Financing budget deficits in the Netherlands

Summary In The Netherlands public debt management is in the hands of the budgetary policy-maker, whose recourse to the capital market can exceed or fall short of the total borrowing requirement in order to absorb or create liquidity. The conduct of that policy since the early 1960's is analyzed in this paper, emphasizing the importance of medium-term control over the public finances as a prerequisite for the ability of debt management to make a flexible contribution to monetary policy. During the 1960's this condition was satisfied and debt management followed a stable countercyclical pattern which, however, was abandoned after the early 1970's as the public finances swung into substantial disequilibrium.The author thanks J. Boughton, L. Bovenberg, D. Hendry, P. Masson, J. Muellbauer, and the referees for comments on earlier versions. However, the views expressed are his alone and do not necessarily represent those of the International Monetary Fund.     

我国次级债券市场约束的实证研究

随着我国商业银行次级债券发行的频率加快,次级债券除了作为资本金的补充外,我们应该看到其市场约束作用。文章以2003年以来商业银行发行次级债券的数据为基础,把样本分为两组,一组是以前没有发行过次级债券的,一组是以前有过发行的来进行比较研究,得到结论,次级债券的市场约束作用确实存在,且对已经发行过次级债券的银行要明显显著于未发行过的银行;接着,文章利用Heckman两阶段法用所有数据估计了次级债券的市场约束作用,从而我们可以得到现阶段总体而言,次级债券在我国市场约束作用尽管不强,但已经出现,进行得到一些政策含义,政府要搭建一个次级债券市场约束作用发挥的平台,即实行强制的次级债券制度。     

Determinants of public debt maturities

Summary This paper studies financing strategies which underlie the maturity structure of the public debt. Three important objectives for domestic public debt management are distinguished: interest cost reduction, economic stabilization and economic neutrality. The strategies which can be associated with these objectives are incorporated in a simple debt management model, which has been tested empirically for the case of The Netherlands. Variations in debt maturities between 1960 and 1985 appear to be related to changes in capital market conditions, investment preferences and expected real interest rates.I would like to thank Jakob de Haan, Victor Halberstadt, Robert Haveman, Jeroen Kremers, Gusta Renes, Ben van Velthoven and two referees for valuable comments. Research assistance by Marlies Pel is gratefully acknowledged.     

Aggregate Margin Debt and the Divergence of Price from Accounting Fundamentals

We examine whether, in the aggregate, margin debt is associated with the divergence of price from accounting fundamentals. We find that investors increase their margin debt following upward price movements away from accounting fundamentals, consistent with these investors being extrapolative in aggregate. We also find evidence that margin debt appears to be linked to temporary overpricing in recent periods, as the aggregate ratio of margin debt to price is reliably associated with negative future returns since at least 1992. Our results are consistent with the theoretical literature that predicts extrapolative traders have a destabilizing effect on market prices, and helps explain why prices diverge from accounting fundamentals.     

Capital Flow Management Policies and Riskiness of External Liability Structures: the Role of Local Financial Markets

This paper investigates the role domestic financial systems play in the effectiveness of capital flow management policies (CFMs) on the risk of over-reliance on debt. Using data from 44 emerging market countries over the period 1995—2008, we investigate the relationship between financial development, CFMs, and the share of debt in external liabilities as the measure of financial stability risks. We find that financial sector development is an important channel for the effectiveness of CFMs, and enhances the impact of different policy measures on the reduction of external debt liabilities. Our results show that CFMs are significantly more effective in curbing debt inflows in a bank-based economy but, to a lesser extent, in a market-based economy. Our findings remain robust to alternative measures of external liability structures, CFMs and financial development, and consideration of potential endogeneity.     

负债到底是改善了还是恶化了企业的产品市场竞争绩效？——来自中国上市公司的经验研究

负债到底是改善了还是恶化了企业的产品市场竞争绩效？抑或其它？国内外的相关研究一直没有得出一致的结论。本文以我国沪深两市2000—2006年的A股上市公司为样本,进行了实证研究。结果发现：负债对企业产品市场竞争绩效的影响在时间上存在非对称效应,即负债在短期内可能恶化了企业的相对竞争绩效,而在中长期内可能改善了企业的相对竞争绩效。因此,企业在进行负债决策时,需要对短期的产品市场竞争绩效与长期的产品市场竞争绩效进行权衡。     

Asian emerging-market currencies in the international debt market (1994–2014)

This paper investigates the increasing presence of Asian emerging-market currencies in the international debt market over the last two decades. I use the “original sin” index developed by Eichengreen et al. (The pain of original sin. 〈http://elsa.berkeley.edu/~;;eichengr/research/ospainaug21-03.pdf〉 (August, 2003) to measure the use of an economy's home currency in international debt relative to the total international debt of its residents. The relative reliance on home currency debt is seen to have increased markedly in a number of economies. Using a random effects Tobit model, I examine factors underlying recent changes for a sample of nine Asian emerging market economies. The results suggest the importance of economic size, strength of institutions, and financial market development.     

China's explicit social security debt: How large?

Local governments in China have used a large amount of funds from individual accounts to finance deficits in the pay-as-you-go social pooling account, resulting in explicit social security debt. It is undoubtedly useful to know how large the debt is and how it will evolve in the future. This paper assesses the debt in China's social security individual accounts. It shows detailed calculations of the revenue, the anticipated funds, expenditures, and the debt in the individual accounts since their inception in 1997. The social security debt for China reached 1.59% of the GDP in 2015. The paper also assesses the historical social security debt in the individual accounts for each province. It shows that social security debt is unevenly spread, reaching more than 10% in Heilongjiang province and being negative in Guangdong province in 2015. The determinants for high debt in the individual accounts are examined based on the data from thirty-one Chinese provinces from 1997 to 2015. The paper also forecasts social security debt in the future and finds that the social security debt will reach over 8% of GDP in 2025 if the current system remains unchanged. Various ways to reduce the social security debt are also explored.     

Interdependent bank runs under a collapsing fixed exchange rate regime

This paper provides a framework for simultaneous multiple bank runs in a country experiencing a currency crisis. The correlation of bank runs increases as the proportion of debts from foreign creditors (indexed to the dollar) to domestic creditors (indexed to the domestic currency) increases. Moreover, when the share of dollar debt is sufficiently high, this interlinkage is perfect; that is, runs occur in all banks or not at all. Consequently, a situation exists where even a solvent bank cannot borrow in the interbank market. These findings imply that as the domestic banking sector becomes increasingly dependent on dollar debt, there is a heightened requirement for dollar reserves and a lender-of-last-resort facility.     

Macroprudential policy under high capital mobility: policy implications from an academic perspective

The paper explicates the issues raised for macroprudential regulation in a global economy with high capital mobility. The study surveys the recent literature and aims to translate the academic rationale for such policies, in which market imperfections lead to external effects that require policy interventions. The new economics of capital controls is addressed, in which capital flow management measures may be introduced to reduce financial market distortions or to help stabilize exchange rate movements in the face of other market distortions. The empirical literature on the effectiveness of such policies is surveyed.     

债务违约、社会责任与政府支持

转型期中国，地方国有企业作为地区经济发展的一股中坚力量，当其发生债务违约时，作为实际控制人的地方政府究竟是否愿意提供支持，会优先选择哪些企业提供支持，政府的支持行为是否会影响到信贷资源的配置效率呢?为得到验证，文章选取2007-2016年沪深A股地方国有上市企业作为研究样本，实证分析了地方国企发生债务违约后，地方政府的支持行为及其对信贷资源配置效率的影响。研究结论表明：第一，地方国企发生债务违约后，地方政府会提供更多的"支持"，且支持额度与债务违约额呈显著正相关关系；第二，债务违约前，承担了更多社会责任（环保投资、捐赠以及就业等）的地方国企，在债务违约后可相应地获得更多的地方政府支持；第三，违约企业，尤其是得到更多政府支持的违约企业可获得更多的信贷资源，而其经营业绩却往往更差。由此表明政府干预一定程度上降低了信贷资源配置效率。     

Impacts of household loan regulation on financial stability: evidence from Korea

The paper examines whether banking regulations and monetary policy contributed to controlling the fragility of household debt in Korea. The results show that housing loan regulations such as debt to income regulation contributed to a lower household debt delinquency ratio. Lowering the target interest rate provided additional stabilisation of the delinquency ratio. It is recommended that the government adopt an appropriate mix of regulation and monetary policy to control household financial fragility. The financial supervisory services need to be involved in managing debt to income regulation and minimising financial instability and financial market distortions. Further, the monetary authority has to adopt a more effective position in controlling the real lending interest rate and the delinquency ratio of household loans. Such a policy mix will improve effectiveness in controlling financial fragility, especially at a time of financial crisis.     

关于地方政府债务风险预警研究的文献综述

地方政府债务风险问题已经成为中国近来最受关注的问题之一,风险预警研究则成为风险可控与债务管理最关键的一道防线.通过选择多个角度梳理有关文献,总结归纳经验方法,结合中国实情确定未来研究方向.风险预警模型的发展路径经历了“简单指标-综合指标”的趋势,且综合指标的分类、选择及赋权方法多样;研究方法也从一般化的建模理论到特例经验分析.中国地方政府债务问题因为其分税制改革历程的特殊性、官员激励方式不完善以及其他特有因素影响,需要结合信息透明度发展与更成熟的风险预警模型进行研究,接受更严格的管理与综合治理.     

我国地方政府债务管理制度实证研究

随着我国地方政府债务规模的不断扩大,很多地方政府相继出台了地方政府债务管理规定,这些规定出自不同层级的地方政府,在内容上、形式上都存在诸多差异.文章搜集了28个样本的地方政府管理制度进行分析,以制度变迁理论为依据,根据我国地方政府财政资金管理的现实要求,提出在省级政府制定地方政府债务管理制度和省以下政府制定债务资金使用和监督的执行细则的债务管理制度体系,并构建了省级政府的债务管理制度的内容框架,旨在为地方政府有效地管理债务行为和提高债务资金的使用效果提供制度指引.     

HIGH AND VOLATILE TREASURY YIELDS IN TANZANIA: THE ROLE OF STRATEGIC BIDDING AND AUCTION MICROSTRUCTURE

The observed increase in the level and volatility of Tanzania's Treasury yields in recent years against an otherwise benign macroeconomic backdrop presented a puzzle for policymakers, while raising concerns about the fiscal burden of rising debt interest payments and diversion of bank credit away from the private sector. Using evidence from bid-level data, and supported by a simple theorising of bidder incentives under unorthodox issuance practices, this paper traces the recent volatility in yields to the emergence of a sharp segmentation of the T-bill market between sophisticated financial market players (foreign-controlled banks) and a less-experienced group of investors (domestic pension funds and small banks). An important policy recommendation that emerges is that public debt managers should avoid micro-managing Treasury bill auctions by issuing amounts in excess of those offered or by dipping into oversubscribed segments of the yield curve, as such practices seriously disadvantage the less-sophisticated (but more competitive) investors vis-à-vis the more sophisticated players.     

Inferring Accounting Information from Corporate Financing Choices: An Examination of Security Issuances in the Banking Industry*

This study examines the impact of regulatory capital and several of its determinants (i.e., earnings, loan loss provisions, charge‐offs and growth) on bank managers' financing decisions and investors' interpretations of those decisions. The analysis is related to two streams of research. We add to the corporate finance literature that seeks to explain the market's reaction to security issuances by developing and testing a refined set of predictions of the demand for debt and equity capital using a sample of capital‐regulated firms (banks). We extend the accounting literature that links regulatory capital‐management decisions with bank performance by examining whether investors infer that performance. We find that bank managers' financing choices reflect their private information regarding the levels of regulatory capital, earnings, and charge‐offs in the issuance year. We document a negative market reaction to capital‐increasing issuances and a positive reaction to capital‐decreasing issuances. A cross‐sectional analysis of that market reaction indicates that investors infer managers' expectations of earnings in the issuance year.     

金融危机下我国国债资金投向的实证研究

通常认为国债资金主要被用于建设性支出,本文通过定性和定量结合分析发现我国国债资金并非主要投向建设性支出,而是经常性支出。鉴于此,文章针对金融危机下我国所实施的积极财政政策状况提出了强化国债资金投向管理的对策建议。     

Multinationals, Hedging, and Capital Structure under Exchange Rate Uncertainty

This paper examines the interplay of the financing and hedging decisions of a risk-averse multinational firm having a wholly-owned foreign subsidiary. Exchange rate risk management of the multinational firm is shown to have direct impacts on its international capital structure decision and on its currency of denomination decision. If a currency forward market exists, the multinational firm will devise its international capital structure so as to minimize the global weighted average cost of capital. Or else the multinational firm has to rely on a money market hedge through issuing more foreign currency denominated debt and less domestic currency denominated debt, thereby resulting in a higher global weighted average cost of capital. JEL Classification Numbers: D81, F23, G32     

The Determinants of the Secondary Market Price of Less Developed Countries’ Debt

A present-value model of less developed countries’ (LDC) debt is developed to understand the factors that affect the discount on the secondary market. LDC debt trades at a substantial discount on the secondary market. This paper investigates the determinants of the discount for a sample of 13 countries over a 9 year period. The findings show that debt–exports, foreign currency reserves–imports and total debt service to exports ratios are significant determinants of the secondary market prices of LDC debt. The discount is higher in countries where debt–exports ratios are higher and is lower for those with lower foreign currency reserves–imports ratios. Concentration of debt with money center banks has a positive and significant effect on the secondary market price of debt.