基于动态Copula-CoVaR模型的影子银行风险溢出效应研究

依据2007-2017年中国金融市场运行数据,构建动态Copula-CoVaR模型,考量影子银行风险溢出效应。结果表明：影子银行与传统金融市场存在双向净风险溢出效应,随着时间的推移,溢出效应在逐渐增大;极端风险溢出效应存在不对称特征,影子银行对传统金融市场的冲击较大,且这种冲击具有滞后效应。鉴此,监管部门应夯实金融体系运行基础,创新影子银行监管工具,完善其协调监管模式。     

State-ownership and financial constraints on investment of Chinese-listed firms: new evidence

We examine how state-ownership affects financial constraints on investment of Chinese-listed firms during 1999–2008. We find that although an average sample firm experiences some degree of financial constraints, state-ownership does not necessarily help in reducing the firm's financial constraints on investment. Further evidence shows that state-ownership does not lead to more borrowing from the Chinese banking sector, implying that state-ownership does not necessarily reduce the firm's financial constraints via the state-controlled banking sector. We consider not only the standard factors in the investment equation, but also the firm's equity financing behaviour explicitly. The result is robust to both the conventional proxy for financial constraints, i.e. the investment–cash-flow sensitivity, and a recently developed proxy for financial constraints, i.e. the KZ index. Our results suggest that China's corporatisation movement is effective in that soft budget constraints once enjoyed by former state-owned enterprises have been removed along with the progress of corporatisation. These firms, although still state-involved, can be seen as modern corporations operating in a market environment.     

银行危机与政府干预——基于中国金融史的研究

当银行危机到来时,政府是否应当进行干预？政府干预对银行业会产生何种影响？这些问题在金融史研究中长期以来备受关注,且具有重要的现实意义。本文以1934年白银风潮冲击下中国大规模的银行危机为背景,对比了当时中国最大的两个金融中心上海和天津的银行业同业组织在危机中的表现,发现天津银行业同业公会成员相比于非银行同业公会的成员受到了更严重的挤兑危机,且在危机期间放款额出现了更显著的下降。而上海银行同业公会则没有受到大规模挤兑,且反而在金融危机期间扩大了信贷规模。本文认为是由于政府干预程度的不同导致了津沪两地银行同业公会的不同表现。具体机制为:其一,政府干预推动了银行业信息公开,降低了信息不对称带来的恐慌和挤兑;其二,政府干预下银行组织承担了更多的财政义务。     

Bank governance,regulation, supervision,and risk reporting: Evidence from operational risk disclosures in European banks

This paper investigates the direct and joint effects of bank governance, regulation, and supervision on the quality of risk reporting in the banking industry, as proxied for by operational risk disclosure (ORD) quality in European banks. After controlling for the endogeneity between bank stability and risk reporting quality, we find that banks having a higher proportion of outside board directors, lower executive ownership, concentrated outside non-governmental ownership, and more active audit committee, and operating under regulations promoting bank competition (i.e., less stringent entry to banking requirements) provide ORD of higher quality. In addition, we find that the contribution of bank supervisors to the enhancement of ORD quality depends on the ownership structure of the bank. Specifically, powerful and independent bank supervisors mitigate the incentives for entrenched bank executives to withhold voluntary ORD. Moreover, bank supervisors and largest shareholders perform substitutive roles in monitoring the bank management's compliance with mandatory ORD requirements. For the sake of enhancing risk reporting quality in banks, our findings recommend sustaining board independence, enhancing audit committee activity, easing entry to banking requirements, and promoting a more proactive role for bank supervisors.     

银行危机与政府干预——基于中国金融史的研究

当银行危机到来时,政府是否应当进行干预？政府干预对银行业会产生何种影响？这些问题在金融史研究中长期以来备受关注,且具有重要的现实意义。本文以1934年白银风潮冲击下中国大规模的银行危机为背景,对比了当时中国最大的两个金融中心上海和天津的银行业同业组织在危机中的表现,发现天津银行业同业公会成员相比于非银行同业公会的成员受到了更严重的挤兑危机,且在危机期间放款额出现了更显著的下降。而上海银行同业公会则没有受到大规模挤兑,且反而在金融危机期间扩大了信贷规模。本文认为是由于政府干预程度的不同导致了津沪两地银行同业公会的不同表现。具体机制为:其一,政府干预推动了银行业信息公开,降低了信息不对称带来的恐慌和挤兑;其二,政府干预下银行组织承担了更多的财政义务。     

This time is different: Causes and consequences of British banking instability over the long run

This paper addresses three questions: (1) How severe were the episodes of banking instability experienced by the UK over the past two centuries? (2) What have been the macroeconomic indicators of UK banking instability? and (3) What have been the consequences of UK banking instability for the cost of credit? Using a unique dataset of bank share prices from 1830 to 2010 to assess the stability of the UK banking system, we find that banking instability has grown more severe since the 1970s. We also find that interest rates, inflation, lending growth, and equity prices are consistent macroeconomic indicators of UK banking instability over the long run. Furthermore, utilising a unique dataset of corporate-bond yields for the period 1860 to 2010, we find that there is a significant long-run relationship between banking instability and the credit-risk premium faced by businesses.     

Post‐financial crisis changes in financial system structure: An examination of the J.P. Morgan & Co. Syndicates after the 1907 Panic

In the post‐2008 crisis period, policy makers debate the implications of banking system concentration. To shed light on this debate, we study a postcrisis period in which less banking regulation existed than in the present period, reasoning that an examination of a less regulated market might reveal useful insights about present day market agents' postcrisis actions. The years immediately following the Panic of 1907 merit study because the period shares important features with the post‐2008 crisis financial system: increasing interconnectedness, the growing complexity accompanying the rise of new industries, the rapid deployment of new communications technologies, and substantial innovation in financial instruments. Because the 1907 crisis preceded the Clayton Anti‐Trust Act of 1914, it also provides a window into studying market agents' behavior before legislation was enacted to discourage banking system concentration. We find evidence that the market share of corporate bond underwritings at J.P. Morgan & Co. increased in the post‐1907 crisis period. We suggest a mechanism by which market share increased: a more concentrated configuration of corporate bond underwriting syndicates. We also indicate that Morgan's increased share may have been a proxy for increased certification value of underwriter reputation because of systemic knowledge Morgan gained during the resolution of the Panic of 1907 rather than for increasing bargaining power. We do not find evidence that Morgan used market power to extract rents from issuers despite increased market share and more concentrated syndicate organization. While our results must be interpreted cautiously due to data limitations, possible lessons for present‐day policy makers are that consolidations in the financial system after a financial crisis are complex. Some consolidations may come about from information and reputational gains produced during the crisis. Others may be moves by some firms to concentrate market power and still others from efforts to improve efficiencies in intermediation.     

Bank globalization and efficiency: Host- and home-country effects

Analyzing 126 countries for 1995–2013, we investigate the link between bank globalization and efficiency from the perspective of both host and home countries. We find strong and consistent evidence that foreign bank entry is associated with lower efficiency in host countries (host-country effect), while foreign expansion in the banking sector improves the efficiency of banks at home (home-country effect). We further observe that the effect of bank globalization is dependent on the regulatory and institutional regimes of the respective host (home) countries. Specifically, stringent activity restrictions, tight supervision, fewer limitations on foreign banks, lower market entry barriers, and less government interference all help mitigate the efficiency loss from foreign bank entry. Less supervision power, multiple supervisors, more restrictions on foreign banks, and a competitive banking market are all conducive to the higher efficiency gain of incumbent domestic banks from the respective country’s outward investments in the banking sector. Moreover, we find that the adverse impact on efficiency from foreign bank presence is less pronounced for less risky, more profitable, and larger banks, while banks that are more efficient, more profitable, taking on more risk, and/or smaller gain more efficiency from their country’s foreign expansion.     

How does competition affect bank systemic risk?

Using bank level measures of competition and co-dependence, we show a robust negative relationship between bank competition and systemic risk. Whereas much of the extant literature has focused on the relationship between competition and the absolute level of risk of individual banks, in this paper we examine the correlation in the risk taking behavior of banks. We find that greater competition encourages banks to take on more diversified risks, making the banking system less fragile to shocks. Examining the impact of the institutional and regulatory environment on bank systemic risk shows that banking systems are more fragile in countries with weak supervision and private monitoring, greater government ownership of banks, and with public policies that restrict competition. We also find that the negative effect of lack of competition can be mitigated by a strong institutional environment that allows for efficient public and private monitoring of financial institutions.     

Financial crisis and international supervision: New evidence on the discretionary use of loan loss provisions at Euro Area commercial banks

We examine the discretionary use of loan loss provisions during the recent financial crisis, when Euro Area banks experienced not only a negative effect on the quality of their loans and a reduction in their profitability, but were also subject to a new form of stricter supervision, namely the EBA 2010 and 2011 stress test exercises. Overall, we find support for the only income smoothing hypothesis and we do not observe any difference in listed banks’ behavior when compared to unlisted banks. Banks subject to EBA stress tests had higher incentives to smooth income only for the 2011 EBA exercise, when a larger and more detailed set of information was released. This may suggest an unwilled side effect that accounting setters and banking regulators and supervisors should account for.     

The Impact of Supervision on Bank Performance

We explore the impact of supervision on the riskiness, profitability, and growth of U.S. banks. Using data on supervisors' time use, we demonstrate that the top-ranked banks by size within a supervisory district receive more attention from supervisors, even after controlling for size, complexity, risk, and other characteristics. Using a matched sample approach, we find that these top-ranked banks that receive more supervisory attention hold less risky loan portfolios, are less volatile, and are less sensitive to industry downturns, but do not have lower growth or profitability. Our results underscore the distinct role of supervision in mitigating banking sector risk.     

The crisis in UK banking

Unparalleled turmoil in the banking system over the past two years has impacted severely on the UK's economic prospects. What was once a profitable, fastgrowing, dynamic and highly innovative banking sector has been publicly humiliated, while its lending capacity has stalled. This article highlights the evolution of the credit crisis in the UK, as the fallout from American subprime lending and the housing market bubble spread rapidly across the Atlantic. Lessons from the crisis and policy recommendations are considered, focusing on rebuilding bank liquidity and capital, strengthening bank supervision and regulation, and improving risk evaluation and risk management practices throughout the banking and financial system.     

Do weak supervisory systems encourage bank risk-taking?

Weak bank supervision could give banks the ability to shift risk from themselves to supervisors. We use cross-border bank mergers as a natural experiment to test changes in risk and the impact of supervision. We examine cross-border bank mergers and find that the supervisory structures of the partners’ countries influence changes in post-merger total risk. An acquirer from a country with strong supervision lowers total risk after a cross-border merger. However, total risk increases when the target bank is located in a country with relatively strong supervision. This result is consistent with strong host regulators limiting the risky activities of their local banks. Foreign-owned competitors could then engage in the risky projects, especially if the foreign banks’ supervisors are not strong. An acquirer entering a country with strong supervision appears to shift risk back to its home country. The results suggest that bank supervisors can reduce total banking risk in their countries by being strong.     

金融风险的信息质量特征与我国金融会计制度改革

本文着眼于巴塞尔新资本协议第三次征求意见稿提出的金融风险监管和信息披露框架,以我国金融会计制度的国际化协调为切入点,分析了信用风险、市场风险和操作风险等金融风险的构成要素,指出现有监管信息系统和会计体系存在的问题.同时,本文还评价了我国新<金融企业会计制度>等规范对金融风险的披露和监管特征,分析了新制度对银行类上市公司所产生的影响,并提出了建立以风险计量会计披露为核心的监管体系的构想.本文最后对协同新巴塞尔协议的监管原则,建立完整的银行业信息披露框架,形成动态信息披露机制提出了一些建议.     

Exploring governance of the new European Banking Authority—A case for harmonization?

In the context of the proposed EU financial supervisory reforms, this paper focuses on the governance of the network of national supervisory banking agencies and the newly established Community supervisor (European Banking Authority, EBA). We assess to what extent lack of governance convergence nationally and with EBA could undermine the incentives for cooperation among supervisors. Convergence should particularly focus on (i) the issue of the presence of politicians on decision-making bodies; (ii) the need for clearly defining dismissal procedures of heads of supervision; (iii) autonomy from government in regulatory matters; (iv) supervisory autonomy in matters of licensing and withdrawing licenses; (iv) mechanisms for judicial accountability; (v) legal protection for supervisors handling in good faith. In the absence of full centralization of prudential supervision, early harmonization of national governance arrangements towards best practice would better align supervisors’ incentive structures and, hence, be beneficial for the effectiveness of European supervision.     

The dialectical role of information and disinformation in regulation-induced banking crises

The severity of banking crises increases with disinformation about the losses banks incur in making politically directed loans and about the budgetary costs to the government of standing ready to absorb these losses increases. When (as it eventually must) such disinformation begins to lose credibility, silent runs test the government's commitment to supporting its insolvent banks. An open banking crisis does not emerge until the size of unbooked obligations has become large enough to overwhelm the government's implicit and explicit support system. Multilateral assistance offered countries that experience banking crises should transmit incentives for prompt insolvency resolution, for reliable information disclosure, and for developing plans for dealing with future financial disasters.     

How Does Being Public Affect Firm Investment? Further Evidence from China

What role does the stock market play in the allocation of capital? Few studies have examined how being public affects firm investment in emerging markets. This study fills this gap by comparing investment behavior in public and private Chinese firms over the period 2004–2010. We find an overall improved capital allocation of public firms relative to private firms in China. By disentangling the financial constraints effect from the agency effect, we show that public firms are less likely to underinvest when there is cash flow insufficiency and more likely to overinvest when there is free cash flow. We conclude that both effects coexist and that whether or not being public improves investment behavior depends on the net effect of loosening financial constraints and worsening agency conflicts. Further examination shows that financial information plays a limited role in these effects, implying that the association between being public and firm investment may not be attributed to information asymmetry but, rather, institutional arrangement in China.     

The Value of Market Information in Banking Supervision: Evidence from Italy

We examine the potential use of signals arising from financial markets as a complement to the information set available to banking supervisors. We provide empirical evidence on Italian banks, using a unique dataset matching accounting ratios, market variables, and supervisory ratings. To verify what type of signal they are able to convey, we analyze the behavior of four equity-based indicators for the Italian banks listed on the Milan stock exchange. We then investigate whether the same indicators provide additional information for supervisors. Econometric results confirm the informative content of market variables and their complementarity with supervisory information.JEL Classification: Bank, banking supervision, early warning, market discipline     

Competition and financial stability in European cooperative banks

Cooperative banks are a driving force for socially committed business at the local level, accounting for around one fifth of the European Union (EU) bank deposits and loans. Despite their importance, little is known about the relationship between bank stability and competition for these small credit institutions. Does competition affect the stability of cooperative banks? Does the financial stability of banks increase/decrease when competition is higher? We assess the dynamic relationship between competition and bank soundness (both in the short and long run) among European cooperative banks between 1998 and 2009. We obtain three main results. First, we provide evidence in line with the competition-stability view proposed by Boyd and De Nicolò (2005). Bank market power negatively “Granger-causes” banks' soundness, meaning that there is a positive relationship between competition and stability. Second, we find that this fundamental relationship does not change during the 2007–2009 financial crisis. Third, we show that increased homogeneity in the cooperative banking sector positively affects bank soundness. Our findings have important policy implications for designing and implementing regulations that enhance the overall stability of the financial system and in particular of the cooperative banking sector.     

Too big to fail: Some empirical evidence on the causes and consequences of public banking interventions in the UK

During the 2007–09 financial crisis, the banking sector received an extraordinary level of public support. In this empirical paper, we examine the determinants of a number of public sector interventions: government funding or central bank liquidity insurance schemes, public capital injections, and nationalizations. We use bank-level data spanning all British and foreign banks operating within the United Kingdom. We use multinomial logit regression techniques and find that a bank's size, relative to the size of the entire banking system, typically has a large positive and non-linear effect on the probability of public sector intervention for a bank. We also use instrumental variable techniques to show that British interventions helped; there is fragile evidence that the wholesale (non-core) funding of an affected institution increased significantly following capital injection or nationalization.