Is Land Titling in Sub-Saharan Africa Cost-Effective? Evidence from Madagascar

Formalizing land rights has been promoted as a way to encourageagricultural investment and stimulate land markets, yet littleis known about the benefits of such policies in Sub-SaharanAfrica, where the preconditions for success are less favorable.The analysis uses a large sample of plots from an intensivelytitled rice-growing area of Madagascar and compares land-specificinvestments, land productivity, and land values for titled anduntitled plots cultivated by the same household. Having a titlehas no significant effect on plot-specific investment and correspondinglylittle effect on land productivity and land values. These resultsare broadly consistent with a simulation of a theoretical modelof investment under expropriation risk calibrated to the samedata. A cost–benefit analysis suggests that the currentsystem of formal titling should not be extended in rural Madagascarand that any new system of land registration would have to bequite inexpensive to be worthwhile.     

Pricing Derivatives using the Asymptotic Expansion Approach: Credit Migration Models with Stochastic Credit Spreads

The purpose of this paper is to evaluate the asymptotic approximation formulas for the price of contingent claims with credit risk, such as credit default swaps and options on defaultable bonds, in a Markovian credit migration model. Often the generator matrix of a credit migration process is assumed to be deterministic; however, a stochastically varying generator matrix is used in this paper. To apply such a model to the valuation of options on defaultable bonds, the small disturbance asymptotic expansion approach of Kunitomo and Takahashi is used in this study.     

How Laws and Institutions Shape Financial Contracts: The Case of Bank Loans

Legal and institutional differences shape the ownership and terms of bank loans across the world. We show that under strong creditor protection, loans have more concentrated ownership, longer maturities, and lower interest rates. Moreover, the impact of creditor rights on loans depends on borrower characteristics such as the size and tangibility of assets. Foreign banks appear especially sensitive to the legal and institutional environment, with their ownership declining relative to domestic banks as creditor protection falls. Our multidimensional empirical model paints a more complete picture of how financial contracts respond to the legal and institutional environment than existing studies.     

International house price cycles,monetary policy and credit

We evaluate three alternative predictors of house price corrections: anticipated tightenings of monetary policy, deviations of house prices from fundamentals, and rapid credit growth. A new cross-country measure of monetary policy expectations based on an international term structure model with time-varying risk premiums is constructed. House price overvaluation is estimated via an asset pricing model. The variables are incorporated into a panel logit regression model that estimates the likelihood of a large house price correction in 18 OECD countries. The results show that corrections are predicted by increases in the market’s forecast of higher policy rates. The estimated degree of house price overvaluation also contains significant information about subsequent price reversals. In contrast to the financial crisis literature, credit growth is less important. All of these variables help forecast recessions.     

土地资产价格波动与经济中的流动性供给——基于以地融资视角的研究

本文通过构建理论模型探讨土地资产价格波动与流动性供给之间的关系。在本文模型中,土地兼具生产资本与抵押资产属性,银行贷款同时受到投资需求、抵押品价值与信贷额度的约束。本文主要结论是:(1)土地资产价格在低于一个由基础货币供给决定的临界值后,能影响企业的抵押品价值并反映投资需求变化,故而与存款货币流动性供给正相关。这也使土地资产价格变化与企业杠杆周期一致且具有“预期自我实现”特征。(2)基础货币供给能够通过影响土地的流动性价值的方式来引导土地资产价格,前提是央行可掌握土地资产价格外生变化的原因。(3)信贷资产证券化会提高存款货币供给与土地价格的关联度,但也会削弱基础货币供给对土地价格的引导能力。本文的研究有助于认识土地资产价格与货币政策效果以及系统性金融风险的关联机制,为房地产调控政策提供启示。     

The effect of firm characteristics in accessing credit for SMEs

Small and medium-sized enterprises (SMEs) play an important role in socio-economic development. Despite their significance, the failure rate for SMEs is considerably high, especially in developing economies. Among the widely pronounced reasons for the high failure rate is non-availability of external financing. This study examines various firm attributes that affect access to credit using a sample of 970 SMEs that operate across nine provinces of Mediterranean and Southeast Anatolia regions in Turkey. The results suggest that asset size, sales volume and stability, export rate, and legal form are important determinants of satisfaction with bank products and services. These results are consistent with the hypothesis that larger firms with high and stable sales revenues are more likely to have better access to and therefore benefit more from credit services offered by their local banks.     

Private credit in 129 countries

We investigate cross-country determinants of private credit, using new data on legal creditor rights and private and public credit registries in 129 countries. Both creditor protection through the legal system and information-sharing institutions are associated with higher ratios of private credit to gross domestic product, but the former is relatively more important in the richer countries. An analysis of legal reforms shows that credit rises after improvements in creditor rights and in information sharing. Creditor rights are remarkably stable over time, contrary to the hypothesis that legal rules are converging. Finally, legal origins are an important determinant of both creditor rights and information-sharing institutions. The analysis suggests that public credit registries, which are primarily a feature of French civil law countries, benefit private credit markets in developing countries.     

Managerial Incentives in a Stock Market Economy

This study presents an analysis of the managerial incentive problem in a stock market economy in which incentive contracts are structured in terms of security ownership. In our model, the manager's ownership share signals effort and is determined endogenously as the solution to a special portfolio decision problem. Managerial investment in the firm is evaluated under various security pricing arrangements. Our analysis indicates that, in general, stockholders should sell shares to a manager at a discount to ensure a Pareto efficient ownership (incentive) structure. However, efficient pricing (discount) schedules generally are nonlinear and, in many respects, isomorphic to discriminating price functions which have been considered in neoclassical models of monopoly.     

信息不对称、风险规避与农地金融合约--基于农户与贷款者的分析

本文从农贷市场的不对称信息视角,集中讨论了农户与贷款者的信贷行为关系.通过分析他们之间信息不对称的两类性质后,从信号博弈角度分析了农地使用权抵押对降低农贷风险的信号发送过程,并给出了基于贷款者的农地抵押金融合约模型.本研究得出的结论是农地使用权抵押金融既可以提高农贷资金的安全性,又蕴涵着农地使用权市场化流转的可能.     

信贷约束、房价与居民消费率——基于面板门槛模型的研究

本文在考虑经济互动关系中内在非线性结构前提下,从信贷约束角度探讨了房价波动对消费的影响机制,并基于我国31个省级区域的面板数据利用Hansen门槛模型进行实证分析,研究发现:总体上我国的房价上涨会抑制消费。我们进一步论证这一现象与广大居民仍面临着较多信贷约束有直接关系。本文同时发现,房价的这种负面影响会随着信贷约束的放松程度而发生非线性的变化。     

Determinants of Credit Constraints: Evidence from Sindh,Pakistan

This article investigates the determinants of credit constraints: evidence from Sindh, Pakistan. Cross-sectional farm-level data is collected during November and December 2016. A sample of 180 farm households is selected for interviews by using a multistage, random sampling technique. This study employed a probit regression model, frequency counts, and percentages to analyze the data. Access to formal agricultural credit is relatively low in Sindh province of Pakistan, the findings of the study show that the major constraints comprise distance to the formal credit sources, lending procedure, time lag, and interest rate whereas land ownership has a negative association and reduces the constraints to access formal credit. The findings of this study also show that for efficient allocation of resources, institutional sources of credit preferred to disburse agricultural credits toward educated and young age farmers as they are more inclined to adopt new farm technology for better farm production.     

土地财政抑制了企业创新吗?——基于信贷错配视角的分析

基于一般均衡框架,考量房价、土地财政与企业创新之间的关系。研究发现：金融市场存在摩擦时,土地作为重要的抵押资产,房价波动和土地财政会扭曲创新资源的配置,在短期和长期对创新产生不同的影响。短期房价上升通过土地财政推动政府支出增加和总产出扩张,同时带动了企业的研发投入。当面临新的投资机会时,企业可以通过出售房产,缓解流动性约束。但在长期,土地财政引致的政府债务挤出了企业信贷,部门间信贷错配抑制了企业研发投入,同时高房价会导致企业转移部分资源投资房产,部门内资源错配进一步抑制了企业创新,从而降低了长期经济增长率,政府增加土地供给,则会弱化政府债务对企业创新要素的挤出效应。     

Does ownership matter in the presence of strict antiactivism legislation? Evidence from equity transactions in Denmark

This study analyzes the effects of institutional and strategic investor equity transactions on the behavior of stock prices on the Copenhagen Stock Exchange (XCSE). Unlike the positive relationship between managerial ownership and security performance, we find that the relationship between ownership and performance is a bell-shaped curve. There is an optimal threshold level of ownership at which security performance, measured by abnormal returns, is maximized. At the threshold level, the management can take advantage of the shared benefit of control. Beyond the threshold level of ownership, the security performance decreases. We attribute this threshold level to an increasing entrenchment benefit.     

Information sharing and credit: Firm-level evidence from transition countries

We investigate whether information sharing among banks has affected credit market performance in the transition countries of Eastern Europe and the former Soviet Union, using a large sample of firm-level data. Our estimates show that information sharing is associated with improved availability and lower cost of credit to firms. This correlation is stronger for opaque firms than transparent ones and stronger in countries with weak legal environments than in those with strong legal environments. In cross-sectional estimates, we control for variation in country-level aggregate variables that may affect credit, by examining the differential impact of information sharing across firm types. In panel estimates, we also control for the presence of unobserved heterogeneity at the firm level, as well as for changes in macroeconomic variables and the legal environment.     

Land Tenure and Property Rights: Theory and Implications for Development Policy

This article explores the nature of property rights systems,their evolution, and their effect on resource allocation. Itis argued that certain institutional arrangements for land rightshave evolved in order to reduce uncertainty and increase efficiencyin credit as well as in land markets. Of particular relevanceto developing countries, the article emphasizes the contributionof public sector infrastructure to effective land rights systems.An appendix to the article presents a formal model analyzingthe effects of security of land rights on land prices, the intensityof cultivation, and the use of credit. Empirical evidence fromThailand supports several of the propositions derived from themodel.     

银行业改革、市场化与信贷资源的配置

鉴于我国资本市场弱法律风险和股权高度集中的基本特征,本文提出了一个分析我国银行信贷业务预期违约风险的基本框架。以此为基础,本文考察了我国的银行业改革以及市场化进程对银行信贷资源配置行为的影响。研究发现,银行配置信贷资源时,会认真考虑贷款企业的历史财务绩效和代理成本。并且,银行业改革和地区市场化进程都成功促进了银行信贷资源配置行为的商业化。本文的研究为评价银行业改革的历史进程提供了经验证据,也为进一步的努力方向提供了一些有益的线索。一方面,银行在配置其信贷资源时不仅要进一步关注贷款企业的财务绩效;另一方面,也应当致力于促使银行在确立必要报酬率时进一步关注贷款企业的代理成本。     

On the determinants of credit rationing: Firm-level evidence from transition countries

Using survey data for firms from Eastern European transition economies we investigate the determinants of credit rationing. Our rationing definition incorporates firms whose loan application was rejected, but also ‘discouraged’ potential borrowers. We employ a bivariate probit with censoring, approach that accounts for the underlying selectivity since rationed firms are a subset of those without a loan. We include firm-specific attributes related to the alleviation of informational asymmetries, and therefore expected to affect credit rationing. We find that credit rationing depends on firm size, profitability, sales growth, ownership type, legal status, sectoral heterogeneity and the country-specific level of domestic credit.     

转入土地、农户农业信贷需求与信贷约束——基于中国家庭金融调查(CHFS)数据的分析

农村土地流转是放活经营权、促进农村土地资源优化配置的重要一环。在土地流转和规模经营中,农户面临的融资问题至关重要。基于中国家庭金融调查2015年和2017年的微观数据,本文从转入土地的视角对农户融资问题进行了研究。结果表明,我国农户的农业信贷约束较为严重、信贷缺口较大。同时,转入土地这一行为对农户信贷造成了较大的影响,主要表现为:(1)转入土地这一行为显著增加了农户的农业信贷需求,但对非农信贷需求没有显著影响;(2)虽然相比未转入土地农户,转入土地的农户参与农业信贷的比例较高,但其面临的信贷约束更加严重;(3)转入土地农户的信贷金额满足度较低,信贷金额缺口也较大。进一步从土地规模来看,转入土地规模较大的农户其信贷需求更大,信贷约束与金额不满足度表现得更为明显。本文研究表明,土地流转过程中转入土地这一行为会导致农户面临更大的信贷约束问题,应持续加大对转入土地农户的金融支持力度,全面推进乡村振兴,加快农村现代化发展。     

On a multivariate Markov chain model for credit risk measurement

In this paper, we use credibility theory to estimate credit transition matrices in a multivariate Markov chain model for credit rating. A transition matrix is estimated by a linear combination of the prior estimate of the transition matrix and the empirical transition matrix. These estimates can be easily computed by solving a set of linear programming (LP) problems. The estimation procedure can be implemented easily on Excel spreadsheets without requiring much computational effort and time. The number of parameters is O(s² m² ), where s is the dimension of the categorical time series for credit ratings and m is the number of possible credit ratings for a security. Numerical evaluations of credit risk measures based on our model are presented.     

A two-stage dynamic credit scoring model,based on customers’ profile and time horizon

As credit card usage has expanded rapidly worldwide, credit scoring has become a very important task for banks, which can benefit from reducing possible risks of default. Credit scoring models help decision makers to decide whether to issue a credit card to a new applicant on the basis of both financial and nonfinancial criteria. The scope of the current study is to develop a dynamic scoring model that (a) estimates the credit performance of an applicant using generalised linear models and (b) accommodates the changes of a borrower's characteristics after the issuance of the credit card and forecasts the time of default using survival analysis.