Charles Goodhart and Gerhard Illing (eds) 2002 Financial Crises, Contagion, and the Lender of Last Resort, a Reader

Book reviewed in this article:
Charles Goodhart and Gerhard Illing (eds.), Financial Crises, Contagion, and the Lender of Last Resort, a Reader     

A Simple Model of an International Lender of Last Resort

This paper develops a simple model of an international lender of last resort (ILOLR). The world economy consists of many open economies, each with its own banking system and its own central bank which uses its reserves to manage a pegged exchange rate. The fragility of the banking system and the limited ability of a domestic central bank to provide international liquidity together can cause currency and banking crises. An international interbank market can help an economy with the needed international liquidity, but this risk-sharing also comes with potential costs of international financial contagion. Such contagious risk is much higher when there is an international interbank market than otherwise. An ILOLR can play a useful role in providing international liquidity and reducing international contagion.     

最后贷款人(LLR)制度:香港经验及其启示

本文在对香港金融管理局履行最后贷款人角色和国内近几年地方政府动用公共资源对地方法人类金融机构进行资本救助、财务重组情况进行总结的基础上,研究认为:处置地方法人类金融机构的风险,必须发挥地方政府的积极作用;建立我国基于市场机制作用的真正的LLR制度;更严格地限制异地非金融机构类股东入股地方法人类金融机构;适当扩大外汇储备的运用范围.     

最后贷款人制度：设计原则与改进措施

从最后贷款人概念提出至今,西方国家对最后贷款人制度的研究已经有了200多年的历史。最后贷款人制度理论随着金融市场的变迁以及各国的实践也发生了很大的变化。本文回顾了最后贷款人制度的设计原则,包括谁来充当最后贷款人、最后贷款人的制度规则以及如何防范最后贷款人引起的道德风险等,在此基础上结合我国的现实情况提出了完善我国最后贷款人制度的若干建议。     

Capital Openness and Financial Crises: A Financial Contagion Model with Multiple Equilibria

Abstract

This paper explores the effects of capital openness on financial crises and contagion. In the model, we analyze four channels of contagion involved in the process of financial crisis: monsoon effects, spillovers, self‐fulfilling expectations and new information. We empirically test the data from China, an economy with capital account controls, and find that the fundamentals of China (PRC) are now in a vulnerable area which yields multiple equilibria. Consequently, the Chinese economy is easily affected via the channels discussed in this paper. Finally we suggest that the capital account of China should be opened gradually.     

对金融危机风险传染效应的比较研究——基于静态与动态copula函数的分析

随着国际经济一体化程度的提高,一国经济的突发性事件导致国际金融市场间关联程度发生变化,甚至对世界范围内的经济产生传染效应.本文运用Skew t-GARCH模型处理了时间序列数据表现出来的尖峰、波动性和厚尾等特性,并结合静态和动态copula函数方法,比较了近20年两次金融危机前后美、中两国三个金融市场间相关结构的变化,从而对金融风险的传染效应和传染途径进行了对比分析.     

流动性供给、最后贷款人与金融系统稳定:一个次优选择

中央银行维护金融稳定的能力建立在其能够为市场提供流动性这一特有能力的基础之上。事实上,金融危机期间,各国央行一方面通过调整自身的资产负债表而创造流动性以支持金融系统正常运转;一方面动用最后贷款人职能对个别机构进行救助。需要注意的是,大规模流动性供给和救助行为并非是"最优"的选择,其对经济金融失衡的影响、对公平效率的损害,以及由此带来的通胀压力和政策外溢效应不容忽视。     

金融投资中介化、噪声交易与金融危机模型的微观建构

随着金融市场的发展,投资者更多地通过金融中介间接参与金融市场投资。然而,金融中介的风险转移倾向容易导致风险资产的均衡价格偏离其基础价值,形成价格泡沫。长期存在的噪声交易者与金融投资中介化引发的资产泡沫相互推动,最终形成金融危机。即使在经济稳定的环境下,同样会由于金融市场本身发展的内在矛盾而导致危机的发生。     

Futurity,Pro-cyclicality and Financial Crises

Nearly a century ago, one of the leading forefathers of the school of evolutionary economics, John R. Commons, coined the term ‘futurity’ to describe an epochal change in the late nineteenth-century advanced economies. Futurity refers to the reorientation of economies towards the future, and specifically to the fledgling practice of treating businesses as ‘going concerns’ and measuring its value in terms of their anticipated future profits. Curiously, the implication of such epochal changes on the performance of the financial system had rarely been discussed, let alone addressed. This article presents a theoretical argument that suggests that futurity encourages pro-cyclical dynamics that are pulling the financial systems in ever more violent and disastrous swings.     

信用货币、金融危机与国际金融合作

全球金融危机对传统的以美联储为主导的金融调控方式及美元在世界经济中所扮演的角色提出了严峻的挑战。导致全球金融危机的根源是美国经济的畸形发展与国际金融体制的固有缺陷。化解本次金融危机的出路在于,各国之间要加强政策协调和进行国际货币体制改革,各国央行要采取协调合作的干预措施,共同制订新的国际金融条例,建立广泛的国际金融合作体系。本文首先分析了信用货币的发展及其监管困境,接着对全球金融危机的深层根源进行研究,最后提出了通过加强国际金融合作和改革国际货币体系来应对全球金融危机的建议。     

Securitization,Social Distance,and Financial Crises

Because the process of securitizing home mortgages played a critical role in precipitating the recent financial crisis, it is widely agreed that this market must be reformed to prevent future collapses. Most proposals focus on improving the dissemination of information among securitization participants, and on strengthening incentives to discourage excessive risk-taking. This paper argues that because securitization involves the commodification of the lending relationship, it reinforces the type of self-interested behavior that often undermines regulatory efforts. What are needed are structural reforms that encourage moral behavior by narrowing the social distance between lenders and borrowers. This can be accomplished by a return to traditional banking lending, supplemented by the use of covered bonds to loosen credit constraints and to help financial intermediaries manage market risk.     

Securitization,Social Distance,and Financial Crises

Because the process of securitizing home mortgages played a critical role in precipitating the recent financial crisis, it is widely agreed that this market must be reformed to prevent future collapses. Most proposals focus on improving the dissemination of information among securitization participants, and on strengthening incentives to discourage excessive risk-taking. This paper argues that because securitization involves the commodification of the lending relationship, it reinforces the type of self-interested behavior that often undermines regulatory efforts. What are needed are structural reforms that encourage moral behavior by narrowing the social distance between lenders and borrowers. This can be accomplished by a return to traditional banking lending, supplemented by the use of covered bonds to loosen credit constraints and to help financial intermediaries manage market risk.     

Financial Globalization,Financial Crises,and the External Portfolio Structure of Emerging Markets*

We study the transitional dynamics of financial integration in emerging economies using a two‐sector model with a collateral constraint on external debt and trading costs incurred by foreign investors. The probability of a financial crisis displays overshooting; it rises sharply initially and then falls sharply, but remains non‐zero in the long run. While equity holdings fall permanently, bond holdings initially fall, but rise after the probability of a crisis peaks. Conversely, asset returns and asset prices first rise and then fall. These results are in line with the post‐globalization dynamics observed in emerging markets, and the higher frequency of crises that they display.     

金融网络及传染对金融稳定的影响

本文主要介绍目前利用金融网络解决金融传染问题的相关研究方法和研究成果.笔者在简单回顾了金融网络的结构特征、描述性指标及几大典型结构之后,从微观角度分析了最优金融网络所具有的一些共同特征,从宏观角度分析了现实金融网络的拓扑结构,研究了网络结构在金融传染过程中所起到的作用,并基于此从金融网络的角度提出了提高金融体系稳定性的相关措施,为预防危机的传染提供了政策参考.     

Government Guarantees, Investment, and Vulnerability to Financial Crises

The paper presents a new model of the East Asian crisis which combines three elements—moral hazard, investment collapse, and multiple equilibria—in a single account. The study locates the causes of the crisis in poor financial regulation, highly leveraged financial institutions, and implicit guarantees to the financial sector. The model has a unique long‐run equilibrium with overinvestment. But in the short run, in which the capital stock is fixed, there may be multiple equilibria. In a crisis the government is forced to renege on its guarantees; the effect is a rapid reversal of foreign capital flows.     

Balance Sheet Effects, Bailout Guarantees and Financial Crises

This paper provides a model of boom-bust episodes in middle-income countries. It is based on sectoral differences in corporate finance: the nontradables sector is special in that it faces a contract enforceability problem and enjoys bailout guarantees. As a result, currency mismatch and borrowing constraints arise endogenously in that sector. This sectoral asymmetry allows the model to replicate the main features of observed boom–bust episodes. In particular, episodes begin with a lending boom and a real appreciation, peak in a self-fulfilling crisis during which a real depreciation coincides with widespread bankruptcies, and end in a recession and credit crunch. The nontradables sector accounts for most of the volatility in output and credit.     

Contagion of the Global Financial Crisis and the real economy: A regional analysis

This paper investigates the contagion effects of the Global Financial Crisis (2007–2009) by examining ten sectors in six developed and emerging regions during different phases of the crisis. The analysis tests different channels of financial contagion across regions and real economy sectors by utilizing dynamic conditional correlation from the multivariate Fractionally Integrated Asymmetric Power ARCH (FIAPARCH) model. Evidence shows that the GFC can be characterized by contagion effects across regional stock markets and regional financial and non-financial sectors.However, Developed Pacific region and some sectors in particular Consumer Goods, Healthcare and Technology across all regions seem to be less affected by the crisis, while the most vulnerable sectors are observed in the emerging Asian and European regions. Further, the analysis on a crisis phase level indicates that the most severe contagion effects exist after the failure of Lehman Brothers limiting the effectiveness of portfolio diversification.