东亚金融一体化程度与福利收益的实证研究

本文利用1970-2004年东亚国家和地区的相关数据,分析了以消费风险分担来衡量的东亚地区金融一体化的程度,以及东亚地区在实现完全风险分担后带来的潜在的福利收益.相比OECD国家和欧盟国家,东亚国家和地区风险分担的福利收益是比较高的,因此可以得出东亚国家和地区金融市场一体化应进一步深化,但在开放金融的同时应加强银行和金融市场监管的合作,以促进人民福利水平的提高的结论.     

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。     

中国消费风险分担偏低之谜

居民部门福利水平,不仅决定于收入与消费的绝对水平,也取决于其波动水平即风险程度。通过金融市场和财政转移支付而实现的收入的交换流通,以降低本地消费与本地产出的相关性分担本地产出波动导致的居民消费的风险。本文计算了1985—2011年中国消费风险分担的趋势,发现中国省级消费风险分担水平偏低而且增加趋势不明显。进一步的研究结果表明,政府为了增加财政收入而采取的地方保护行为,严重抑制了财政转移支付和银行信贷市场在分担消费风险中的作用,直接造成了中国较低的消费风险分担水平。而金融业的国有化,则没有呈现出类似的影响。本文的结论对中国未来统筹区域经济发展和金融业市场化改革有重要的启示意义。     

基于货币联盟稳定性条件的金融市场风险分担研究评述

金融市场所提供的风险分担机制对于一个货币联盟的稳定至关重要。近年来的实证研究对各种类型的货币联盟(包括构想中的货币联盟)的金融市场风险分担水平进行了测度。金融市场风险分担功能体现在对国家内部地区间不对称冲击的平滑以及对国际间不对称冲击的平滑。国际风险分担水平远低于国内风险分担水平,这是因为国际金融市场具有内生性不完善的特征。风险分担可能以全球金融市场为主要渠道,也可能以区域金融市场为主要渠道,这与区域金融一体化程度以及区域成员产出相关性有关。     

东亚区域宏观经济政策协调与合作博弈的理论探讨

本文基于博弈论知识对国际经济政策协调的理论基础及可行性、协调收益进行了研究,说明国际宏观经济政策协调能够提升参与其中国家的得益.文章最后提出了东亚区域经济进行国际宏观经济体政策协调的机制.     

国际资本市场风险分散收益分析

随着日益加快的国际化步伐,国际资本市场上的资本流动越来越频繁.按照Markowitz的投资分散理论,通过国际资本市场的资本运作,投资者可以较大程度的分散风险,从而得到较高的收益.为了研究这种国际资本市场风险分散的收益,我们使用世界主要经济体的股票指数的收益率数据,构造GARCH模型对相关性进行一阶滞后项系数显著性检验.结果显示,国家之间的相关性关系表现出显著的正相关性,分散化收益降低,在金融风暴影响的近几年,这种相关性关系更为明显.     

分税制、转移支付与地区风险分担

本文分析了中国地区间风险分担的程度以及财政制度如何影响地区间的风险分担水平.根据消费平滑和风险分担的实证模型,本研究得到如下结论:各地区间的风险分担程度尚显不足,各地区仅能把消费变动的一小部分进行平滑;分税制以及中央-地方间的转移支付制度使地区间的风险分担程度有所下降,这意味着目前的财税体系在实际上没有能够很好的平滑地区的收入变动.     

外部供需冲击视角下的东亚货币合作可行性研究

区域货币合作在维护区域金融稳定、促进区域经济发展方面具有不可替代的作用。欧洲主权债务危机爆发后,人们对东亚能否继续进行货币合作产生了疑问,有必要结合欧债危机产生的新情况、新问题,从新的视角探讨东亚货币合作的可行性。文章从供给与需求两方面的经济结构冲击对称性视角,对东亚10个经济体之间的冲击相关系数、冲击规模与调整速度进行了实证分析,证实了东亚区域不同经济体之间存在着不同的对称性,具有双边和次区域货币合作的经济基础。同时文章提出东亚区域未来货币合作的形式、实现路径和风险防范措施。     

东亚国家(地区)的债券市场发展研究

东亚地区虽然拥有非常高的储蓄率和大量的外汇储备,却主要投向西方发达国家金融市场。东亚地区经济发展却过度依赖银行与外部融资,导致区域内的货币与期限双重错配。如果能在东亚地区建立一个区域性的债券市场,将东亚地区的巨额储蓄转化为区域内生产性投资,就可以扭转东亚各经济体对美元资产和银行金融机构的过度依赖性,提高危机应对能力。然而,东亚各经济体债券市场的法规与制度、债券资信评级、会计和风险审核标准以及交易、清算和结算系统等市场基础设施均存在明显的差异,债券市场发展水平参差不齐。要建立一个高效的东亚区域债券市场,推动本区域经济稳定发展与金融一体化,东亚区域各经济体债券市场间协调合作是必由之路。文章以东亚债券市场协调发展为主线,阐述了东亚债券市场的现状和发展东亚债券市场的意义,分析了东亚债券市场发展现状的原因。最后根据东亚金融市场的特点给出了东亚债券市场以及中国债券市场发展的具体措施。     

失之东隅、收之桑榆:双边市场中的银行卡组织

在一个完备市场中,当面临外生冲击时,家庭要进行风险分担和消费平滑。本文用广东省家庭收支数据检验了中国城镇家庭在面临外生经济冲击时能否对消费进行风险分担以达到完全保险。我们首先检验家庭总消费和各类消费品的风险分担情况;然后检验不同收入组家庭消费的风险分担状况;最后检验家庭消费是否能够对地区的特定冲击进行完全保险。结论是:大部分的计量检验都拒绝了城镇家庭消费可以完全保险的假设。     

Channels of interprovincial risk sharing in China

This paper decomposes consumption risk sharing among provinces in China over the 1980–2007 period. We find that 9.4% of the shocks to gross provincial product are smoothed by the interprovincial fiscal transfer system. This system also cushions a relatively large fraction of the province-specific shocks in the coastal provinces of China. Using a variety of indicators, we explore non-fiscal channels of consumption risk sharing. We find that the migration of rural labor to urban areas and the remittance of migrant wages play important roles in promoting interprovincial consumption risk sharing in the inland provinces of China. In contrast, the extent of risk sharing through financial intermediaries and the capital markets is very limited. These factors have resulted in a low degree of risk sharing among Chinese provinces, especially over the last decade.     

Public Employment and Regional Risk Sharing*

We provide an empirical analysis of regional risk sharing in Norway over the period 1977–90. The approach of Asdrubali, Sørensen and Yosha (1996) is extended to take public employment into account as a possible shock absorber. The other channels of risk sharing are capital markets and commuting, taxes and transfers, and credit markets. The estimated degree of regional consumption insurance is very high. We cannot reject the hypothesis that there is full interregional risk sharing in the short term. Public employment absorbs up to 25 percent of private sector output shocks in our analyses. Generally, central government insurance against regional shocks is relatively more important, the more permanent the shocks are, and vice versa for market‐based risk‐sharing channels.     

Public versus private risk sharing

Can public income insurance through progressive income taxation improve the allocation of risk in an economy where private risk sharing is incomplete? The answer depends crucially on the fundamental friction that limits private risk sharing in the first place. If risk sharing is limited because insurance markets are missing for model-exogenous reasons (as in Bewley (1986) [8]) publicly provided risk sharing improves on the allocation of risk. If instead private insurance markets exist but their use is limited by limited enforcement (as in Kehoe and Levine (1993) [23]) then the provision of public insurance interacts with equilibrium private insurance, as, by providing risk sharing, the government affects the value of exclusion from private insurance markets and thus the enforcement mechanism of these contracts. We characterize consumption allocations in an economy with limited enforcement and a continuum of agents facing plausible income risk and tax systems with various degrees of progressivity (public risk sharing). We provide conditions under which more publicly provided insurance actually reduces total insurance for agents (excess crowding-out), or under which more public insurance increases total insurance (partial crowding-out).     

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.     

Banks,Financial Markets and International Consumption Risk Sharing

In this article, we explore how characteristics of the domestic financial system influence the international allocation of consumption risk in a sample of OECD countries. Our results show that the extent of risk sharing achieved does not depend on the overall development of the domestic financial system per se. Rather, it depends on how the financial system is organized. Countries characterized by developed financial markets are less exposed to idiosyncratic risk, whereas the development of the banking sector contributes little to the international diversification of consumption risk.     

Does financial globalization promote risk sharing?

In theory, one of the main benefits of financial globalization is that it should allow for more efficient international risk sharing. In this paper, we provide an empirical evaluation of the patterns of risk sharing among different groups of countries and examine how international financial integration has affected the evolution of these patterns. Using a variety of empirical techniques, we conclude that there is at best a modest degree of international risk sharing, and certainly nowhere near the levels predicted by theory. In addition, only industrial countries have attained better risk sharing outcomes during the recent period of globalization. Developing countries have, by and large, been shut out of this benefit. Even emerging market economies, many of which have reduced capital controls and all of which have witnessed large increases in cross-border capital flows, have seen little change in their ability to share risk. We find that the composition of flows may help explain why emerging markets have not been able to realize this presumed benefit of financial globalization. In particular, our results suggest that portfolio debt, which had dominated the external liability stocks of most emerging markets until recently, is not conducive to risk sharing.     

CURRENCY MARKET CONTAGION IN THE ASIA-PACIFIC REGION

During the East Asian currency crisis of 1997–98 the potential transmission of the crisis to developed markets such as Japan, Australia and New Zealand, was of considerable policy concern. Potential channels consist of anticipated movements stemming from common factors, spillovers and contagion. The empirical results show that the transmission of volatility in the East-Asian currency markets to the developed markets in the region is not due to contagion, but rather attributed to common world factors. Spillovers have a minor role in the case of Japan and to a lesser degree, Australia.     

Risk sharing and industrial specialization in China

We investigate how risk sharing shapes industrial specialization across prefecture-level cities in China. By unbundling the mechanisms of risk sharing, we find that ex ante risk sharing generates a first-order stimulant effect on the geographical concentration of manufacturing industries, particularly for non-state-owned enterprises and cyclical industries. Ex post risk sharing matters only for state-owned enterprises. This result remains robust to instrument variable estimation and controlling for other determinants of industrial specialization. Finally, we show that interregional labor migration (special fiscal transfers) plays an important role in promoting interregional ex ante (ex post) risk sharing. The study implies that much more risk sharing and efficiency gains from industrial specialization would be achieved if capital markets and credit markets are better developed.     

Market structure and multiperiod hedging

This paper develops a multiperiod hedging model for a competitive risk-averse international firm. We study the optimal sequential hedging strategy and analyze the impact of the structure of available risk sharing markets on the firm's export decision. As a main result, we find that the number of risk sharing markets critically affects the export level while the timing of these markets is inconsequential.