珞珈金融论坛(第52-53期)
发布日期:2016-11-15 22:06:21  点击量:

时间:20161121(周一)

地点:经管院B228

 

报告时间:915  1015

报告题目:Liquidity, Collateral Constraints, and Interest Rates

报告人:曾志雄,中南财经政法大学文澜学院,教授(博导)

Dr. Zeng Zhixiong is currently a Professor at Wenlan School of Business of Zhongnan University of Economics and Law. He obtained his Ph.D. degree in economics from Northwestern University (U.S.A.) in 2002. Since then, he held academic positions at the Chinese University of Hong Kong, China Center for Economic Research of Peking University, as well as Monash University (Australia). His research interests include financial economics, macro and monetary economics, international economics, and the Chinese economy. He has published close to 20 articles in international referred journals such as Economic Theory, Journal of Banking & Finance, Real Estate Economics, Journal of Housing Economics, and International Journal of Production Economics, etc.

 

报告时间:1030 1130

报告题目:Financialization and Americanization of Bulk Commodities Pricing in China

报告人:田利辉,南开大学金融发展研究院,教授(博导)

田利辉,教育部“利率市场化和金融风险”重大课题首席专家,南开大学金融学教授(百青学科带头人)、金融发展研究院负责人。田利辉教授是伦敦商学院金融学博士,本科曾就读于北京大学的国际金融专业且辅修法律,并于1997年获得中国律师执业资格,兼任新加坡国立大学访问教授和厦门大学讲座教授。曾获 “北京大学最受MBA学生喜爱的老师”称号、“南开大学十大良师益友奖”、天津市131第一层次人才、教育部新世纪优秀人才、中国青年经济学人最高奖、中国高等学校科学研究优秀成果奖论文奖和著作奖,连年入选美国《世界名人录》。 

田教授在资本市场、公司金融和公司治理研究有所贡献,曾经提出了政治关联三大效应假说(新型的政企不分)、提出了混合所有制国有股权结构U型理论,提出了双重国有产权下银行贷款杠杆治理失灵理论,提出了我国IPO制度性超额抑价理论,发现了我国股市的反转效应和五因素定价模型。其其公司金融和资本市场的研究多次获奖,譬如“全球金融学会最佳论文奖”、“亚洲金融学会最佳论文奖”、“中国金融年会优秀论文奖”和“中国制度经济学年会一等奖”、Journal of Comparative Economics五年引用率第一名。发表学术论文50余篇,担任SSCICSSCI刊物的编委。曾受邀在二十余国举行讲座报告,也曾为知名企业提供专家服务。《人民日报》、路透社、BBC等多次曾对其采访报道。

 

报告摘要(Liquidity, Collateral Constraints, and Interest Rates):

We construct a model that integrates entrepreneurial activity and collateral constraints into a New Monetarist framework with multiple liquid assets. In the model, interesting-bearing assets coexist with currency as means of payment in decentralized trade. There are banks that play dual roles providing liquidity insurance and undertaking financial intermediation. Entrepreneurial borrowing from banks is subject to a collateral constraint, which gives rise to imperfections in the credit market. We formulate the optimal monetary policy problem in this environment, highlighting the constraint and tradeoff faced by the policy maker. It is shown that when credit market imperfections are operative, the celebrated Friedman rule is suboptimal, even when there are no costs of operating a currency system and when fiscal policy is purely passive. This is because the Friedman rule traps the real interest rate in its maximum possible value, which is detrimental to the entrepreneurs external financial. A critical parameter for our analysis is the haircut on the collateral asset, which represents the severity of financial frictions.

 

报告摘要(Financialization and Americanization of Bulk Commodities Pricing in China):

The international market of bulk commodities has been financialized in recent years and the volatility of spot commodities prices influences China's economic development and industrial restructuring. In this context, this paper examines whether and how the American stock indices take influence on the price changes of the China's domestic bulk commodities. The futures markets do not only work on price discovery, but also on financial transmission. Stock indices influence futures pricing by cross-market trading and the futures markets influence spot pricing via warehouse stocks and expectations. Using the AVGM-BEKK model to examine the daily data from 2007 to 2013, we analyze the relation between stock indices and the Chinese domestic commodities such as copper, gold, cotton, and sugar. We find that stock indices significantly influence the spot prices as the Granger causality. The influence of the S&P 500 index on the Chinese spot pricing is more profound than the Chinese Hushen 300 index. There is not only financialization, but also Americanization in the Chinese commodity markets. The American financial factors influence spot pricing of Chinese domestic commodities through the underdeveloped futures markets, but the price intervention of the government interferes with speculators expectations. We argue that developing the domestic futures markets and enhancing government regulations help to address the issues of financialization and Americanization of bulk commodities spot pricing.