課程資訊
課程名稱
計量經濟學二
Econometrics (Ⅱ) 
開課學期
103-2 
授課對象
管理學院  財務金融學研究所  
授課教師
黃景沂 
課號
Fin8037 
課程識別碼
723 D6100 
班次
 
學分
全/半年
半年 
必/選修
必修 
上課時間
星期一3,4(10:20~12:10)星期五2,3,4(9:10~12:10) 
上課地點
 
備註
本課程中文授課,使用英文教科書。週一34實習課。教室:社科研609。與陳釗而合開
限博士班 且 限本系所學生(含輔系、雙修生)
總人數上限:15人 
 
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課程概述

GOALS
RECENT FINANCIAL TSUNAMI HAS CHANGED THE CONCEPT OF CONDUCTING THE BUSINESS OF BANKING INSTITUTION. WE PROVIDE MOST UPDATED STUDIES IN THIS REGARD.
ARTICLES
1. WHAT IS WRONG ABOUT CAPITAL ADEQUACY RATIO
A. CAPITAL RATIOS AS PREDICTORS OF BANK FAILURE, ARTURO ESTRELLA, SANGKYUN PARK, AND STAVROS PERISTIANI, FRBNY ECONOMIC POLICY REVIEW / JULY 2000
B. LEVERAGE RATIO IS COMING BACK, SHEN AND WU, 2010, WORKING PAPER

2. LIQUIDITY RATIO STRIKES BACK
A. ARE BANKS LIQUIDITY TRANSFORMERS? AKASH DEEP AND GUIDO SCHAEFER, MAY 2004, HARVARD UNIVERSITY, RWP04-022
B. BANK LIQUIDITY CREATION, ALLEN N. BERGER,, CHRISTA H. S. BOUWMAN, THE REVIEW OF FINANCIAL STUDIES, 2009
C. IS LIQIUIDTY GAP A USEFUL EARLY WARNING SIGNAL? SHEN, WORKING PAPER
D. LIQUIDITY AND LEVERAGE, ADRIAN AND SHIN , J. FINANCIAL INTERMEDIATION, 2008

3. WHY DO CHINA BANKS NOT PAY DIVIDEND?
A. BANK DIVIDEND POLICY AS A SIGNAL OF BANK QUALITY
ROBERT BOLDIN AND KEITH LEGGETT, FINANCIAL SERVICES REVIEW, 4( 1): 1-8
B. AGENCY PROBLEM AND DIVIDEND POLICY, LLSV, JOURNAL OF FINANCE, 2000
C. WHY DO CHINA BANKS NOT PAY DIVIDEND, SHEN AND LIN, 2010, WORKING PAPER

4. MISSING LINK BETWEEN POLITICAL CONNECTIONS AND BANK BEHAVIOR
A. POLITICIANS AND BANKS: POLITICAL INFLUENCES ON GOVERNMENT-OWNED BANKS IN EMERGING MARKETS, SERDAR DINC, JOURNAL FINANCIAL ECONOMICS, 2005
B. THE POLITICS OF BANK FAILURES: EVIDENCE FROM EMERGING MARKETS, CRAIG O. BROWN AND I. SERDAR DINC﹐ QUARTERLY JOURNAL OF ECONOMICS, 2005
C. BANK OWNERSHIP AND PERFORMANCE, DOES POLITICS MATTER?
ALEJANDRO MICCO, UGO PANIZZA AND MONICA YANEZ, 2008, WORKING PAPER
D. POLITICAL INTERVENTION AND BANK PRIVATIZATION, SHEN AND LIN, 2010,
E. POLITICAL RELATIONSHIPS, GLOBAL FINANCING, AND CORPORATE TRANSPARENCY: EVIDENCE FROM INDONESIA, CHRISTIAN LEUZA,_, FELIX OBERHOLZER-GEE, JOURNAL OF FINANCIAL ECONOMICS, 2006
F. POLITICAL CONNECTION AND FINANCIAL CONSTRAINS, SHEN AND LIN, 2010, WORKING PAPER
G. FAIL IN IPO: CHINA POLITICAL CONNECTION, SHEN AND CHOU

5. BANK EARNINGS MANAGEMENT AND CAPITAL MANAGEMENT
A. INVESTOR PROTECTION, PROSPECT THEORY, AND EARNINGS MANAGEMENT: AN INTERNATIONAL COMPARISON OF THE BANKING INDUSTRY, SHEN AND CHIH, 2005, JBF
B. BANK LOAN LOSS PROVISION, EARNINGS MANAGEMENT, CAPITAL MANAGEMENT, AND SIGNALING EFFECT, JBF, 2008 ANANDARAJAN AND HASAN
C. JOINT TESTS OF SIGNALING AND INCOME SMOOTHING THROUGH BANK LOAN LOSS PROVISIONS, KIRIDARAN KANAGARETNAM, GERALD J. LOBO, DONG-HOON YANG
D. BANKING EARNINGS MANAGEMENT IN CHINA AFTER FOREIGN PARTICIPATION, SHEN, WU AND LU, WORKING PAPER, 2009

6. BANK EXPANSION
A. (RE)TESTING THE ‘FOLLOW THE CUSTOMER’ HYPOTHESIS IN MULTINATIONAL BANK EXPANSION, JOSE’ PAULO ESPERANCA, MOHAMED AZZIM GULAMHUSSEN , JMFM, 2001
B. WHY DO BANK EXPAND ABROAD, FOCARELLI AND POZZOLO, JBF, 2006,
C. MULTINATIONAL BANKING AND ECONOMIC DEVELOPMENT IN SHANHAI AND SHENZENG: A CASE STUDY, QIANG HE, H. PETER GRAY, JAE

7. BANKING CRISIS
A. THE DETERMINANTS OF BANKING CRISIS IN DEVELOPING AND DEVELOPED COUNTRIES, IMF STAFF PAPER, 1998
B. DISTRESS IN EUROPEAN BANKS: AN ANALYSIS BASED ON A NEW DATA SET, 2009, IMF WORKING PAPER
C. IS CHINA GOING TO HAVE A BANKING CRISIS? OVERLENDING AND OVERBORROWING

8. BANK GOVERNANCE AND CORPORATE SOCIAL RESPONSIBILITY
A. BANK GOVERNANCE AND BANK FAILURE, SHEN, WANG, AND WU, HANDBOOK OF BANKING FINANCE
B. GOVERNANCE AND BANK VALUATION, GERARD CAPRIO, LUC LAEVEN AND ROSS LEVINE, 2006, WORLD BANK
C. DOES CORPORATE SOCIAL RESPONSIBILITY IMPROVE BANK PERFORMANCE? SHEN AND CHANG

GRADING
OUR GRADE IS SIMPLE: A MIDTERM EXAM (45%), PRESENTATIONS (30%), POP QUIZ (5~10%), AND PARTICIPATION (5~10%). FOR MIDTERM EXAM, IT IS A CLOSED-BOOK EXAM. WE WILL HAVE A REVIEW SESSION FOR THE MIDTERM EXAM TO RELIEVE YOUR TENSION BEFORE IT TAKES PLACE. STUDENTS USUALLY FIND THE REVIEW SESSION IS EXTREMELY HELPFUL FOR THEM TO PREPARE THE EXAM.
NEXT, GRADING PRESENTATION IS NOT EASY AND EVEN TRICKY BECAUSE IT IS A RELATIVE CONCEPT. SOME PRESENTATIONS ARE EXTREMELY GOOD AND SOME ARE RELATIVELY WEAK. EVEN IT IS A GROUP PRESENTATION, EACH MEMBER IN THE GROUP NEEDS TO PRESENT HIS WORK AROUND TEN MINUTES. YOU GET YOUR PERSONAL SCORE AND GROUP SCORE. THERE IS NO CHANCE FOR FREE RIDERS. MY EXPERIENCE IS THAT STUDENTS TYPICALLY UNDERESTIMATE ITS IMPORTANCE AND OVERESTIMATE THE SCORE THEY WILL GET. THUS, I STRESS THAT IT IS A RELATIVELY CONCEPT. EVEN THOUGH YOU THINK YOUR PRESENTATION IS EXTREMELY GOOD, YOU MAY STILL NOT GET 

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