股票与房地产价格波动影响银行系统稳定的传导机制分析

股票与房地产价格的波动会对一国银行系统产生重大影响,资产价格的波动主要通过信贷风险渠道、市场风险渠道、经纪业务收入渠道、为附属机构注资的风险渠道及“第二回合”渠道等传导渠道影响到银行系统的稳定。所以为维持银行系统的稳定,监管当局应该密切关注股票与房地产价格可能出现的剧烈下跌对银行部门可能产生的风险并以相应的方法应对。     

投资者情绪、证券价格波动与银行业稳定

本文构建了一个不同于传统金融中介理论的模型，分析了投资者情绪变化对证券价格的影响，资产证券化和杠杆的变化对证券价格波动的影响，证券价格波动对银行利润、资产配置及银行稳定的影响。研究表明，在金融市场中，投资者情绪变化将导致证券价格波动，并通过财富效应等渠道对投资者造成财富和心理冲击，使得投资者情绪不稳定，而且银行风险资产...     

资产价格波动对商业银行风险的影响——基于银行收入结构视角的研究

本文以中国14家商业银行2000～2009年的数据为样本,在测度中国银行业体系风险性指数的基础上,考察资产价格波动对银行收入结构及银行体系风险的影响.研究结果表明:中国银行业纷纷通过上市融资的方式来改善自己的资本资产结构,收益和资产状况得到了较大改善,银行体系稳定性明显增强;资产价格波动与非利息收入结构有明显的正相关关...     

资产价格波动影响金融稳定及其传导机制综述

资产价格波动尤其是房价波动,是美国次贷危机爆发的导火索,金融创新作为原因之一,也受到越来越多的关注。关于金融不稳定的内生理论从本质上可以归结于资产价格的波动;资产价格波动通过金融创新、流动性、银行资本金的变动、银行信贷渠道以及微观主体行为五个方面影响金融稳定,构成了资产价格波动影响金融稳定的传导机制。     

资产价格波动、银行体系稳定与我国货币政策的完善

本文从分析资产价格波动与物价稳定的关系入手.通过探讨货币政策在保持物价稳定与银行体系稳定目标之间的冲突,研究了货币政策是否应对资产价格的波动作出反应的问题,提出从我国的实际情况出发,关注资产价格波动,完善我国的货币政策,是我国中央银行的现实选择.     

房地产价格波动与银行稳定

本文构建房地产市场与银行信贷市场传导机制,从理论上分析了银行信贷对房价上涨具有推动作用,房地产价格波动会通过银行反馈机制影响银行稳定。本文认为,货币供应量与房价波动的联动变化剧烈,房价波动、信贷波动是影响我国银行稳定的因素,银行反馈机制将会引起信贷收缩以及进一步的房价波动。     

房地产价格波动与银行稳定

本文构建房地产市场与银行信贷市场传导机制,从理论上分析了银行信贷对房价上涨具有推动作用,房地产价格波动会通过银行反馈机制影响银行稳定。本文认为,货币供应量与房价波动的联动变化剧烈,房价波动、信贷波动是影响我国银行稳定的因素,银行反馈机制将会引起信贷收缩以及进一步的房价波动。     

大宗商品交易市场价格变动对进口开证业务的影响及其风险分析

金融危机导致国际市场上大宗商品交易价格波动剧烈,对进口商来说,面临着货物价格剧烈波动的风险,对银行来说,原材料进口开证业务的风险识别极其重要,有效控制风险成为促进国际贸易的发展、实现银行和企业持续稳定地增长和发展的主要任务.本文以铅冶炼行业为例,使用概率论方法,分析大宗交易商品市场价格波动对不同类型的信用证分析其违约概率,建立违约概率模型,并提出相应的信用证市场风险控制措施.     

资产价格波动与银行危机的一般均衡分析模型的改进

当代银行危机的发生越来越和各种资产价格的剧烈波动复杂地交织在一起,难以预测和控制。世界银行的Peter探讨资产价格波动与银行脆弱性二者双向的互动机理,提出了一般均衡模型,找出连接二者的主要因素。他认为在资产价格下降和银行危机之间存在一个间接、非线性和涉及反馈的过程。但我们认为这不完整,我们认为在资产价格下降和银行危机之间存在两个反馈过程,一个是直接作用于银行资本的即时过程,另一个是Peter所谈的间接过程。     

浅析银行承兑汇票业务风险及防范

银行承兑汇票业务不仅可以使银行优化资产配置,增加利润,还可以为企业拓宽融资渠道,降低融资成本起到积极作用。随着社会经济的持续稳定发展,近一段时期以来,银行承兑汇票业务在社会经济领域得以广泛推行。为了降低票据风险的发生,保护银行资金安全,为此,要从引起风险产生的源头抓起,制订相应的防范措施,有效规避可能产生的各种风险,才能保证银行承兑汇票业务的健康发展。     

Asset prices and banking distress: A macroeconomic approach

This paper links banking with asset prices in a dynamic macroeconomic model, to provide a simple characterization of financial instability. In contrast with historical bank runs, recent banking crises were driven by deteriorating bank assets. Hence, in contrast with bank run models, this paper focuses on the interaction of falling asset prices, bank losses, credit contraction and bankruptcies. This interaction can explain credit crunches, financial instability, and banking crises, either as fundamental or as self-fulfilling outcomes. The model distinguishes between macroeconomic and financial stability. Its simplicity helps understand balance sheet effects and delivers closed-form solutions without resorting to linearization. For instance, the critical threshold beyond which an asset price decline triggers financial instability can be related explicitly to the structural parameters of the economy.     

宏观审慎政策协调能否抑制国际性银行危机传染？——基于跨境金融关联视角的实证研究

本文基于跨境金融关联视角对宏观审慎政策能否抑制国际性银行危机传染这一重要的理论与实践问题进行了实证研究。选取亚洲金融危机和全球金融危机时期遭受冲击的10个代表性国家作为样本,构建Logit模型和多元回归模型探讨本国及具有金融关联的国家协调实施宏观审慎政策对本国系统性银行危机传染的影响。研究表明,具有金融关联的国家出现金融危机会显著增加本国系统性银行危机的发生概率,具有金融关联的国家实施宏观审慎政策对本国信贷的影响比对房价的影响更明显,本国及具有金融关联的国家协调实施宏观审慎政策会显著降低本国系统性银行危机的发生概率。在调整银行危机指标及考虑贸易关联和流动性风险的影响后,研究结果依然保持稳健。本文的研究结论揭示了加强宏观审慎政策协调有助于维护全球金融稳定,对于中国政策当局强化宏观审慎管理具有极其重要的政策含义。     

Banking stability,competition, and economic volatility

The paper analyzes the influence of banking stability on the volatility of industrial value added using data for 110 countries. Our results confirm the relevance of lending and asset allocation effects because banking stability reduces the volatility of value added more in industries that have greater external financial dependence and intangible intensity when they are located in countries with more developed financial and institutional systems. Moreover, banking stability helps reduce economic volatility more in countries with less bank market competition. We control for recessions, reverse causality problems, and endogeneity of banking stability.     

香港银行业防范房地产信贷风险的经验及启示

房地产贷款是香港银行业的主要盈利来源.亚洲金融危机期间,香港物业价格大幅下跌,导致大量的负资产按揭贷款.然而,在如此严峻的形势下,香港银行业依然稳健,没有出现银行倒闭或要求政府提供财政援助的情况.研究香港银行业及监管部门成功应对房地产价格波动的经验,对于内地银行业防范房地产价格波动带来的危机,有着重要的意义.     

What Is Systemic Risk?

The traditional view of risk in a financial system is that it is the summation of individual risks within the system. However, the financial crisis that started in 2007 has driven home that this view of risk is inadequate. It is the interactions of financial institutions and markets that determine the systemic risks that drive financial crises. We identify four types of systemic risk. These are (i) panics—banking crises due to multiple equilibria; (ii) banking crises due to asset price falls; (iii) contagion; and (iv) foreign exchange mismatches in the banking system.     

The Interplay between Regulations and Financial Stability

The crisis demonstrated that microprudential regulation focusing on the risks taken by individual banks is not sufficient to prevent crises. This is because it ignores systemic risk. Six types of systemic risk are identified, namely: (i) panics – banking crises due to multiple equilibria; (ii) banking crises due to asset price falls; (iii) contagion; (iv) financial architecture; (v) foreign exchange mismatches in the banking system; (vi) behavioral effects from Knightian uncertainty. We focus on the first three as they are arguably the main causes of the 2007–9 crisis and consider regulatory and other policies to counteract them.     

Explaining banking stability in Sub-Saharan Africa

The study examined banking stability in Sub-Saharan Africa. The results reveal that banking spread (Net Interest Margin – NIM) is the main determinant of stability and the major means to achieve stability during crises periods. We however find the existence of a threshold effect in NIM.Crises in the banking sector consistently showed to reduce stability. While the results show that high percentage of foreign banks reduce stability, we find foreign banks help stabilize the banking sector in periods of crises. The results show that diversification could also have a positive impact on stability (Z-score) even though this relationship was not robust enough. The results also largely support the competition-fragility view. Particularly, we find that less competition during crises periods can help improve stability. Again, we find evidence for both concentration-stability and concentration-fragility hypotheses depending on the stability measure used. We however find that when large banks in concentrated markets are well regulated, stability could be improved. Weak regulatory environment reduces stability (Z-score) directly and matters during crises periods. Our results are robust to the use of different indicators of stability and estimation methods.     

人民币跨境流动与金融失衡——基于VAR和门限模型的经验分析

基于2010~2014年月度数据,从汇率波动、资本流动以及资产价格波动等渠道,利用 VAR 模型和门限模型研究人民币跨境流动对金融失衡的影响机制。研究表明：从冲击效应看,人民币国际化背景下,金融失衡对汇率波动、资本流动和资产价格波动的反应程度显著,其中,对资产价格的反应程度最强;人民币跨境流动程度和汇率波动程度对金融失衡存在显著的门限效应。因此,为推动人民币跨境流动,应强调在推进汇率市场化改革和加强国际资本流动监管的基础上,加大稳定国内资产价格的力度,防范金融失衡。     

Contagion and banking crisis – International evidence for 2007–2009

Policy makers aim to avoid banking crises, and although they can to some extent control domestic conditions, internationally transmitted crises are difficult to tackle. This paper identifies international contagion in banking during the 2007–2009 crisis for 54 economies. We identify three channels of contagion – systematic, idiosyncratic and volatility – and find evidence for these in 45 countries. Banking crises are overwhelmingly associated with the presence of both systematic and idiosyncratic contagion. The results reveal that crisis shocks transmitted from a foreign jurisdiction via idiosyncratic contagion increase the likelihood of a systemic crisis in the domestic banking system by almost 37 percent, whereas increased exposure via systematic contagion does not necessarily destabilize the domestic banking system. Thus while policy makers and regulatory authorities are rightly concerned with the systematic transmission of banking crises, reducing the potential for idiosyncratic contagion can importantly reduce the consequences for the domestic economy.