This paper estimated an optimal monetary policy rule with a time-varying parameter model, and two-stage MLE method is used due to endogeneity problem. The results show that China's monetary policy has targeted on the lagged housing price misalignment since the third quarter of 2011, but has never targeted on the expected housing price misalignment. The implication is that the response of monetary policy to housing price misalignments is passive and periodical. The interest rate adjustment measures interact with the housing market regulation policy during 2011 to 2016.

This paper proposes a method based on heterogeneous stochastic frontier model with the data of bank outlets to quantitatively identify rural credit supply inefficiency. On this basis and by using the survey data of “Shanghai University of Finance and Economics Thousand Villages Survey”, we classify the samples according to the possibility of supply-type or demand-based credit suppression in a certain area, and empirically study the effects of Credit Inhibition Type on the effectiveness of rural credit support policies. Our empirical results show that, the main reason that restrains credit activities in rural China is the demand-based credit suppression caused by the risk. The credit inhibition type can significantly affect the effectiveness of rural credit support policies. In order to improve the effectiveness of credit support policy in the supply-based credit suppression regions, it is necessary to increase the credit availability by increasing the banking network density, while reducing lending rates or increasing bank tolerance for loan risk may not be desirable. However, reducing lending rates and increasing bank risk tolenrance is very effective in boosting the effectiveness of credit support policies in the demand-based credit suppression regions. Conclusions draw in this paper provide strong evidence for formulating appropriate credit policies in the rural area.

As an emerging concept, digital currency challenges traditional monetary theories to certain extent. New theoretical framework is needed. Drawing upon Buchanan's public economic paradigm, this paper tries to build a logic framework based on transaction fees and consensus cost optimization and intends to explain, based on unanimity rule, how currency evolves from barter transaction, commodity currency, precious metal currency, credit currency to digital currency. For a currency to be unanimously accepted by the public and becomes real currency, it has to ensure universal seigniorage for every member in the community. Private digital money does not meet the unanimity rule, which means that it cannot become real money, let alone replace fiat money which is unanimously accepted. In the future, fiat currency will be increasingly digitalized and intelligent, lowering transaction costs and consensus costs. This paper tries to propose an AI model and a learning algorithm for issuance of digital fiat currency.

Fostering new export advantages and expanding regional development space are important initiatives for cultivating economic development power in the 13th Five Year Plan. The construction of urban agglomeration provides the possibility for cultivation of new export advantages. We use a matching data of Chinese export data and city-level data over the period 2000-2006 to study the dynamic effect of intercity spatial proximity on the cities' export comparative advantages. The results reveal that intercity interactions have significant effects on both the export of new products and incumbent products of adjacent cities, and the effects are most significant in southeast of China which mainly includes the Yangtze River Delta and the Pearl River Delta; The effects are also mainly reflected on adjacent cities' non-advantage export products, mid-and low-skilled technology-intensive products. Adjacent cities are necessary conditions for the effects. The government should accelerate the construction of urban agglomeration to facilitate the intercity interactions to promote the export comparative advantage cultivation.

This paper studies region-based peer effects of China's listed firms' excess leverage, the mechanism and influence factors, and their potential economic consequences. Empirical results show that the excess leverage of China's listed companies is different in different regions from 2009 to 2016. After ruling out possible explanations involving firm and region specifications as well as sorting effects, we document the region-based peer effects of excess leverage of China's listed firms. Whether a firm has an excess leverage or not correlates positively with the proportion of excess leveraged firms in its located region, and a firm's excess leverage correlates positively with the excess leverage index of its located region. The mechanism of region-based peer effects of excess leverage is the imitating behaviors of non-leader firms, less-constrained firms and firms with lower degree centrality. Region marketization, financial development, and executives' financial background have significant impacts on the region-based peer effects of excess leverage. The impacts of region-based peer effects of excess leverage on firms include considerably higher excess leverage, weaker debt paying ability, higher excess investment and lower profitability.

In this paper, we theoretically analyze the mediating effect of import in the relationship between intellectual property rights (IPRs) protection and innovation, and then we use firm-level data of China Industrial Enterprise Data and customs data to analyze the effect of IPRs on innovation, and we also test the mediating effect of import. Empirical results show that: (1) Stronger IPRs protection has a positive effect on innovation of leading innovative enterprises; (2)From the perspective of mechanism, stronger IPRs protection can promote innovation of private enterprises, patent-intensive enterprises and exporting enterprises by affecting import values. Stronger IPRs protection can promote innovation of private enterprises and patent-intensive enterprises by affecting diversity of import products. What's more, stronger IPRs protection can promote innovation of exporting enterprises by affecting quality of import products. China is at an important stage of implementing innovation-driven development strategy, and government should pay high attention to the promotion of intellectual property rights protection and import trade on innovation.

With high frequent stock index data, this paper constructs the realized skewness of Chinese stock market and test its predictive power for aggregate stock market excess return. Results show that the realized skewness significantly predicts the next month excess return on Chinese stock market. In-sample and out-of-sample R²are 3.39% and 2.24%, respectively. After controlling for a set of variables, this conclusion still holds. In addition, based on alternative 4 constructing methods, the realized skewness significantly predicts excess returns on both of Shanghai and Shenzhen stock markets. The predictive power is further improved when combine all 4 skewness measures together. Economically, the predictive power of realized skewness for stock market return comes from its ability to predict future trading activity of the Chinese stock market.

Using the data from 2006 to 2015, we study the impact of margin trading on investment-price sensitivity. We find the evidence of feedback effects in Chinese stock market, that is, the implementation of margin trading policy increases the investment-price sensitivity. This result is robust when we use the PSM matching method to refine the control group. We also find that the impact of margin trading on investment-price sensitivity is more significant among the firms with higher institutional holdings, higher liquidity, and the firms in the emerging industries. We also follow the previous literature to study how financing constraint affects the impact of margin trading on investment-price sensitivity, and find that the impact is stronger in state-owned firms and larger firms. Finally, we find that the feedback effects are stronger if the scale of margin trading is larger.

In this paper, we investigate the relationship between institutional investors and cost of capital. We find that: (1) The institutional investors can reduce the cost of capital of listed-firms, and the influence of long-term institutional investors is more significant; (2) For the firms of different ownership structure, the institutional investors have more effect on cost of capital for SOE than Non-SOE; (3) The mechanism that institutional investors can mitigate cost of capital is mainly reflected in corporate governance and information interpretation, and there also exist difference between SOE and Non-SOE. In general, institutional investors can reduce the cost of capital through the behavior of corporate governance or information disclosure. We provide new evidence for the role which institutional investors play in our capital market. Meanwhile, we suggest the regulators should concentrate the trading behavior of institutional investors.

Does the business homogeneity among individual institution play as a source of systematic risk of the financial industry？ In recent years, China's life insurers' product distribution and geographical distribution become more diversified, however, the product and geographical distribution among life insurers show “homogeneity” tendency; and the co-movement in payment risk, investment risk and insolvency risk all have increased. This paper further analyses the mechanism that life insurers' business homogenization affects their risk co-movement, discussing several possible effects. Then, based on paired samples, the paper handled the endogeneity of business homogeneity by introducing instrumental variables from the time and geographical dimensions. The regressions show that (1) from absolutely different to absolutely homogeneous, both the investment risk co-movement and insolvency risk co-movement between two life insurers will increase more than ten percentages; (2) the relation between product homogeneity and payment risk co-movement is nonsignificant; and (3) geographical homogeneity hasn't significant influence on the three types of risk co-movement. Finally, this paper put forward policy suggestions from three aspects including life insurers, insurance industry and the financial system.

Advocates of traditional regulatory measures in financial markets contend that these measures prevent investors from over-speculation and over-reaction, control the volatility, and stabilize the market. While the opponents argue that these measures impede price discovery, reduce the liquidity, and may reinforce the volatility. We analyze the volatility characteristics of the Chinese capital market and decompose it into systematic volatility and excess volatility. By tracking the events of regulatory policy change, we test the impact of six regulatory measures on Chinese stock market, including transaction tax, margin constraint, short-selling constraint, price limit, intra-day trading limit, and IPO limit. We find none of them can reduce volatility but most of them dampen market liquidity. There is also no evidence that volatility leads to policy change.

This paper use ES index which can describe the extreme risk of the tail distribution, at the same time, take the time-varying of high order moments volatility model and conventional GARCH models as risk measurement model, make comprehensive comparison of the exact difference between different models in 20 different quantile levels. The main conclusions of this paper include: The accuracy of time-varying higher order moments volatility model was significantly better than constant higher moments volatility model on the measurement of ES and GARCHSK-M model can be used as a relatively rational choice for estimating the ES of international oil market.