Increasing Wealth and Increasing Instability: The Role of Collateral

In development economics, growth in credit is generally associated with faster long-run growth as financial intermediation improves the efficiency of channeling capital to productive investment. Yet, among developing countries high growth in credit almost always guarantees the outbreak of a financial crisis. The authors attempt to reconcile the two seemingly contradictory facts with an endogenous growth model in which entry to international borrowing entails some significant fixed cost. The poorest countries are excluded from international borrowing because of the fixed cost. The higher-income developing countries will find it optimal to sink the fixed cost to borrow internationally, growing faster as a result, but also become prone to fluctuations arising from shocks to the international financial market.     

Developing countries’ financial vulnerability to the eurozone crisis: an event study of equity and bond markets

The global crisis highlights the continued vulnerability of developing countries to shocks from advanced economies. Just a few years after the global crisis, the eurozone sovereign debt crisis has emerged as the single biggest threat to the global outlook. In this paper, we apply the event study methodology to gauge the scope for financial contagion from the EU to developing countries. More specifically, we estimate the responsiveness of equity and bond markets in developing countries to global crisis period and eurozone crisis news. Overall, we find that whereas global crisis period had a consistently negative effect on returns of equity and bond markets in developing countries, the effect of eurozone crisis news was more mixed and limited.     

Inefficient Credit Booms

This paper studies the welfare properties of competitive equilibria in an economy with financial frictions hit by aggregate shocks. In particular, it shows that competitive financial contracts can result in excessive borrowing ex ante and excessive volatility ex post . Even though from a first-best perspective the equilibrium always displays under-borrowing, from a second-best point of view excessive borrowing can arise. The inefficiency is due to the combination of limited commitment in financial contracts and the fact that asset prices are determined in a spot market. This generates a pecuniary externality that is not internalized in private contracts. The model provides a framework to evaluate preventive policies, which can be used during a credit boom to reduce the expected costs of a financial crisis.     

Emerging market sovereign bond spreads,credit ratings and global financial crisis

This paper investigates the impacts of sovereign credit ratings and global financial conditions on the evolution of EMBI Global (EMBIG) spreads for a panel of 23 developing countries by using daily data for the period between 1998 and 2012. To this end, we employ not only the conventional panel estimation procedures, but also the recent methods tackling with either cross-sectional dependence stemming from common global shocks or a potential endogeneity. Our results suggest that credit ratings along with global financial conditions re the main determinants of EMBIG spreads. The determinants of EMBIG spreads are not invariant to speculative and investment grade episodes and transitions between them. The recent global crisis changed the determinants of EMBIG spreads and led to credit ratings' impact to converge between speculative and investment grade countries.     

Forecasting Turkey’s Credit Ratings with Multivariate Grey Model and Grey Relational Analysis

The concept of credit rating rooted back to mid-nineteenth century has become one of the most important elements in the world economy together with the globalization period gradually accelerating in the last two decades and increasing the interaction and sensitivity in the international markets. With the globalization and deepening in the financial markets; the effect, reliability and stability of knowledge of the actors who are in charge for directing the global capital flows have quite a big importance in terms of the decisions to be made in the future. In this process, credit rating agencies eliminating the information asymmetry between the countries and institutions who want to create financial resource by borrowing from the savings owners and foreign institutions. Credit ratings determined by the mentioned organizations are accepted as an indicator of the countries to meet the financial obligations in other words their creditworthiness. For Turkey’s economy having a structure with a high level of external financing needs in terms of accelerating the growth and development process, it is inevitable to have an international creditworthiness increasing long-term investment tendency meeting foreign capitals’ trust search. In this study, firstly the determinants of the credit ratings given by credit rating agencies are determined and then forecasting Turkey’s future credit ratings by combining them with multivariate grey model and grey relational analysis are performed.

     

Dynamic relationship between Turkey and European countries during the global financial crisis

This study examines the relationship between time-varying risk perceptions of investors towards major European countries and Turkey. In that manner, we first obtain the dynamic conditional correlations between the credit default spreads (CDSs) of Turkey and 13 European countries from September 2004 to April 2013. Next, we endogenously detect the shifts in these dynamic correlation levels using a penalized contrast methodology. Accordingly, we find positive level shifts in all correlations following the US crisis. The upward trend in all CDS correlations holds during the eurozone debt crisis, but positive changes in correlations are not flagged as level shifts by the model, except in a few cases. The results suggest that Turkey is not immune to global financial conditions and there is integration between Turkey and the major European economies in terms of risk perception after the global financial crisis.     

The Procyclical Role of Rating Agencies: Evidence from the East Asian Crisis

We demonstrate that credit rating agencies aggravated the East Asian crisis. In fact, having failed to predict the emergence of the crisis, rating agencies became excessively conservative. They downgraded East Asian crisis countries more than the worsening in these countries' economic fundamentals would justify. This unduly exacerbated, for these countries, the cost of borrowing abroad and caused the supply of international capital to them to evaporate. In turn, lower than deserved ratings contributed – at least for some time – to amplify the East Asian crisis. Although this goes beyond the scope of our paper, we also propose an endogenous rationale for rating agencies to become excessively conservative after having made blatant errors in predicting the East Asian crisis. Specifically, rating agencies would have an incentive to become more conservative, so as to recover from the damage these errors caused to them and to rebuild their own reputation.     

财富不平等会抑制金融素养对家庭借贷行为的作用效果吗*——基于CHFS数据的经验分析

本文基于2013年中国家庭金融调查（CHFS）数据,选用工具变量法,考察了金融素养对城乡家庭借贷行为影响的差异性,并验证了财富不平等扩大会抑制金融素养对家庭借贷行为的影响。研究发现：（1）金融素养是影响家庭借贷行为的重要因素。户主金融素养水平的改善显著提高了家庭发生借贷的概率与家庭借贷规模。（2）金融素养对城乡家庭借贷行为的影响存在明显差异,金融素养的提高对信贷约束较为严重的农村家庭借贷行为的促进作用更大。（3）财富不平等对家庭借贷行为存在明显的抑制作用,财富不平等的扩大减少了家庭借贷需求,降低了家庭发生借贷的概率和家庭负债规模。（4）随着家庭财富不平等程度的扩大,金融素养对家庭借贷行为的促进作用受到抑制。基于以上结论,政府应该大力开展消费者金融素养教育,注重家庭收入分配合理性,从而推动我国消费金融市场的健康发展。     

Exporting Assets: EMU and the Financial Drivers of European Macroeconomic Imbalances

ABSTRACT

European Economic and Monetary Union has fostered an unstable complementarity in European financial markets between the growth models favoured by European savers (in the northern ‘core’ of Germany and other exporting states) and its borrowers (in the debt-fuelled and demand-driven eurozone periphery, including countries like Greece and Ireland). In the 2000s, the result of this development was a sharp decrease in real interest rates across the eurozone periphery, leading to rapid but inflationary growth. This eroded the competitiveness of exporters in the European periphery, making them more reliant on capital inflows to pay for growing current account deficits. Those deficits became problematic after the disruption of eurozone financial markets beginning in 2008. The policy response to the crises has focused on reducing the competitiveness gap between the core and periphery – while overlooking the financial forces that contributed to those competitiveness differentials in the first place. Indeed, it is the fragile and perverse complementarity in eurozone financial markets – more than any external shock or competitiveness differences – that lies at the root of Europe’s ongoing crisis.     

信用评级机构在次级债危机形成中的角色解析

由于现代金融体系的全球化,这场涉及美国众多金融机构的次级债危机很快在全球蔓延开来,逐步演变成了一场全球信用危机,而一贯被人们寄予厚望的信用评级机构在这场愈演愈烈的危机中却备受指责.论文重新审视了芙国信用评级机构运营机制的固有缺陷,通过揭示信用评级机构对次级债危机形成的责任,提出我国要以次级债危机为鉴,通过规范信用评级行业的发展,使信用评级机构真正承担金融风险监督者的责任.     

Sovereign credit ratings,growth volatility and the global financial crisis

Using monthly data from January 1996 to May 2010 for a panel of 76 developed and emerging economies and adopting an instrumental variable (IV) estimation technique by correcting for both heterogeneity and endogeneity with the generalized two-stage least squares (G2SLS, EC2SLS) procedure method suggested by Balestra and Varadharajan-Krishnakumar (1987) and Baltagi and Li (1995), this article provides empirical evidence that volatility of per capita GDP growth is reduced when there are positive changes in credit ratings; in other words when sovereign credit risk improves. To deal with potential simultaneity between sovereign credit ratings and output volatility, a system (3SLS) approach is undertaken, and our findings remain robust. By weakening the volatility dampening effects of ratings changes, it is found that the global financial crisis (GFC) has enhanced macroeconomic volatility. One of the channels via which sovereign rating changes affect growth volatility is the financial markets’ repricing of sovereign default risk that is reflected in sovereign credit default swap (CDS) spreads and its volatility.     

Portugal’s banking and financial crises: unexpected consequences of monetary integration?

Portugal’s current financial crisis might be related to a banking crisis resulting from joining the Euro. The new-currency eliminated the exchange rate risk, but not the credit or liquidity risks within the Euroarea. However, Portuguese banks acted as if all of these risks had disappeared. They began pumping money in Portugal, by borrowing intensively in Euros abroad at low interest rates. The ensuing liquidity generated a capital-flow bonanza boom that culminated in a bust phase. Private and sovereign debt dramatically increased, which further soared when the government rescued banks. Portugal was then compelled to take extreme measures to address extraordinary debt-levels.     

Economic and Monetary Union – Current Fiscal Disturbances and the Future

At the moment of its setting up the Economic and Monetary Union did not meet the criteria of the optimum currency area. Neither does it today. The crisis of public finance in the eurozone results from the abandonment public finance reforms, lack of consistency in enforcing the decision of the Stability and Growth Pact and, additionally, economic recession and financial crisis. Further functioning of the eurozone will depend on radical reforms of public finance and structural reforms enhancing efficiency of the market as an adjustment mechanism, and competitiveness of economies. The very establishment of the European Stabilization Mechanism and European Financial Stability cannot make up for the above mentioned necessary undertakings. It is important to change the socioeconomic model existing in the EU member countries.     

中国农村信贷情况初步统计——来自“北京大学-花旗银行”农村金融调研的证据

本文回顾了之前有关农村借贷的文献。基于“北大一花旗中国农村金融调查”数据，我们对数据结果进行初步描述。根据调查，大多数农村家庭可以在需要时获得信贷；他们会根据不同用途通过不同渠道进行借款。家族间的零利率贷款和向农村信用合作社贷款是信贷的两个主要来源；超过一半的贷款是亲朋问的免息贷款。调查也显示出，很多家庭对于申请贷款没有信心。另外，“利率太高”和“申请程序繁琐”、“没有足额贷款保证”也成为贷款的障碍。研究还发现，从农村合作信用社获得贷款的决定性因素是“偿付能力”和“个人信誉”，而后者其实也可以被解释为“偿付能力”。除了这两个因素，能够提供担保人或抵押品，甚至有内部人（例如农村信用社职员）的帮助都可以对获得农村合作信用社贷款起到积极作用。最后一部分，我们为今后的研究方向提出两个建议。     

信用衍生产品定价理论概述

信用衍生品作为现代金融市场中重要的转移,对冲信用风险的工具,在近期的金融危机中扮演了重要的角色。如何有效地对这些信用衍生品进行有效的定价成为国内外学者研究这次金融危机起因和它对日后金融市场的启示的重要切入点。通过信息完全性方面不同的视角系统的梳理和回顾了近几十年来的主流信用衍生品定价理论,并对未来该理论的发展趋势进行评述与总结。     

On the size of government spending multipliers in Europe

This article compares the size of government spending multipliers in Europe by applying a panel structural vector autoregression analysis on 11 eurozone and 8 non-eurozone countries using quarterly data from 1991Q1 to 2012Q4. We find that (i) spending multipliers are smaller in eurozone compared to non-eurozone countries, (ii) across the euro area the impact of government spending on GDP has been higher before than after the introduction of the euro, (iii) spending multipliers are larger in the eurozone periphery than in the core countries and (iv) since the beginning of the recent financial crisis, spending multipliers have become larger both for eurozone and for non-eurozone countries. We relate these results to an emerging theoretical literature linking the size of fiscal multipliers to the monetary policy stance. We also discuss the implications of our findings for the effectiveness of fiscal policy in Europe.     

征信服务于银行风险管理的机理

银行危机通常都处于金融危机的核心位置,保持银行业稳定是维护金融稳定的核心关键。征信是社会信用关系发展到高级阶段而伴生的一种信用信息服务,它是金融体系分工的自然结果,它把商业银行金融机构贷前调查、贷前审查的相当一部分任务专业化,它是服务于银行业信用风险管理服务中的一项最普遍、最基本的业务,是防范银行风险的一个关键环节。     

Leveraged borrowing and boom–bust cycles

Investment booms and asset “bubbles” are often the consequence of heavily leveraged borrowing and speculations of persistent growth in asset demand. We show theoretically that dynamic interactions between elastic credit supply (due to leveraged borrowing) and persistent credit demand (due to consumption habit) can generate a multiplier–accelerator mechanism that transforms a one-time productivity or financial shock into large and long-lasting boom–bust cycles. The predictions are consistent with the basic features of investment booms and the consequent asset-market crashes led by credit expansions.     

PIGS or Lambs? The European Sovereign Debt Crisis and the Role of Rating Agencies

This paper asks whether rating agencies played a passive role or were an active driving force during Europe??s sovereign debt crisis. We address this by estimating relationships between sovereign debt ratings and macroeconomic and structural variables. We then use these equations to decompose actual ratings into systematic and arbitrary components that are not explained by previously observed procedures of rating agencies. Finally, we check whether systematic, as well as arbitrary, parts of credit ratings affect credit spreads. We find that both do affect credit spreads, which opens the possibility that arbitrary rating downgrades trigger processes of self-fulfilling prophecies that may drive even relatively healthy countries towards default.     

Lending technologies,banking relationships,and firms’ access to credit in Italy: the role of firm size

This paper analyses the role of lending technologies and banking relationships on firms’ credit access in Italy. Using EFIGE firm-level data, we show that the depth and strength of firm–bank relationships have heterogeneous effects on credit demand and rationing probabilities depending on the size of the borrower. Multiple banking relationships alleviate financial constraints for small firms, while borrowing from a large number of lenders hinders access to credit for large companies. Small and medium-sized enterprises with a higher share of debt with the main bank have a lower probability of being credit denied, as debt concentration contributes to overcome the opacity problems typical of the SMEs. Long-lasting relationships, by reducing information asymmetries, significantly improve access to credit for small and large firms. Conversely, we find that medium-sized enterprises are more exposed to financing constraints as relationship duration increases, due to possible lock-in effects. Finally, firms maintaining banking relationships based on transactional technologies are more likely to be credit denied, while the use of relationship lending technologies improves credit availability for both small and large enterprises.