美国货币政策推升了新兴市场国家非金融企业杠杆率吗？

全球金融危机后,美国量化宽松货币政策的实施导致全球流动性异常充裕,对新兴市场国家非金融企业外部融资环境造成显著影响。本文运用28个新兴市场国家2003-2015年非金融类上市企业财务数据和美国影子利率数据对美国货币政策调整与新兴市场国家非金融企业杠杆率变动之间的关系进行了实证分析。结果显示,美国影子利率与新兴市场国家非金融企业杠杆率变动之间存在显著负相关关系,即美国影子利率的降低会促使新兴市场国家非金融企业杠杆率出现更大幅度的上涨。进一步地,这一影响在融资约束程度较高的企业、外部融资依赖度较高的行业以及资本账户开放程度较高但汇率弹性僵化的国家表现得更为显著。上述发现意味着新兴市场国家在调控企业部门杠杆率的过程中,除要考虑国内因素外,也应高度重视美国货币政策的变化。     

主权财富基金研究综述

主权财富基金已经成为金融危机之后影响世界经济、金融、政治的一个重要角色。本文对已有的主权财富基金研究成果进行了综述,主要关注四个方面:主权财富基金概况、主权财富基金投资策略、主权财富基金对世界经济的影响、我国主权财富基金存在的问题及解决之道。     

金融错配、非金融企业影子银行化与经济“脱实向虚”

当前,我国一些非金融企业通过直接或间接的方式从事影子银行业务。本文利用2004-2015年上市公司数据研究发现,金融错配程度的提高整体上会提高企业影子银行化规模,并且这种效应仅在金融深化程度较高、经济资源市场化配置程度偏低的地区显著;僵尸企业和盈利性较差的企业,分别受到“利润追逐”和“投资替代”机制的影响,金融错配对其影子银行化趋势的正向作用更为明显。机制检验发现,金融错配水平的上升通过提高融资约束程度从而降低企业实体投资水平,这种效应在资产专用性较强的企业中更为明显;金融错配主要通过融资约束程度和实体投资规模,而非资本回报率渠道作用于企业影子银行化行为。本文研究对于提高信贷资源配置效率,防范经济“脱实向虚”具有较强的政策意义。     

Perceived risk and the interplay of expert endorsement,corporate image and investment knowledge in mutual fund advertising

This study aims at examining the effects of expert endorsement, corporate image and investment knowledge on individuals’ perceived risk in mutual fund advertising. Based on the results from a content analysis of 341 print advertisements of mutual funds in Hong Kong, a 3 (advertising texts about corporate image: corporate management, financial performance, corporate responsibility)?×?2 (visual of expert endorser: presence, absence) between-subjects online experiment was subsequently conducted. The content analysis showed that visuals of experts had a significant relationship with corporate attributes in the advertisements. Results from the experimental study revealed that the participants reading the expert-endorsed advertisement about corporate management were more favorable toward the advertiser’s corporate image. The participants’ investment confidence posed a significant effect to their favorability toward the advertiser’s corporate image and subsequently their willingness to invest. When formulating communication strategies for financial products and services, practitioners should pay attention to the effect of expert endorsement in enhancing individuals’ favorability of the corporate image, as well as the effect of individuals’ investment confidence on individuals’ willingness to invest.     

金融错配、非金融企业影子银行化与经济“脱实向虚”

当前,我国一些非金融企业通过直接或间接的方式从事影子银行业务。本文利用2004-2015年上市公司数据研究发现,金融错配程度的提高整体上会提高企业影子银行化规模,并且这种效应仅在金融深化程度较高、经济资源市场化配置程度偏低的地区显著;僵尸企业和盈利性较差的企业,分别受到“利润追逐”和“投资替代”机制的影响,金融错配对其影子银行化趋势的正向作用更为明显。机制检验发现,金融错配水平的上升通过提高融资约束程度从而降低企业实体投资水平,这种效应在资产专用性较强的企业中更为明显;金融错配主要通过融资约束程度和实体投资规模,而非资本回报率渠道作用于企业影子银行化行为。本文研究对于提高信贷资源配置效率,防范经济“脱实向虚”具有较强的政策意义。     

A market-based approach to sector risk determinants and transmission in the euro area

In a panel data framework applied to Portfolio Distance-to-Default series of corporate sectors in the euro area, this paper evaluates systemic and idiosyncratic determinants of default risk and examines how distress is transferred in and between the financial and corporate sectors since the early days of the euro. This approach takes into account observed and unobserved common factors and the presence of different degrees of cross-section dependence in the form of economic proximity. This paper contributes to the financial stability literature with a contingent claims approach to a sector-based analysis with a less dominant macro focus while being compatible with existing stress-testing methodologies in the literature. A disaggregated analysis of the different corporate and financial sectors allows for a more detailed assessment of specificities in terms of risk profile, i.e. heterogeneity of business models, risk exposures and interaction with the rest of the macro environment.     

Optimal Contracting,Corporate Finance,and Valuation with Inalienable Human Capital

A risk‐averse entrepreneur with access to a profitable venture needs to raise funds from investors. She cannot indefinitely commit her human capital to the venture, which limits the firm's debt capacity, distorts investment and compensation, and constrains the entrepreneur's risk sharing. This puts dynamic liquidity and state‐contingent risk allocation at the center of corporate financial management. The firm balances mean‐variance investment efficiency and the preservation of financial slack. We show that in general the entrepreneur's net worth is overexposed to idiosyncratic risk and underexposed to systematic risk. These distortions are greater the closer the firm is to exhausting its debt capacity.     

Industry characteristics and financial risk contagion

This article proposes a new measure of tail risk spillover: the conditional coexceedance (CCX), defined as the number of joint occurrences of extreme negative returns in an industry, conditional on an extreme negative return in the financial sector. The empirical application provides evidence of significant volatility and tail risk spillovers from the financial sector to many real sectors in the U.S. economy from 2001 to 2011. These spillovers increase in crisis periods. The CCX in a given sector is positively related to its amount of debt financing and negatively related to its valuation and investment. Therefore, real economy sectors—which require relatively high debt financing and whose value and investment activity are relatively lower—are prime candidates for stock price volatility and depreciation in the wake of a financial sector crisis. Evidence also suggests that the higher the industry’s degree of competition, the stronger the tail risk spillover from the financial sector.     

政策连续性、非金融企业影子银行化与社会责任承担

基于2006-2017年非金融类A股上市公司数据,本文考察了非金融企业影子银行化对社会责任承担的影响,并进一步研究了政策连续性对非金融企业影子银行化与社会责任承担之间关系的影响。研究发现,非金融企业影子银行化会抑制社会责任承担行为,且这种效应在市场套利动机强、公司治理水平较低、外部融资能力弱的企业中更为明显。政策连续性程度提高会减弱非金融企业影子银行化与社会责任承担之间的负向关系。因此,本文提出抑制经济“脱实向虚”,增强政策稳定性和连续性,促进实体经济平稳发展的政策建议。     

融资约束差异会提高企业金融化水平吗?——来自我国A股上市非金融企业的经验证据

目前,我国越来越多实体企业偏离主业,将资金投入金融等收益率高的部门,出现经济的“脱实向虚”现象,一定程度上阻碍了实体经济的发展。本文基于2009—2018年我国非金融类A股上市公司数据,研究融资约束与企业金融化之间的关系。研究发现:融资约束与企业金融化之间存在显著的负向关系,受融资约束越小的企业,配置越多的金融资产,提高了企业金融化水平。进一步研究发现,融资约束与短期、长期金融资产之间均存在显著的负向关系,但与长期金融资产之间的负向关系更加明显。在受融资约束小和非国有企业的样本中,融资约束对企业金融化的影响程度更大。作用机制检验表明,企业业绩是融资约束影响企业金融化的中介变量。     

Bank systemic risk and corporate investment: Evidence from the US

In this paper, we develop a simple two-period model in which a bank’s investment (e.g., loans) is influenced by short-term financing and a probability of a financial crisis. When banks ex ante expect to be bailed out during financial crises, they do not necessarily internalize the cost of financial crises and invest more. We argue that the level of systemic risk in the banking sector is largely driven by (1) the way in which banks finance their investment (e.g., loans) using more short-term debt and/or (2) the increase in asset commonality amongst banks. We use three measures that arguably capture two dimensions of “bank systemic risk”, namely, (1) bank funding maturity and (2) bank asset commonality, to empirically test whether bank systemic risk has a positive effect on corporate investment. We document that in a sample of publicly listed firms in the United States over the period 1991–2013, bank systemic risk is positively associated with the firm-level investment ratio after controlling for a large set of country- and firm-level variables. In addition, we show that a firm's leverage strengthens the positive effect of bank systemic risk on corporate investment, suggesting that more financially constrained firms experience a larger effect of bank systemic risk on corporate investment than less financially constrained firms.     

The impact of corporate governance on financial performance of Indian and GCC listed firms: An empirical investigation

Corporate governance plays a vital role in creating a corporate culture of consciousness, transparency, and openness. In this context, this paper provides a brief view about the background of corporate governance mechanisms in India and Gulf Corporation Council (GCC) countries, corporate legal system and monitoring policies laid down by Indian and GCC governments. Furthermore, it analyzes the impact of corporate governance mechanisms on the financial performance of Indian and GCC listed firms. The study uses a sample that consists of 53 non-financial listed companies from India and 53 non-financial listed companies from GCC countries for the period 2009–2016. Results revealed that board accountability (BA) and audit committee (AC) have an insignificant impact on firms' performance measured by ROE and Tobin’s Q. Similarly, transparency and disclosure (TD) have an insignificant negative impact on firms' performance measured by Tobin’s Q. Moreover, the country dummy results show that Indian firms are performing better than Gulf countries ones in terms of corporate governance practices and financial performance. The current study is considered as a battery for further research and studies particularly in India & GCC listed firms in the context of corporate governance and financial performance.     

Does sovereign risk matter? New evidence from eurozone corporate bond ratings and zero-volatility spreads

In this paper, we empirically examine if sovereign risk matters for corporate bonds in developed economies. Using a unique panel data sample of 897 corporate bonds from eleven countries within the Economic and Monetary Union (EMU), we investigate sovereign and corporate ratings as well as zero-volatility spreads (z-spreads). In the time period from March 2006 to June 2012, we find sovereign risk to be a significant driver of corporate risk. The effect is stronger for companies with domestic revenue structure, for companies that are (partly) owned by the government, and companies active in the utility and transportation sector. Interestingly, the impact of sovereign risk on corporate risk during the acute European sovereign debt crisis period decreases if ratings are examined, but increases if z-spreads are utilized. Rating agencies seem to take a more differentiated view on individual company risk during the sovereign debt crisis, while institutional investors might want to reduce their exposure to a country in financial distress as a whole, regardless of whether sovereign or corporate bonds are held.     

The impact of idiosyncratic risk on corporate financialisation——Evidence from China

Using the quarterly data of non-financial companies listed on China's A-share market from 2007 to 2019, this paper examines the relationship between the idiosyncratic risk formed based on the secondary market exchanges and the corporate financialization from the perspective of a market feedback effect. The empirical results show that idiosyncratic risk has a significant impact on the allocation of financial assets of non-financial enterprises, which is one of the motivating factors for the financialization of non-financial enterprises. Compared with SOEs, large enterprises and non-manufacturing enterprises; private enterprises, small and medium-sized enterprises, and manufacturing enterprises will allocate more financial assets when idiosyncratic risk increases. Mechanism analysis shows that managers risk aversion and financing constraints increase the impact of idiosyncratic risk on financial asset allocation while strengthening the external monitoring mechanism of institutional investors has the opposite effect. The research findings of this paper help to understand whether secondary financial markets affect the financial investment decisions of real firms in transition economies, and also have implications for how to govern the “transition from real to virtual” of real enterprises in China.     

The cost of firms’ debt financing and the global financial crisis

We provide an assessment of the determinants of the risk premium paid by non-financial corporations on long-term bonds. By looking at 5500 issues over the period 2005–2012, we find that in recent years the sovereign debt market turbulence has been a major driver of corporate risk. Compared with the three-year period 2005–2007 before the global financial crisis, in the years 2010–2012 Italian, Spanish and Portuguese firms paid on average between 70 and 120 basis points of additional premium due to the negative spillovers from the sovereign debt crisis, while German firms received a discount of 40 basis points.     

On the exposure of insurance companies to sovereign risk—Portfolio investments and market forces

A sovereign debt crisis can have significant knock-on effects in the financial markets and put financial stability at risk. This paper focuses on the transmission of sovereign risk to insurance companies as some of the largest institutional investors in the sovereign bond market. We use a firm level panel dataset that covers large insurance companies, banks and non-financial firms from nine countries over the time period from 1 January 2008–1 May 2013. We find significant and robust transmission effects from sovereign risk to domestic insurers. The impact on insurers is not significantly different from that on banks but larger than for non-financial firms. We find that systemically important insurers are more closely linked to the domestic sovereign. Based on European data, we show that risks in sovereign bond portfolios are an important driver of insurer risk, which is not reflected in current insurance regulation (incl. Solvency II in Europe).     

财政转移支付如何影响了地方政府债务?

本文以地方融资平台公司发行的城投债为样本,研究来自中央政府的财政转移支付对于地方城投债发行的影响。研究发现,来自中央政府的人均财政专项转移支付每增加1元,会导致地方融资平台公司城投债发行增加人均0.312元,而包括税收返还和一般性转移支付在内的非专项转移支付对城投债的发行并无显著影响。并且,专项转移支付对城投债发行的显著正影响只在中西部省份存在,东部地区并未发现这一机制。本文的进一步研究表明,地方政府债务的借新还旧现象也正在显现,并且变得越来越严重。     

Evaluating the sovereign and household credit risk in Singapore: A contingent claims approach

This study evaluates the credit risk of the household and government (sovereign) sectors in Singapore using the contingent claims approach (CCA). The CCA model estimates the default probability of both sectors based on the market value of the assets and liabilities of the sectors. Compared to the traditional credit rating system, this model is able to provide numerical estimates of the exposures and default probabilities. We find that from the year 2000 to 2013, variations in the credit risk measures correspond to the economic growth of Singapore. In addition, we suggest that the main factor affecting the credit risks in the government and household sectors in Singapore is the volatility of the assets held by both sectors, given that the asset-to-distress barrier ratios are relatively stable over the past 14 years for both sectors.     

中国实体企业金融化:货币扩张、资本逐利还是风险规避?

本文构建了一个刻画实体企业在流动性金融资产和固定资产之间进行权衡的投资组合选择模型,并创新性地将货币扩张的宏观因素引入微观模型,推演中国实业部门金融化的驱动逻辑。理论模型显示:货币扩张、资本逐利和风险规避本质上是宏观和微观两个不同层面的要素变量,但都卷入实业部门金融化的驱动机制中,然而驱动效应的表现形式要比已有文献的理论模型更加复杂。基于上市公司面板数据总体样本的实证结果表明:货币扩张、资本逐利和风险规避均是企业金融化的关键影响因素,但货币扩张表现为直接抑制和间接促进两种效应。进一步引入宏观风险因素和根据企业所有权性质划分样本的稳健性检验则给出了更为细致的信息:货币因素可能通过宏观风险因素间接作用于企业金融化;所有权性质不同的企业的金融化驱动机制也表现出明显的异质性:国有企业金融化主要受货币因素和风险规避因素影响;民营企业金融资产占比层面的金融化驱动因素是风险规避和资本逐利,而金融渠道获利占比层面的金融化则受到货币因素的显著影响;其他类型企业的金融化主要受货币因素的显著影响。     

The role of institutional investors in propagating the 2007 financial crisis in Southern Europe

The 2007 financial crisis has affected Southern European companies (Spanish, Portuguese, Italian and Greek) more than others. From a Minskyan bubble-burst cycle perspective (Minsky, 1986), we study the relation between institutional ownership structure and corporate risk-taking for a sample of non-financial listed companies from Spain, Portugal, Italy and Greece for the period 2001–2014. Our results suggest that the financial deregulation process, that lead to the financialization of the world economy before the 2007 financial crisis and the favourable macroeconomic scenario encouraged corporate risk-taking in those countries. We also find that the lack of effective control mechanisms provided an incentive for investment funds to assume a proactive role, encouraging companies to overinvest in risky projects.