Federal Home Loan Bank Advances and Commercial Bank Portfolio Composition

Federal Home Loan Bank (FHLB) advances are a source of government‐sponsored liquidity intended to encourage housing finance, although “community financial institutions” may use such funds more generally. Because money is fungible, it is an empirical question as to how advances are actually employed. Using panel‐vector autoregression techniques, we estimate dynamic responses of U.S. commercial bank portfolios to: FHLB advance shocks, bank lending shocks, and macroeconomic shocks. We find that FHLB advances: (i) are used as a general source of liquidity by U.S. commercial banks of all sizes and (ii) dampen the sensitivity of mortgage lending to macroeconomic shocks at small banks.     

The Federal Home Loan Bank system: Cause or cure for disintermediation?

The Federal Home Loan Bank (FHLB) system issues bonds in order to obtain funds for savings and loan associations during periods of disintermediation. A question has arisen as to whether the FHLB actually causes additional disintermediation by its bond issues. Although this concern has been examined before statistically, with a connection found between FHLB borrowing and disintermediation, no explicit attention has been devoted to the possibility that such a statistical relationship may reflect a causality relationship in which disintermediation is the cause and FHLB borrowing the effect rather than the reverse. This study utilizes a simultaneous equation model and estimator to examine such two-way causality and finds it exists but that substantial disintermediation is caused by FHLB borrowing even after correcting for simultaneous equation bias.     

银行个体特征、外部融资成本和贷款行为的差异性——来自中国银行业微观数据的经验证据

本文运用了2007至2009年13家上市银行季度数据,考察了紧缩性政策下银行个体特征决定贷款行为差异性的机制。本文首先从我国当前银行体系制度约束的典型事实出发提出理论假说,然后建立引入银行个体特征的贷款决定模型,并进一步扩展为动态面板模型以对理论假说展开检验。研究表明,在以资产主导型的盈利模式,较为宽松的资本金补充机制和完善的银行间同业市场制度的约束下,银行的资产规模越小,资本充足率和流动性比率越高,可能会面临较高的外部融资成本,并且贷款下降幅度较大。反之,银行的资产规模越大,资本充足率和流动性比率越低,就会面临较低的外部融资成本,而贷款下降幅度较小。     

产业政策与信贷资金配置效率

基于上市公司逐笔银行贷款合约数据,本文考察了产业政策对信贷资金配置效率的影响。研究发现,当上市公司处于国家产业政策支持的行业时,公司所拥有的政企关系对银行贷款合约制定的积极作用会更大,全要素生产率对银行贷款合约制定的积极作用会更小,基于分省产业政策以及上市公司全部贷款数据的分析进一步确认了上述结论。从影响因素来看,当上市公司为国有企业、所在省份固定资产投资增速越高、法治环境越差时,产业政策的影响会越明显。本文的证据表明,通过加强法治建设、为不同所有制企业提供公平的竞争环境、改善产业政策的制定与实施,能够提升产业政策指导下的信贷资金配置效率。     

宏观审慎政策如何影响企业金融化?

本文分析了宏观审慎政策对企业金融化的影响及其传导机制,研究发现,宏观审慎政策通过限制银行信贷影响企业从事投资活动的资金来源,进而抑制企业的金融投资。这一过程可以概括为"宏观审慎政策-银行信贷-企业金融化"。本文以2000-2016年沪深两市A股非金融行业上市公司的年度财务数据为样本,进行实证分析,结果表明,宏观审慎政策能够显著降低非金融企业的金融投资增长率,有利于抑制企业金融化趋势,回归主营业务,避免经济脱实向虚。考察不同的宏观审慎工具,本文发现,相比于准备金要求,贷款价值比工具对降低企业金融投资增长率的作用更显著。本文通过中介效应检验,验证了银行信贷是宏观审慎政策影响企业金融化的部分中介变量,其中介效应在总效应中占比约为20%。     

基于DSGE模型的绿色信贷激励政策研究

在绿色金融政策实践与有关学术理论快速发展的背景下,本文以绿色信贷的激励政策为切入点,提供一种分析绿色金融政策的理论模型分析框架,并基于模型开展量化的政策效果分析。本文在真实商业周期框架的基础上引入银行部门,通过拆分厂商部门为“绿色”与“其它”两部分,并设置中央银行与财政部门的相关政策,纳入了绿色信贷激励政策。研究发现,针对绿色信贷的贴息、定向降准、再贷款(调整再贷款利率与质押率)均是有效且合意的激励政策,一定强度的政策不仅能够提高绿色信贷量,在绿色意义上优化经济结构,而且对总产出、总就业不会造成显著的负面影响,从而带来“经济”与“环境”双赢的结果。     

Integration in the mortgage market

The deregulatory trend and advances in technology during the 1980s removed many restrictions on the ability of U.S. depository financial institutions to obtain and redistribute funds across diverse geographical markets. This pervasive deregulation and innovation should have increased the degree of integration between different geographical financial markets. Yet there is little empirical evidence available on the validity of this expectation. It is important to provide such evidence since much of the U.S. depository institution regulatory policy is predicated on the assumption of highly localized, segmented financial markets. Considering alternative breakpoints at 1980 (DIDMCA) and at 1982 (Garn-St Germain), the current study tests the hypothesis that the degree of geographical financial integration after this period exceeded that prior to this period. Mortgage markets are focused on due to their historical importance in the regulation of funds flows. The study finds a significant increase in the mean contemporaneous correlation among FHLB districts' mortagage rate residuals in a vector-autoregressive system between two test periods. Further analysis shows that the distance between FHLB districts' headquarters and their respective pairwise interdistrict correlation coefficients are negatively related in the prior period but not significantly related in the later period. Economic booms and busts alternated among the districts over the two sample periods in a manner consistent with the reallocation of capital among more integrated financial markets. Individual districts' mortgage rates have been more sensitive to variations in national credit market conditions since deregulation was legally recognized by DIDMCA in 1980. Thus, the collective empirical evidence found in this study indicates that mortgage markets have responded to deregulation and marked technological advances by moving toward a national, highly integrated market. Regulators' preoccupation with highly localized, segmented markets must consequently be reexamined.     

The Federal Home Loan Bank System: The Lender of Next‐to‐Last Resort?

The Federal Home Loan Bank (FHLB) System is a large cooperatively owned government‐sponsored liquidity facility that lends predominately to U.S. depository institutions. This paper documents the significant role played by the FHLB System at the outset of the recent financial crisis and provides evidence on the uses of FHLB funding by member banks and thrifts during that time. We then compare lending activity by the FHLB System and the Federal Reserve during 2007 and 2008, discuss the types of institutions seeking government‐sponsored liquidity at various times, and identify the trade‐offs faced by borrowers eligible to tap liquidity from both facilities.     

通胀目标调整、政策可信度与宏观调控效应北大核心

本文通过构建包含范式转变特征的DSGE模型,对通胀目标调整过程中的结构性变化以及政策可信度如何影响这一结构转变进行研究,并在此基础上分析通胀目标调整过程中政策可信度对宏观经济波动的调控效应。本文分析得到:在政策当局做出政策目标调整后,如果市场预期这一政策可信,那么主要经济变量将会在政策调整期内达到目标均衡水平;反之,如果市场预期这一政策不可信,那么市场预期和政策目标之间的分歧将使得主要经济变量偏离目标均衡水平,导致政策调整无法实现其既定目标。同时,政策可信度不仅有助于实现既定的政策目标,还能降低政策实施过程中的经济波动,具有较好的宏观调控效应,从而降低政策实施成本。特别是,政策可信度对宏观经济波动的这一稳定效应在中长期内更为明显。本文分析为理解经济结构性转变过程中的政策信用和预期管理等问题提供了一些新的思路和方法。     

Figuring Out the Fed—Beliefs about Policymakers and Gains from Transparency

In this paper, I use a Markov chain Monte Carlo algorithm to estimate a model of private‐sector behavior that does not feature private‐sector knowledge of the monetary policymaking process and, instead, leaves firms and households uncertain about how monetary policy is set. The private sector entertains two competing views of monetary policymaking, which I estimate. Firms and households use Bayes' law on a rolling data sample to distinguish between those two models. I use this setup to study the evolution of beliefs about the Federal Reserve and the possible gains from transparency.     

商业银行信用风险控制在助学贷款中的运用

实行助学贷款是发展教育的一项重要政策，但在实施的过程中却出现了“银行有钱贷不出”和“学生没钱贷不到”的尴尬局面，这引起了人们对这项政策的再思考。通过对产生这种现象的内在原因的分析和对银行和学生二者之间预期效用的比较分析，以及对银行和学生行为选择的分析，认为缺乏有效的抵押担保机制和良好的社会信用体系是导致这种现象的重要原因，最后从制度约束和道德约束两方面思考，减少信息不对称现象，增加学生不还贷成本，降低银行风险，不断完善助学贷款制度。     

Adaptive learning, forecast-based instrument rules and monetary policy

This paper argues that recently popular forecast-based instrument rules for monetary policy may fail to stabilize economic fluctuations. In a New Keynesian model of output gap and inflation determination in which private agents face multi-period decision problems, but have non-rational expectations and learn over time, if the monetary authority adopts a forecast-based instrument rule and responds to observed private forecasts then this class of policies frequently induce divergent learning dynamics. A central bank that correctly understands private behavior can mitigate such instability by responding to the determinants of private forecasts. This suggests gathering information on the determinants of expectations to be useful.     

Financial asset demand is elastic: Evidence from new issues of Federal Home Loan Bank debt

We estimate the slope of the demand curve for newly auctioned FHLB discount notes and investigate the impacts of arbitrage risk and heterogeneity of investor beliefs on demand elasticity. Our unique dataset of roughly 2900 observations of two price-quantity pairs—the first from a pre-auction dealer survey, the second from actual auction results—provides the quantity shift necessary to identify demand. In contrast to previous findings of downward-sloping demand curves for equities, we show that demand for newly issued FHLB notes is nearly perfectly elastic during normal market conditions. We find, however, that frictions like arbitrage risk and, to a lesser extent, heterogeneity of investor beliefs negatively affect elasticity and explain the nearly 50% drop in elasticity observed during the recent financial crisis.     

An investigation of the gains from commitment in monetary policy

We propose a simple framework for analyzing a continuum of monetary policy rules characterized by differing degrees of credibility, in which commitment and discretion become special cases of what we call quasi-commitment. The monetary policy authority is assumed to formulate optimal commitment plans, to be tempted to renege on them, and to succumb to this temptation with a constant exogenous probability known to the private sector. By interpreting this probability as a continuous measure of the (lack of) credibility of the monetary policy authority, we investigate the welfare effect of a marginal increase in credibility. Our main finding is that, in a simple model of the monetary transmission mechanism, most of the gains from commitment accrue at relatively low levels of credibility.     

证券发行制度的经济分析及评价

我国证券市场的发行制度改革是一个不断深化的过程，政府管制是发行制度的一个核心问题。本文首次建立了一个基于塔洛克寻租模型的分析框架，分析证券市场的管制如何造成福利损失，提出了证券投资者剩余的概念，在价格管制条件下分析了证券投资者剩余在发行人和投资者之间的分配，证券市场只要存在数量控制，消除价格管制和福利分配公平之间不可能同时成为政策目标；并进一步分析了证券市场低价扩容在改进社会福利水平中的意义，从而为股权分置改革完成后证券发行制度的渐进改革思路建立理论基础。     

Cost Uncertainty and Taxpayer Compliance

The existence of a private cost borne by audited taxpayers affects the tax enforcement policy. This is so because tax auditors will face now two sources of uncertainty, namely, the typical one associated with taxpayers’ income and that associated with the taxpayers’ idiosyncratic attitude towards tax compliance. Moreover, the inspection policy can be exposed to some randomness from the taxpayers’ viewpoint due to the uncertainty about the audit cost borne by the tax authority. In this paper we provide an unified framework to analyze the effects of all these sources of uncertainty in a model of tax compliance with strategic interaction between auditors and taxpayers. We show that more variance in the distribution of the taxpayers’ private cost of evading raises both tax compliance and the ex-ante welfare of taxpayers. The effects of the uncertainty about the audit cost faced by the tax authority are generally ambiguous. We also discuss the implications of our model for the regressive (or progressive) bias of the effective tax system.     

中央银行再贷款政策及转型研究

再贷款是指中央银行对金融机构发放的贷款,是中央银行体制形成以来的重要的货币政策手段,也是中央银行作为最后贷款人的政策工具。基于对央行再贷款政策三次转型历程的分析,针对当前再贷款存在的问题,我国再贷款政策需要进行第四次转型。转型目标是再贷款作为“最后贷款人”的调控手段,并建立存款保险制度作为转型的制度保障。     

Futures prices as risk-adjusted forecasts of monetary policy

Many researchers have used federal funds futures rates as measures of financial markets’ expectations of future monetary policy. However, to the extent that federal funds futures reflect risk premia, these measures require some adjustment. In this paper, we document that excess returns on federal funds futures have been positive on average and strongly countercyclical. In particular, excess returns are surprisingly well predicted by macroeconomic indicators such as employment growth and financial business-cycle indicators such as Treasury yield spreads and corporate bond spreads. Excess returns on eurodollar futures display similar patterns. We document that simply ignoring these risk premia significantly biases forecasts of the future path of monetary policy. We also show that risk premia matter for some futures-based measures of monetary policy shocks used in the literature.     

稳健货币政策下中小企业贷款问题研究——以辽宁省辽阳市为例

稳健的货币政策下,金融机构的信贷投放数量必将受到影响。在这种背景下,如何让有限的资金更有效的流向中小企业,解决中小企业融资难的困境,就成为了一个重要的问题。文章以辽阳市为研究范围,调查研究了金融机构在为中小企业提供信贷支持方面所取得的成效及问题,并针对问题提出了相关的对策建议,以期更好的发挥金融机构对中小企业的信贷支持作用。