金融开放的多角度透视

本文分析了当前几个流行的金融开放衡量指数存在的可靠性与稳定性的偏差,并通过一系列修正性和补充性的衡量指数对114个国家在1970—2004年间的金融开放进程的趋势与特征进行了多角度的考察比较。     

金融开放的测度

现有文献对干金融开放的测度主要从资本账户开放和金融市场开放两个层面展开。资本账户开放测度一直是金融开放测度的重点，其包括两个方法，基于资本跨境交易法律法规等限制措施的名义测度和基于实际资本流动的事实测度，其以各国政府为中心，侧重于金融开放的宏观层面；金融市场开放测度主要衡量金融服务部门的对内和对外开放水平，也可以分为名义承诺开放水平和实际开放水平，其以金融市场和金融中介为中心，侧重于金融开放的微观层面。在金融开放的实际测度中，应结合两种测度方法以求反映金融开放的全貌。     

中国全面开放资本账户的条件成熟了吗?

本文基于2005—2019年73个国家(地区)的年度数据，构建资本账户开放经济增长模型与资本账户开放金融风险模型，估算得出初始条件带来开放收益和减少风险代价的门槛水平，进而讨论中国全面开放资本账户的条件是否成熟。研究发现：第一，资本账户开放对经济增长和金融风险的影响均存在显著的门槛效应；第二，在现有金融发展与外贸依存度初始条件下，资本账户开放能够促进中国经济增长，因此现阶段中国扩大资本账户开放能够获得部分开放红利；第三，受制于金融发展、经济自由度和监管质量的不足，中国全面开放资本账户的条件尚未成熟。因此，本文认为，资本账户开放不宜操之过急，应当充分考虑自身经济金融改革和发展的实际情况，全面评估推动资本账户开放的收益与成本，并进一步加强跨境资本流动管理。     

资本账户开放对企业融资约束的影响及其作用机制研究

现有关于资本账户开放的经济影响的研究大多着眼于宏观层面,且忽略了企业的异质性.文章以企业微观融资机制为切入点,利用2000-2013年63个国家(地区)的11621家上市公司的数据,运用有序逻辑回归方法构建了衡量企业融资约束的SA指数,进而考察了资本账户开放对企业融资约束的影响及其作用机制.研究发现:(1)总体而言,一国(地区)的资本账户开放度越高,越有助于缓解企业融资约束,且这种缓解作用主要是通过金融信贷、商业信用和股权融资三种融资渠道实现的.(2)各国(地区)的资本丰裕程度不同,使得资本账户开放对企业融资约束的作用在不同类型国家(地区)存在明显差异,资本账户开放有利于缓解中等偏下收入国家(地区)的企业融资约束,而不利于缓解中等偏上收入国家(地区)的企业融资约束.(3)由于信息不对称问题的存在,大企业更容易在资本账户的开放中获得金融信贷、商业信用和股权融资,因此资本账户开放对融资约束的缓解作用在大企业中更加明显.以上研究结论既丰富了有关资本账户开放的经济效益理论,也为处于不同经济发展水平的国家(地区)是否应加快推进资本账户开放提供了一定的经验依据.     

资本账户子项目开放对企业创新的影响——基于跨国的经验证据

基于1995～2013年47个国家(地区)27842家上市公司数据,本文实证检验了资本账户子项目开放对以研发投入度量的企业创新的影响。研究表明,FDI和股票资本流入显著提高了东道国企业的研发投入,而债务资本流入则产生了负面影响。在进行了一系列稳健性检验后,上述结论均成立。研究进一步发现东道国初始经济发展水平、金融发展水平和贸易开放度的提高可以加强FDI和股票资本流入对企业研发投入的积极影响,同时抑制债务资本流入的负面效应。本文从跨国视角考察了资本账户子项目开放对东道国企业创新的影响,为理解金融开放与经济增长之间的关系提供了来自企业创新活动层面的新经验证据,也为一国加快金融开放提供了可供借鉴的理论依据。     

对加入WTO“后过渡期”内中国金融开放的思考

金融开放是全球金融自由化浪潮中各国的必然选择。中国金融开放二十余年来,已经取得了举世瞩目的成果。入世以来,金融开放进入实质性阶段,尤其在当前的“后过渡期”内我们面临更多需要解决的新问题。2005年11月7日央行首次发布《金融稳定报告,》我国“后过渡期”内金融开放将在更大程度上体现为维护我国金融稳定的取向。文章将从金融开放的内涵探讨出发,对中国金融开放的历史阶段及其开放成果进行回顾,最后对我国入世“后过渡期”内金融开放的走势做出分析。     

中国金融自由化指数的设计和分析

本文回顾了有关金融自由化的相关文献和定义,整理了改革开放以来中国金融自由化进程中的几乎所有重大事件,并结合其影响程度分别赋值,得到了衡量金融自由化程度的8个指标序列,再利用主成分分析法将这8个指标整合成中国金融自由化指数。     

关于促进内地与香港金融合作的具体构想

内地与香港两地金融合作可以从以下几个不同侧面来考虑,一是从内地金融开放以及在WTO服务贸易总协定框架探讨两地互设金融机构、开展金融业务的可行性与战略意义;二是在金融开放的前提下,内地如何利用香港国际金融中心地位,为经济发展服务;三是内地因素在香港金融业发展中的作用,如何促进两地金融市场特别是资本市场的合理分工与共同发展。     

我国省域金融成熟度的收敛性——基于空间面板数据模型的实证分析

研究了金融开放背景下我国省域金融成熟度的空间相关性和区域收敛性。基于金融成熟度综合指标体系,全面衡量了2001—2010年我国31个省级行政区的金融产业发展水平,并利用Moran's I从全局及局域层面揭示了各省金融成熟度的空间关联性。在此基础上,选择标准β收敛模型、空间滞后模型和空间误差模型对我国区域金融发展的β收敛进行分阶段探索。结果表明:我国区域金融成熟度在金融开放过渡阶段呈显著的β收敛特征、地区差异在减小,而在全面开放阶段呈显著的发散特征、地区差异在增大;金融开放加大了我国金融发展的区域差异。     

警惕资本项目开放过程中的风险

加快资本项目开放对推进我国金融深度融入世界经济与金融体系、推动双边跨境金融合作与监管、扩大和提升人民币的影响和货币地位具有重要意义。但资本项目的开放也必然会引发国际短期资本抽逃冲击国内金融体系正常运行、国际收支恶化、通货膨胀、偿债风险及货币替代风险等诸多风险。因此,必须全面清醒地认识资本开放带来的各种潜在风险,科学合理地制定各种防范措施,从而以最大限度地减少并化解资本项目开放过程中的风险,坚持主动性、渐进性与可控性原则,稳步推进资本项目的不断开放,促进我国经济健康发展。     

Regime-switching in volatility and correlation structure using range-based models with Markov-switching

This study examines latent shifts in the conditional volatility and correlation for the U.S. stock and T-bond data using the two-state Markov-switching range-based volatility and correlation models. This paper comes up with clear evidence of volatility regime-switching in stock indices and T-bond over the crisis period. As regards the process of correlation, we also find evidence of regime changes in correlations between stock indices and T-bond over several financial crises. We conclude that the phenomena of both volatility and correlation regime-switching are triggered by these financial crises. In addition, the range-based volatility and correlation model with regime-switching method could explicitly point out the true date of structure changes in the data generating process for volatility and correlation variables.     

Developing a financial conditions index for a post-transition country: the case of Croatia

The interconnection between financial and business cycles and the importance of surveillance over financial markets emphasise the need for the development of indicators that could trace financial conditions in a country. In this paper, we focus on developing a financial conditions index for a post-transition country – Croatia. Since financial conditions indices for post-transition markets differ from those for developed markets due to differences in the development of their financial systems and the availability of data, we show that financial conditions indices constructed for post-transition markets need to be tailored to the specifics of such markets.     

Commodity currencies and commodity prices: modelling static and time-varying dependence

This article employs the copula approach to study the relationship between exchange rates and commodity prices for large commodity exporters. Using data for the nominal exchange rates of four commodity currencies (Australian, Canadian and New Zealand dollars, and Norwegian krone) against the US dollar and the relevant country-specific commodity price indices, constructed on a daily basis, we find (1) a positive dependence between the values of commodity currencies and commodity indices, i.e. a commodity index increases when a respective currency appreciates and provides several explanations for this finding; (2) no major asymmetries in the tail dependence for most pairs of exchange rates and commodity indices and (3) a pronounced increase in the time-varying tail dependence following the global financial crisis.     

中国金融稳定性的测度

本文参照IMF(2006)和ECB(2006)对金融稳定性的定义,将金融稳定性归纳为金融体系基本要素平稳运行和具有抵抗巨大冲击的能力两个维度,在此基础上构建了包含18个基础指标的金融稳定性指数,以中国2004~2008年间相关数据为样本,采用主成分分析法并以均值化后的协方差矩阵作为输入来对当前金融稳定性的状态进行测度,研究发现2004年以来的5年间,我国金融稳定性不断增强,金融体系基本要素平稳运行,但抵抗外部冲击的能力却略有下降。     

Modelling the dependence structures of Australian iTraxx CDS index

In contrast to market expectations, the correlation between credit default swap (CDS) spreads and their respective stock prices in Australia was found to be positive. The global financial crisis (GFC) affected the nonlinear association between the two asset classes with firms experiencing financial distress and stock prices plummeting. CDSs issuers reacted to such exogenous shocks by increasing their risk premiums on their spreads, reflecting the increased inherent risk. By splitting the data into pre- and post-GFC contexts and by employing the use of Archimedean copulas, we observe a negative co-movement in the post-GFC period. This finding is robust to several equity indices. Overall, such result is critical for investors engaging in arbitrageur activities.     

Testing the Association Between Production and Financial Performance: Evidence from a Not-for-Profit, Cooperative Setting

A sample of sixty-three Australian credit unions is used to compare the financial performance measures provided by accounting-based financial ratios, and production performance as measured by efficiency indices. Whilst the evidence found supports the posited association between financial ratios and efficiency indices, the usefulness of such information is contingent upon which set of a priori behavioural assumptions have been used. More particularly, the results question the applicability of a traditional profit-based, physical production approach to a not-for-profit, cooperative setting.     

Mixed data sampling expectile regression with applications to measuring financial risk

To avoid information loss or measurement error in traditional methods dealing with mixed frequency data, we develop a novel mixed data sampling expectile regression (MIDAS-ER) model to measure financial risk. We construct the MIDAS-ER model by introducing a MIDAS structure into expectile regressions. This enables us to perform an expectile regression on raw mixed frequency data directly. We apply the proposed MIDAS-ER model to estimate two popular financial risk measures, namely, Value at Risk and Expected Shortfall, with both simulated data and four stock indices, and compare the model's performance with those of several popular models. The outstanding performance of our model demonstrates that high-frequency information helps to improve the accuracy of risk measurement. In addition, the numerical results also imply that our model can be a significant tool for risk-averse investors to control risk losses and for financial institutions to implement robust risk management.     

Persistence of economic uncertainty: a comprehensive analysis

One of the most heavily researched and cited issue in applied economics is the relationship of uncertainty indices with the financial and macroeconomic variables. While the statistical features of financial and macroeconomic variables have been thoroughly examined, virtually nothing has been done to examine uncertainty indices under the statistical perspective. In this paper, we focus on two primary characteristics of uncertainty indices: persistence and chaotic behaviour. In order to evaluate the persistence and the chaotic behaviour we analyse 72 popular uncertainty indices constructed by forecasting models, text mining from news articles and data mining from monetary variables to measure the Hurst and Lyapunov exponents in rolling windows. The examination in rolling windows provides a dynamic evaluation of the specific characteristics revealing significant variations of persistence and chaotic dynamics with time. More specifically, we find that almost all uncertainty indices are persistent, while the chaotic dynamics are detected only sporadically and for certain indices during recessions of economic turbulence. Thus, we suggest that the examination of persistence and chaos should be a prerequisite step before using uncertainty indices in economic policy models.     

Do Financial Systems Converge?

We apply the new panel convergence methodology developed by Phillips and Sul (2007a ) on 13 financial development indices from the World Bank's Financial Development and Structure database, to test for financial system convergence across a large set of industrial and developing countries. Our results indicate that there is no convergence for either the financial systems as a whole or their main segments. Far from decreasing, the differences in the financial systems of the sample countries seemingly persist or even increase over time. These differences are more pronounced for the stock market segment and private credit by banks, and less so for the bond market segment and bank deposits. Moreover, the convergent clubs for most indices transcend the distinction industrial vs developing countries, as well as the distinction bank‐based vs capital‐market‐based financial systems.