A truly global crisis? Evidence from contagion dependence across international REIT markets

This study examines the global nature of the recent crisis under bivariate Markov-switching models for pre- and post-crisis periods using the breakpoint of August 9, 2007. It quantifies international synchronization of boom-bust regime switches to investigate contagion-type dynamic comovements of Real Estate Investment Trusts (REITs). Global REIT markets display persistent bust regimes from September 2008 to May 2009, whereas the regime-switching patterns are not significant in the pre-crisis period. The results provide new evidence for global REIT contagion phenomena and suggest greater difficulties in diversifying risks across global REIT markets during the post-crisis period.     

信贷管制、隐性契约与贷款利率变相市场化——现象与解释

本文将视角聚焦于利率市场化改革之前,重点研究金融抑制对银企信贷契约的异化。研究发现,在金融抑制背景下银企之间存在以留存贷款为表现的隐性契约,用以帮助银行在满足管制要求的同时追求利润最大化。本文对这一现象进行了理论分析与实证检验,发现隐性契约的发生与否会随着货币政策、企业特征等因素的改变而有所差异,这在一定程度上起到了利率变相市场化的作用。进一步研究则发现,这一隐性契约对企业价值产生了负向影响。     

Did the value premium survive the subprime credit crisis?

We provide evidence that value stocks significantly underperformed growth stocks during the subprime credit crisis, despite a positive value premium before the crisis. The reversal in the value premium concentrates in financially constrained firms, suggesting it was due to the adverse influence of the crisis rather than confounding effects. These findings are robust to alternative financial constraint proxies and asset pricing models. The observation that value stocks are vulnerable to losses during extreme downturns like the crisis is consistent with them being riskier than growth stocks. Our findings have implications for the academic debate on the underlying cause of the value premium and for investors on the profitability of value investing strategies.     

外部融资、技术创新研发与企业成长--银行信贷与技术研发交互作用的经验研究

在当前经济转型升级的大背景下,要想保持经济长期可持续的增长,必然要求微观企业保持良好的成长态势和较高水平的生产效率。本文利用BEEPS的中国企业调查微观数据,考察了外部融资约束、银行信贷和技术研发影响企业绩效和企业成长的作用机制。研究表明：外部融资约束对企业生产效率有显著负面影响,企业技术研发对生产效率有显著的促进作用,外部融资约束通过技术研发投入途径对企业生产效率产生抑制效应;银行信贷对于企业生产效率有直接的负面影响,只有将其投入到技术研发活动中才会发挥促进企业成长的作用。     

论国有商业银行的双重功能与不良资产的双重成因

国有商业银行所形成的巨额不良资产，需要从其事实上履行的双重功能入手进行解析：国有商业银行在履行基本功能时，由于行业性风险产生的不良资产具有普遍性和内生性；但其在履行公共性功能时。由于承担的政策性风险和支付的履职成本无法分摊导致的超额不良资产，具有特殊性和外生性。因此。降低国有商业银行的不良资产，既要控制行业性风险，更要建立对其履行特殊功能所支付成本的合理分摊机制，并随着市场机制作用的增强从体制上逐步淡化其特殊功能，从根本上解决由外生性原因造成的超额不良资产。     

Subprime cohorts and loan performance

Loan performance of subprime originations during the boom years of 2004–2006 is contrasted with that of subprime originations during the early period of 2000–2002. A counterfactual technique is developed to determine how originations during the early period would perform in a different environment, namely, the environment faced by originations of 2004, 2005, and 2006. In an environment where house prices are increasing rapidly, low credit score originations do not show high rates of default—as was witnessed for 2000–2002 cohorts. However, in an environment of stagnant or deteriorating home prices, low credit score originations show significantly higher rates of default than high credit score originations. With a greater proportion of low credit score originations, earlier cohorts of 2000–2002 were no less vulnerable to the environment faced by cohorts of 2004–2006. In essence, these results raise concerns about the viability of all cohorts of subprime originations because of their reliance on the appreciation of the underlying collateral rather than the creditworthiness of the borrower.     

A novel profit cutting mechanism for Chinese Banks: Theory and Multi-dimensional evidence

As China’s macroeconomic growth faces increasing pressure from the global COVID-19 pandemic, a surprising and politically controversial phenomenon has emerged: the profitability of banks in China exceeded that of enterprises and non-financial industries. The People’s Bank of China and regulatory authorities have hence taken measures to incentivize banks to transfer part of their profits to enterprises, with the aim to stabilize enterprises and employment. This paper proposes a novel profit cutting mechanism focusing on loan structure adjustments to address the limitations of the current approach centering on lowering loan interest rates. The theoretical and empirical analysis show, at both the macro and micro level, that an increase in the proportion of credit loans can benefit the development of enterprises without weakening banks’ operating performance in the long term, leading to a Pareto improvement within enterprise-banking sectors. The findings suggest that banks in China should gradually adjust their loan structures by providing greater credit loan access to enterprises, either voluntarily or directed by policy.     

Which financial stocks did short sellers target in the subprime crisis?

Tracing the SEC ban on the short selling of financial stocks in September 2008, this paper investigates whether such selling activity before the 2008 short ban reflected financial companies’ risk exposure in the subprime crisis. Evidence suggests that short sellers sold short stocks that had the greatest asset and insolvency risk exposures, and that the short selling of financial firms’ stocks was not significantly greater than that of non-financial firms after we match them on firm size and insolvency risk. When the short ban was in effect, the market quality of financial stocks without subprime assets exposure had deteriorated to a larger degree than that of financial companies with subprime assets exposure. The findings imply that such a regulation may mute the market disciplining effects of investors and may also be seen as a counterweight to any perceived macro or systemic risk reduction benefits resulting from such a ban.     

Intraday bidirectional volatility spillover across international stock markets: does the global financial crisis matter?

This article studies volatility spillover between the US and the three largest European stock markets (Frankfurt, London and Paris) around the time of the recent Subprime crisis. In order to investigate the impact of the latter, we break our sample down into two sub-periods: a pre-crisis period and a post-crisis period, using a structural break test that has the advantage of endogenously testing for further breaks in the data. Unlike previous studies that have frequently investigated this issue using low frequency data, our article makes use of intraday data. Accordingly, using Threshold generalized autoregressive conditional heteroscedasticity (GARCH) model estimations, we find weak evidence of volatility transmission between the two regions before the Subprime crisis. However, during the post-crisis period, we record returns and volatility spillover from US to European markets and vice versa at different times of the trading day, indicating that the two regions became more dependent during the recent Subprime crisis, a finding that supports the contagion hypothesis between the US and European stock markets.     

Does easing monetary policy increase financial instability?

This paper develops a model featuring both a macroeconomic and a financial friction that speaks to the interaction between monetary and macro-prudential policy and to the role of US monetary and regulatory policy in the run up to the Subprime mortgage crisis. There are two main results. First, interest rate rigidities in a monopolistic banking system increase the probability of a financial crisis (relative to the case of flexible interest rate) in response to contractionary shocks to the economy, while they act as automatic macro-prudential stabilizers in response to expansionary shocks. Second, when the interest rate is the only available instrument, monetary policy faces a trade-off between macroeconomic and financial stability. This trade off is both qualitative and quantitative in response to contractionary shocks, while it is only quantitative in response to positive shocks. We show that a second instrument, such as a Pigouvian tax on credit to households on the demand side of the market, is needed to restore efficiency in the economy when both frictions are at work.