金融危机对证券市场波动溢出的影响研究

不同证券市场之间的波动存在时变、非对称、非线性相关的特性,尤其是在极端事件影响下,证券市场之间往往会表现出尾部相关的特性。以次贷危机为背景,利用时变Copula模型研究了证券市场间的波动溢出。结果发现无论是金融安全时期还是金融危机时期,均存在美国证券市场对中国证券市场的波动溢出,并且在金融危机期间这种波动溢出效应有增强的趋势。     

CHOOSING THE RIGHT FINANCIAL SYSTEM FOR GROWTH

Well‐functioning financial systems promote economic growth by channeling funds from those who save to those who invest in the productive capacity of economies. What are the main features of a well functioning system? Are well developed capital markets essential to the process? Or are commercial banks and other “private” sources of capital capable of bringing about the same levels of growth and prosperity? In this article, the authors use information about the financial systems of a large number of both developed and developing countries to examine various relationships between a country's financial structure and its overall economic performance. Perhaps most important, the authors report a significantly positive correlation, using data for 34 countries, between the size of a country's financial system—measured by the total of commercial bank assets, equity market capitalization, and bonds outstanding—and economic development (as measured by GDP per capita). At the same time, the authors also provide evidence that banks (or loans) and capital markets (or securities) are complements, not substitutes, in promoting economic development, and that the presence of foreign‐owned banks (though not state‐owned banks) has a positive association with growth. In other words, both private banks and capital markets are likely to play important, though different roles in channeling funds from savers to investors.     

Negative Monetary Policy Rates and Systemic Banks' Risk-Taking: Evidence from the Euro Area Securities Register

We show that negative monetary policy rates induce systemic banks to reach-for-yield. For identification, we exploit the introduction of negative deposit rates by the European Central Bank in June 2014 and a novel securities register for the 26 largest euro area banking groups. Banks with more customer deposits are negatively affected by negative rates, as they do not pass negative rates to retail customers, in turn investing more in securities, especially in those yielding higher returns. Effects are stronger for less capitalized banks, private-sector (financial and nonfinancial) securities and dollar-denominated securities. Affected banks also take higher risk in loans.     

Lessons from the financial crisis: failure of markets or failure of regulation?

The popular, demagogic narrative after the global financial system's collapse in 2008 has held that the financial crisis signalled the failure of capitalism. However, regulators across the world must realize that the financial crisis was not brought about by the failure of markets but by the failure of governments to appropriately regulate markets. Beginning in the 1980s, and continuing over the quarter-century that followed, regulators afforded the world of big finance an unaffordable luxury: insurance against possible failure. As a result, banks and financial institutions became adept at turning their insulation from disorderly failure, as enforced by free markets, into insulation from market discipline, as inflicted by myopic regulators. This ‘too big to fail’ syndrome combined with the incorrect belief perpetrated by the Federal Reserve Chairman Alan Greenspan that financial companies, powered by a rational motive not to lose money, could police themselves and one another. In turn, such sanguine beliefs led to considerable over-supply of financial innovation. The supply created its own demand as the financial world operated under the implicit guarantee (and market distortion) created by the ‘too big to fail’ syndrome.

The errors laid bare by the financial crisis clearly call for regulatory reform. But in designing that reform, regulators across the world should avoid the temptation to seek heavy-handed new approaches. Instead, policymakers should look to the long-term success of the system of rules whose decay brought about the crisis. Prudent regulations must seek to reinforce the fundamental principle that no one, however big or small, can be made immune to failure. Such pro-market regulation of finance is essential to preserving and fostering countries’ economic futures.     

商业银行参与融资融券业务模式的国际比较与借鉴

融资融券业务作为一种证券信用交易,已成为海外证券市场普遍实施的成熟交易制度。不同国家或地区根据金融体系和信用环境的完善程度,采用了适合自身实际情况的融资融券模式。该文介绍了商业银行在不同融资融券业务模式中所发挥的作用,及其在集中授信模式下证券金融公司运作中所扮演的角色,并借鉴国际经验对我国商业银行参与融资融券业务进行了初步探讨。     

A SURVEY OF U.S. CORPORATE FINANCING INNOVATIONS: 1970–1997

In the past 30 years, major changes have occurred not only in the kinds of securities issued, but also in the way securities are issued and in the national markets where they are issued. Traditional registered offerings have been partly displaced by shelf registered offerings and Rule 144A private offerings. And once exclusively domestic U.S offerings are increasingly being supplemented by foreign market offerings by U.S. companies, and by simultaneously domestic and foreign offerings. In 1997, for example, 11% of all proceeds raised by U.S. corporations were issued in one or more foreign markets. Of the $105 billion raised in these offerings, $31 billion was denominated in currencies other than the U.S. dollar.
While traditional securities still dominate the market, the authors' research indicates that the pace of innovation in the design of securities also increased markedly during the 1980s and has continued strong throughout the 1990s. In 1997, for example, innovative securities accounted for almost 30% of total domestic offerings. Three of the most common objectives of such securities have been (1) to manage the interest rate (and other financial price) risk faced by investors and issuers; (2) to reduce information costs faced by investors when buying securities from issuers with better information about their own prospects (a condition known as "information asymmetry"); and (3) to increase the tradability of financial assets.     

Corporate Disclosure as a Tacit Coordination Mechanism: Evidence from Cartel Enforcement Regulations

We empirically study how collusion in product markets affects firms' financial disclosure strategies. We find that after a rise in cartel enforcement, U.S. firms start sharing more detailed information in their financial disclosure about their customers, contracts, and products. This new information potentially benefits peers by helping to tacitly coordinate actions in product markets. Indeed, changes in disclosure are associated with higher future profitability. Our results highlight the potential conflict between securities and antitrust regulations.     

Recent Changes in the Regulation of Financial Markets and Reporting in Canada*

The regulation of financial reporting and financial markets has undergone significant change in both the United States and Canada since 2000. In Canada, the regulatory regime is particularly complex and politically controversial, with much speculation about possible future directions. This paper's purpose is to explain the current regulatory environment as it stands in mid‐2006 to assist those who teach or conduct research in this domain. On the basis of a review of existing regulations and related studies, this paper first provides an explanation of the major jurisdictional issues that affect financial reporting and regulation in Canada, including identifying the roles of the key players. Second, it identifies specific reporting changes that might be of particular relevance to prospective capital market researchers. Where relevant, comparisons are made with regulatory provisions in the United States, because the majority of capital markets research concerns U.S. securities exchanges regulation, and the Canadian regulations themselves often refer to U.S. regulations as a point of comparison. We find that the lack of a single national securities regulator in Canada and overlaps in federal and provincial jurisdiction and among regulatory bodies mean there is a large range of players involved in financial markets regulation. Ongoing efforts to improve integration include the new passport system, improved harmonization of securities regulation, and consideration of mergers between some of the involved organizations. Other changes have led to a greater emphasis in Canada on the regulation of continuous disclosure and corporate governance than was previously the case. Changes in specific reporting regulations and guidelines since 2002 have generally increased the amount of disclosure.     

基于MF-DCCA方法的证券市场间交叉相关性研究

运用多重分形去趋势波动交叉相关分析法(MF-DCCA),考量上海证券市场和香港证券市场之间的交叉相关关系。实证表明：上海证券市场和香港证券市场之间存在交叉相关性,且呈现出多重分形特征;当证券市场出现较大的波动时,上海证券市场和香港证券市场的交叉标度指数要大于其平均标度指数,即两个证券市场之间的交叉相关性要大于其自相关性。     

Measuring Country Differences in Enforcement of Accounting Standards: An Audit and Enforcement Proxy

In this paper we present an index designed to capture differences between countries in relation to the institutional setting for financial reporting, specifically the auditing of financial statements and the enforcement of compliance with each country's accounting standards. The use of a common set of standards such as International Financial Reporting Standards (IFRS) aims, in broad terms, to promote the comparability and transparency of financial statements and to improve the quality of financial reporting. However, the effectiveness of IFRS adoption may be hampered by differences, across countries, in the institutional setting in which financial reporting occurs. Studies of outcomes from adopting IFRS use a range of legal system proxies to capture these country differences, but the proxies are deficient in that they seldom focus explicitly on factors that affect how compliance with accounting standards is promoted through external audit and the activities of independent enforcement bodies. To address this deficiency, we calculate measures of the quality of the public company auditors’ working environment (AUDIT) and the degree of accounting enforcement activity (ENFORCE) by independent enforcement bodies. We do this for 51 countries for each of the years 2002, 2005 and 2008, using publicly available data provided by the International Federation of Accountants (IFAC), the World Bank and the national securities regulators. Preliminary tests suggest our indices have additional explanatory power (over more general legal proxies) for country‐level measures of economic and market activity, financial transparency and earnings management. We expect they will prove useful to researchers and other interested parties who require country‐level measures that focus on the degree of enforcement of financial reporting practices.     

金融发展对中国中小板上市公司融资约束的影响

从投资-现金流的敏感性角度出发,利用我国中小企业板上市公司在 2004-2014年的数据为研究样本,通过建模实证研究金融发展对中国中小板上市公司融资约束瓶颈的影响程度.结果表明,中国中小上市公司的投资与其内部现金流有着显著的正向关系;金融发展能够缓解中小上市公司的融资约束现象,且金融发展程度越高,对中小板上市公司的融资瓶颈约束缓释效果越强,即减缓了企业的投资-现金流敏感性.     

The impact of monetary policy candidness on Australian financial markets

In January 1990, the Reserve Bank of Australia (RBA) changed from a covert disclosure policy to an overt disclosure policy. Using a sample from January 1986 to September 2001, this paper examines the reaction of Australian financial markets to rate target changes within each of these disclosure regimes. We find significantly different announcement day responses between the two disclosure regimes for both short-term and long-term treasury securities, and equity indices. Overall, the results indicate that when monetary policy is more transparent, the market reaction is less pronounced and, therefore, we conclude that fuller disclosure of monetary policy allows investors to more optimally manage their portfolios.     

Aligning Incentives at Systemically Important Financial Institutions: A Proposal by the Squam Lake Group

To address the moral hazard problem that can motivate bank executives to take excessive risks and to fail to raise capital when needed, a group of 13 distinguished financial economists recommends that systemically important financial institutions be required to issue contingent convertible debt (CoCos) and to hold back a substantial share—as much as 20%—of the compensation of employees who can have a meaningful impact on the survival of the firm. This holdback should be forfeited if the firm's capital ratio falls below a specified threshold. The deferral period should be long enough—the authors suggest five years—to allow much of the uncertainty about managers' activities to be resolved before the bonds mature. Except for forfeiture, the payoff on the bonds should not depend on the firm's performance, nor should managers be permitted to hedge the risk of forfeiture. The threshold for forfeiture should be crossed well before a firm violates its regulatory capital requirements and well before its contingent convertible securities convert into equity. The Swiss Bank UBS has paid bonuses to its top 6,500 executives that have been structured in exactly this way. Management forfeits its deferred compensation if the bank's regulatory capital ratio falls below 7.5%, and its contingent convertible debt is set up to convert into equity if the bank's capital ratio falls below 5%.     

Corporate Finance and the Monetary Transmission Mechanism

We analyze the transmission effects of monetary policy in ageneral equilibrium model of the financial sector, with banklending and securities markets. Bank lending is constrainedby capital adequacy requirements, and asymmetric informationadds a cost to outside bank equity capital. In our model, monetarypolicy does not affect bank lending through changes in bankliquidity; rather, it operates through changes in the spreadof bank loans over corporate bonds, which induce changes inthe aggregate composition of financing by firms, and in banks’equity-capital base. The model produces multiple equilibria,one of which displays all the features of a "credit crunch."     

Research Note: Revisiting Fair Value Accounting––Measuring Commercial Banks' Liabilities

IAS 39, Financial Instruments: Recognition and Measurement (IASB, 2000), requires assets to be marked to fair value if held-for-trading, available-for-sale purposes, or if they are derivatives; held-to-maturity securities, originated loans and originated securities are measured at amortized cost, providing they are not held-for-trading. Financial liabilities are measured at amortized cost except those that are held-for-trading or derivatives. A proposed amendment would accommodate improved fair value measurement of financial instruments. Commercial banks are greatly affected by any accounting standard concerning the recognition and measurement of financial instruments, whether related to assets or liabilities. This article demonstrates that the existing and proposed standards perpetuate the mismeasurement of interest rate risk for commercial banks. Under IAS 39 banks that have a balanced position, that is, no interest rate risk, counterfactually could show large changes in income through interest rate changes. An alternative accounting treatment, full fair value reporting of financial assets and liabilities, including all loans and deposits, is offered. Presently fair value data are mandated as footnote disclosure.     

The Global Financial Crisis and the Efficient Market Hypothesis: What Have We Learned?

The sharp economic downturn and turmoil in the financial markets, commonly referred to as the “global financial crisis,” has spawned an impressive outpouring of blame. The efficient market hypothesis (EMH)—the idea that competitive financial markets exploit all available information when setting security prices—has been singled out for particular attention. Like all successful theories, the EMH has major limitations, even as it continues to provide the foundation for not only past accomplishment, but future advances in the field of finance. Despite the theory's undoubted limitations, the claim that it is responsible for the current worldwide crisis seems wildly exaggerated. This essay shows the misreading of the theory and logical inconsistencies involved in popular arguments that EMH played a significant role in (1) the formation of the real estate and stock market bubbles, (2) investment practitioners' miscalculation of risks, and (3) the failure of regulators to recognize the bubbles and avert the crisis. At the same time, the author argues that the collapse of Lehman Brothers and other large financial institutions, far from resulting from excessive faith in efficient markets, reflects a failure to heed the lessons of efficient markets. In the author's words, “To me, Lehman's demise conclusively demonstrates that, in a competitive capital market, if you take massive risky positions financed with extraordinary leverage, you are bound to lose big one day—no matter how large and venerable you are.” Finally, behavioral finance, widely considered as challenging and even supplanting efficient markets theory, is viewed in this article as complementing if not reinforcing efficient markets theory. As the author says, “it takes a theory to beat a theory.” Behavioralism, for all its important contributions to finance literature, is described as not a theory but rather “a collection of ideas and results”— one that depends for its existence on the theory of efficient markets.     

The Squam Lake Report: Fixing the Financial System*

In these excerpts from The Squam Lake Report, fifteen distinguished economists analyze where the global financial system failed, and how such failures might be prevented (or at least their damage better contained) in the future. Although there were many contributing factors to the crisis—including “agency” problems throughout the financial system and a bankruptcy code poorly suited for reorganizing financial firms—at the core of the problem is a potential conflict between the risk-taking proclivity of financial institutions and the interests of the economy at large that must be managed at least in part through more effective regulation. The Squam Lake Report provides a nonpartisan plan to transform the regulation of financial markets in ways designed to limit systemic risk while preserving—to the extent possible and prudent—the economies of scale and scope that justify the existence of today's large financial institutions. To reduce the risks that large banks will fail, the authors call for higher capital requirements based on more effective assessments of the risks of bank assets and liabilities, as well as a new systemic regulator that should be part of the central bank. To reduce the costs of failure when it occurs, the authors propose that banks be required to create “living wills” laying out their plan to sell assets or shut down operations in the event of financial trouble. As part of that plan, regulators are urged to “aggressively encourage” banks to issue “contingent” debt capital securities that convert into equity.     

REGULATION OF FINANCIAL MARKETS: TOWARD A FOCUSED APPROACH

Regulation of financial markets arose in a simpler time when transactions were carried out face to face on an exchange floor or in a banker's office—when trading was localized and the variety of financial instruments was small. Today the task of regulators is much more difficult. Markets are global, trading takes place in cyberspace, and the variety of financial instruments is limitless.
The initial focus, and still the central concern, of our regulatory system is to ensure full corporate disclosure and transparency of trading markets. But regulation today goes far beyond disclosure requirements. The existing tendency to expand regulation to match the expanding financial markets is likely to be inefficient, unwieldy, and too costly, given the increased complexity and global nature of financial markets. A new approach and a new regulatory mindset are needed—one in which regulators aim to identify and provide only necessary regulation rather than simply continuing to expand regulatory oversight. Such a focused approach to regulation would separate what is regulated from what is not. Those aspects of banking that are essential to the integrity of the payments system would be regulated while other aspects would not. Some securities and derivatives markets would be regulated, while others would not. And market participants would be able to choose which markets to participate in. Given an ever-expanding financial system, such a focused approach to regulation is not only the most cost effective one—it is also likely to prove the only workable alternative to a system that is now under great pressure.     

Financial Economists' Roundtable Statement on THE STRUCTURE OF SECURITIES MARKETS

Market practitioners, regulators, and economists are now debating the merits of a national market system—a single, fully integrated securities market that would be coordinated by a central computer and mandated by the SEC. This brief statement, signed by 29 distinguished financial economists, argues that such a system is a badidea. The multiplicity of U.S. markets is a sign of innovation and vibrant competition, not a problem that requires regulatory intervention. As a variety of markets with different technologies and trading procedures vie for somewhat different groups of customers with different needs, the result is competing market centers—registered exchanges (such as NYSE and AMEX) with designated specialists; NASDAQ with competing dealers; third market dealers in listed securities; and alternative trading systems (regulated as brokers) serving institutional investors or providing on-line trading to individual investors. Moreover, the fact that the different U.S. markets are linked in various ways and degrees—for example, by information and by private order routing systems of brokers and markets—should caution us against viewing market "fragmentation" as a public policy problem in need of a solution