中国金融体系的脆弱性与道德风险

道德风险行为就是当签约一方不完全承担风险后果时所采取的自身效用最大化的自私行为.中国金融体系存在严重的脆弱性,根本原因也在于道德风险.政府不仅对银行提供了担保,也认为证券市场"太大而不能失败".证券市场危机往往是金融危机的先行指标,随之而来的银行危机和货币危机将决定金融危机的深度和广度.中国金融体系的道德风险已经深入到最基层的代理人,其代价将是非常惨重的.     

委托—代理投资与金融危机的形成

回顾 2 0世纪 80年代以来发生的主要金融危机 ,作者认为委托—代理投资及其引发的道德风险是导致资产泡沫形成、膨胀和破灭并最终引发金融危机的重要原因 ,最后给出相关结论。     

Why do currency crises arise and how could they be avoided?

In the 1990s currency crises arose in different regions, e.g. in Mexico, East Asia, Russia, Brazil and Ecuador, to mention only the most important ones. What are the main factors which may trigger such events? How does globalisation and deregulation of financial markets influence the emergence of a currency crisis? What forms of crises exist? Are they driven by fundamental imbalances in a country or are they caused by self-fulfilling mechanisms involving herd behaviour and destabilising speculation? To what extent do such crises reflect implicit governmental and international guarantees which may cause moral hazard and adverse selection, thereby increasing the risk behaviour of enterprises and banks?     

The Role of the Banking System in the International Transmission of Shocks

The paper analyzes the role of the banking system in the international transmission of financial shocks. A channel of transmission is defined as a mechanism through which a financial crisis in one country induces a financial crisis in another country. Channels involving banks operate through changes in the capital adequacy ratios of a common lender and in the value of collateral of domestic borrowers, through bank runs and bank panics, and through moral hazard. Recent empirical evidence points to the significant effects of the common lender channel on the probability of a financial crisis, while mitigating the role of bank runs and remaining inconclusive about moral hazard. Thus, we introduce a series of indices of vulnerability to the common lender channel that improve existing measures by taking into account both the borrower's dependence on foreign loans and the lender's exposure to a single country. By comparing the degree of vulnerability to the common lender channel during the 1990s major crises, we find that vulnerability was higher in the Asia Pacific region in 1997 (and, especially, in the five countries most involved in the crisis) than in Latin America and East Europe. Vulnerability was significantly lower in 2000 for almost all the countries in our sample, due to both a more even distribution of liabilities on the part of developing countries and a higher degree of diversification of bank investments from the three main lending countries (United States, Japan, Germany).     

Ultra-Easy Money: Digging the Hole Deeper?

The global situation we face today is arguably more fraught with danger than was the case when the crisis first began. By encouraging still more credit and debt expansion, monetary policy has “dug the hole deeper.” The fundamental analytical mistake has been to model the economy as an understandable and controllable machine rather than as a complex, adaptive system. This mistake also implies that the suggestion that central banks should necessarily reduce the “financial rate of interest,” in response to a presumed fall in the “natural rate,” is overly simplistic. In practice, ultra-easy policy has not stimulated aggregate demand to the degree expected but has had other unexpected consequences. Not least, it poses a threat to financial stability and to potential growth going forward. Further, “exit” threatens to be delayed in many countries, underlining the dangerous fact that the global economy has no nominal anchor. Much better would be policies, introduced by other arms of government, that would recognize that the fundamental problem is not inadequate liquidity but excessive debt and possible insolvencies. The policy stakes are now very high.     

金融危机应对政策的有效性:基于40起事件的实证研究

本文以20世纪80年代以来世界范围内40次重要的系统性银行危机为基础,对金融危机后常见的15种应对措施进行了系统的实证评价.结果表明,系统性银行危机发生后,大规模政府干预、流动性支持(紧急贷款)、重新资本化、银行关闭和兼并是使用频率最高的5项措施,但大规模政府干预和流动性支持往往伴随着较高的财政成本,而重新资本化和兼并则分别伴随着危机持续时间的延长和产出损失的上升.一揽子担保计划虽有助于提高危机期间的经济增长率,但危机后的经济增长却相对较低.国有化措施不仅会产生较高的财政成本,通常还伴随着较高的产出损失.存款人承担损失和IMF援助这两种措施有助于缩短危机持续时间,但IMF援助通常伴随着较高的财政成本和危机期间较低的经济增长率.     

The Stock Liquidity of Banks: A Comparison between Islamic and Conventional Banks in Emerging Economies

We explore the stock liquidity of Islamic banks (IBs) and matching conventional banks (CBs) in emerging economies. We find that IBs have higher stock liquidity than CBs, suggesting that investors prefer IBs' stocks and neglect what they consider to be “sin stocks” (i.e., CBs' stocks), which do not conform to their religious beliefs. We also find that the liquidity effects are particularly important for small IBs, and during the global financial crisis. This evidence is stronger in countries with less developed banking sectors and weaker bank supervision and regulation. Hence, faith-driven investors tend to value more norm-conforming stocks (i.e., IBs) during times of distress and uncertainty, and in weaker regulatory environments.     

The anatomy of financial crises: Evidence from the emerging ADR market

We study the anatomy of recent financial crises in Mexico, East Asia, Russia, Brazil, Turkey, and Argentina by investigating the efficiency and pricing of the emerging American depositary receipt (ADR) market. We use a non-parametric technique to test for persistent regime shifts in two basic structural relationships for ADR returns in 20 emerging countries — identified via arbitrage and capital mobility considerations — that should always hold in efficient and integrated capital markets. We find that those “normal” market conditions were instead often violated in proximity of financial crises: The law of one price often weakened (by 54% on average) and domestic sources of risk became more important (often by more than 100%) for many emerging ADRs. We also find the likelihood of these regime shifts to be related to proxies for uncertainty among investors, exchange rate volatility, trade linkages, and liquidity (but not stock market trends, currency devaluations, capital flight, or capital controls).     

Oil and stock markets before and after financial crises: A local Gaussian correlation approach

The effect of financial shocks on the cross‐market linkages between oil prices (spot and futures) and stock markets is examined for four major crises. We employ the local Gaussian correlation approach and find that the two markets were regionalized for most of the 1990s and the early 2000s. Flights from stocks to oil occur in all crisis episodes, except the recent global financial crisis. The view that stock and oil markets behave like “a market of one” after the financialization of commodities is further supported by the presence of contagion between US stock markets and all the benchmark oil markets.     

The sublime and consumer behavior: Consumption as defense against the infinite

The latest financial crisis has aroused public discussion about the moral aspects of financial speculation and the rights and responsibilities of different market actors, including private consumers of financial products. Shifting the focus away from the level of individual morals and choices, this paper sets out to trace the discursive “conditions of possibility” for reflective and responsible financial consumption. Through a critical discourse analysis of media and marketing texts, the paper identifies and examines four conventionalized discourses of stock market investing: market mechanics, market psychology, market participation, and market expertise. The paper shows how each of these widely normalized discourses articulates investing as an individual enterprise of wealth management, devoid of broader social or political relevance. It is argued that the prevalence of such representations is likely to discourage social awareness with regard to financial consumption and to impede the establishment of fair and sustainable market practices.     

The etiology of liquidity crises and how managers can be better prepared

Financial shocks have become an increasingly pervasive feature of the global economic landscape. Among the two most prominent that have faced corporate managers during the past decade are the bursting of the technology bubble in 2000 and the ongoing global financial and economic crisis. These not only have had a chilling impact on the industries most directly involved, but they also occasioned a massive spillover into other industrial sectors, and in financial markets in general. “Contagion” is perhaps the most devastating aspect of such crises. © 2009 Wiley Periodicals, Inc.     

Product-harm crisis management: Time heals all wounds?

This paper focuses on product-harm crises and examines consumer responses associated with product defect in three time periods (i.e., 3 days, 3 months and 1 year after a crisis). An experiment was conducted based on three widely accepted- influences on product-harm crisis management (i.e., crisis extent, social responsibility and organizational responses). The fourth influencing factor, time, was introduced in the present study. The four-factor model for measuring the effectiveness of product-harm crisis management was tested with particular attention to the impact of time. Crises were described in scenarios for a fictitious mobile phone. The results demonstrate that the effects of a crisis are minimal a few months after the crisis has occurred. Consumers tend to “forget” about the crisis and its effects, especially in cases when the company is socially responsible, and when the company issues a voluntary recall of its product.     

Herding behaviour in an emerging market: Evidence from the Moscow Exchange

This study investigates the extent to which herding towards the market consensus for Russian stocks is driven by fundamental and non-fundamental factors. We find evidence that investors on the Moscow Exchange herd without any reference to fundamentals during unanticipated financial crises coupled with high uncertainty, in falling markets, and during days with extreme upward oil price movements. In contrast, in periods of high liquidity and on days of international sanction announcements during the Ukrainian crisis, herding behaviour is merely driven by fundamentals. In Russia, macroeconomic news releases induce both information-related herding and herding without any reference to fundamentals. These results suggest that motives of investors' herding behaviour vary under specific market conditions such as market trends, liquidity, uncertainty, arrival of new information, and oil price volatility.     

Feel Good,Do-Good!? On Consistency and Compensation in Moral Self-Regulation

Studies in the behavioral ethics and moral psychology traditions have begun to reveal the important roles of self-related processes that underlie moral behavior. Unfortunately, this research has resulted in two distinct and opposing streams of findings that are usually referred to as moral consistency and moral compensation. Moral consistency research shows that a salient self-concept as a moral person promotes moral behavior. Conversely, moral compensation research reveals that a salient self-concept as an immoral person promotes moral behavior. This study’s aim was to integrate these two literatures. We argued that compensation forms a reactive, “damage control” response in social situations, whereas consistency derives from a more proactive approach to reputation building and maintenance. Two experiments supported this prediction in showing that cognitive depletion (i.e., resulting in a reactive approach) results in moral compensation whereas consistency results when cognitive resources are available (i.e., resulting in a proactive approach). Experiment 2 revealed that these processes originate from reputational (rather than moral) considerations by showing that they emerge only under conditions of accountability. It can thus be concluded that reputational concerns are important for both moral compensation and moral consistency processes, and that which of these two prevails depends on the perspective that people take: a reactive or a proactive approach.     

Stock liquidity and ownership structure during and after the 2008 Global Financial Crisis: Empirical evidence from an emerging market

This paper examines the impact of ownership structure, whether state owned, foreign owned or institutionally owned, on Vietnamese stock market liquidity in different market conditions. We find that state ownership is associated with lower liquidity after the 2008 financial crisis. Institutional ownership shows a weak influence on liquidity in the post-crisis period. During the financial crisis, however, liquidity declines could not be attributed to ownership structure. Our results imply that foreign investors have not yet played a significant role in driving stock market liquidity in Vietnam, which is counter to findings in the existing literature concerning liquidity in more developed markets. Our results are consistent across conventional liquidity measures and a composite liquidity measure.     

Bond restructuring and moral hazard: are collective action clauses costly?

Recent emerging market crises have prompted debate over the costs and benefits of collective action clauses (CACs) in bond contracts. CACs may facilitate the restructuring of repayment terms in the event of financial distress. Proponents of CACs argue they should lower borrowing costs, while opponents contend that they lead to moral hazard and increased borrowing costs. This paper examines the pricing of bonds with and without CACs using data for both primary and secondary market yields and finds no evidence that the presence of CACs has increased yields for either higher- or lower-rated issuers.     

Das europäische Verfahren zur Vermeidung und Korrektur von Leistungsbilanzungleichgewichten

The Macroeconomic Imbalance Procedure (MIP) is part of a institutional framework known as the so-called “sixpack“, which has come into effect on December 13th 2011 in response to the European financial and debt crisis. The crisis has shown that internal and external imbalances (in particular current account deficits) are strongly intertwined. The MIP should identify external imbalances at an early stage and thus compel countries to correct these imbalances to forestall potential crises. Methodological questions are discussed, which are to be resolved to ensure the effectiveness of the MIP.     

Dynamic Agency and Large‐Risk Taking

I propose a dynamic investment model with moral hazard under which greater exposure to future uncertainties about losses could enhance incentive provisions and improve firm value. The model provides an explanation for why many financial companies and investment banks choose to improve their short‐run performance by putting themselves at greater risk of catastrophic losses in the future, as what happened prior to the 2007 financial crisis.     

美国金融危机传导机制的研究

目前,美国金融危机所产生的影响仍未消除,对外开放程度越高的国家受到的影响越严重。金融危机包括货币危机、外债危机、银行业危机以及资本市场危机,四种危机之间相互感染,通过金融、贸易、心理等渠道将其传导到不同的地理空间及市场或领域之中。危机的传导在时间和空间上是同步进行的,并产生"连锁反应",对世界各国的影响极为严重。世界各国应健全金融法规,加强投资者的教育,并加大各国之间的经济交流,以更好的防范金融危机,共谋世界经济平稳健康地发展。     

Economic growth,financial market,and twin crises

In this study, we look not only to provide empirical evidence to investigate the direct impact of financial crises on economic growth, but also to examine the roles of insurance development, financial liberalization, financial institution, and crisis intervention policies on the relationship between the two. We employ a panel data framework from 50 countries by applying the dynamic panel generalized method of moments model. Our main empirical results show that financial crises do have a significantly negative impact on economic growth. In addition, governments or authorities are encouraged to further enhance their insurance sector in order to help spur economic growth when financial crises arise. The government intervention policy choice is also an important factor influencing economic growth during crises.