The Home Bias in Equities and Distribution Costs

We show that incorporating distribution costs into a general equilibrium model of international portfolio choice helps to explain the home bias in international equity investment. Our model is able to replicate observed investment positions for a wide range of parameter values, even if agents have an incentive to hedge labor income risk by purchasing foreign equity. This is because the existence of a retail sector affects both the correlation of domestic returns with the domestic price level and the correlation between financial and non‐financial income.     

Incentive roles of fringe benefits in compensation contracts

The purpose of this paper is to establish a new insight into the potential benefit of fringe benefits used by firms in compensation contracts. We show that fringe benefits have a role to provide incentives and reduce agency costs. In an agency model with moral hazard, we examine the optimal incentive package that involves salary, equity shares, and fringe benefits. Based on the notion that fringe benefits are imperfect substitutes for salary and (weakly) complementary to effort, we show how the optimal package may include an excessive provision of fringe benefits that exceeds the first-best level, and why it involves a distortion towards overconsumption of fringe benefits in terms of the manager's preferences.     

Should emerging market investors buy commodities?

One reason that investors hold commodities is to receive diversification benefits. However, while an extensive set of existing studies demonstrate diversification benefits when investors hold international stocks or bonds, they are generally silent on the implications of holding commodities. Using an asset pricing framework, we investigate the benefits to investors from holding commodities, both individually and in portfolios. Generally, commodity and stock markets are integrated, although there are time-varying benefits to investors that are subject to sample period selection and investment horizon. We show that Asian investors receive positive risk adjusted returns in gold and rice markets but not in any of the other commodity markets investigated. The risk adjusted returns are time-varying: during the Asian financial crisis risk adjusted returns were negative – a penalty for investing in commodities – whereas during the global financial crisis the reverse was true and investors earned positive excess returns. The time-varying nature of the benefits that arise from diversification in commodities and their breakdown during periods of crisis, highlight the problems that investors may face when using commodities for long-term investment in addition to traditional holdings of stocks and bonds.     

Does international integration matter for financial development in Africa?

This article analyses the links between international financial and trade integration and financial development in sub-Saharan African (SSA) countries. It is based on a panel data set using methods that tackle slope heterogeneity, cross-sectional dependence and nonstationarity. The results do not point to a general direct robust link between trade and financial integration and financial development in SSA, once we control for other factors such as GDP per capita and inflation. The findings may be due to a number of factors including distortions in domestic financial markets, relatively weak institutions and/or poor financial sector supervision. We find some indication that financial integration is more important for financial development in countries with better institutional quality. Stronger scores in some measures of the quality of banking regulation and supervision are also linked to a positive association between integration and financial development in some of our results. Thus, African policy-makers should be cautious about expectations regarding immediate gains for financial development from greater international integration. Such gains are more likely to occur slowly and through indirect channels.     

Economic and Social Security in the Twenty-first Century, with Attention to Europe

A partly heuristic attempt is made to explore long-run policies aimed at a second-best compromise between ex ante risk-sharing efficiency and ex post productive efficiency. Wage subsidies for low-skilled workers financed by taxes on high wages are advocated, together with improved risk sharing between capital and labour, between generations and among the countries belonging to EMU. The scope of the policies advocated is limited by considerations of moral hazard, time consistency and fiscal competition. Moreover, estimates of some key economic parameters remain very imprecise. Several avenues of further research are identified.     

A view of the European Union as an evolving country portfolio

We apply portfolio theory to assess the consequences in terms of risk sharing of the evolution of the industry mix of European Union countries between 1986 and 1997, and of the changes in the membership configurations of both economic and monetary unions. We compute a measure of risk-return performance for EU countries, by considering countries as collections of industries, and observe that risk-return performance improved in most countries. We find that the EU9 is marginally more efficient than the other historical EU groupings and that the Euro Zone might slightly benefit from the inclusion of the United Kingdom.     

Efficiency effect of privatization in the developing countries

Privatization gained considerable momentum in the developing world in the 1980s. The motives were many, but the hope for higher economic efficiency underlined the expectations of the implementing governments and agencies in the developing countries. While the merits of a market-based economic system are well established under certain theoretical conditions, far less is known of its empirical relevance in the developing world. Yet, to the best of the author's knowledge, no empirical study has examined the macro-efficiency effect of privatization in the developing countries. Studies concerned with this issue often limit themselves to the impact of privatization at the firm level for a small number of companies and countries. Thus, the current study is an attempt to provide a systematic quantitative measure of the magnitude of the macroeconomic effect of privatization in 45 developing countries. Using the concept of frontier production function, efficiency differences between developing countries with differing degrees of private sector contribution in the economy are estimated. The empirical findings suggest, ceteris paribus, that developing countries can increase the utility of their national resources by approximately 45% simply by converting to market-based economies.     

Social Security Reform and National Wealth

Recent trends in common stock prices suggest a distinction between increases in national net worth and flows of physical investment. In this paper we present a simple overlapping generations model in which such differences can arise: technological progress occurs exogenously, yet firms own new technologies for a time. We examine possible consequences for social security reform. Reform which increases private saving depletes part of its force raising the (capitalized) price of proprietary technologies. A calibrated example suggests an increase in physical capital one-third smaller than without inelastic factors. Both steady states and transition paths are considered.     

金融发展与中国跨省消费风险分担

本文利用中国1978—2008年间的省级数据,考察金融发展对消费风险分担程度的影响,结果发现风险分担程度随时间显著变化。在1978-1992年时间段上,金融深化提高了消费的风险分担程度,而信贷市场发展对消费的风险分担程度的影响并不明显。在1993-2002年时间段上,信贷市场发展提高了消费的风险分担程度,而金融深化降低了消费的风险分担程度。在2003-2008年时间段上,金融深化对消费的风险分担程度的影响并不明显,只有微弱的证据表明,信贷市场发展在该阶段提高了各省人均居民消费的风险分担程度。而证券市场发展对消费的风险分担程度的影响一直不明显。     

Financial Globalization,International Business Cycles and Consumption Risk Sharing*

In spite of two decades of financial globalization, consumption‐based indicators do not seem to signal more international risk sharing. We argue that the fraction of idiosyncratic consumption risk that gets shared among industrialized countries has actually increased considerably over the period 1980–2000 and, in particular, during the 1990s—from around 30 to more than 60 percent. However, standard consumption‐based measures of risk sharing—such as the volatility of consumption conditional on output or international consumption correlations—have been unable to detect this increase because consumption has also been affected by the concurrent decline in the volatility of output growth in most industrialized countries since the 1980s. First, the volatility of output at business‐cycle frequencies has declined by more than has the volatility of permanent fluctuations. Since consumption reacts mainly to permanent shocks, it appears more volatile in relation to current changes in output. This effect seems to have offset the tendency of financial globalization to lower the volatility of consumption conditional on output. Second, because the variability of permanent global shocks has also fallen, international consumption correlations have also generally not increased as financial markets have become more integrated.     

Non-commitment and savings in dynamic risk-sharing contracts

Summary. We characterize the solution to a dynamic model of risk sharing under non-commitment when saving is possible. Savings can play two important roles. First savings can be used to smooth aggregate consumption across different periods. Second, when savings are observable, they can act as a collateral that can be seized in the case of default. This relaxes the non-commitment constraint. When the aggregate income is fixed or when one of the agent is risk neutral, the allocation tends to first-best consumption. When one of the agent is risk neutral, this convergence occurs in an expected finite number of periods.Received: 17 March 2004, Revised: 8 March 2005, JEL Classification Numbers: C7, D9.Michel Poitevin: Correspondence toWe gratefully acknowledge financial support from F.C.A.R., C.R.S.H. and C.I.R.A.N.O.     

企业多元化战略与财务决策的关系：一个多视角的分析框架

本文试图从理论上系统分析在不同的多元化战略下(相关多元化和无关多元化)应采取何种财务决策。在结合不同理论视角的同时,分析企业不同的参与者类群(债权人,股东,高层管理者、部门管理者)的心理和行为决策。财务决策采用常用的分类:投资(长期和短期)、融资(权益融资和债务融资)和股利分配(高股利和低股利)。理论分析认为,相关多元化的公司倾向于进行长期投资,使用股权融资和低现金股利政策;无关多元化的公司倾向于进行短期投资,使用债权融资及高现金股利政策。     

论金融风险的传导性

金融风险的传导是金融危机研究中的一个重要问题。我们观察风险的各个层面,无论是风险的潜伏阶段还是爆发阶段以及恢复阶段都是通过传导来实现的。没有传导,金融风险则不会发展成为金融危机。金融风险的传导又分为国内传导和国际传导,其中国际传导是国际金融风险的传统特征,也是金融全球化态势下金融危机研究的崭新课题。     

企业资金担保链:风险消释、风险传染与风险共享——基于浙江的案例研究

本文对企业资金担保链的风险共享机制进行了分析,结果发现:(1)企业资金担保链组成了一个"线、环、网"系统的风险共享体系;(2)其风险消释机制表现为融入资金担保链企业的融资能力比独立企业强;(3)其风险传染机制表现为通过资产负债表渠道、信息传染渠道、投资传染渠道等形式对危机进行传染。本文随后对企业资金担保链的风险共享机制进行了理论提升,研究发现,只有当整体经济环境有利时,资金担保链是有益的;反之,则会导致企业全部陷入困境。     

Temporary contracts, employment protection and skill: A simple model

We construct a theoretical labor market that incorporates skill differences across workers to identify under which conditions temporary contracts are a way to access to permanency. Firing costs and unemployment benefits increase the threshold productivity above which workers access to permanency.     

基于投资者视角的公司财务质量评价研究--以煤炭上市公司为例

针对国内有关公司财务质量评价研究中存在的不足,把握财务质量概念内涵,立足于公司财务管理目标以及实现过程,基于投资者视角提出了从资本质量、资产质量、盈利质量和股东权益增长质量四个层面分析评价上市公司财务质量的观点。在此基础上考虑各个层面的质量特征,选择相关指标构建了上市公司财务质量评价指标体系,并将该指标体系应用于对我国煤炭上市公司财务质量的评价中。研究发现,盈利质量高低对煤炭上市公司财务质量综合排序有决定性影响,资产质量对煤炭上市公司财务质量综合排序有重要影响。     

后危机时期国际金融格局的变动及其对美国经济的影响

2008年金融危机给世界经济带来了重大的影响,国际金融格局也发生了显著变化。本文主要分析了国际汇率体系、国际收支和国际储备体系、国别经济政策与国际间经济政策协调的变化。在后危机时期,美国经济也受国际金融格局变化的影响,包括美元中心地位的问题、“中心一外围”模式可持续性的问题和美国的国际经济领导权问题。本文得出的主要结论是：国际几种主要货币汇率波动增大,国际汇率体系弹性增大,国际收支总体失衡程度下降,美元为主的国际储备体系呈多元化趋势,先进经济体与新兴发展经济体的经济协调在加强,美元的霸权地位面临挑战,美国在国际分工中的中心地位在下降,美国在国际经济的主导地位也在逐渐下降,新兴经济体获得更多的话语权。     

基于消费风险分担模型的中国——东盟金融合作程度的实证分析

自中国-东盟自由贸易区建成以来,中国与东盟的经贸联系日益加强,金融合作也取得了实质性的进展。本文运用衡量金融合作程度的主要方法——消费风险分担模型,对中国与东盟国家1999年-2010年的相关数据进行实证分析,得出中国与东盟金融合作程度较低,尤其是资本市场一体化程度尚处于初级阶段的结论,并对其成因进行解析,以期能够为进一步加强彼此合作提供参考。     

金融风险防范与金融审计

金融是我国国民经济的核心,随着经济的发展,金融业本身所积聚的种种风险日渐显露,并给社会经济秩序带来难以弥补的损害.与此同时,市场经济的内在要求、金融审计的基本工作方式和程序等因素,就决定了金融谮审计在防范金融风险中必然发挥其不可或缺的作用,即金融审计责任越来越大,金融审计风险也日益加大.因此,为了降低审计风险,金融审计需要重点从审计人员、审计方法、审计内容等三方面进行改善和提高,强化金融审计,以提高金融审计质量,防范金融风险.     

Unemployment and Economic Integration for Developing Countries

While financial or trade integration between countries may increase the size of the market and aid the adoption of more advanced technologies, will it also increase the level of urban unemployment for a developing country? In this model, there is unemployment in the urban sector. Manufacturing firms engage in oligopolistic competition and choose increasing returns technologies to maximize profits. Financial firms provide capital to manufacturing firms and they also engage in oligopolistic competition. We show that an increase in the wage rate in the manufacturing sector changes neither the level of technology nor the level of employment in the manufacturing sector. While financial or trade integration between developing countries leads manufacturing firms to adopt more advanced technologies, the level and rate of employment in the manufacturing sector will not deteriorate.