基于融资视角的中国金融结构与金融稳定研究

通过对中国金融运行的实证检验和分析发现,以银行中介和金融市场划分的两种金融结构各有优势,只要能够满足金融资源高效配置的金融结构都符合经济发展的需要,不必对金融结构进行人为的割裂。中国的金融体系存在着转化投资的高效率和资源配置的低效率这样一对突出矛盾,其主要原因是金融资源的配置失当,这是当前中国金融稳定的潜在威胁,解决问题的关键是要对金融体系进行市场化改革并完善基础设施建设。     

国际收支与金融市场效率问题的探讨

以“逆差 顺差”为特点的美国国际收支结构是很难长期持续的,美国经常项目很可能会经历趋向平衡的调整过程。由于中美两国国际收支结构存在较强的互补性,美国国际收支结构的调整对目前中国国际收支结构提出了严峻挑战。金融市场的行政分割、金融资源结构及流向的不合理是影响中国国际收支结构失衡的重要因素,因此中国应该完善和发展金融市场,积极主动地调整目前失衡的国际收支结构以应对美国国际收支结构调整可能给中国经济发展带来的不利影响。     

基于金融安全的资本流动：理论解读与中国实证

基于IS-LM-BP模型阐述了资本流动—经济非均衡的生成机制,揭示了资本流入规模、资本流入结构、外汇储备及经常项目是影响一国资本流动金融安全的主要因素。通过建立资本流动影响金融安全的测算体系,对1996～2005年我国资本流动进行了实证分析,结果表明：(1)中国资本流动状况总体较好,状态界定为安全；(2)资本流入规模正常,但期限结构不够合理；(3)现阶段我国资本流动的安全运行有保障。     

Alternatives to blanket guarantees for containing a systemic crisis

This paper seeks to explain how policy actions undertaken at the outset of recent crises—particularly the issuance of extensive liquidity support and government guarantees—absorb off-budget fiscal resources and inappropriately constrain officials’ subsequent options for restructuring their country’s troubled financial and corporate sectors. Empirical evidence supports the commonsense view that the damage a crisis works on a country’s financial sector and on its real economy is lessened by taking market-mimicking actions that promptly estimate and allocate losses during the early stages of a crisis. The most important steps are to plan to call a timeout to separate hopelessly insolvent institutions from potentially viable ones and to provide haircuts, guarantees, and liquidity support in ways that protect taxpayers and avoid subsidizing insolvent institutions’ longshot gambles for resurrection.     

Measuring financial risks with copulas

This paper is concerned with the statistical modeling of the dependence structure of multivariate financial data using the concept of copulas. We select some special copulas and identify the type of dependency captured by each one. We fit copulas to daily returns and simulate from the fitted models. We compare the effect of the choice of copula on risk measures and assess the variability of one-step-ahead predictions of portfolio losses. We analyze extreme scenarios and fit extreme value copulas to the block maxima and minima from daily returns. The stress scenarios constructed are compared to those obtained using models from the extreme value theory. We illustrate the usefulness of the copula approach using two stock market indexes.     

A multilateral approach to examining the comovements among major world equity markets

This study investigates the comovement in stock indices among major developed markets, where Morgan Stanley Capital International (MSCI) indices are employed for the purposes of the study. We employ a model that accommodates multilateral international impacts on equity index movements. The empirical results reveal the existence of significant international transmission effects among these major world markets, both in terms of returns and volatility, and mostly in a positive direction. The U.S. market, as expected, is the leading market in the sense that it has the most pervasive and significant impact on all markets across continents. However, the U.S. market exhibits a different relationship with European markets from that with Asia-Pacific markets. The evidence also suggests that strong regional transmission effects exist. A further investigation using the extended model reveals that the linkages between U.S. and European markets are driven by positive global common forces and by negative international competitive effects. On the other hand, the U.S. and Asian markets are linked through positive global common forces and positive international contagion effects. The United States, Canada, and the U.K. are the three markets that still demonstrate contagion influence over countries outside its own region. The Asia-Pacific markets are more susceptible to contagion effects. Finally, it is interesting to find that Japanese market performance became more contagious toward other markets during the Asian financial crisis period.     

WTO financial services commitments: Determinants and impact on financial stability

The paper investigates the factors that have influenced WTO members to take on their chosen level of liberalization commitments in the framework of liberalization of trade in financial services and the impact of such commitments on financial sector stability. The most important factors are economic growth, current account, trends in banking sector development, policy restrictiveness, and peer-group effects. The econometric evidence suggests that more liberal commitments may be associated with greater vulnerability to currency and banking crises—most likely a short-term effect, which should be mitigated with time through increased market efficiency and better resource allocation.     

The Future of Financial Reporting: Insights from Research

Research offers insights that, if heeded and built upon, could improve financial reporting, thereby contributing to a more prosperous society. In particular, research suggests improvement could stem from greater use of fair value; a performance statement designed to reveal the information embedded in changes in fair value; better information to help investors assess the value of intangible assets; more specific information about risk and uncertainty; information that is unbiased, rather than conservative; acceptance of a degree of earnings management together with a determination of how much earnings management is acceptable; and a financial reporting package designed to convey information users need, which presumably is broader than today's financial statements.     

Social networks in the global banking sector

We show that banks with shared social connections partner more often in the global syndicated loan market and that central banks in the network play dominant roles in various interbank transactions, indicating that social connections facilitate business connections. However, more centralized banks in the network also contribute significantly to the global systemic risk. Moreover, we find the soft information generated by social networks is particularly valuable when potential partners operate under different accounting and regulatory standards. Finally, we show that the recent banking crisis significantly limited the positive soft information effects of social networks in the global banking system.     

Accounting for decarbonisation and reducing capital at risk in the S&P500

This article accounts for carbon emissions in the S&P 500 and explores the extent to which capital is at risk from decarbonising value chains. At a global level it is proving difficult to decouple carbon emissions from GDP growth. Top-down legal and regulatory arrangements envisaged by the Kyoto Protocol are practically redundant given inconsistent political commitment to mitigating global climate change and promoting sustainability. The United Nations Environment Programme (UNEP) and European Commission (EC) are promoting the role of financial markets and financial institutions as drivers of behavioural change mobilising capital allocations to decarbonise corporate activity.