial weights and decompose these stock index yield rate. And then quantify the relations between Chinese stock markets and other stock markets. It will compare the influences of Chinese stock market to these stock markets in these two periods. At last this paper constructs spatial transmission model of close price of Chinese SSE and open price of other regions’ stock markets. And this paper found in 2006 chinese stock market had no influence on others, but in 2007 Chinese stock market only influence United States’ stock market. To other markets, Chinese effects are very small. Chinese influence on the world line is: China →United States → other markets. | |||
TO cite this article:Zhu Manling,Hui Xiaofeng. Based on spatial analysis to study transmission from Chinese stock market to others[OL].[29 April 2010] http://en.paper.edu.cn/en_releasepaper/content/42477 |
6. Research on CreditRisk+ Model Based on Severity Variation and Sector Correlation of Multi-system Risk Factors | |||
Jiangang Peng,Zhihua Lv,Jing He,Lei Tong | |||
Economics 08 April 2009 | |||
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Abstract:On the basis of multi-system risk factors CreditRisk+ model based on sector character, this paper takes account of the variation of loss given default, and proposes the CreditRisk+ model on severity variation and sector correlation of multi-system risk factors. This new model fully takes account of the correlation between the sector risk factors and the variation of the obligor’s loss given default, so the accuracy of calculating unexpected loss of loan portfolio with this model is enhanced. In this paper, we give a practical example to analyze this feasibility of the new model by taking use of saddlepoint approximation algorithm. | |||
TO cite this article:Jiangang Peng,Zhihua Lv,Jing He, et al. Research on CreditRisk+ Model Based on Severity Variation and Sector Correlation of Multi-system Risk Factors[OL].[ 8 April 2009] http://en.paper.edu.cn/en_releasepaper/content/31167 |
7. Continuous-Time Evolutionary Stock and Bond Markets with Time-Dependent | |||
Yang, Zhaojun | |||
Economics 19 January 2009 | |||
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Abstract:This paper develops a general continuous-time evolutionary finance model with time-dependent strategies. It is shown that the continuous model, which is a limit of a general discrete model, is well-defined and if there exists one completely diversified strategy in the market, then there is no sudden bankruptcy. After that a deterministic evolutionary bond market is studied in detail. It is certified that a bond market is evolutionary stable, which is equal to arbitrage-free if and only if the total returns defined in this paper across all the assets are the same, or each bond is evaluated by an improper integral in which the integrand is a discounted value of the dividend payoff with the discount rate being market consumption parameter. Last an approach to compute the benchmark interest rate is provided. | |||
TO cite this article:Yang, Zhaojun. Continuous-Time Evolutionary Stock and Bond Markets with Time-Dependent[OL].[19 January 2009] http://en.paper.edu.cn/en_releasepaper/content/28045 |
8. The challenge of banking in Emerging Markets | |||
Qin Jun ,Chang Xuhua ,Zhao Shasha | |||
Economics 22 September 2008 | |||
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Abstract:This essay illustrate the detail of challenges for emerging markets including central bank supervision, bank lending and non-performing assets, risk management, banking structure changes, deposit insurance and credit guarantee, bank rating. Through all of these facts, the author explains how vulnerable banks are in emerging markets to crisis. Then some feasible treatment will be suggested based on the research of studies about the difficulties in the banking system of emerging markets. | |||
TO cite this article:Qin Jun ,Chang Xuhua ,Zhao Shasha . The challenge of banking in Emerging Markets[OL].[22 September 2008] http://en.paper.edu.cn/en_releasepaper/content/24229 |
9. Case Study on International Banking——Australia and New Zealand Banking Group Limited | |||
Qin Jun ,Chang Xuhua ,Zhao Shasha | |||
Economics 17 September 2008 | |||
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Abstract:The purpose of this report is give brief introduction of both of the history and evaluate ANZ ‘s current situation and its overall strategies in both local and overseas banking market through our SWOT analysis, which means strength, weakness, opportunities and threats. There are three goals and objectives in this report. The first goal is to give a general idea of how ANZ evolve during its business circle. The second goal is to analyze its current strength, weakness in the Australian local banking market, and then to analyze its opportunities, threats in both local and overseas market. The third goal is to analyze ANZ’s based on the references we found. | |||
TO cite this article:Qin Jun ,Chang Xuhua ,Zhao Shasha . Case Study on International Banking——Australia and New Zealand Banking Group Limited[OL].[17 September 2008] http://en.paper.edu.cn/en_releasepaper/content/24089 |
10. Intraday pattern in bid-ask spreads and its power-law relaxation for Chinese A-share stocks | |||
Xiao-Hui Ni,Wei-Xing Zhou | |||
Economics 16 October 2007 | |||
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Abstract:We use high-frequency data of 1364 Chinese A-share stocks traded on the Shanghai Stock Exchange and Shenzhen Stock Exchange to investigate the intraday patterns in the bid-ask spreads. The daily periodicity in the spread time series is confirmed by Lomb analysis and the intraday bid-ask spreads are found to exhibit $L$-shaped pattern with idiosyncratic fine structure. The intraday spread of individual stocks relaxes as a power law within the first hour of the continuous double auction from 9:30AM to 10:30AM with exponents $\\\\\\\\\\\\\\\\beta_{\\\\\\\\\\\\\\\\rm{SHSE}}=0.20\\\\\\\\\\\\\\\\pm0.067$ for the Shanghai market and $\\\\\\\\\\\\\\\\beta_{\\\\\\\\\\\\\\\\rm{SZSE}}=0.19\\\\\\\\\\\\\\\\pm0.069$ for the Shenzhen market. The power-law relaxation exponent $\\\\\\\\\\\\\\\\beta$ of individual stocks is roughly normally distributed. There is evidence showing that the accumulation of information widening the spread is an endogenous process. | |||
TO cite this article:Xiao-Hui Ni,Wei-Xing Zhou. Intraday pattern in bid-ask spreads and its power-law relaxation for Chinese A-share stocks[OL].[16 October 2007] http://en.paper.edu.cn/en_releasepaper/content/15690 |
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