一、时间：2022年10月17日（周一）18:00-21:00
二、地点：腾讯会议
三、日程安排：
第一组：18:00-19:30
On the relationship between interest rates and commodities’ prices in the context of quantitative easing: Evidence from a wavelet coherency analysis
On the transmission mechanism between inventory arbitrage activity, speculative activity, and commodity prices under unconventional monetary policy: Evidence from a TVP-VAR model
Exploring the transmission mechanism of speculative and inventory arbitrage activity to commodity price volatility. Novel evidence for the US economy
姜富伟 中央财经大学金融学院 教授
尹力博 中央财经大学金融学院 教授
吴锴 中央财经大学金融学院 副教授
第二组：19:30-21:00
1. Equity Incentive Schemes, Investor Protection and Corporate Performance Evidence from China
2. The impact of anti-corruption measures and risk effects on equity incentives and financial misreporting in China
3. Impact of Share Pledging by Controlling Shareholders on Firm Value in the Context of China’s Tightened Regulatory Reforms
姜富伟 中央财经大学金融学院 教授
顾弦 英国杜伦大学商学院 副教授
吴锴 中央财经大学金融学院 副教授
六、论文摘要
姚薇
US Quantitative Easing Monetary Policy and Commodities’ Prices
On the relationship between interest rates and commodities’ prices in the context of quantitative easing: Evidence from a wavelet coherency analysis
On the transmission mechanism between inventory arbitrage activity, speculative activity, and commodity prices under unconventional monetary policy: Evidence from a TVP-VAR model
Exploring the transmission mechanism of speculative and inventory arbitrage activity to commodity price volatility. Novel evidence for the US economy
This thesis, following Frankel’s (1986, 2006) framework, focuses on the relationship between interest rates, commodities’ prices and volatilities during U.S. loose monetary policy period, especially in quantitative easing monetary policy (QE) period, and provides evidence on how their relationship changes as well as the extent to which their transmission mechanism works through inventory arbitrage activities and speculative activities.
In this direction, the time and frequency varying features of both the co-movement and causalities between commodities’ prices and interest rates in the context of U.S. easing monetary policy and QE policy is investigated by means of wavelet coherency using monthly data from 2002:7 to 2018:6. The results indicate that there is a strong co-movement between commodities’ prices and interest rates under QE policy and most commodities’ prices co-move with interest rates in the same direction in the long term. Commodities’ prices may lead interest rates including metals’ prices over the QE period, which supports the hypothesis that apart from energy and agricultural commodities’ prices, metals’ prices may also influence monetary policy through the inflation rate. Furthermore, the evidence indicates that low interest rates in conjunction with large funds flowing into the commodity market, may cause the commodity market to assume greater significance vis-à-vis the interest rate market. Finally, the results suggest that the inflation rate may indeed exert an impact on the correlation between commodities’ prices and interest rates under conventional monetary policy but may also cloud the relationship of the two variables under QE policy.
Additionally, the transmission that relates speculative activity, inventory arbitrage activity, and commodity price total volatilities under U.S. easing monetary policy and QE policy is investigated with a TVP-VAR methodology using monthly data over the period 2003:4 to 2018:6. The results suggest that U.S. easing monetary policy and QE have a strong impact on precious metals and energy commodity price volatilities, whilst for industrial metals and agricultural produces' price volatilities, the impact is rather subdued. Even though easing and QE policy affects energy commodity price volatilities through inventory arbitrage activity and speculative activity simultaneously, the impact of inventory arbitrage activity appears to be stronger than that of speculative activity. The effects of monetary policy, inventory arbitrage activity and speculative activity on commodities’ price volatilities are rather mixed. Moreover, Granger causality indicates that some commodities’ prices may lead inventory arbitrage activities and speculative activities. The evidence also shows that speculative activity does not seem to have exerted a weaker impact on commodities’ prices during the de-financialization period of commodity market.
Finally, the transmission mechanism that relates speculative activity, inventory arbitrage activity, and commodity price conditional volatility is further investigated with an ARMA-GARCH model by using weekly U.S. data for the period 2008:12 to 2018:6. The results suggest that inventory arbitrage activities transmit monetary policy’s effect onto commodities by strengthening the effect of the real interest rate on commodities’ prices; in the case of palladium and crude oil’s price conditional variances however the opposite effect is established. Speculative activities transmit monetary policy’s effect mainly on commodities by increasing the positive effect of the real interest rate on metals and crude oil’s prices, and on palladium and crude oil’s price conditional variances. The results show that inventory arbitrage activities are negatively related with commodities’ prices, whilst speculative activities are positively related with commodities’ prices. The two activities appear to exert mixed effects on commodities’ price conditional volatilities. Additional evidence indicates that the relationship between the real interest rate and commodities’ prices is positive and significant when unconventional monetary policy is considered, whilst the real interest rate does not have any significant impact on most commodities’ price conditional volatilities.
苏自力
Essays on Equity Incentive and Share Pledging in China
Equity Incentive Schemes, Investor Protection and Corporate Performance Evidence from China
We explore the impact of equity incentives and regional investor protection on corporate payout policies and corporate performance. Despite the fact that some managers appear to abuse equity incentives by increasing dividend payouts, we provide evidence suggesting that regional investor protection can potentially restrain such behavior. In all likelihood, the restraining effect depends on the firms’ growth opportunities, on the basis of which the effect on cash (stock) dividends is found to be weaker (stronger) in high-growth firms – whose ability to pay cash dividends is limited by their appetite for cash for expansion – and stronger (weaker) in low-growth firms with a lower cash appetite. Further evidence indicates that the restraining effect of regional investor protection on selfish dividend-related behavior encouraged by equity incentives may also prove valuable in encouraging adoption of these incentives so as to enhance corporate performance.
The impact of anti-corruption measures and risk effects on equity incentives and financial misreporting in China
This study examines the effects of anti-corruption regulation and equity incentive risk on financial misreporting in the context of China’s unique corporate ownership structure and governance regime. Using a sample comprising 2,708 cases of financial restatement over the 2007–2017 period. Our key findings suggest that managers’ shareholdings are significantly and positively associated with their firms’ financial misreporting, and certain equity incentive risk factors dramatically alter Chinese corporate governance. Furthermore, managers’ motivation to misreport is significantly more pronounced in non–state owned enterprises (non-SOEs), suggesting that equity incentive risk effects mitigate the “absence of ownership” problem believed to affect SOEs. Managers in highly competitive industries and firms with low institutional ownership are found to be highly motivated to misreport performance.
Impact of Share Pledging by Controlling Shareholders on Firm Value in the Context of China’s Tightened Regulatory Reforms
This study investigates the effect of the 2018 regulatory reforms of share pledging by a controlling shareholder on firm value in China. Using a data set spanning the period 2015 to 2020, we provide robust results suggesting that tighter regulations effectively reduce firms’ crash risk, relax financial constraints, reduce bankruptcy risk, and mitigate the controlling shareholder expropriation of minority shareholders’ wealth via tunnelling. Additionally, controlling shareholders by investing more pledged funds in the listed firm after reforms, foster capital investment and R&D expenditure, which benefit firm growth and competitiveness and ultimately increase firm long-term value.
备注：中财-蒂尔堡项目闭门论坛，仅限项目师生参加
