Banks' interest rate risk: the net interest income perspective versus the market value perspective

We use portfolios of passive investment strategies to replicate the interest risk of banks' banking books. The following empirical statements are derived. (i) Changes in banks' market value and in their net interest income are highly correlated, irrespective of the banks' portfolio composition. (ii) However, banks' portfolio composition has a huge impact on the ratio of changes in net interest income relative to changes in market value. These results are important for the design and interpretation of interest rate stress tests for banks.     

Capital and income financialization: Accounting for the 2008 financial crisis

Financialization is recognised as a key feature of the 2008 financial crisis. We argue that a lesson is the need for an accounting framework which focuses upon financialization allowing it to be monitored and controlled by stakeholders. We argue that financialization has been permitted through the failure of accounting to distinguish distributable income from capital gains/transfers and to distinguish productive from speculative capital. We introduce an accounting presentation (4S accounting) which effectively makes these distinctions. We use a stylized example to illustrate how it should be applied to the financial reporting of banks.     

Economic consequences of financial reporting changes: diluted EPS and contingent convertible securities

This paper examines the economic consequences of changes in the financial reporting requirements for contingent convertible securities (COCOs). Using a sample of 199 COCO issuers from 2000 to 2004, we find that issuers are more likely to restructure or redeem existing COCOs to obtain more favorable accounting treatment when the financial reporting impact on diluted earnings per share (EPS) is greater and when EPS is used as a performance metric in CEO bonus contracts. These results provide new evidence that managers are willing to incur costs to retain perceived financial reporting and compensation benefits. We also present evidence of significantly negative stock returns around event dates associated with the financial reporting changes, consistent with investor anticipation of the agency costs associated with the rule change.

Bank earnings management and performance reporting of comprehensive income

FASB’s ASU 2011-05 mandated that comprehensive income (CI) and other comprehensive income (OCI) be reported in performance statements (a single income statement or a separate statement of CI) rather than equity statements. Employing a difference-in-differences research design with ASU 2011-05 as the treatment, I find that presenting accounting information in different statements affects bank earnings management, specifically, presenting CI and OCI in performance statements (especially in single-statements with net income) reduces earnings management through selective sales of available-for-sale (AFS) securities in the banking industry. I also find that the influence of ASU 2011-05 is primarily on banks with high equity incentives in the CEO’s compensation package or less CEO job security. Additional analyses suggest that performance reporting of CI and OCI increases the predictive ability of realized gains and losses of AFS securities; however, banks may manage loan loss provision as a substitute strategy when they have to decrease selective sales of AFS securities.     

Banks' noninterest income and securities holdings in a low interest rate environment: The case of Italy

Using a sample of 440 Italian banks over the period 2007–2016, we find that low interest rates motivate banks to expand their fee and commission income and to restructure their securities portfolios. A granular breakdown suggests that banks grow noninterest income in various ways, including portfolio management, brokerage and consultancy services and increase fee income from current account and payment services. In addition, banks rebalance securities portfolios away from those “held for trading” to securities “available for sale” and “held to maturity.” Our findings allude to different behavior between large and small banks: while larger banks increase brokerage, consultancy and portfolio management services, smaller banks generate fees from customer current accounts.     

金融危机发生条件及其对中国金哨开放的警示——以新兴市场国家为例

金融危机成因固然复杂,但是循着新兴市场金融危机特征、金融危机模型以及大量相关实证分析的路径,可以追溯到金融危机的主要生成条件。在固定汇率制条件下开放金融业,如果出现宏观基本面恶化、金融体系扭曲、公众对政府政策预期不乐观等现象,金融危机就有可能在各种层面孪生、爆发并传染。金融危机爆发的充要条件是值得中国政府开放金融市场进程中予以关注的。     

Research on Embeddedness of Financial Institution in Guangxi Beibu Gulf Economic Zone

伴随着区域合作与发展的深化,如何挖掘现有的金融资源,加快引进有竞争力的金融机构,让引进的金融机构主体立足本地、根植本地,自觉地将自己的经营战略融入区域经济活动之中,成为金融管理监管部门思考的重要课题。本文以金融机构根植性这一创新视角,以广西北部湾经济区为例,分析金融机构根植性对经济区金融的传导机制,最后提出在政府服务功能、金融生态环境建设、保持适度差距等方面进行改进的建议。     

Financialisation,financial chains and uneven geographical development: Towards a research agenda

This paper examines a critical relationship between finance and uneven geographical development, using Europe as a point of reference. It argues that the existing economic geography literature fails to fully address the implications of financialisation for uneven geographical development. In particular, and despite recent renewed interest in geographies of finance, there does not seem to be a coherent theory of debt and its spatialities. The paper argues that the lack of a coherent theoretical framework on spatialities of credit–debt is a major shortcoming and highlights the need for a geographically-informed view of financialisation and its implications for uneven development. As a way forward, the paper proposes a new approach based on the concept of ‘financial chains’ understood both as channels of value transfer and as social relations that shape socio-economic processes over space and time.     

Trust in,trust out: a real cost of sudden and significant financial loss

This study examines the loss of trust that occurs when individuals suffer from sudden and significant financial loss. We use a qualitative case study to show that individuals lose trust in a range of parties, including financial advisors, banks, credit providers, government and perhaps most damagingly of all, oneself. Such outcomes are concerning as all financial services are based on trust between various parties, and trust is important in making financial decisions. A lack of trust can lead to poorer individual and societal outcomes. It also suggests that trends to financial self‐sufficiency have risks, which impact well beyond monetary losses.     

A simulation analysis of the microstructure of an order driven financial market with multiple securities and portfolio choices

In this paper we propose an artificial market where multiple risky assets are exchanged. Agents are constrained by the availability of resources and trade to adjust their portfolio according to an exogenously given target portfolio. We model the trading mechanism as a continuous auction order-driven market. Agents are heterogeneous in terms of desired target portfolio allocations, but they are homogeneous in terms of trading strategies. We investigate the role played by the trading mechanism in affecting the dynamics of prices, trading volume and volatility. We show that the institutional setting of a double auction market is sufficient to generate a non-normal distribution of price changes and temporal patterns that resemble those observed in real markets. Moreover, we highlight the role played by the interaction between individual wealth constraints and the market frictions associated with a double auction system to determine the negative asymmetry of the stock returns distribution.     

Performance evaluation bias: A comparative study on the role of financial fixation,similarity-to-self and likeability

Performance evaluations are critical to organizational control. Dissatisfaction with systems emphasizing financial targets only has driven many companies to adopt systems using multiple performance measures. These multiple measurement systems (MMS) however may exacerbate certain cognitive biases. Using multiple performance measures can be a cognitively complex task that invites coping reactions anchored in simplifying heuristic biases, such as the likability of the target evaluatee and similarity-to-self. There are reasons to believe that these biases may manifest differently across “individualistic” or “collectivist” cultures. Our study examines three biases (financial fixation, similarity-to-self and likeability) across two distant cultures (United States and Spain) along the individualistic–collectivist dimensions. Participants are MBA students from Spain and the US. Consistent with theory-based predictions, we find that likability and similarity-to-self impact Spanish participants while financial fixation presents greater influence among US participants. These findings underscore the importance of considering national culture in designing performance measurement systems and advise about the role of specific biases, which are not culturally neutral.     

Economic volatility and financial markets: The case of mortgage‐backed securities

The volatility of aggregate economic activity in the United States decreased markedly in the mid‐eighties. The decrease involved several components of GDP and has been linked to a more stable economic environment, identified by smaller shocks, more effective policy, and a diverse set of innovations in technology as well as financial markets. We study one such financial innovation, and document a negative relation between the rapid growth of mortgage‐backed securities and the volatility of GDP and some of its components from the mid‐1970s to the late 1990s. We also document that this relation changed sign, from negative to positive, in the early 2000s.     

金融发展对经济增长的促进作用及其持续性研究——基于英美、德国、法国法系的比较视角

本研究按英美法系、德国法系和法国法系国家群分类,考察了各法系特征及其影响机制下,金融发展对经济增长的促进作用及持续性效果的差异,属于“法金融”范畴。本文首先阐述了主要法系的核心理念,提出法系影响金融发展与经济增长关系的社会和适应两个机制,并对其影响机理进行分析。在此基础上采用动态面板GMM方法,对包括英美、德国和法国3个法系共计98个经济体的面板数据,实证检验了不同法系下金融发展对经济增长的促进作用及持续性的差异。本研究得出以下结论:法系的核心理念和特征会通过社会机制和适应机制,影响一国金融发展对经济增长的促进作用;分法系看,德国法系下金融发展对经济增长促进作用的持续性最强,英美法系居中,法国法系最弱。本研究对中国金融发展模式改革以及如何有效促进经济增长提出了政策建议。     

Integration of financial and management accounting systems: The mediating influence of a consistent financial language on controllership effectiveness

Two fundamental options exist for management accounting system (MAS) design: Either financial records can be used as a database for management accounting (integrated accounting system design), or the MAS can be based upon a separate system, i.e., a third set of books beside financial and tax accounting records. Since the 1990s, many German-speaking firms have changed from the second to the first option, which has instigated a highly controversial debate.Our paper contributes to this debate by empirically analyzing (1) whether the integration of financial and management accounting has a positive impact on controllership effectiveness, and (2) what causal inferences relate both variables. We use structural equation modelling for a sample of 149 dyads surveyed from German top 1500 firms. We identify no significant effect of the technical aspects of MAS integration, but a fully mediating influence of a consistent financial language on controllership effectiveness. Our results thus imply that consistency with financial reporting is an important property of MAS design from management's point of view.     

The effects of activity and geographic diversification on performance: Evidence from French financial institutions

Our paper studies the impact of activity and geographic diversification on financial institution's performance. These diversification strategies are complementary in generating performance and may provide important implications. Moreover, we investigate the interaction between these two strategies. Our dataset comprises 4532 years observations over the period of 2002 to 2012 and covers 412 French financial institutions. We find a negative relationship between diversification and performance. However, this relationship is significantly positive when institutions implement a dual diversification strategy. In this paper, we propose a classification of French financial institutions. For generalists’ banks and cooperative banks, we find similar results to those of the entire sample. Furthermore, for specialized financial institutions, the relationship is positive and significant. Our findings are robust to the potential endogeneity problem and to measures of diversification and performance.     

The relative influence of competitive intensity and business strategy on the relationship between financial leverage and performance

This study empirically investigates the effects of competitive intensity and business strategy on the relationship between financial leverage and the performance of firms. Based on a sample of US manufacturing firms, this study confirms the hypothesis that the cost of debt is higher for product differentiation firms than cost leadership firms. Furthermore, the results indicate that competitive intensity has a negative effect on the leverage-performance relationship, suggesting that competition acts as a substitute for debt in limiting manager's opportunistic behavior. These findings reinforce the need to consider moderating factors such as strategic choice and the environment in which a firm operates when investigating the effects of leverage on performance.     

关于金融产业集聚与区域金融中心建设的思考

随着经济金融全球化的加速发展,金融产业出现高度集聚的现象,形成了具有不同影响力的金融中心。与实体产业集聚的研究相比,金融产业集聚具有自己的特征,目前在这方面的研究还很不够。金融产业集聚的高度发展形成了金融中心。金融中心建设的成败在于总部金融建设。国外金融中心建设的成功经验为我们加快国际金融中心和区域金融中心建设提供了有益的启示。     

我国金融周期计量及其波动特征的实证分析

本文首先选取代表性金融指标:广义货币供给M2、银行信贷额、股票市值和保费金额作为权数,计算指标增长率的基础上建构中国金融周期指数,根据指数序列,利用HP滤波模型对我国金融周期指数以及构成周期指数的指标变量进行周期和趋势特征分析,在此基础上给出我国金融周期指数分析的结论。     

The geometry of crashes. A measure of the dynamics of stock market crises

This paper investigates the dynamics of stocks in the S&P 500 index for the last 30 years. Using a stochastic geometry technique, we investigate the evolution of the market space and define a new measure for that purpose that is a robust index of the dynamics of the market structure and provides information on the intensity and the sectoral impact of crises. With this measure, we analyse the effects of extreme phenomena on the geometry of the market. Nine crashes between 1987 and 2001 are compared by looking at the way they modify the shape of the manifold that describes the S&P 500 market space.     

资源流动性与经济转型时期的中国地方财政职能

传统财政理论在论述地方财政职能时,都隐含着资源可以在各辖区间充分流动的理论前提,在此前提下,地方政府在宏观经济稳定和再分配方面的作用有限;但是,新近的一些观点对此提出了挑战,而处于经济转型时期的中国地方财政的实际职能也充分地印证了这些新的观点.从长远来看,中国地方财政职能的有效发挥,有赖于中央和地方之间合理地划分事权.在此基础上,经济转型时期的中国地方财政职能才能不断优化,财政支出效率也能得到提高.