Alternatives to blanket guarantees for containing a systemic crisis

This paper seeks to explain how policy actions undertaken at the outset of recent crises—particularly the issuance of extensive liquidity support and government guarantees—absorb off-budget fiscal resources and inappropriately constrain officials’ subsequent options for restructuring their country’s troubled financial and corporate sectors. Empirical evidence supports the commonsense view that the damage a crisis works on a country’s financial sector and on its real economy is lessened by taking market-mimicking actions that promptly estimate and allocate losses during the early stages of a crisis. The most important steps are to plan to call a timeout to separate hopelessly insolvent institutions from potentially viable ones and to provide haircuts, guarantees, and liquidity support in ways that protect taxpayers and avoid subsidizing insolvent institutions’ longshot gambles for resurrection.     

基层央行开展金融消费权益保护工作的探索与思考

本文从2008年全球金融危机以来我国开展金融消费权益保护工作的基本情况出发,介绍了我国金融消费权益保护的现状、侵害消费者权益的主要表现形式、金融消费者保护组织体系及主要职责、人民银行开展金融消费权益保护工作的有益探索等内容,概述了以美英为代表的发达国家和世界主要经济体开展金融消费者保护工作的经验,指出了目前基层央行在开展金融消费权益保护工作存在的主要问题,最后,根据基层央行履职实际有针对性地提出了若干建议。     

后危机时期宏观审慎管理框架问题研究

随着全球经济一体化进程的快速推进,近20年来世界各经济体之间的关联度逐步加强,金融深化日益加深,系统风险也不断累积,并最终导致金融危机的发生。过去以低通胀、高增长为目标的货币政策和财政政策加之以资本监管为核心的微观审慎监管不足以维护整体的金融稳定,需构建由中央银行主导的宏观审慎的管理框架。     

美英央行对受困金融机构的救助方式评鉴

中央银行在危机救助中应该扮演怎样的角色,各国并无统一定论.本文通过深入研究美英央行在金融危机中对受困金融机构采取的救助手段及其履职效果,论证了央行在危机救助中发挥投资功能对平衡金融稳定职责和价格稳定职责具有重要意义,同时也是中央银行最终贷款人职能的必然延伸,可以有效填补央行与财政部门在金融稳定职责方面的模糊地带.     

浅议商业银行的财务危机及其化解策略

财务危机是指商业银行经营过程中由于费用成本过大,收入减少,或资产出现严重损失,造成财务亏损或资不抵债的一种经济现象。化解商业银行财务危机的紧急有效措施是采取减员增效、压缩节支等手段,而从根本上解除财务危机在于不断提高商业银行的经营质量,做到既好又快地发展。     

Explaining bank stock performance with crisis sentiment

Using search volume data on crisis-related queries from Google Trends, we estimate three different measures of market-level and individual crisis sentiment. We find that the stock performance of international banks during the period Q1 2004 to Q4 2012 was significantly driven by investors’ irrational market-wide crisis sentiment. Our empirical analysis shows that irrational market-wide crisis sentiment leads investors to devalue bank stocks irrespective of idiosyncratic or macroeconomic fundamentals. Comparing this finding with results for a sample of non-financial companies, we find evidence in support of the notion that the effect of crisis sentiment on stock returns is strongest in the absence of implicit bailout guarantees.     

Deposit interest rates, asset risk and bank failure in Croatia

Financial deregulation, while beneficial in the long-term, seems to be linked to instability. Intense competition for deposits appears to be an ingredient in instability. We examine the aftermath of deregulation in Croatia, which included rapid growth of both deposits and deposit interest rates, followed by numerous bank failures.

Using panel regression techniques, we find evidence of “market-stealing” via high deposit interest rates. We connect high deposit interest rates to bank failure using logit models. High deposit interest rates were a reliable signal of risk-taking. When supervisory capabilities and powers are weak, deposit interest rate regulation may be worth considering.     

Failed bank takeovers and financial stability

Current discussion about the design of bank resolution frameworks suggests that the takeover of a failed bank by an incumbent one has two effects on financial stability. First, the incumbent takeover may boost financial stability by providing bankers with incentives to be solvent so as to profit from their competitors’ failure. Second, the incumbent takeover may spoil financial stability by creating “Systemically Important Financial Institutions”. The innovation of this paper is to capture these two effects in a theoretical model. We show that when incumbent bankers are impatient enough (i.e., they have high discount rates), the second effect prevails over the first one. We discuss the implications of this result for the design of bank resolution policies.     

A theory of systemic risk and design of prudential bank regulation

Systemic risk is modeled as the endogenously chosen correlation of returns on assets held by banks. The limited liability of banks and the presence of a negative externality of one bank’s failure on the health of other banks give rise to a systemic risk-shifting incentive where all banks undertake correlated investments, thereby increasing economy-wide aggregate risk. Regulatory mechanisms such as bank closure policy and capital adequacy requirements that are commonly based only on a bank’s own risk fail to mitigate aggregate risk-shifting incentives, and can, in fact, accentuate systemic risk. Prudential regulation is shown to operate at a collective level, regulating each bank as a function of both its joint (correlated) risk with other banks as well as its individual (bank-specific) risk.     

Herding behaviour in the Australian loan market and its impact on bank loan quality

We examine the effect of herding behaviour on the credit quality of bank loans in Australia. We find that bank herding varies with different types of loans. It tends to be more prevalent in owner‐occupied housing loans and credit cards than other types of loans. During the global financial crisis period, herding in owner‐occupied housing loans was most pronounced due to the flight‐to‐quality phenomenon in the housing sector. Furthermore, we find that the big four banks tend to herd more than smaller and regional banks. Bank herding behaviour is countercyclical, as it is negatively related to real GDP growth and the cost of funding but is positively related to market risk. Regulatory capital requirements may also encourage herding as banks are required to hold less risk‐weighted capital for residential loans. Most importantly, bank herding is related to higher impaired assets and therefore lower loan quality. Our findings may have implications for policymakers and bank regulators.     

从金融产品异化角度解析次贷危机的特征、发展和前景

人们之所以对次贷危机一再判断失误和低估其影响,主要在于采用了传统观念来评估这次前所未有的危机。次贷危机和以往历次金融危机相比最大的特征在于它是首次由产品异化引发的全面金融危机,所以从产品异化角度来审视这次危机,有助于揭示其中许多新的特征和发展脉络。相应地,传统的危机对策难以完全应对这次新型危机,只有同时对业务模式和产品重新调整,才能最终恢复市场信心和信任。在业务模式和产品经过调整的后危机时代,美国金融市场将会进入更加健康持续深化发展的新阶段。     

企业社会责任研究

企业社会责任是构建企业与社会和谐关系的基本思想,然而我国企业在履行社会责任方面还存在一些问题,人们对企业社会责任的认识还存在误区,企业没有树立正确的生产经营意识和经营理念,企业在建立企业社会责任体制方面不够健全,政府和企业社会责任划分不清,因此企业要转变观念以提高承担社会责任的意识,政府要加强法制建设,抓紧研究制定企业社会责任的法律法规,强化政策导向,形成企业社会责任的激励机制。     

关于巴塞尔协议规避银行系统危机的有效性研究

对银行实施监管是银行界的共识,最近几十年来,全球最核心的监管条例无疑就是巴塞尔协议。从巴塞尔委员会成立起,协议的修改和完善就从未停止,但即便如此,世界上两大经济体美国和欧盟都发生了足以载入史册的金融危机。那么,以巴塞尔协议为代表的规制能否彻底解决银行系统危机问题呢?本文以巴塞尔协议作为主要的研究对象,论证仅仅用规制的方式难以避免系统性风险,银行不仅需要市场化的资源配置手段,同时也需要直接的计划调控手段规避系统性风险。     

Theories of bank behavior under capital regulation

This paper reviews academic studies of bank capital regulation in an effort to evaluate the intellectual foundation for the imposition of the Basel I and Basel II systems of risk-based capital requirements. The theoretical literature yields general agreement about the immediate effects of capital requirements on bank lending and loan rates and the longer-term impacts on bank ratios of equity to total or risk-adjusted assets. This literature produces highly mixed predictions, however, regarding the effects of capital regulation on asset risk and overall safety and soundness for the banking system as a whole. Thus, the intellectual foundation for the present capital-regulation regime is not particularly strong. The mixed conclusions in the academic literature on banking certainly do not provide unqualified support for moving to an even more stringent and costly system of capital requirements. These widely ambiguous results do suggest, however, that assessing the implications of capital regulation for balance-sheet risk and monitoring effort in diverse banking systems is an important agenda for future theoretical research in the banking area.     

金融市场开放过程中的监管

判断一国经济安全与健康发达与否的重要标准之一 ,就是要考察经济运行中是否拥有稳健而且运行有效的金融机构体系。在金融机构建设中金融监管发挥重要作用。我国已正式加入WTO ,金融国际化发展成为必然趋势 ,在逐渐开放的金融市场中加强对金融机构的监管 ,尤其是充分认识监管与金融发展的适应性对建设金融机构具有更重要现实意义     

Bank pay caps,bank risk,and macroprudential regulation

This paper studies the consequences of a regulatory pay cap in proportion to assets on bank risk, bank value, and bank asset allocations. The cap is shown to lower banks’ risk and raise banks’ values by acting against a competitive externality in the labour market. The risk reduction is achieved without the possibility of reduced lending from a Tier 1 increase. The cap encourages diversification and reduces the need a bank has to focus on a limited number of asset classes. The cap can be used for Macroprudential Regulation to encourage banks to move resources away from wholesale banking to the retail banking sector. Such an intervention would be targeted: in 2009 a 20% reduction in remuneration would have been equivalent to more than 150 basis points of extra Tier 1 for UBS, for example.     

A model of a systemic bank run

This paper provides a model of the view that the 2008 financial crisis is reminiscent of a bank run, focussing on six stylized key features. In particular, core financial institutions have invested their funds in asset-backed securities rather than committed to long-term projects: in distress, these can potentially be sold to a large pool of outside investors at steep discounts. I consider two different motives for outside investors and their interaction with banks trading asset-backed securities: uncertainty aversion versus adverse selection. I shall argue that the version with uncertainty averse investors is more consistent with the stylized facts than the adverse selection perspective: in the former, the crisis deepens, the larger the market share of distressed core banks, while a run becomes less likely instead as a result in the adverse selection version. Therefore, the outright purchase of troubled assets by the government at prices above current market prices may both alleviate the financial crises as well as provide tax payers with returns above those for safe securities.     

美元定价权外移与美联储危机干预之困

由次级房屋抵押贷款引发的美国金融危机目前已经演变成了全球性金融危机。美联储自去年以来迭创新招进行危机干预,但我们看到的却是危机的愈演愈烈,每一次的干预都显得徒劳,最终不得不由政府出面来进行救助。这一方面与危机涉及的金融产品的复杂性有关,另一方面,笔者通过研究发现,也与美元定价权外移有关。本文通过对美元定价权外移的历史背景以及美联储危机干预的效应分析,发现美元定价权的实际外移给美联储的危机干预带来了相当的困惑,由此阐明全球化环境下保住货币定价权至关重要。     

金融危机背景下金融杠杆作用之审视

本文认为金融杠杆的存在有其必然性和合理性.在当前背景下,适当利用金融杠杆对走出金融危机阴影仍具有重要意义.就我国而言,金融杠杆的发展仍有不足,为扩大需求应考虑适度加大杠杆化力度.     

当前国际上商业银行流动性风险的变化与监管趋势

本文分析了商业银行流动性风险的特殊性,以及当前国际上商业银行流动性风险的变化与监管趋势,通过借鉴国际发展趋势和吸取中外历史教训,探讨了我国商业银行流动性风险管理与监管可获得的启示.