AFTER THE FALL: AN EX POST CHARACTERIZATION OF HOUSING PRICE DECLINES ACROSS METROPOLITAN AREAS

Housing prices have plummeted across the United States. This article examines differences in the magnitude of housing price decreases across metropolitan areas. A small number of housing market variables observable before the fall are capable of explaining over 70% of the considerable variation in price declines. An additional non‐parametric analysis suggests that exceeding particular thresholds for some of the key predictors is associated with much larger price drops. These findings are consistent with historical price patterns, which raises questions about the validity of mortgage pricing policy and risk diversification norms in the United States. The analysis points to a set of stylized facts concerning the housing price bubble that need to be explained and suggests fruitful hypotheses for understanding the dramatic housing price declines. (JEL R31, R21, R11, G21)     

Adoption and use of technology with low litigation risk – the case of financial reporting on Twitter by ASX companies

ABSTRACT

Corporate adoption of technology faces challenges such as resource constraints and litigation risk. To investigate if low litigation risk encourages technology adoption and its use, this paper investigates corporate financial reporting on Twitter, a voluntary corporate disclosure practice without obvious litigation risk in Australia. This study reviews 4,540 financial reporting related tweets from 222 ASX listed companies’ Twitter accounts. An examination of tweet sentiment reveals a positive reporting bias, as listed companies are more willing to disclose positive financial reporting information on Twitter. A comparison of corporate financial reporting tweets prior to and after 2013 reveals that use of Twitter for opportunistic voluntary disclosure is gaining popularity, a trend that warrants close attention by regulators in order to protect investors from selective disclosure with reporting bias.     

农民住房财产权抵押能否激发农村金融市场*——基于银行贷款数据的实证分析

扩展抵押品范围是缓解农村金融困境的重要途径。在这一思路下，农民住房财产权抵押被寄予厚望，成为近年来农村政策改革的重要方向。本文使用2010—2016年1 024家农信社和农商行的数据，利用2015年12月国务院在天津市蓟州区等59个试点县（市、区）开展为期两年的农民住房财产权抵押贷款试点这一“准自然实验”，对农民住房财产权抵押对涉农贷款供给的影响进行了检验。本文认为，现阶段农民住房面临着价值评估难、抵押物处置难的问题，抵押效果不佳。实证结果显示，农民住房财产权抵押没有显著增加涉农贷款供给，对农村金融的供给作用有限。本文在考虑了农民住房财产权抵押对其他担保方式的替代作用、农地经营权抵押和“三块地”改革的影响之后，上述结果依然稳健。本文的政策启示是，政府应着力做好农房抵押贷款改革的配套措施，推动宅基地制度改革，探索扩大农民住房财产权的受让范围，充分挖掘住房财产权的价值潜力，缓解抵押物处置难问题。     

农民住房财产权抵押能否激发农村金融市场*——基于银行贷款数据的实证分析

扩展抵押品范围是缓解农村金融困境的重要途径。在这一思路下，农民住房财产权抵押被寄予厚望，成为近年来农村政策改革的重要方向。本文使用2010—2016年1 024家农信社和农商行的数据，利用2015年12月国务院在天津市蓟州区等59个试点县（市、区）开展为期两年的农民住房财产权抵押贷款试点这一“准自然实验”，对农民住房财产权抵押对涉农贷款供给的影响进行了检验。本文认为，现阶段农民住房面临着价值评估难、抵押物处置难的问题，抵押效果不佳。实证结果显示，农民住房财产权抵押没有显著增加涉农贷款供给，对农村金融的供给作用有限。本文在考虑了农民住房财产权抵押对其他担保方式的替代作用、农地经营权抵押和“三块地”改革的影响之后，上述结果依然稳健。本文的政策启示是，政府应着力做好农房抵押贷款改革的配套措施，推动宅基地制度改革，探索扩大农民住房财产权的受让范围，充分挖掘住房财产权的价值潜力，缓解抵押物处置难问题。     

Securitization of mortgage debt,domestic lending,and international risk sharing

Abstract Securitization makes mortgage‐related risks internationally tradeable and thus contributes considerably to the international diversification of macroeconomic risk: in the years 2003–2008, the increase in international cross‐holdings of securitized mortgage debt has lowered industrialized countries’ conditional consumption volatility (relative to the United States) by about 10–15 percentage points. We turn to the role of domestic credit in explaining this result. Domestic credit leads to better international risk sharing only if debt is securitized and traded internationally. Conversely, the risk‐sharing benefits from securitization seem to evaporate if credit dries up – as it did in the recent financial crisis.     

催化·搭桥·根植·外部性--金融生态环境与产业集聚的可持续发展分析

金融生态从外部整体上反映了金融服务业对于产业的集聚和发展具有至关重要的作用,而产业集聚也会有利于金融生态环境的优化.金融服务业通过对经济资源的整合与引导作用,以催化集群内部企业的合作创新、吸引优质资本加入、克服创新中的机会主义倾向等形式推动制造业、物流业和相关服务业等形成产业集聚良性循环;同时,产业集聚通过正的外部性作用、建设优质金融客户群、注重信誉的地域根植、提供金融资产更宽泛的良好应用环境来优化金融生态环境,最终形成两者的可持续发展形态.     

对金融衍生产品过度创新引致次贷危机的思考

次级抵押贷款是房地产抵押贷款市场的一种金融产品创新,为美国房地产的繁荣起到了巨大的推动作用。美国高风险次级抵押贷款的过度发放、以次级抵押贷款为基础资产的证券化产品和信用衍生品在全球金融市场泛滥,通过杠杆效应放大了实体经济中次级抵押贷款的风险,引致金融海啸。次级抵押贷款所带来的负面影响不容忽视,而金融产品创新要适度并要制定与完善监管体系。     

BUSINESS METHOD PATENTS AND U.S. FINANCIAL SERVICES

A decade after the State Street decision, more than 1,000 business method patents are granted each year. Yet, only 1 in 10 is obtained by a financial institution. Most business method patents are also software patents. Have these patents increased innovation in financial services? To address this question, we construct new indicators of research and development intensity based on the occupational composition of financial industries. The financial sector appears more research intensive than official statistics would suggest but less than the private economy taken as a whole. There is considerable variation across industries but little apparent trend. There does not appear to be an obvious effect from business method patents on the sector's research intensity. Looking ahead, three factors suggest that the patent system may affect financial services as it has electronics: (1) the sector's heavy reliance on information technology, (2) the importance of standard setting, and (3) the strong network effects exhibited in many areas of finance. Even today litigation is not uncommon; we sketch a number of significant examples affecting financial exchanges and consumer payments. The legal environment is changing quickly. We review a number of important federal court decisions that will affect how business method patents are obtained and enforced. We also review a number of proposals under consideration in the U.S. Congress. (JEL O31, O34, G20)     

Mortgage Credit: Denmark’s Financial Capacity Building Regime

ABSTRACT

The integration of small states into the international financial system has constrained their ability to enact the traditional macroeconomic tools of fiscal and monetary policy. As systems of mortgage credit are tightly integrated into global capital markets and influence flows of capital between states, this paper uses Denmark as a case study to explore whether domestic mortgage sector reforms have been used to build financial capacity to compensate for the loss of economic policy autonomy. The results of this analysis suggest that the Danish government has actively used mortgage credit to meet three specific macroeconomic objectives since the 1980s: (1) mortgage credit was restricted in the 1980s to resolve Denmark's persistent balance of payments problem; (2) liberalisations of mortgage credit in the 1990s and 2000s allowed the Danish government to stimulate the economy via privatised/house-price Keynesianism and reduce their sovereign debt burden; and (3) mortgage credit has been used as a form of privatised monetary policy, allowing Denmark to break-free from the ‘iron-cage’ of the Mundell-Fleming trilemma. It is in these specific ways that the Danish government has used mortgage reforms to achieve macroeconomic policy autonomy and navigate economic challenges whilst adhering to the constraints of the international financial system.     

略论资产证券化与美国次级贷款危机

次贷危机的爆发与资产证券化市场的发展息息相关。一方面,资产证券化作为金融创新的重要方式,推动了美国经济的增长;但另一方面,资产证券化在开放的金融体系中会加速风险和危机的传播和扩散,加大系统性风险和金融危机的传染效应,使局部性金融危机或个案性金融危机演变成全球性金融危机。因此,加强金融创新中的风险控制是美国次贷危机给我们的重要启示。     

The tradeoff between mortgage prepayments and tax-deferred retirement savings

Many households face the tradeoff between paying an extra dollar off the remaining mortgage on their house and saving that extra dollar in tax-deferred accounts (TDAs) used for retirement. We show that, under certain conditions, it becomes a tax arbitrage to reduce mortgage prepayments and to increase TDA contributions because of the tax deductibility of mortgage interest and tax-exemption of qualified retirement savings. Using data from the Survey of Consumer Finances, we document that a significant number of households that are accelerating their mortgage payments instead of saving in TDAs forgo a profitable tax arbitrage opportunity. Finally, we show empirically that this inefficient behavior is unlikely to be driven by liquidity or other financial constraints. Rather, the observed behavior can be attributed to a certain extent to the reluctance of many households to participate in financial markets as either lenders or borrowers.     

Choice of mortgage instrument,liquidity constraints and the demand for housing debt in the UK

The research uses microdata to estimate reduced form mortgage demand equations based on truncated regressions, dissagregated by choice of mortgage instrument. The choice is between a standard annuity mortgage and a balloon type mortgage (the endowment). The estimates are used to indicate the differential impact of credit market rationing and financial liberalization on households. The results indicate significant variations in mortgage demand by choice of mortgage instrument. Econometric testing demonstrates that the choice between an endowment and a repayment mortgage can be used as an exogenous indicator of liquidity and portfolio positions and different user costs of owner occupation.     

Deposit rate ceiling deregulation and mortgage innovation

In many countries household financing of housing purchases has assumed a special role and as a consequence constraints have been imposed on financial institutions and on financing contracts. In addition, of course, direct subsidization of housing is pervasive. In a macroeconomic environment with inflation and variable interest rates, the constraints sometimes lead to problems for lenders and borrowers. In the U.S. these problems have resulted in pressures to change the nature of the lending institution, the financial intermediation structure and/or the mortgage contract. This paper considers the use of new, innovative, mortgage contract designs as a method of portfolio diversification when thrift institutions face deposit-rate ceiling deregulation. Since thrift institutions have been more constrained than commercial banks, changing the constraints on the former may lead to behavioral changes by the latter. Alternative scenarios about commercial bank deposit rate behavior are examined. It is found that contracts exist that minimize savings reallocation toward commercial banks, thus protecting, in a sense, the specialized mortgage lending institutions (thrift institutions). These contracts also have nice properties for mortgagors during inflationary periods. However, it is also found that certain new mortgage contracts may protect thrift institutions without maintaining the historical flow of capital into the housing sector.     

美国次级房贷危机对中国房贷和金融市场的影响

美国次级房贷危机已对全球股市和美国经济产生较大影响。分析美国次级房贷危机产生的背景和原因,并指出中国的抵押贷款市场存在的重大风险。我们应该以美国次级债危机为借鉴,为中国房地产市场发展和金融市场的健康发展获得一些启示,并做好风险防范措施。     

After the great recession : financial sophistication and housing leverage

US households face various choices in saving for retirement, with one of the most common decisions related to maintaining or paying off a mortgage. Using the 2010 and 2013 Survey of Consumer Finances, this study investigates the relationship between financial sophistication and mortgage decisions among middle-age households. A Heckman two-stage selection model is employed to investigate two separate decisions: mortgage holding and loan-to-value (LTV) ratios among mortgage holders. Results indicate that financial sophistication is positively associated with carrying a mortgage and higher LTV ratios. These results imply that financially sophisticated households may be using leverage to increase asset returns.     

Should you pay off your mortgage or invest?

The mortgage payoff dilemma affects many retirees that have enough financial assets to pay off their mortgage. I find that, on average, retirees with less than $300,000 in non-housing financial wealth are better off keeping the mortgage and investing.     

WHAT CAUSES THE EFFICIENCY AND THE TECHNOLOGY GAP UNDER DIFFERENT OWNERSHIP STRUCTURES IN THE CHINESE BANKING INDUSTRY?

This paper estimates and compares the cost efficiency of the Chinese banking industry among different ownership types for the period 2003–2014, using the stochastic metafrontier model. We find that foreign banks have the lowest cost frontier, while state‐owned commercial banks undertake the least sophisticated technology. Moreover, the results of the upward trend in the technology gap ratio (TGR) and in metafrontier cost efficiency support that a more open financial market is able to enhance banking efficiency. As for the role of environmental conditions, off‐balance sheet items, non‐performing loans, and financial market structure significantly impact the TGRs of different bank types. (JEL C51, G21, D24)     

美国次级房货危机对中国房货和金融市场的影响

美国次级房贷危机已对全球股市和美国经济产生较大影响。分析美国次级房贷危机产生的背景和原因,并指出中国的抵押贷款市场存在的重大风险。我们应该以美国次级债危机为借鉴,为中国房地产市场发展和金融市场的健康发展获得一些启示,并做好风险防范措施。     

警惕跨市场金融风险向保险业传递

次贷危机通过跨市场金融风险时世界保险业造成重创,所以分析研究垮市场全融风险向保险业传递的路径、过程和后果十分必要,得出的相应启示和建议也具有较大实践意义.将次贷危机作为实证分析基础,跨市场金融风险有源于交叉性金融产品和金融控股公司两种类型,CDO及CDS等交叉性金融工具和保险集团是典型跨市场金融风险向保险业传递的途径.这些风险的传递导致保险公司受到重创,也给保险业未来发展带来启迪.     

A QUEST FOR UNFETTERED CREDIT: HOW MONETARY POLICY DRIVES CREDIT RISK TRANSFER OF STRUCTURED FINANCE PRODUCTS

This study examines the effects of monetary policy contractions on bank loans to households and firms and instruments in three different credit risk transfer (CRT) capital markets over two separate time periods (1995–2006 and 2007–2015). The findings show that in both periods, banks decrease business lending but increase lending to consumers through a combination of mortgage, auto, credit card, and student loans from more liquidity produced by consumer‐related CRT activity. Additional results reveal relative CRT movements toward securitized mortgages from bank mortgage debt over both periods and toward securitized and insured business loans from bank business debt in the latter period, which suggest vulnerabilities among interconnected credit markets. (JEL E44, E51, G21, G23)