次贷危机中的中国：看到危险，更要看到机会

(续上期) 三、次贷危机对中国经济产生的影响及传导渠道 综合来看.次贷危机对中国经济的传导主要通过如下几个渠道: 第一,是直接投资损失.从日前的情况看.中国的金融机构投资的次贷证券及其相关产品的损失相对于其盈利能力和资本实力看,还可以说是可控的.与其资产规模和盈利水平相差悬殊.相关损失完全能够消化.根据彭博资讯估计.内地金融机构直接损失不会超过全球直接损失的1%.     

流动性过剩国际传导机制的截面实证研究

全球流动性过剩已成为经济学热点话题但缺乏学术性的实证研究,国内外学者对于流动性过剩国际传导机制更是少有涉及。本文选取全球6大经济体的经济变量实际产出、价格、名义利率、实际汇率、外汇储备,以及全球流动性,采用截面模型对全球流动性过剩的国际传导机制进行了实证研究。不同经济体的广义货币供应在流动性过剩国际传导过程中存在着个体特征和时期特征,货币因素仍然是流动性过剩国际传导的主要因素。     

债券利率向银行贷款利率的传导机制研究北大核心

本文阐述了债券利率向银行贷款利率传导的替代性渠道、期望收益率渠道和流动性渠道,并结合银行内部资金转移定价模式,构建了三条渠道的理论模型。通过实证分析发现,中国国债利率对贷款利率不存在显著影响及长期均衡关系,美国则均存在,两国的信用债利差均不在利率传导中发挥作用。中国债券利率向贷款利率传导效率较低,除了受到贷款基准利率的影响,还受到三条传导渠道不畅通的影响。一是信用债发行门槛高、发行效率低,导致替代性渠道不畅;二是银行业竞争不充分、信用评级和贷款担保制度不健全,导致期望收益率渠道和流动性渠道不畅;三是银行债券投资以中长期且持有到期为主,导致流动性渠道不畅。     

美国货币政策对中国经济传导的渠道、影响及对策

本文剖析了美国货币政策对中国宏观经济产生溢出效应的传导机制及国际贸易、资本流动、汇率、利率和流动性传导渠道；分析了其对中国经济金融状况的影响，贸易顺差快速增长、人民币兑美元汇率升值压力加大、投机趋利性资金流入增加、外汇储备和基础货币投放上升、通货膨胀压力增大，并提出相应政策建议。     

资金管理立足商业需求

流动性管理和信用风险控制，既对应了康明斯中国资金管理在2012年的主要收获，也是2013年资金管理的工作重心。 刚刚在2011年攀上业绩巅峰的康明斯中国，在2012年随着经济走势的整体趋缓也不可避免地出现了业绩下滑，市场冷暖直接传导到这家全球最大的独立发动机制造商身上。     

货币政策对流动性风险的影响——基于银行信贷行为视角

本文基于我国现实背景和《巴塞尔协议Ⅲ》,利用2008年至2017年间194家商业银行的相关数据,对我国银行净稳定资金率进行了度量,并在此基础上,检验了货币政策对我国商业银行流动性风险的影响,探究了其影响机理和传导渠道。研究表明:扩张型货币政策会提高商业银行的流动性风险;不同经济环境下,货币政策对流动性风险的影响存在差异但不具备异质性;不同类型的商业银行中,货币政策对流动性风险的影响不具有异质性;在货币政策对流动性风险的影响中,银行信贷行为是重要的传导渠道。因此,央行可基于货币政策对流动性风险的影响差异进行相机抉择;商业银行则要加强信贷规模和质量的管理,优化资产结构,通过弱化信贷渠道作用来降低货币政策对银行流动性风险的不良影响。     

美国货币政策对中国经济的影响分析北大核心SSCI

本文简要介绍了2000年以来美国以宽松为主的货币政策,剖析了美国货币政策对中国宏观经济产生溢出效应的传导机制及国际贸易、资本流动、汇率、利率和流动性的传导渠道;分析了其对中国经济金融状况的影响,贸易顺差快速增长、人民币兑美元汇率升值压力加大、投机趋利性资金流入增加、外汇储备和基础货币投放上升、通货膨胀压力增大,并提出相应政策建议。     

对当前银行流动性现状的分析与思考——论流动性过剩的治理

在中国流动性过剩，已经被所有研究经济的人士和市场人士讨论由来已久．本文所说的流动性过剩都集中在银行体系．长期而言，银行流动性过剩成为主导债券市场运行的关键因素。这样的流动性过剩问题导致了房地产热和当前的股市狂潮。具体原因是：（1）经济结构性失衡是流动性过剩的根源；（2）货币流通速度的下降；（3）贸易顺差和货币供给过多导致了国内的流动性过剩：（4）全球流动性过剩的转移，国际直接投资和国际“热钱”的流入；（5）金融创新不足导致银行流动性过剩；（6）外部诚信环境不佳和银行改革提速加剧了流动性过剩……     

疫情冲击、信用违约和流动性风险防范

新冠肺炎疫情暴发对我国社会经济活动造成了巨大冲击,为稳定社会经济发展,央行及时采取措施,通过降准、公开市场操作等渠道向市场释放了大量的流动性。本文从流动性循环的角度分析疫情冲击对实体经济的影响,认为经济停滞产生的流动性短缺、信用违约上升传导至金融市场可能引发流动性风险,金融市场与实体经济部门之间流动性传导不畅将放大和加速风险传播。因此在后疫情时期,仍需财政政策与货币政策双管齐下,引导资金下沉,及时调节实体经济流动性,提高市场经济主体“自愈”能力,促进经济回暖,并完善金融应急治理体系建设,提高应对突发性公共事件的金融治理能力。     

新形势下我国通货膨胀的形成机理

外部因素来看，本轮通胀是在全球经济扩张和流动性过剩背景下，外部通胀压力传导的结果，是国际能源、原材料、农产品等初级产品价格持续上涨加剧国内输入通胀压力的反映；从内部来看，本轮通胀是国内资源价格和劳动力价格低估压力的释放；从更深层次分析，它是国内经济一系列结构性失衡等深层次矛盾的反映。     

Liquidity shocks and intraday price reaction

Using a global sample of high-frequency data, I investigate how liquidity shocks affect intraday price movements. I find a negative association between liquidity shocks and price impact. This finding remains robust after considering the exogeneity of liquidity shocks, using alternative windows to measure liquidity shocks, and controlling for volume shocks and volatility shocks. Additional tests show that the documented relation stems from idiosyncratic shocks and sell-order shocks. Moreover, I find that liquidity shocks are likely driven by uninformed traders. My evidence suggests that the market requires 30 min to accomplish price adjustments when meeting liquidity shocks.     

Banking Globalization and Monetary Transmission

Globalization of banking raises questions about banks’ liquidity management, their response to liquidity shocks, and the potential for international shock propagation. We conjecture that global banks manage liquidity on a global scale, actively using cross‐border internal funding in response to local shocks. Having global operations insulates banks from changes in monetary policy, while banks without global operations are more affected by monetary policy than previously found. We provide direct evidence that internal capital markets are active in global banks and contribute to the international propagation of shocks. This feature was at play during the financial crisis of 2007–2009.     

Investigating risk contagion initiated by endogenous liquidity shocks: evidence from the US and eurozone interbank markets

This paper investigates liquidity spillovers between the US and European interbank markets during turbulent and tranquil periods. We show that an endogenous model with time-varying transition probabilities is effective in describing the propagation of liquidity shocks within the interbank market, while predicting liquidity crashes characterised by changed dynamics. We show that liquidity shocks, originating from movements of the spread between the Asset Backed Commercial Paper and T-bill, drive regime changes in the euro fixed-float OIS swap rate. Our results support the idea of endogenous contagion from the US money market to the eurozone money market during the global financial crisis.     

Bank-to-bank lending channel and the transmission of bank liquidity shocks: Evidence from France

Good liquidity is essential for the banking system to function properly and supply credit to the real sector. However, several banks all over the world face large shocks to their liquidity supply due to numerous factors. This study contributes to the literature on the transmission of liquidity shocks by investigating the bank-to-bank lending behavior of French banks during the global financial crisis (2008 and 2009). In addition, we examine the factors strongly influencing the liquidity of the interbank deposits market. First, using a fixed-effects model on a sample of 85 French banks for the period from 2005 to 2010, we find that the deposits channel plays an important role in the transmission of liquidity shocks across the banking system. Second, we use difference-in-difference methodology to study the effects of liquidity shock on bank lending. Our results show that French banks reduced their bank-to-bank lending significantly during the financial crisis period. Moreover, our results suggest that the reduction could have been due to deposit activities.     

Liquidity risk and stock performance during the financial crisis

We investigate whether and how ex-ante liquidity risk affects realized stock returns during the global financial crisis of 2008–2009 in international equity markets. We find that stocks with higher pre-crisis return exposure to global market liquidity shocks experience larger price reductions during the crisis period. Our findings provide further insight into the comprehensive picture of the effect of liquidity risk on asset prices, especially in an international context and under different market conditions.     

Global Liquidity and Financial Stress: Evidence from Major Emerging Economies

We examine the relationship between financial stress and global liquidity for the so-called fragile five emerging economies (Brazil, India, Indonesia, South Africa, and Turkey). By using an extensive set of variables that take into account the structural characteristics of these economies, we construct a financial stress index. We then use a Markov regime switching model to identify the high financial stress episodes. We examine periods of heightened financial stress and its relationship to high incidence of domestic and global disturbances. Finally, we construct a global financial liquidity index and assess the relationship between financial stress and global liquidity. Using a bivariate Markov regime switching VAR model, we find a regime-dependent relation between global liquidity and financial stress. Moreover, global liquidity shocks seem to strain these emerging economies in such a way that global illiquidity heightens financial stress.     

On the intensity of liquidity spillovers in the Eurozone

This paper seeks to elucidate dimensions and directions of the liquidity spillover phenomenon in the Eurozone equity markets during the global financial crisis of 2007–2008. The research examines questions relevant to the shift-contagion in the Eurozone countries during the time of crisis, as well as the role of a liquidity channel of transmission relaying external shocks among those countries. The findings document the existence of non-linearities in the transmission mechanisms across selected markets; we use a structural model introduced by Favero and Giavazzi (2002) while controlling for interdependence. The result is in line with the crisis-contingent theories that suggest transmission of shocks through an endogenous liquidity channel. Furthermore, we notice a pattern of liquidity spillover from small markets to the German, French, Italian and UK markets even after controlling for monetary policy shocks, and we confirm the persistence of liquidity co-movements, supporting the argument that financial contagion in the Eurozone market was transmitted and intensified via the liquidity channel.     

美联储政策变化、国际资本流动与宏观经济波动

本文构建包含国际投资者、外资企业和银行流动性冲击的DSGE模型来探究美联储货币政策变动和政策不确定性对我国宏观经济的影响和作用机制。研究发现:(1) 美联储加息会导致我国产出、投资和通货膨胀的下降、汇率贬值、国际资本外流和银行系统流动性紧张。随着金融摩擦程度的增加和银行杠杆率的上升,美联储加息对我国产出、投资和资产价格的负面影响会进一步增强。(2) 美联储货币政策不确定性的增加会直接导致外资企业的投资、劳动需求和产出的下降,并对我国总产出、总投资和资产价格产生明显的负向外溢效应,进一步加剧我国宏观经济的波动。(3)为应对美联储的利率变动,适当限制国际资本流动能有效稳定我国经济波动和改善社会福利,而实施固定汇率和央行盯住美国利率的政策会加大宏观经济的波动,并导致社会福利下降。     

Liquidity effects on price and return co-movements in commodity futures markets

Commodity price comovement is an important research area in finance, and previous studies have investigated the determinants of price comovement using low-frequency (monthly or quarterly) macroeconomic data. In comparison, our paper attempts to scrutinize the liquidity effect on commodity prices and return movements based on daily data. Our findings contribute to the literature in three ways. First, we find significant positively correlated price movements across different commodity markets on a daily basis, and such comovement is driven by the cross-sectional liquidity spillover effect. Second, we observe that a cointegration relationship between individual commodity prices and the global price index can be established only if the liquidity effect is controlled. Finally, instantaneous daily liquidity shocks (i.e., innovation) exert a negative impact on daily commodity returns. However, liquidity shocks do not have a significant impact on monthly returns. Our findings are robust and have significant implications for macroeconomic policymaking, such as managing inflation risk.     

Does global liquidity drive commodity prices?

This paper tackles the question of whether a cross-sectional perspective on monetary policy is capable of explaining movements in global commodity prices. In this vein, we contribute to the rich literature on global liquidity in two different ways: on the one hand, to achieve a global series in terms of common monetary policy shocks, we propose a distinction between common and idiosyncratic factors across economies, as proposed by Bai and Ng (2004). Our second innovation stems from the consideration of a Markov-switching vector error correction model when analyzing time-varying short-run dynamics. Having identified the long-run structure which includes a proportional relationship between commodity prices and global liquidity in the first step, our results indeed show that the impact of a global liquidity measure on different commodity prices is significant and varies over time. One regime approximately accounts for times where commodity prices significantly adjust to disequilibria, while the second regime is characterized by either a weak or no commodity price adjustment. The fact that global liquidity also reacts to disequilibria in a specific regime demonstrates the two-way causality between monetary policy and commodity prices.