DEGREASING THE WHEELS OF FINANCE

Can there be too much trading in financial markets? We construct a dynamic general equilibrium model, where agents face idiosyncratic liquidity shocks. A financial market allows agents to adjust their portfolio of liquid and illiquid assets in response to these shocks. The optimal policy is to restrict access to this market because portfolio choices exhibit a pecuniary externality: Agents do not take into account that by holding more of the liquid asset, they not only acquire additional insurance against these liquidity shocks, but also marginally increase the value of the liquid asset, which improves insurance for other market participants.     

Equilibrium interest rate and liquidity premium with transaction costs

Summary. In this article we study the effects of transaction costs on asset prices. We assume an overlapping generations economy with two riskless assets. The first asset is liquid while the second asset carries proportional transaction costs. We show that agents buy the liquid asset for short-term investment and the illiquid asset for long-term investment. When transaction costs increase, the price of the liquid asset increases. The price of the illiquid asset decreases if the asset is in small supply, but may increase if the supply is large. These results have implications for the effects of transaction taxes and commission deregulation. Received: December 5, 1997; revised version: March 19, 1998     

The effect of the tax reform act of 1986 on the location of assets in financial services firms

This paper examines the effects of the Tax Reform Act of 1986 on the international location decisions of U.S. financial services firms. The Act included rule changes that made it substantially more difficult for U.S. firms to defer U.S. taxes on overseas financial services income held in low-tax jurisdictions. We use information from the tax returns of U.S. corporations to examine how local taxes affect the allocation of financial assets held abroad by financial services firms. We find that, before the Act, the location of reported assets in financial subsidiaries was responsive to differences in host country tax rates across jurisdictions. However, after the Act, differences in host country tax rates no longer explain the distribution of assets held in financial services subsidiaries abroad. Our results suggest that the tightening of the anti-deferral provisions applicable to financial services companies has been successful in diminishing the effect of host country income taxes on asset location decisions.     

Effects of Securities Transaction Taxes on Depth and Bid-Ask Spread

This note investigates the effects of introducing a transaction tax on depth and bid-ask spread using a static model where a competitive market maker faces informed and liquidity traders. When the degree of information asymmetry is low, an increase in the transaction tax can result into a smaller rise in the selling price and the depth may even increase in some cases. When information asymmetry is high, the dealer could increase the selling price more than the tax and sometimes lowers the depth. This can result in a market shutdown if the liquidity trader is driven out of the market. We thank Vincent Reinhart and Walter Fisher for helpful discussions. Special thanks are also due to an anonymous referee and the editor C.D. Aliprantis for insightful comments and suggestions which have helped us to improve the paper substantially. The usual disclaimer applies.     

The Fiscal Multiplier in a Liquidity‐Constrained New Keynesian Economy

We study the effects of fiscal policy on the macroeconomy using a liquidity‐constrained New Keynesian model in which government bonds are liquid, and private financial assets are only partially liquid. We find that the fiscal multipliers in this economic environment are large enough for fiscal policy to be highly effective. In this model, a bond‐financed fiscal expansion can stimulate output because higher public borrowing improves liquidity by increasing the proportion of liquid assets in private‐sector wealth.     

Monetary policy and efficiency in over‐the‐counter financial trade

We develop a monetary model that incorporates over‐the‐counter (OTC) asset trade. After agents have made their money holding decisions, they receive an idiosyncratic shock that affects their valuation for consumption and, hence, for the unique liquid asset, namely money. Subsequently, agents can choose whether they want to enter the OTC market in order to sell assets and thus boost their liquidity or to buy assets and thus provide liquidity to other agents. In our model, inflation affects not only the money holding decisions of agents, as is standard in monetary theory, but also the entry decision of these agents in the financial market. We use our framework to study the effect of inflation on welfare, asset prices and OTC trade volume. In contrast to most monetary models, which predict a negative relationship between inflation and welfare, we find that inflation can be welfare improving within a certain range, because it mitigates a search externality that agents impose on one another when they make their OTC market entry decision. Also, an increase in the holding cost of money will lead to a decrease in asset prices, a regularity that is well documented in the data and often considered anomalous.     

Real estate prices and systemic banking crises

The collapse of real estate prices has historically jeopardized banking stability and triggered systemic banking crises. This paper studies risk contagion in a banking system in real estate price shock by adopting complex network theory. Modelling the real estate-related asset as a common exposure of banks to the real estate market, we propose a model that incorporates two main risk contagion channels, i.e., the financial network and asset fire sales, and reveal how the real estate price shock is transmitted and propagated across banks. We demonstrate that banking stability is highly sensitive to the real estate price shock. Moreover, due to the particularly low liquidity of the real estate market, the asset fire-sales of real estate assets overwhelms the financial network, playing the dominant role in risk contagion. Our model can be adopted by regulators to conduct stress testing and to forge effective risk management strategies.     

Tobin tax and trading volume tightening: a reassessment

This article extends the previous literature on the Tobin tax. We find that very roughly, a doubling in transaction costs would reduce trading volume by 25% to 40% in the Forex. Most importantly, this article is the first contribution to specify the trading volume of the Forex through different (low and high volatility) regimes. Our results show evidence of nonlinear patterns for trading volumes and transaction costs on the Forex. Thus, the Tobin tax would not have a monotonic impact on trading activity across market conditions. The change in elasticity between low and high volatility regimes would be slight but significantly different. We may suggest that the high-variance regime might be the fundamentalist regime and the low-variance regime might be the chartist regime. It is a first step towards understanding which categories of agents would react to the introduction of a tax. Our results seem consistent with Tobin’s underlying thinking; since a tax would penalize chartists more than fundamentalists, it could reduce exchange rate volatility.     

Liquidity shocks and equilibrium liquidity premia

We study an equilibrium in which agents face surprise liquidity shocks and invest in liquid and illiquid riskless assets. The random holding horizon from liquidity shocks makes the return of the illiquid security risky. The equilibrium premium for such risk depends on the constraint that agents face when borrowing against future income; it is insignificant without borrowing constraint, but can be very high with borrowing constraint. Illiquidity, therefore, can have large effects on asset returns when agents face liquidity shocks and borrowing constraints. This result can help us understand why some securities have high liquidity premia, despite low turnover frequency.     

关于增值税会计的几点思考

增值税是对商品生产和流通中各环节的增值额进行征税。按照增值税对购进固定资产所含进项税额扣除时间的不同,分为生产型、收入型和消费型。我国自1994年实施税制改革以来,有关增值税会计的问题一直是人们议论较多的话题,这除了因税收法规的不断变化而对会计产生的影响以外,主要原因还在于人们对增值税会计属性的认识以及在实际工作上所存在的财务会计与税务会计的矛盾所致。针对日常业务的几个比较难以理解的问题,提出自观点和看法。     

Global banking,global crises? The role of the bank balance-sheet channel for the transmission of financial crises

We examine whether shocks to leveraged creditors with cross border holdings have an incidence on debtor countries׳ risk of suffering financial turmoil. We construct a new proxy of shocks to international banks׳ balance-sheets using credit ratings and the structure of their international assets. This allows us investigating the effect of (foreign) bank balance-sheet shocks on domestic financial turmoil in a large sample of 146 developed and emerging economies from 1984 to 2011. Our proxies of shocks towards bank balance-sheets are strong predictors of systemic banking crises in their debtor countries. Confirming these results, bilateral bank flows significantly decrease when creditor banks׳ assets are hit by negative shocks, as measured by credit rating downgrades from third-party countries. Short-term liabilities towards global banks appear to increase roll-over and funding risks, thereby amplifying the impact of shocks to foreign lenders’ balance-sheets. Domestic banking sectors vulnerabilities, such as illiquid assets and a low deposit-asset ratio, are found to increase crisis contagion risk. In contrast, a high level of global liquidity attenuates the transmission of shocks to international banks׳ assets to debtor countries.     

EXIT OPTIONS AND DIVIDEND POLICY UNDER LIQUIDITY CONSTRAINTS

We introduce a post‐entry liquidity constraint to the standard model of a firm with serially correlated profitability and an irreversible exit decision. We assume that firms with no cash holdings and negative cash flow must either exit or raise new cash at a transaction cost. This creates a precautionary motive for holding cash, which must be traded off against the liquidity cost of holding cash. We characterize the optimal exit and payout policy. The direct effect of financial frictions is to impose inefficient exit, but there is also an indirect effect through higher equilibrium price that leads to inefficient survival.     

北京市房地产泡沫状况与成因分析

对北京市房地产开发投资、固定资产投资、商品房销售情况进行量化分析,并计算地价与GDP、物价增长率的相关指标,据此分析北京市房地产市场的经济波动状况以及泡沫情况,并从价格预期、土地稀缺性、流动性膨胀、银行信贷非理性膨胀、税收政策几个方面对影响泡沫形成的因素进行分析,为相关市场参与者提供相关依据。     

流动性与资产定价:基于我国股市资产换手率与预期收益的实证研究

流动性与资产定价是目前金融研究的热点之一 (O’Hara,2 0 0 3 )。本文通过检验交易频率零假设和交易成本备择假设 ,深入分析我国股市流动性与资产定价的理论与经验关系 ,发现 :我国股市存在显著的流动性溢价 ,换手率低、交易成本高且流动性小的资产具有较高的预期收益 ;产生流动性溢价的原因是交易成本而不是交易频率 ;与国外股市相似 ,小企业收益率高于大企业 ,价值股收益率高于成长股。因此 ,我国股市并非令人无法捉摸 ,流动性、规模和价值效应都是资产定价的因素     

Financial crises and liquidity shocks a bank-run perspective

In contrast with the financial multiplier literature, this note explores a case in which the shock triggering a financial crisis stems from the financial sector itself; it is not a shock stemming from the real sector which gets amplified by, say, agency problems. The basic intuition is provided by the bank-run literature of the Diamond and Dybvig (1983) variety. Financial development is modeled as a mechanism that endows real assets (e.g., land and capital) with liquidity. However, liquidity can be impaired by shocks that are equivalent to a bank run. Liquidity creation enhances real asset prices, while a liquidity crunch generates asset price collapse. This bubble-looking episode is not driven by standard fundamentals, although it is fully in line with rationality. In this context, devoid of other frictions like price stickiness, the note examines the effect of monetary policy in the absence of nominal rigidities. It shows that preventing price deflation is not enough to offset relative (to output) asset price meltdown, but lower policy interest rates increase relative asset prices and steady-state output. Moreover, in the neighborhood of a first-best capital allocation, an increase in the liquidity of capital may lower the welfare of the representative individual, even if the higher liquidity of capital is sustainable and, hence, not destroyed by future crash – illustrating the possibility of “excessive” financial innovation. An extension of the basic model supports the conjecture that low policy interest rates may have given further incentives to the development of “shadow banking.”     

Revisiting Covered Interest Parity in the European Union: the DCCA Approach

This paper analyzes the evidence of financial integration, with covered interest parity (CIP), for a group of countries that have already adopted the euro and another group of countries that kept their currencies. We use detrended cross-correlation analysis, which allows analyzing the behavior of time series even when they are not stationary. The main results indicate that countries that adopted the euro do not show much evidence in favor of CIP, before joining the Eurozone, which could imply they will not benefit from all common currency advantages. In the group of countries that did not adopt the euro, Denmark, Sweden, the UK and the Czech Republic are the ones presenting better conditions for financial integration with the euro, while Bulgaria has also some evidence of this. Some possible explanations of CIP deviations are agents not considering all countries’ assets as similar and also the underdevelopment of markets and liquidity problems (more pronounced due to periods of turmoil).     

非均衡博弈、央行的微观独立性与最优金融稳定政策

本文从当前金融稳定理论发展和中国金融稳定操作现实出发,构建了中央银行-金融机构-居民部门的非均衡博弈模型,试图寻找最优金融稳定规则。本文的基本结论如下:第一,在当前的金融稳定政策框架下,中央银行的货币与稳定政策组合存在多重均衡的可能;第二,基于中央银行和金融机构对于流动性的信息的不对称,金融机构具有隐藏信息和游说央行的负面激励;第三,中央银行出于对未来支付体系稳定的考虑,在与金融机构的博弈中处于被动地位,金融稳定和货币政策均因此而丧失独立性;第四,居民不具备真正的博弈参与权,而只是博弈结果的承担者,其结果是承担真实或隐性的通货膨胀税;第五,根据以上博弈分析,建立最优金融稳定政策必须在微观机制和宏观机制上实施重新设计,包括金融稳定政策的“最后”性、中央银行的监督权赋予和保持距离型制度安排、金融稳定内含于货币政策,以及稳定与改革的分离和成本的重新界定。     

构建我国纳税人诉讼制度的理论基础

纳税人诉讼制度是公民财政监督权的具体体现,是实现财政民主与财政法治的重要途径。文章逐次分析了纳税人诉讼制度的政治学、经济学以及法学基础,指出“税收契约”、“税收价格”和“．税收债权债务理论’’都是纳税人诉讼赖以建立的理论基础,而宪法中关于人民主权、财产权、监督权的规定是纳税人诉讼得以建立的直接依据。     

Fire sales by euro area banks and funds: What is their asset price impact?

The assets under management of investment funds have soared in recent years, triggering a debate on their possible implications for financial stability. We contribute to this debate assessing the asset price impact of fire sales in a novel partial equilibrium model of euro area funds and banks calibrated over the period between 2008 and 2017. An initial shock to yields causes funds to sell assets to address investor redemptions, while both banks and funds sell assets to keep their leverage constant. These fire sales generate second-round price effects. We find that the potential losses due to the price impact of fire sales have decreased over time for the system. The contribution of funds to this impact is lower than that of banks. However, funds’ relative contribution has risen due to their increased assets under management and banks’ lower leverage and rebalancing towards loans. Should this trend continue, funds will become an increasingly important source of systemic risk.     

企业税负、虚拟经济发展与工业企业金融化——来自A股上市公司的证据

税收负担是否成为倒逼实体经济企业向金融投资领域进军的重要动因？虚拟经济发展在企业税负与企业金融化之间的关联效应如何？本文使用2010—2016年A股工业企业财务数据进行实证研究，结果表明：（1）微观税负能显著提高工业企业金融资产配置水平；（2）相较于国有企业，非国有企业税收负担的金融化效应更为明显；（3）虚拟经济发展将放大税负水平对企业金融化的正向作用。