东亚国家与全球金融市场一体化研究

本文采用Lane and Milesi-Ferretti的数据,运用实际指标和理论指标来衡量东亚国家对全球金融市场一体化的程度,并与欧洲国家及其他发达工业化国家进行比较.在衡量结果的基础上,文章从东亚国家的资金双边对流及资本结构两方面对东亚与全球金融市场一体化状况进行分析.最后得出结论,东亚国家金融市场越来越开放,与全球金融市场的一体化程度在上升.     

Taxation and Integrated Financial Markets: The Challenges of Derivatives and Other Financial Innovations

The past decade has witnessed the explosive growth of a multiplicity of new instruments which have altered the financial landscape. These transactions have highlighted many of the inconsistencies, asymmetries and shortcomings of current tax practices and challenged some basic tax principles. The ensuing uncertainties could over the long term place considerable strain on the tax system by increasing the opportunities for abuse and raising overall compliance costs. At the same time derivatives have provided a better understanding of the operation tax laws and from this standpoint have provided a positive input into policy design. This paper has three objectives: (a) to illustrate some of the weaknesses of the current tax system by focusing on several types of novel transaction; (b) to assess the validity of various types of adjustment proposed to tax code; (c) to draw out the implications of these developments for the ongoing debate over fundamental tax reforms and over source versus residence based taxes.     

构筑我国金融衍生品市场安全网的若干思考

金融衍生品市场在为市场参与者提供有效风险管理工具的同时,又因其强大的杠杆特性也曾给金融衍生品市场带来了灾难性的损失。本文在客观阐述金融衍生品本质特征和主要风险表现的基础上,以中信泰富事件为线索,分析了导致衍生品交易重大亏损的主要原因,从立法、市场、内控和人才等方面提出如何构建我国金融衍生品市场安全网的建议。     

Statement of the Financial Economists Roundtable* Reforming the OTC Derivatives Markets

In investigations of the causes of the crisis, a major focus has been the role of derivative securities, particularly credit-default swaps (CDS). Despite widespread claims to the contrary, however, the 51 economists who signed this statement begin by asserting that CDS and other derivatives contracts were not a primary cause of the financial crisis. At the same time, derivatives markets are said to play an important economic role by shifting risks from businesses and individual investors to parties more willing (and generally better able) to bear them. But, as illustrated during the crisis, derivatives also can be used to transmit risk in ways that have the potential to pervade the entire financial system. With the aim of limiting systemic risk associated with the use of derivatives, the statement recommends the following:

• • measures that encourage migration of more derivatives transactions to central-clearing facilities, including higher capital requirements and stricter criteria (including segregation) for the collateralization of positions that are not cleared;
• • data reporting and repository requirements designed to help regulators and market participants to understand systemic risk exposures in the financial system;
• • post-trade price transparency for all sufficiently standardized OTC products;
• • continued migration of trading in actively traded OTC products to exchanges.

Finally, although the economists support regulations against market manipulation, they oppose potential restrictions on speculative trading, including the holding of “naked” CDS, while affirming that both hedging and speculation are important and socially beneficial activities in our financial system.     

Estimating Oil Risk Factors Using Information from Equity and Derivatives Markets

We introduce a novel approach to estimating latent oil risk factors and establish their significance in pricing nonoil securities. Our model, which features four factors with simple economic interpretations, is estimated using both derivative prices and oil‐related equity returns. The fit is excellent in and out of sample. The extracted oil factors carry significant risk premia, and are significantly related to macroeconomic variables as well as portfolio returns sorted on characteristics and industry. The average nonoil portfolio exhibits a sensitivity to the oil factors amounting to a sixth (in magnitude) of that of the oil industry itself.     

Trust in Financial Markets

This paper examines contemporaneous and historical evidence on the structure of ownership and control of corporate sectors in developed countries to draw lessons for development of financial markets. It records the critical role that equity markets played in the ownership and financing of corporations at the beginning of the 20th century. It notes that this occurred in the absence of formal systems of regulation and that equity markets functioned on the basis of informal relationships of trust. These were sustained through local stock markets in the UK, banks in Germany, and business coordinators and family firms in Japan. The paper explores the concept of trust that is required to promote the development of financial markets.     

Costless Signalling in Financial Markets

A costless, fully revealing signalling equilibrium is derived from two easily understandable conditions. The outsider-rationality condition states that the outsiders relate the price that they offer to pay for a security inversely to the supply of this security, which they interpret as a quality signal. The no-arbitrage condition requires that the marginal exchange rate for two securities be the same in both primary and secondary markets. These conditions restrict the firm's financing policy and have strong implications for the valuation of securities and of the total firm. A costless signalling equilibrium is obtained.     

从繁复向简单回归:全球金融衍生品市场发展展望

金融危机之后,全球金融衍生品市场经历了下调到反弹的过程。场内市场交易量的放大、买卖价差的收窄,以及OTC市场的未偿付合约名义价值等指标都表明了这一走势。同时,金融衍生品市场也将呈现结构性分化:一是基础性衍生品将成为未来一段时期衍生品发展的主流;二是结构简单、标准化程度高的单一卖方CDS将受欢迎;三是亚太地区金融衍生品市场表现出巨大的潜力。最后,中央交易机制的建立和合约标准化的加强都将成为金融衍生品监管的趋势。     

A Survey of Emerging Derivatives Markets

This paper summarizes theoretical and empirical research on the roles and functions of emerging derivatives markets and the resulting implications on policy and regulations. Previous studies revealed that commodity derivatives markets offered an effective and welfare-improving method to deal with price volatility. Financial derivatives markets have helped to support capital inflows into emerging market economies. On the other hand, the use of financial derivatives has led to exacerbated volatility and accelerated capital outflow. There is a consensus that derivatives are seldom the cause of a financial crisis but they could amplify the negative effects of the crisis and accelerate contagion. Previous studies of derivatives markets have supported the hedging role of emerging derivatives markets. Empirical results from a few emerging countries suggest a price discovery function of emerging futures markets. The findings on the price stabilization function of emerging derivatives markets are mixed. Finally, recent research has documented that constructive development of derivatives markets in emerging market economies needs to be supported by sound macroeconomic fundamentals as well as updated financial policies and regulations.     

Financial Markets Trends and Studies of Singapore Futures Markets

In this paper we explore some recent trends in the financial market and also report some studies of the Singapore futures markets. A characterization of trends shows that national securities markets are much closer than before. This means the linkages between securities and their derivatives and amongst themselves have be come much stronger. Secondly, the advent of sophisticated risk products and instruments and the knowledge to use them effectively would become a common theme together with the idea of value enhancements. Thirdly, computerizations and the internet will play an increasingly important role. So will empirical financial research become increasingly microscopic. The discussion will be supported by the experiences of the Singapore futures markets and various empirical research evidences. The paper also provides a detailed study of causality-in-variance test of information transmission between SIMEX and Osaka Stock Exchange on the Nikkei 225 stock index futures trading prior to, during, and immediately after the announcement of the collapse of Barings. The results are indicative of very strong international market linkages and a portent of things to come.     

Informational Black Holes in Financial Markets

We show that information aggregation in primary financial markets fails precisely when investors hold socially useful information for screening projects. Being wary of the Winner's Curse, less optimistic investors refrain from making financing offers, since their offers would be accepted only when a project is unviable. Their information is therefore lost. The Winner's Curse and associated information loss grow with the number of informed market participants, so that larger markets can lead to worse financing decisions and higher cost of capital for firms seeking financing. Precommitment to ration fundraising allocations, collusive club bidding, and shorting markets can mitigate the inefficiency.     

Difference Systems in Financial Futures Markets

Many financial futures markets allow substitutions for the par grade of security at delivery. Substitutes are deliverable at premiums or discounts—“differences” in commodities parlance—to the futures price. The rule that establishes these differences is called a difference system. This paper characterizes financial futures market equilibrium with yield-based difference systems and investigates particular systems in use. The major finding is that currently used difference systems effectively limit deliverable supply in the futures markets and lead to futures prices which understate the cash market price of the par security.     

Monetary Policy and Financial Markets

Monetary policy and financial markets are intrinsically linked. Central banks conduct monetary policy by influencing financial market prices. Financial market prices reflect the expectations of market participants about future economic and monetary developments. Monetary policy works primarily through expectations. Transparency and credibility render monetary policy more effective. However, they are no substitutes for action. If a credible central bank uses words with the explicit aim of substituting them for action, it will risk losing credibility. To avoid what has been described as “the dog chasing its tail” problem, central banks must exercise caution in basing their monetary policy decisions on financial market information. The information about expected future developments reflected in market prices must be continuously cross-checked against economic and monetary indicators in what amounts to a “checks and balances” approach to monetary policy.     

Financial Reforms and Emerging Markets

In this discussion chapter, the author summarizes the main features of recent financial developments in emerging markets, including market development, governance and regulatory issues. In light of the financial crises that have taken place in those markets, emphasis is made on the actual path of reforms, main policy lessons and issues of concern from the country cases presented in the panel.     

Financial Markets and Economic Growth

The current economic problems in Southeast Asia can be attributed not to too much reliance on financial markets, but to too little . Like the U.S. economy a century ago, the emerging Asian economies do not have welldeveloped capital markets and so remain heavily dependent on their banking systems to finance growth.
For all its benefits, banking is not only basically 19th-century technology, but disaster-prone technology. The extreme maturity (and, in some cases, currency) mismatch on banks' balance sheets plus the first-come, first-served nature of the deposit obligations mean that banks are inherently vulnerable to massive runs by depositors—and that their economies are subjected to periodic credit crunches. And, as the author says, in the summer of 1997 a banking-driven disaster struck in East Asia, just as it had struck so many times before in U.S. history.
In this century, In this century, the U.S. economy has steadily reduced its dependence on banks by developing dispersed and decentralized financial markets. In so doing, it has increased the efficiency of the U.S. capital allocation process and reduced its susceptibility to the credit crunches that have occurred throughout U.S. history. By contrast, Japan has not reduced its economy's dependence on banks, and its efforts to deal with its banking problems have served only to destabilize itself as well as its neighbors. Developing countries in Southeast Asia and elsewhere are urged not to follow the Japanese example, but to take measures aimed at developing financial markets and institutions that will either substitute for or complement bank products and services.     

金融衍生工具在电力市场的运用

自2002年电力市场化改革全面启动以来,我国电力工业获得了突飞猛进的发展, 但电力市场各个主体也面临着前所未有的风险,特别是市场价格波动的风险问题将日渐凸出。金融衍生工具作为一种规避金融交易风险的手段,不仅有利于供需双方信息交流,减弱发电商操纵市场的能力,而且对促进市场公平竞争,形成高效均衡的市场电价具有十分重要的意义。     

Financial Markets and Investment Externalities

This address explores the link between financial market shocks, investment choices, and various externalities that can arise from these choices. My analysis, which emphasizes differences between shocks to debt and equity markets, provides insights about some stylized facts from the macro finance literature. These insights are illustrated with a discussion of the technology boom and bust in the late 1990s and early 2000s, and the housing boom and bust in the mid‐2000s.     

Cream‐Skimming in Financial Markets

We propose a model in which investors may choose to acquire costly information that identifies good assets and purchase these assets in opaque (OTC) markets. Uninformed investors access an asset pool that has been cream‐skimmed by informed investors. When the quality composition of assets for sale is fixed, there is too much information acquisition and the financial industry extracts excessive rents. In the presence of moral hazard in origination, the social value of information varies inversely with information acquisition. Low quality origination is associated with large rents in the financial sector. Equilibrium acquisition of information is generically inefficient.