商业银行资本监管制度改革(六):重新校准资本充足率监管标准 增强银行体系应对风险的能力

此次国际金融危机暴露出,按照8%最低资本充足率要求计提的资本远远不能覆盖吸收危机期间银行所遭受的实际损失,处于危机中心地区的欧美国家政府被迫通过购买不良资产、直接注资等方式对银行体系     

国际跨境资本流动管理的新动向及主要特点

国际金融危机集中爆发以来,为防止危机蔓延,稳定国内金融市场,不少国家不同程度地采取了限制资本流出、鼓励资本流入的措施。该文总结了各国有关限制资本流出、鼓励和引导资本流入的主要措施,分析了当前各国跨境资本流动管理的新动向,提出了几点启示。     

理性预期、资本内流与货币危机——基于资本流动的宏观效应分析

货币危机发生机制问题,一直是国际经济学的研究热点之一。货币危机的三代模型注重的是从微观经济主体的行为出发,去解释货币危机发生机制。虽然货币危机预警模型是从宏观方面来研究货币危机,然而却是建立在统计经验之上的,缺乏严密的数理基础。本文从宏观经济的角度出发,基于资本流动的宏观效应,运用数理模型对货币危机发生的机制进行了理论分析,给出了一个货币危机发生机制的宏观模型,该模型的主要结论是:资本内流存在一个临界值,一旦资本流入超过临界值,货币危机就会发生。运用该模型给出了防止货币危机的建议:只要当局把资本流动控制在临界值以内,就可以防止货币危机。     

理性预期、资本内流与货币危机--基于资本流动的宏观效应分析北大核心CSSCISSCI

货币危机发生机制问题,一直是国际经济学的研究热点之一。货币危机的三代模型注重的是从微观经济主体的行为出发,去解释货币危机发生机制。虽然货币危机预警模型是从宏观方面来研究货币危机,然而却是建立在统计经验之上的,缺乏严密的数理基础。本文从宏观经济的角度出发,基于资本流动的宏观效应,运用数理模型对货币危机发生的机制进行了理论分析,给出了一个货币危机发生机制的宏观模型,该模型的主要结论是:资本内流存在一个临界值,一旦资本流入超过临界值,货币危机就会发生。运用该模型给出了防止货币危机的建议:只要当局把资本流动控制在临界值以内,就可以防止货币危机。     

新监管指标对银行资本补充的影响

在本次国际金融危机前,中国银行业监管当局就开始推进巴塞尔新资本协议在中国银行业的实施,并制定了相应的过渡期。然而就在这期间,国际金融危机爆发,新的银行监管框     

次贷危机对我国资本市场的影响及启示

本文论述了自去年7月份以来不断蔓延的美国次贷危机对我国资本市场的影响,从直接和间接两个方面论述次贷危机对我国资本市场的影响,并在此基础上得出了次贷危机对我国的几点启示。     

底线

20世纪90年代发生的资本项目危机是深重的，事后所造成的危害很大，它打碎了经济及金融专家单纯依赖传统的流动变量分析(如年度GDP、经常项目与财政余额)对一国财务健康状况予以准确判断的能力所可能存在的自满情绪。回过头来看这些危机，观察家们发现，事后发生的危机的征兆或许能够从一国的资产负债表中察觉到，表现     

次贷危机背景下新巴塞尔协议的发展趋势及其对我国的启示

次贷危机爆发后,新巴塞尔协议缓和还是恶化了危机引起了学术界的广泛父注.本文从次贷危机爆发前后对新巴塞尔协议的争议、次贷危机后巴塞尔委员会对新协议的修正以及新巴塞尔协议的发展趋势等几个方而,总结了次贷危机前后新巴塞尔协议暴露出来的问题,并对我国银行业未来实施新协议提出了政策建议.     

次贷危机与国际资本流动新趋势

次贷危机下的国际资本流动趋向与对危机发展的认识和判断关系密切，也影响美元汇率走势。     

基于财务视角的保险公司偿付能力监管分析

偿付能力是保险企业的生命线,是保险业监管的核心。尤其是美国次贷危机的爆发导致了全球性的偿付能力危机,引发了新一轮全球性的偿付能力监管改革浪潮。因此重新审视我国偿付能力监管体系、改革和完善其监管效率将具有重大意义。本文从财务的角度全面分析了我国偿付能力监管体系的现状,重点从财务的角度分析了我国偿付能力监管存在的问题,最后提出了改善我国偿付能力监管体系的政策建议。     

The fall of Spanish cajas: Lessons of ownership and governance for banks

Ownership, governance, and institutional diversity among banks are a subject of public and regulatory concern. This paper addresses this issue by using a case study of Spain, where the retail banking market was split evenly between shareholder and stakeholder banks before the crisis. We examine how institutional diversity mattered in the accumulation of risk in the pre-crisis years, in the severity of losses caused by the crisis, and in the resilience to recover from the losses. The method of analysis consists in linking the risk position of the banks in the pre-crisis period and the losses arising during the crisis to the decisions of banks to migrate from business models based on deposit financing to models based on market-debt financing. We find that cajas migrated to more vulnerable business models following the strategy of the shareholder banks, but the losses in the crisis were much higher in the former than in the latter. The paper interprets this result as evidence that what matters the most about the ownership of banks is their resilience in bad times.     

Heterogeneous market structure and systemic risk: Evidence from dual banking systems

This paper investigates how banking system stability is affected when we combine Islamic and conventional finance under the same roof. We compare systemic resilience of three types of banks in six GCC member countries with dual banking systems: fully-fledged Islamic banks (IB), purely conventional banks (CB) and conventional banks with Islamic windows (CBw). We employ market-based systemic risk measures such as MES, SRISK and CoVaR to identify which sector is more vulnerable to a systemic event. We also compute weighted average GES to determine which sector is most synchronised with the market. Moreover, we use graphical network models to determine the most interconnected banking sector that can more easily spread a systemic shock to the whole system. Using a sample of observations on 79 publicly traded banks operating over the 2005–2014 period, we find that CBw is the least resilient sector to a systemic event, it has the highest synchronicity with the market, and it is the most interconnected banking sector during crisis times.     

Covid-19 pandemic,a catalyst for aggressive earnings management by banks?

This paper investigates the effects of the Covid-19 pandemic on the financial reporting quality of European banks by examining the occurrence of earnings management specifically income smoothing. Using a sample of listed European banks, we employ panel estimation to compare income smoothing in the pre-pandemic period (2019Q1-2019Q4) and the pandemic period (2020Q1-2021Q4). We find that earnings management has significantly increased during the pandemic years, evidencing how the quality of financial reporting is affected during the crisis period. Our findings further suggest that amid the crisis, governance quality limits the incidence of earnings management and emphasizes how the strength of country-level governance and institutional framework affects the quality of financial reporting. Further analysis shows that though banks are inclined to manage earnings during a crisis, nevertheless, the presence of high-quality audit is a limiting factor on the incidence of earnings management in the face of crisis. Our findings which are relevant to investors, market participants, and regulators among others make a significant contribution to the accounting literature and specifically complement the strand of literature on the discretionary use of loan loss provision for earnings management during crisis.     

Asymmetric volatility connectedness on the forex market

We show how bad and good volatility propagate through the forex market, i.e., we provide evidence for asymmetric volatility connectedness on the forex market. Using high-frequency, intra-day data of the most actively traded currencies over 2007–2015 we document the dominating asymmetries in spillovers that are due to bad, rather than good, volatility. We also show that negative spillovers are chiefly tied to the dragging sovereign debt crisis in Europe while positive spillovers are correlated with the subprime crisis, different monetary policies among key world central banks, and developments on commodities markets. It seems that a combination of monetary and real-economy events is behind the positive asymmetries in volatility spillovers, while fiscal factors are linked with negative spillovers.     

Bank CEO materialism: Risk controls,culture and tail risk

We investigate how the prevalence of materialistic bank CEOs has evolved over time, and how risk management policies, non-CEO executives’ behavior and tail risk vary with CEO materialism. We document that the proportion of banks run by materialistic CEOs increased significantly from 1994 to 2004, that the strength of risk management functions is significantly lower for banks with materialistic CEOs, and that non-CEO executives in banks with materialistic CEOs insider trade more aggressively around government intervention during the financial crisis. Finally, we find that banks with materialistic CEOs have significantly more downside tail risk relative to banks with non-materialistic CEOs.     

The credit crisis around the globe: Why did some banks perform better?

Though overall bank performance from July 2007 to December 2008 was the worst since the Great Depression, there is significant variation in the cross-section of stock returns of large banks across the world during that period. We use this variation to evaluate the importance of factors that have been put forth as having contributed to the poor performance of banks during the credit crisis. The evidence is supportive of theories that emphasize the fragility of banks financed with short-term capital market funding. The better-performing banks had less leverage and lower returns immediately before the crisis. Differences in banking regulations across countries are generally uncorrelated with the performance of banks during the crisis, except that large banks from countries with more restrictions on bank activities performed better and decreased loans less. Our evidence poses a substantial challenge to those who argue that poor bank governance was a major cause of the crisis because we find that banks with more shareholder-friendly boards performed significantly worse during the crisis than other banks, were not less risky before the crisis, and reduced loans more during the crisis.     

Social capital and bank stability

Using a sample of public and private banks, we study how social capital relates to bank stability. Social capital, which reflects the level of cooperative norms in society, is likely to reduce opportunistic behavior (Jha and Chen 2015; Hasan et al., 2017) and, therefore, act as an informal monitoring mechanism. Consistent with our expectations, we find that banks in high social capital regions experienced fewer failures and less financial trouble during the 2007–2010 financial crisis than banks in low social capital regions. In addition, we find that social capital was negatively associated with abnormal risk-taking and positively associated with accounting transparency and accounting conservatism in the pre-crisis period of 2000–2006, indicating that risk-taking, accounting transparency, and accounting conservatism are possible channels through which social capital affected bank stability during the crisis.     

Liquidity from two lending facilities

We examine how the threat of disclosure (stigma) changes the quality of banks that approach emergency lending facilities. We study a financial crisis where two confidential facilities were available to banks. Unexpectedly, a partial list of bank names from one facility was published, suddenly stigmatizing that facility. We find that the composition of banks that approached each facility changed, where the newly stigmatized facility attracted weaker banks that maintained smaller liquidity buffers, while the alternative confidential facility attracted both weaker and stronger banks. Our results shed light on how stigma prevents regulators from reaching many banks to inject critical liquidity into the banking sector during a crisis.     

How to get banks to take less risk and disclose bad news

There is wide agreement that before the recent financial crisis, financial institutions took excessive risk in their investment strategies. At the same time, regulators complained that banks did not reveal the extent of their difficulties in a timely fashion thus reducing the effectiveness of government intervention to prevent or mitigate the deleterious effects of the financial crisis. The purpose of this paper is to investigate how regulators can best use certain tools at their disposal to motivate banks to take less risk and to provide adverse information to regulators early. We argue that two tools, namely (i) allowing bank payouts to equity holders even when banks report they are in trouble and (ii) constraining banks’ future investment strategy when they are in trouble can achieve both goals. We show that, in some cases, it is optimal to use both of these tools in combination. That is, in such cases it is optimal to allow equity payouts when banks report they are in trouble, even though such payouts increase the incentive for banks to take excessive risk and even though these payments are financed by taxpayers. We also show that the more socially costly is constraining the bank’s portfolio selection or the more complex are the bank’s assets, the more likely it is that allowing larger payouts and fewer constraints is optimal. Finally we discuss how changes in bank capital requirements interact with inducing disclosure and preventing excessive risk taking.     

Responding to a Shadow Banking Crisis: The Lessons of 1763

In August 1763, northern Europe experienced a financial crisis with numerous parallels to the 2008 Lehman episode. The crisis affected merchant banks that were funded by short‐term credit instead of deposits. We use archival data to show that these “shadow” banks suffered a sudden loss of funding after the failure of a major bank. The central bank at the hub of the crisis, the Bank of Amsterdam, responded by broadening the range of collateral it accepted. The data also show how this emergency liquidity helped to contain the crisis, by preventing the collapse of at least two other major banks.