Reserve requirements and optimal seigniorage

This note presents a model of optimizing agents who chose to hold deposits at financial intermediaries, which are required to hold fractional reserves of fiat money. When the stock of fiat money is expanded, the reserve requirement functions as a tax on deposits. The combination of reserve requirements and inflation results in a lower steady-state utility than a direct tax on deposits. The optimal monetary policy when reserves are required is to minimize reserve requirements and inflate without limit the stock of fiat money.     

Optimal Bank Behavior under Uncertain Inflation

In this paper, we derive a model of the individual banking firm facing stochastic inflation. The bank is considered as a depository financial intermediary operating in the primary market as a multiproduct price discriminating firm. A secondary market is also considered where liquidity surpluses and deficits are traded. Two types of assets and liabilities are assumed: deposits and loans linked to a general price level and nonlinked instruments. Effects of changes in the parameters such as inflation rate and variability, reserve requirements are analyzed.     

我国存款准备金制度演变的货币政策视角分析

作为货币政策操作工具的存款准备金制度是包含中央银行对存款准备金率、需要缴存准备金的金融机构、不同类型存款(资产)的存款准备金率、可以作为存款准备金的资产类型、存款准备金的计提方式、存款准备金付息及其(付息时)利率以及相关罚则等内容的确定和调整的一个整体。本文从这七个方面简要回顾了我国存款准备金制度演变的历史,认为我国对存款准备金制度在货币政策体系中作用的认识经历了三个阶段,并从货币政策角度对存款准备金制度工具的作用分别进行论述。最后是结论与启示。     

媒体信息对金融资产价格波动的影响——以股票市场为例

基于传统纸质媒体与新媒体获取全面的媒体信息数据,运用 Fama-French三因子模型计算沪深300指成份股的特质波动率,并将媒体信息的关注度、媒体情感、媒体关注度与媒体情感的交互作用纳入统一的计量分析模型中,综合探究媒体信息对金融资产价格波动的影响.结果发现:媒体关注度和媒体情感对金融资产价格波动都具有显著性的影响;媒体关注度和媒体情感相互作用对金融资产价格产生影响;媒体信息对金融资产价格的影响在不同趋势下,其作用方向和程度均具有显著差异.     

财务战略驱动企业盈利模式——美国苹果公司轻资产模式案例研究

本文首先明确了企业现金流结构是连接企业价值与盈利模式的关键变量,架构了"企业价值→财务战略(现金流结构主导)→盈利模式(轻资产模式)→商业活动与资本行为→财务业绩"的财务战略驱动盈利模式的理论框架。文章以美国苹果公司为分析对象,选取该公司自2001年至2011年间的主要业务经营资料与关键财务数据,从财务战略驱动视角,透视苹果公司持续轻资产模式运营的基本要点,包括实施简化生产和标准化零配件、快速供应链、极短的存货周转期、高额现金储备和营运资本、小额固定资产投资、巨额研发与销售终端投资、并购技术性优势企业、内源融资主导等等,这些轻资产战略的基本特征的概括既丰富了财务战略的理论主张,也给企业战略管理实践提供了许多实操性的启示。     

Financial dollarization: Short-run determinants in transition economies

This paper examines the determinants of financial dollarization in transition economies from a short-run perspective. Using aggregate monthly data of deposit and loan dollarization we study the drivers of short-term fluctuations in dollarization and test their importance at different levels of dollarization. The results provide evidence that (a) the positive (negative) short-run effects of depreciation (monetary expansion) on deposit dollarization are exacerbated in high-dollarization countries; (b) short-run loan dollarization is mainly driven by banks matching of domestic loans and deposits, currency matching of assets and liabilities, international financial integration, and institutional quality; and (c) both types of short-run dollarization are affected by interest rate differentials and deviations from desired dollarization.     

Excess reserves,monetary policy and financial volatility

This paper examines the real and financial effects of reserves in a Dynamic Stochastic General Equilibrium (DSGE) model with monopoly banking and credit market imperfections. The framework explicitly accounts for the fact that commercial banks hold excess reserves and they incur costs in holding these assets. The model also accounts for imperfect substitutability between bank funding sources and it shows that this feature is an important channel through which reserve requirement shocks can affect real variables. Numerical experiments show that an increase in reserve requirements creates a countercyclical effect for real economic activity. The results also indicate that the combination of an augmented Taylor rule which responds to excess reserves and a countercyclical reserve requirement rule is optimal to mitigate macroeconomic and financial volatility associated with liquidity shocks.     

Minimizing capital injections by investment and reinsurance for a piecewise deterministic reserve process model

We consider the possibility for an insurance company to rely on capital injections to bring the reserve back to a given level if it has fallen below it and study the problem of dynamically choosing the reinsurance level and the investment in the financial market in order to minimize the expected discounted total amount of capital injection. The reserve process is described by a piecewise deterministic process, where the random discontinuities are triggered by the arrival of a claim or by a change in the prices of the risky assets in which the company invests. The capital injections, combined with the specific model, make the problem non-linear and difficult to solve via an HJB approach. The emphasis here is on making the actual computation of a solution possible by value iteration combined with an approximation based on discretization. This leads to a nearly optimal solution with an approximation that can be made arbitrarily precise. Numerical results show the feasibility of the proposed approach.     

管理层动机、会计政策选择与盈余管理——基于新会计准则下上市公司金融资产分类的实证研究

本文对新会计准则下上市公司金融资产的分类进行了实证研究,主要关注企业对交易性金融资产和可供出售金融资产的确认和计量。本文的实证结果发现,当上市公司持有的金融资产比例较高时,为降低公允价值变动对利润的影响程度,管理层会将较大比例的金融资产确认为可供出售金融资产;在持有期间,为了避免利润的下滑,管理层往往违背最初的持有意图,将可供出售的金融资产在短期内进行处置。本文的实证结果为研究管理层动机、会计政策选择和盈余管理之间的关系提供了新的视角。     

Foreign reserve management during the global financial crisis

This paper examines how countries managed their foreign currency reserves during the global financial crisis. Evidence based on changes in reserve stocks suggests that many governments, even those with high levels of pre-crisis reserves, were reluctant to use them during the crisis. As a consequence, a number of recent studies of cross-country experiences during the crisis find little evidence of a positive role for reserves in macroeconomic crisis-management. This paper examines whether this assessment of the non-role of reserves during the crisis is justified. While the reserve stock data indicates stable reserve levels for many countries during the crisis, distinguishing between reserve changes that occurred due to interest income and valuation changes on existing assets and asset purchases and sales, indicates that many emerging economies actively depleted reserves. Further, the data indicate that countries whose pre-crisis reserve levels were in excess of what can be explained by standard models of reserve accumulation were the most likely to sell reserve assets during the crisis.     

Optimal seigniorage and financial liberalization

This paper analyzes the effect of financial integration for countries relying on the taxation of their domestic financial system. A two-country model with overlapping generations and explicit financial intermediation is used. Goverments derive revenues from seigniorage and set optimally, but non-cooperatively, the rate of inflation and the level of required reserves on bank deposits. A financial liberalizations leads to lower reserve ratios, higher inflation rates, and larger stocks of government debt. When the liberalization is anticipated, governments may temporarily increase the reserve ratios before the liberalization occurs. (JEL F30, E60)     

从中美经济相互依存看我国高额外汇储备管理

美债危机爆发后,中国作为美国在海外最大的债券持有者仍然不得不继续增持美债,一方面是由于人民币汇率长期与美元挂钩,国际贸易和金融交易主要以美元结算以及我国出口导向型经济增长方式短期内无法改变均导致外汇储备被动积累,另一方面更是因为一旦我国大规模减持美元资产,将引起全球外汇市场对美元的恐慌性抛售,并最终危及我国在美金融资产安全。美债危机表明我国经济对美国高度依赖,并凸显了经济增长方式转变以及对高额外汇储备有效管理的重要性与紧迫性。     

Taxation of Financial Assets in Developing Countries

In developing countries most of the financial assets are depositsat commercial banks. This article focuses on the implicit taxationof financial assets through seigniorage, reserve requirements,lending targets, and interest ceilings combined with inflation.The impact of taxation on financial deepening increases significantlywith the tax rate, as shown by cross-sectional and time seriesdata for selected countries in Sub-Saharan Africa and SoutheastAsia. The problem of measuring revenue is examined, and theefficiency cost of taxation is analyzed in a Harberger framework.Although taxes on financial assets have a low administrativecost, the excess burden caused by the misallocation of resourcesis probably a much higher fraction of revenues than that ofother taxes.     

互联网金融资产的多目标投资组合研究

互联网金融的快速发展和不断创新,正在悄然改变着公众的投资理财行为。本文在分析互联网金融创新下公众流动性偏好、投资行为变化与资产选择的基础上,构建基于CRRA(常数相对风险厌恶)期末财富期望效用最大化和VaR最小化的多目标投资组合模型。同时引入多目标优化的NSGA-Ⅱ遗传算法,并选择实际数据对模型进行求解,得出最优的互联网金融资产组合。研究表明:(1)互联网金融给传统金融业带来冲击的同时,也改变了人们的流动性偏好、投资行为和资产组合选择。(2)互联网金融在一定程度上调和了金融资产“流动性、收益性和安全性”之间的矛盾,并兼顾了“三性”的相对统一。(3)模型求解结果显示,投资者对互联网金融资产的投资组合为低风险类资产60%左右、高风险类资产40%左右。     

国有商业银行不良资产处置损失补偿方式研究

从目前情况看,不良资产问题是国有商业银行改革与发展中的最大障碍.根据国际经验,对不良资产处置损失补偿的方式主要有国家财政承担、中央银行承担、商业银行自身承担、第三方资金注入及发行货币,其中政府资金是主要来源.本文在借鉴国际经验的基础上,综合考虑现有国家财政能力、中央银行外汇储备实力、商业银行自身财务能力以及社会投资趋势的情况下,提出国有商业银行不良资产损失补偿要采取合理分担、多种渠道实施的方式来进行,即通过增发国债、中央银行动用外汇储备、商业银行自身消化、引入社会资金等多种方式共同承担不良资产处置损失,为其进一步的改革与发展铺平道路.     

Can cryptocurrencies provide a viable hedging mechanism for benchmark index investors?

This paper investigates the non-linear causal nexus at lower, medium, and upper quantiles that cryptocurrencies can generate as a hedging mechanism for international benchmark indices, as represented by the MSCI World index and its sectoral sub-indices. Significant causality-in-mean between each of the assets examined is detected at lower quantiles only in a small number of sectors, whereas all analysed assets are found to trigger important non-linear causal impacts on the volatility of the selected benchmark indices, particularly during periods denoted to possess significant asset price fluctuations. From a financial perspective, this result suggests that cryptocurrencies are developing to possess a very similar ability to that of long-standing traditional financial assets, serving as a hedging mechanism against extreme fluctuations within investor portfolios that include MSCI constituents during a variety of very different market conditions.     

Credit and Banking in a DSGE Model of the Euro Area

This paper studies the role of credit supply factors in business cycle fluctuations using a dynamic stochastic general equilibrium (DSGE) model with financial frictions enriched with an imperfectly competitive banking sector. Banks issue collateralized loans to both households and firms, obtain funding via deposits, and accumulate capital out of retained earnings. Loan margins depend on the banks' capital‐to‐assets ratio and on the degree of interest rate stickiness. Balance‐sheet constraints establish a link between the business cycle, which affects bank profits and thus capital, and the supply and cost of loans. The model is estimated with Bayesian techniques using data for the euro area. The analysis delivers the following results. First, the banking sector and, in particular, sticky rates attenuate the effects of monetary policy shocks, while financial intermediation increases the propagation of supply shocks. Second, shocks originating in the banking sector explain the largest share of the contraction of economic activity in 2008, while macroeconomic shocks played a limited role. Third, an unexpected destruction of bank capital may have substantial effects on the economy.     

High-Technology Intangibles and Analysts' Forecasts

This study examines the association between firms' intangible assets and properties of the information contained in analysts' earnings forecasts. We hypothesize that analysts will supplement firms' financial information by placing greater relative emphasis on their own private (or idiosyncratic) information when deriving their earnings forecasts for firms with significant intangible assets. Our evidence is consistent with this hypothesis. We find that the consensus in analysts' forecasts, measured as the correlation in analysts' forecast errors, is negatively associated with a firm's level of intangible assets. This result is robust to controlling for analyst uncertainty about a firm's future earnings, which we also find to be higher for firms with high levels of internally generated (and expensed) intangibles. Given that analyst uncertainty increases and analyst consensus decreases with the level of a firm's intangible assets, we also expect and find that the degree to which the mean forecast aggregates private information and is more accurate than an individual analyst's forecast increases with a firm's intangible assets. Finally, additional analysis reveals that lower levels of analyst consensus are associated with high-technology manufacturing companies, and that this association is explained by the relatively high R&D expenditures made by these firms. Overall, our results are consistent with financial analysts augmenting the financial reporting systems of firms with higher levels of intangible assets (in terms of contributing to more accurate earnings expectations), particularly R&D-driven high-tech manufacturers.     

Liquidity Requirements,Free-Riding,and the Implications for Financial Stability Evidence from the Early 1900s

Maintaining sufficient liquidity in the financial system is vital for its stability. However, since returns on liquid assets are typically low, individual financial institutions may seek to hold fewer such assets, especially if they believe they can rely on other institutions for liquidity support. We examine whether state banks in the early 1900s took advantage of relatively high cash balances maintained by national banks, due to reserve requirements, to hold less cash themselves. We find that state banks did hold less cash in places where both state legal requirements were lower and national banks were more prevalent.     

Reclassification of Financial Assets under IAS 39: Impact on European Banks' Financial Statements

In response to the financial crisis, the IASB issued on 13 October 2008 an amendment to IAS 39 which enables entities to reclassify non-derivative financial assets held for trading and financial assets available-for-sale. This paper examines the influence of this controversial amendment on the 2008 financial statements of 219 European banks which apply IFRS. I find that approximately one-third of the sample banks have taken extensive advantage of these reclassification opportunities. The mean reclassification amount is 3.9% of total assets and 131% of the book value of equity, respectively. I further document that reclassifying banks avoid substantial fair value losses, and hence, report significantly higher levels of return on assets (ROA), return on equity (ROE), book value of equity and regulatory capital. In particular, the mean ROE switches sign from a negative ROE of ?1.4% to a positive ROE of 1.3% due to gains from reclassifications. Overall, this paper documents a substantial impact of the amendments on banks' financial statements and suggests analysing these reclassifications with particular caution.