银行危机救助策略的分析

银行危机的救助策略一直是理论界关注的焦点。本文通过构建一个两期模型,以银行危机是否会引发货币危机为评判标准,探讨政府在面对商业银行清偿能力危机时救助与不救助的抉择。经研究发现:当商业银行的不良资产率高,或商业银行在经济中起重要作用,抑或产出的价格弹性较小时,为了避免货币危机的发生,政府应该出手对商业银行提供救助。在相反的情况时,固定汇率制度下,政府为了维护其固定汇率的信誉应该出手对商业银行提供救助;浮动或管理浮动汇率制度下,考虑到商业银行的道德风险问题,政府应该不予以救助。     

External liabilities and crises

We examine the determinants of external crises, focusing on the role of foreign liabilities and their composition. Using a variety of statistical tools and comprehensive data spanning 1970–2011, we find that the ratio of net foreign liabilities to GDP is a significant crisis predictor. This is primarily due to the net position in debt instruments—the effect of net equity liabilities is weaker and net FDI liabilities seem, if anything, an offset factor. We also find that: i) breaking down net external debt into its gross asset and liability counterparts does not add significant explanatory power to crisis prediction; ii) the current account is a powerful predictor; iii) foreign exchange reserves reduce the likelihood of crisis more than other foreign asset holdings; and iv) a parsimonious probit containing those and a handful of other variables has good predictive performance in- and out-of-sample. The latter result stems largely from our focus on external crises sensu stricto.     

Currency total return swaps: valuation and risk factor analysis

Abstract

Currency total return swaps (CTRS) are hybrid derivative instruments that allow us to simultaneously hedge against credit and currency risks. We develop a structural credit risk model to evaluate CTRS premia. An empirical test on a sample of 23,005 price observations from 59 underlying issuers yields an average percentage error of around 10%. This indicates that, beyond interest rate risk, firm-specific factors are major drivers of the variations in the valuation of these instruments. Regression analysis of residuals shows that exchange rate determinants account for up to 40% of model pricing errors, indicating that a currency risk premium affects the CTRS price significantly but only marginally, which confirms the prevalence of credit risk in the pricing of CTRS.     

INTERFUEL SUBSTITUTION: A META‐ANALYSIS

Abstract This paper provides the first meta‐analysis of the interfuel substitutability literature. The sample includes 47 studies of interfuel substitution in the industrial sector, in manufacturing industry or manufacturing sub‐industries, or in the macro‐economy of a variety of developed and developing countries. Meta‐regressions are estimated for the six shadow elasticities of substitution between coal, oil, gas and electricity. I find that at the level of the industrial sector as a whole the oil–coal, oil–gas, oil–electricity and gas–electricity shadow elasticities of substitution are significantly greater than unity. The remaining elasticities – between coal and gas and coal and electricity – are insignificantly different from unity or zero due to their large standard errors. Substitution possibilities seem more constrained at the macro level and less constrained at lower levels of aggregation. Estimates of the elasticities of substitution from cross‐section regressions are generally largest whereas fixed effects panel estimates are intermediate in magnitude, and time‐series estimates are mostly much smaller. In order to obtain more precise and less biased estimates of long‐run elasticities of substitution, there is a need for additional primary studies using large samples and/or the between estimator which econometric research suggests is likely to provide the best estimates of long‐run elasticities.     

Do Monetary Unions Make Economic Sense? Evidence from the Scandinavian Currency Union, 1873–1913

Popular propositions as to what constitutes a successful single currency area are examined by looking at the Scandinavian Currency Union (1873–1913) formed by Denmark, Norway and Sweden. Applying a frequently used indicator of the desirability of monetary union, we study the symmetry of country-specific structural shocks (measured net of the non-Scandinavian influence) in these three countries. It is found that country-specific shocks are not highly symmetric. This conclusion is also supported by the absence of clear-cut differences between the pattern of structural shocks in Belgium and structural shocks in the Scandinavian countries. This suggests that the three Scandinavian countries did not form an optimum currency area during the period 1873–1913.
JEL classification : F 15; F 33; N 13     

外贸顺差与通货膨胀

在G函数这个理论范式里,融入描述货币固定数量的约束条件,依据经济运行中必定遵循的固定替代弹性规律,借助对偶理论,可以得出关于通货膨胀的定义。这个定义是真实的和精确的,它的发现可以为进一步的有关特殊性分析奠定基础。在一般经验水平上,出于对症状的观察和诊断,对通货膨胀曾产生过若干种猜想和推测。其中,将外贸顺差推断为通货膨胀的主要原因,便是其中之一。在关于通货膨胀的一般科学定义里,可以对此特殊推断做出审视和分析。从市场分解的角度来看,要达此目的,首先需要得出能耦合国际贸易的初始结构,再融入货币固定数量的约束条件,最后归入关于通货膨胀的分析路径。由于G函数的形式就是一个有约束的贸易函数,进行市场分解是很容易的。因此,要达到这样的目的也是很容易的。     

最大债权国困境与人民币国际化关系研究

对外汇储备额居世界首位的中国而言,除美国国债外,并无其它合适的投资形式可以满足中国外汇储备管理要求,中国成为美国国债的最大持有国是一种无奈的选择。中国因此陷入了最大债权国困境,增持、减持左右为难。解决最大债权国困境的金融策略在于人民币国际化,跨境贸易人民币结算走出了正确一步,但需解决境外人民币供给与需求意愿的现实障碍,加快人民币国际化进程。     

微观视角下对亚元的探讨

以往大多学者对亚元的研究和探讨主要是从蒙代尔的最优货币区理论入手,通过对欧元产生机理和其带来的影响进行分析,然后对亚元存在的基础和可行性进行研究探讨,在研究方法上是站在一个宏观角度上进行例证的,这样很容易忽视亚元作为货币的微观性作用。本文从微观上对亚元进行探讨,假设亚洲货币合作区和亚元的存在,通过分析亚元的货币性职能即流通、支付、价值尺度和贮藏手段,使得我们能从微观层次上理解亚元的存在的可行性和必要性,从而为亚元的产生提供微观上的理论支持。     

国际储备的演进与储备货币的价值分析

进入新世纪全球国际储备规模快速扩张,结构显著变化,进一步凸显了当代国际货币体系固有的体制性缺陷。研究表明,主导新世纪国际储备的主权信用货币实际上只有主权而没有信用。因此,当代国际储备体系必须改革,中国的国际储备也应该调整。     

货币互换工具的理论与应用:美联储的实践与启示

本文的货币互换是指两国央行之间签订的主要为了解决流动性问题的一种金融管理工具。布雷顿森林体系成立以来,美联储基于不同目的多次与其他央行签订了货币互换协议。我国央行为便利双边贸易和投资于2001年开始使用货币互换工具。通过对比分析,我们认为美联储货币互换的实践对我国央行进一步实施、完善和拓展货币互换工具的使用有借鉴意义。