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1.
从资产组合理论角度来看,国际资本的流动是投资者收益和风险权衡的产物。自2008年国际金融危机以来,随着国际市场上各类风险腾挪跌宕、起伏变化,全球投资者(机构或个人)资产投资配置策略的变动对国际资本流动产生着越来越大的影响。从全球资产配置的角度而言,由于中国与新兴市场的资产同样被视为风险资产,因而,一旦出现国际金融市场的剧烈动荡,就会有国际资本流出中国市场;而市场风险相对缓和时,又会引导国际资本重新流入中国市场。  相似文献   

2.
国际资本流动突然中断是新兴市场国家在全球资本波动大环境下面临的严峻考验,而中国作为世界最大的新兴市场经济体,也难免受到国际资本市场波动的冲击。本文通过对中国资本与金融账户的数据分析,结合Calvo(1998)对突然中断的判定标准,界定中国近年来面临的国际资本流动突然中断的威胁,并从国内国际两个角度分析可能导致中国国际资本流动突然中断的影响因素,引起对相关指标的重视,由此提出我国应对突然中断的政策建议。  相似文献   

3.
国际资本流动突然停止是新兴市场国家金融全球化和金融开放早期面临的重要障碍。本文运用20个新兴市场国家1976~2006年间的面板数据,考察突然停止和银行危机对宏观经济产出的影响。研究发现:突然停止或银行危机都不必然导致产出的大幅下降;如果银行部门不发生系统性的危机,突然停止对产出没有显著影响;给定国际资本流动不出现大幅的逆转,银行危机对产出的影响也不显著;突然停止和银行危机的叠加则对产出造成严重的负面冲击,经济增长率显著下滑。研究结论有重要的政策含义,表明构建一个稳固的银行体系对于一国金融开放和金融自由化过程中的经济安全至关重要。  相似文献   

4.
《新兴市场稳定资本流动和公平债务重组的原则》(以下简称《原则》)是由一些新兴市场国家和以国际金融协会为首的国际私人债权人组织在2004年11月联合发布的。这一《原则》旨在促使发生债务危机的国家尽早恢复债务支付能力和确保国际资本向这些国家的稳定流动,其中主要涉及到透明度和信息流动、双方对话与合作、善意行动和债权人间公平待遇等基本原则。这些原则对于完善债务危机解决机制具有重要意义。  相似文献   

5.
黄葳 《时代金融》2012,(32):13+18
在金融危机期间,国际资本流动出现萎缩现象。本文主要分析国际资本流动萎缩的现象和背后的原因。国际资本流动在国家地区之间变化不尽相同,新兴市场国家经历的国际资本流动变化时间比较短。本文分析认为,各国特殊的经济性质,各国的宏观经济条件、国内经济对国际资本的依赖度、国际银行的风险控制等对各国国际资本流动有显著影响。  相似文献   

6.
伴随着金融全球化的迅猛发展,国际资本流动规模急剧膨胀,与此同时,由于国际资本大进大出,流向突然逆转引起的货币危机、金融危机此起彼伏。尤其是1997-1998年的亚洲金融危机,有别于以往通常由经常项目收支失衡引起的危机,甚至被人冠之以“资本帐户的危机”(Radelet and Sachs,1998)。危机的灾难性后果令国际社会以流动自由化进行反思,对资本跨境流动实行必要监管日益得到了广泛认同和高度重视(徐明祺,2001)。在传统金融理论中,资本项目监管往往属于国家监管的范畴。然而,在金融全球化的大背景下,由于涉及资金的跨境流动和境内外的交易主体,要对资本流动实施有效监管,显然离不开区域和国际间的金融监管协调与合作。本文首先探讨对跨境资本流动监管进行区域和国际协调的必要性;其次,探讨目前协调中存在的主要问题;最后,提出发展中国家在国家利益最大化的前提下进行跨境资本流动监管协调与合作的对策。  相似文献   

7.
本文运用1996—2015年20个新兴市场国家总资本流动的季度数据,建立面板数据Probit模型分析新兴市场国家国际资本流动突然中断的影响因素,发现:资本流入激增对突然中断有直接影响,前期资本流入的过度增加会增加后期突然中断发生的概率;国内经济增长率与突然中断负相关;汇率贬值程度以及传染效应与突然中断发生的概率正相关。这些结论带来的启示是:包括中国在内的新兴市场国家应全面把握国内外整体经济形势,警惕资本流动突然中断,并尽量削弱其对国内经济的打击。  相似文献   

8.
有关国际资本流动和一国资本帐户开放的理论研究都表明,在理想的状况下容许国际资本自由流动将给所有的国家带来福利的增加。所以目前大部分的经济学家和政策制定们都相信所有的国家最终都应当向资本流动自由化的方向发展。但是,在过去的十几年里,银行问题和银行危机又开始大量出现,而新兴市场国家的银行问题似乎更为严重。这就意味着新兴市场国家是带头银行体系的脆弱性问题来迎接资本自由流动这一挑战的。那么,一个国家在银行体系未能足够完善时就开放其资本帐户,任由国际资本(特别是流动性非常强的短期资本)自由流动,究竟会产生什么样的后果呢?  相似文献   

9.
证券资本国际流动形式与货币政策有效性分析   总被引:3,自引:0,他引:3  
本文结合了国际资本流动新特征在金融资产中引入股票资产对Kouri和Porter(1974)抵消系数模型进行扩展,并对美国等10国国际资本流动与货币政策有效性作了经验分析。结论显示国际资本流动与货币政策有效性关系取决于股票资本和债券资本流动对国内货币政策变动的综合结果。  相似文献   

10.
有关国际资本流动和一国资本帐户开放的理论研究都表明,在理想的状况下容许国际资本自由流动将给所有的国家带来福利的增加,所以目前大部分的经济学家和政策制定者们都相信所有的国家最终都应当向资本流动自由化的方向发展,但是,在过去的十几年里,银行问题的银行危机又开始大量出现,而新兴市场国家的银行问题似乎更为严重。这就意味着新兴市场国家是带着体系的脆弱性问题来迎接资本自由流动这一挑战的,那么,一个国家的银行体系未能足够完善时就开放其资本帐户,任由国际资本(特别是流动性非常强的短期资本)自由流动,究竟会产生什么样的后果呢?  相似文献   

11.
Systemic crises can have grave consequences for investors in international equity markets, because they cause the risk-return trade-off to deteriorate severely for a longer period. We propose a novel approach to include the possibility of systemic crises in asset allocation decisions. By combining regime switching models with Merton [Merton, R.C., 1969. Lifetime portfolio selection under uncertainty: The continuous time case. Review of Economics and Statistics 51, 247–257]-style portfolio construction, our approach captures persistence of crises much better than existing models. Our analysis shows that incorporating systemic crises greatly affects asset allocation decisions, while the costs of ignoring them is substantial. For an expected utility maximizing US investor, who can invest globally these costs range from 1.13% per year of his initial wealth when he has no prior information on the likelihood of a crisis, to over 3% per month if a crisis occurs with almost certainty. If a crisis is taken into account, the investor allocates less to risky assets, and particularly less to the crisis prone emerging markets.  相似文献   

12.
We test the impact of investor sentiment on a panel of international stock markets. Specifically, we examine the influence of investor sentiment on the probability of stock market crises. We find that investor sentiment increases the probability of occurrence of stock market crises within a one‐year horizon. The impact of investor sentiment on stock markets is more pronounced in countries that are culturally more prone to herd‐like behavior, overreaction and low institutional involvement.  相似文献   

13.
Emerging market financial crises are abrupt and dramatic usually occurring after a precrisis bonanza. This paper develops an equilibrium asset pricing model with informational frictions in which crisis itself is a  consequence  of the investor optimism in the period preceding the crisis. If preceded by a sequence of positive signals, a small, negative noise shock can trigger a downward adjustment in investors' beliefs, asset prices, and consumption. The magnitude of this downward adjustment  increases  with the level of optimism attained prior to the negative signal. Moreover, with informational frictions, asset prices display persistent effects in response to transitory shocks.  相似文献   

14.
Fighting global financial crises is a primary charge of the IMF. Yet it has often been criticized to have hindered rather than helped the recovery of many countries in a crisis by demanding policy changes that may not be appropriate for them in that particular moment. Such actions would tend to damage investor confidence. Using monthly data on investment in 94 developing countries by 168 institutional investors during 1996–2005, this paper re-assesses this important question. We find that the IMF has typically restored rather than reduced investor confidence.  相似文献   

15.
本文基于跨境金融关联视角对宏观审慎政策能否抑制国际性银行危机传染这一重要的理论与实践问题进行了实证研究。选取亚洲金融危机和全球金融危机时期遭受冲击的10个代表性国家作为样本,构建Logit模型和多元回归模型探讨本国及具有金融关联的国家协调实施宏观审慎政策对本国系统性银行危机传染的影响。研究表明,具有金融关联的国家出现金融危机会显著增加本国系统性银行危机的发生概率,具有金融关联的国家实施宏观审慎政策对本国信贷的影响比对房价的影响更明显,本国及具有金融关联的国家协调实施宏观审慎政策会显著降低本国系统性银行危机的发生概率。在调整银行危机指标及考虑贸易关联和流动性风险的影响后,研究结果依然保持稳健。本文的研究结论揭示了加强宏观审慎政策协调有助于维护全球金融稳定,对于中国政策当局强化宏观审慎管理具有极其重要的政策含义。  相似文献   

16.
Bank capital is the cornerstone of bank regulation and is considered a key determinant of a bank's ability to withstand economic shocks. In the area of bank capital regulation, the general view is that more bank capital is better, irrespective of who provides it. In this paper, we investigate whether the investment horizon of bank capital providers matters for bank performance during the recent financial crisis. We observe that banks with more short-term investor ownership have worse stock returns during the crisis. Further exploration suggests that this is partially because banks with higher short-term investor ownership took more risk prior to the crisis but mainly because they experienced higher selling pressure during the crisis. Our results confirm the economic benefit of bank capital in helping banks to perform better during crises. However, when we decompose bank capital by the nature of its providers, we show that more capital is associated with worse performance when it is provided by short-term institutional investors.  相似文献   

17.
This paper analyzes the effect of banking crises on market discipline in an international sample of banks. We also evaluate how bank regulation, supervision, institutions, and crisis intervention policies shape the effect of banking crises on market discipline. We control for unobservable bank, country, and time specific effects using a panel data set of banks from 66 countries around 79 banking crises. The results suggest that on average market discipline weakens after a banking crisis. This weakening is higher in countries where bank regulation, supervision, and institutions promoted market discipline before the banking crisis, and where a more accommodative approach is adopted to resolve it.  相似文献   

18.
This paper examines two open questions in international finance. First, what is the relative importance of different linkages in causing global financial crises? The second question concerns whether or not investor behaviour affects contagion. I use a two-market agent-based model that incorporates insights from behavioural finance to answer these open questions. Simulated managers only affect contagion when they control a small proportion of the total assets in each market. This evidence may partly explain the Russian contagion to Brazil where direct linkages did not exist. In addition, results show that global managers must make up between 40 and 50% of both local markets in order to become a more important linkage than that of international trade.  相似文献   

19.
随着金融危机的不断深化,国际金融形势的变化越来越引人注目,金融危机背景下的中国经济也面临着巨大考验。本文从虚拟经济与实体经济的关系、国际短期资本流动、国际间政策协调三个方面对美国历史上两次世界性金融危机的情况进行比较分析,得出相应结论及对我国的启示。  相似文献   

20.
经济开放进程中金融危机冲击比较研究   总被引:2,自引:0,他引:2  
亚洲金融危机和美国次贷危机对中国经济产生了明显的影响,但在经济开放进程中这两次危机冲击特点和结果均有所不同。本文对开放进程中金融危机向国内传导的渠道进行分析,利用指标对比分析法、干扰模型、脉冲响应以及方差分解技术分析比较了两次金融危机对我国冲击的不同影响机制。研究结论表明,在经济开放进程中,美国次贷危机对国内经济的冲击要远超于亚洲金融危机;在资本项目没有完全开放条件下,国际贸易渠道越来越成为国际金融危机冲击向国内传导的重要渠道;尽管经济开放增加了金融风险,但良好的制度设计和金融风险管理手段的加强,使金融危机通过金融渠道传导而产生的冲击波有所降低。  相似文献   

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