英国金融市场基础设施监管状况及未来发展

文章剖析了英国金融市场基础设施（主要包括支付系统、中央对手方和证券结算系统）的监管框架,总结了监管工作在信用风险和流动性风险、恢复与处置和操作风险管理等方面取得的主要进展,阐述了其在国内、国际监管合作方面的监管权力运用,梳理了下一步的发展方向和酝酿的主要变革。     

英国利率市场化回顾及其对金融业改革的影响

利率市场化是指金融机构在货币市场经营融资的利率由市场供求来决定。它包括利率决定、利率传导、利率结构和利率管理的市场化。文章介绍了英国利率市场化改革的背景、实施过程及其对英国经济金融运行与货币政策调控产生的积极影响。指出利率市场化改革后,英国的宏观经济环境趋于稳定,社会融资结构逐渐向直接融资为主转变;利率市场化为其后旨在提高英国金融业竞争力的金融市场改革铺平了道路。     

A Test of the Persistence in the Performance of UK Managed Funds

We employ a United Kingdom data set of weekly returns from a sample of investment trust companies available on the Datastream database. We analyse the relative performance of the funds and determine whether a 'good' (above-median), past-performance is indicative of future performance. Our study focuses on within sample relative performance. We examine persistence in performance in the short and long run based on a number of tests. Overall we find that both raw and risk-adjusted returns exhibit evidence of persistence in performance in the long run but not in the very short run.     

英国养老金私有化改革的历程与评价

英国是较早进行养老金私有化改革的国家之一,开始于20世纪70年代末的"协议退出",导致保障水平下降、养老金收入差距拉大、基金管理费用高等问题日益显现,退出比例本身也呈下降趋势,人们越来越倾向于回到依靠国家养老金的老路上来.政府在新的改革中再次推行均等化,提高制度的再分配性.这一改革历程凸显反复、频繁、复杂,一方面给个人...     

Institute for the future's study of the UK, 1978–1995

The method used expert opinions (collected through interviews), scenario generation, and a simple econometric model. Some methodological innovations are reported; eg aids to assist experts in thinking ahead, and in how scenarios are generated and aggregated.     

Mean Reversion in the Short Horizon Returns of UK Portfolios

This paper will show that short horizon stock returns for UK portfolios are more predictable than suggested by sample autocorrelation co-efficients. Four capitalisation based portfolios are constructed for the period 1976–1991. It is shown that the first order autocorrelation coefficient of monthly returns can explain no more than 10% of the variation in monthly portfolio returns. Monthly autocorrelation coefficients assume that each weekly return of the previous month contains the same amount of information. However, this will not be the case if short horizon returns contain predictable components which dissipate rapidly. In this case, the return of the most recent week would say a lot more about the future monthly portfolio return than other weeks. This suggests that when predicting future monthly portfolio returns more weight should be given to the most recent weeks of the previous month, because, the most recent weekly returns provide the most information about the subsequent months' performance. We construct a model which exploits the mean reverting characteristics of monthly portfolio returns. Using this model we forecast future monthly portfolio returns. When compared to forecasts that utilise the autocorrelation statistic the model which exploits the mean reverting characteristics of monthlyportfolio returns can forecast future returns better than the autocorrelation statistic, both in and out of sample.     

A Time Series Analysis of Financial Fragility in the UK Banking System

This paper extends the model proposed by Goodhart, Sunirand, and Tsomocos (2004, 2005, 2006) to an infinite horizon setting. Thus, we are able to assess how the model conforms with the time series data of the UK banking system. We conclude that, since the model performs satisfactorily, it can be readily used to assess financial fragility given its flexibility, computability, and the presence of multiple contagion channels and heterogeneous banks and investors. JEL Classification Numbers C68, E4, E5, G11, G21 We are grateful to seminar participants at the Bank of England, European Central Bank, University of Oxford, University of Pireaus, 59th International Atlantic Economic Conference, London and especially an anonymous referee for helpful comments and suggestions     

Identifying sources of macroeconomic and exchange rate fluctuations in the UK

Using quarterly data for the period 1985:1–2011:1, this paper uses a stylised, open economy, structural VAR model to identify the types of shocks responsible for macroeconomic fluctuations in the UK economy. The stylised model implies a set of short-run restrictions that allow for the identification of the shocks. The importance of each shock is determined by examining forecast-error variance decompositions, impulse response functions, and implied long-run (or permanent) effects. The results presented here imply that two shocks (called the technology and IS shocks) are relatively more important than other shocks. Monetary shocks do exhibit long-run monetary neutrality, but clearly monetary policy is not responsible for a meaningful share of output and employment fluctuations during the sample period. The estimated VAR and structural disturbances imply that the model accurately reflects the UK economy. There is little evidence of a price puzzle or an exchange rate puzzle (evidence against uncovered interest rate parity) in response to an unexpected monetary policy tightening.     

The Inverted-U hypothesis for the effect of uncertainty on investment: Evidence from UK firms

Abstract

This paper offers the first attempt to test the inverted-U hypothesis for the effect of uncertainty on investment, implied by a number of recent theoretical studies, using a panel of UK firms. It is found that the effect of uncertainty on corporate investment is indeed approximated by an inverted-U shaped relationship: at low levels of uncertainty the effect is positive, but it becomes negative at high levels of uncertainty. This result represents the first empirical verification of the hypothesis with respect to UK firms.     

Accounting for UK rail freight track charges: privatisation, politics and the pursuit of private sector vested interests

In 1996, the UK government privatised the railway industry based on a separation of rail infrastructure from train operations. Track, stations and signalling were transferred to a private sector infrastructure company, Railtrack plc. Separate passenger and freight train operators were required to pay track access charges to Railtrack for use of its rail infrastructure.

In 2001, in an attempt to meet the government’s plan to expand freight traffic, the government-appointed rail regulator substantially reduced the amount of track charges payable to Railtrack by the freight operators. The resulting shortfall in Railtrack’s revenue is met by public subsidy from another regulatory agency, the Strategic Rail Authority.

A failure by the regulators to insist on rail freight growth targets or to impose any claw-back of the subsidies for non-performance is a tribute to weak political and legislative control over regulatory mechanisms and, to a certain extent, reflects the ‘capture’ of the state regulatory process by the freight industry.

The net result has been a decline in rail freight traffic, an increase in public subsidy and a substantial increase in the earnings of the largest freight operator.     

Marketing Period Risk in a Portfolio Context: Theory and Empirical Estimates from the UK Commercial Real Estate Market

The role of selling (or marketing) period uncertainty in understanding risk associated with property investment is examined in this paper. Using an approach developed by Lin (2004), and Lin and Vandell (2001, 2005), combined with a statistical model of UK commercial property transactions, we show that the ex ante level of risk exposure for a commercial real estate investor is around one and a half times that obtained from historical statistics. The risk related to marketing time uncertainty can be reduced by constructing a portfolio. We find that at least ten properties are necessary to reduce this risk, assuming independence between marketing period risk and price risk. These findings have important implications for mixed-asset portfolio allocation decisions.      

A rose by any other name? Transdisciplinarity in the context of UK research policy

This paper assesses developments in transdisciplinary research in the UK. While we support the thesis that transdisciplinarity is still not mainstream and is rarely supported per se by funders of research, this paper examines the extent to which UK research policy has embraced the concept of transdisciplinarity. Five empirical case studies provide data about the interrelationship between the interdisciplinary and impact or knowledge exchange aspirations of Research Council UK (RCUK) investments. We find evidence that, to an extent, UK research funding policy is achieving some elements of transdisciplinarity in practice, if not in name.Drawing on broader debates about the limitations of knowledge mobilisation and the challenges of conducting interdisciplinary research, we reflect on how the situation has changed since our original 2004 paper. The evidence suggests that the absence of the ‘transdisciplinary’ label is not necessarily impeding the framing of research funding schemes oriented towards societal issues. Nevertheless, several areas where capacity-building is required, including training for early career interdisciplinary researchers; improved research leadership skills; and the capacity to evaluate the quality of transdisciplinary processes and to learn from such evaluations, are identified.     

Market valuation of greenhouse gas emissions under a mandatory reporting regime: Evidence from the UK

This study provides evidence on the potential benefits of mandatory environmental reporting for listed firms’ market valuation. It takes advantage of recent regulation that requires all listed firms in the UK to report their annual greenhouse gas (GHG) emissions in their annual reports and shows that the magnitude of the negative association between GHG emissions and the market value of listed firms decreased after the introduction of the reporting regulation. This decline is attributed to regulation forestalling shareholders’ negative reflexive reaction toward firms’ carbon disclosures, as proposed by the theoretical work of Unerman and O’Dwyer (2007).     

The actual evaluation of school PFI bids for value for money in the UK public sector

Much of the literature on value for money (VFM) evaluation of private finance initiative (PFI) contracts has concentrated on the financial methodology of constructing the public sector comparator (PSC) and its limitations. In contrast, this paper focuses on examining how ‘PFI bids’ are actually evaluated for VFM in the case of three secondary school PFI contracts. It is a unique study which presents the Northern Ireland school PFI decision-making processes, within the broader UK context. It is based on the full business cases of three PFI schools and interviews with key actors involved in the PFI processes. This study shows that the methodology used to evaluate and benchmark the design, facilities management, financial and contractual aspects of PFI bids for VFM is subjective and problematic-changes in the assumptions used may easily shift the balance in favour of conventional procurement and/or competing private sector service providers. It further highlights the importance of risk transfer; how non-financial factors are taken into consideration; and the public sector's reliance on consulting firms and ‘accounting measures’ in the PFI decision-making processes.     

Towards a new approach for the identification of atypical accident scenarios

Proper hazard identification (HAZID) in safety reports has become progressively more difficult to achieve. Several major accidents in Europe in recent years, such as Buncefield and Toulouse, were not even considered by their site ‘Seveso-II’ Safety Case. One of the reasons is that available HAZID methodologies take no notice of apparently least likely events. Nonidentified scenarios thus constitute a latent risk, whose management is extremely complex and open ended. For this reason, the EC project iNTeg-Risk, in one of its tasks, aimed to investigate the issue of atypical scenarios and explain how they could have been identified. This study wants to describe the approach used and its immediate results, paving the way towards a new method for the identification of atypical accident scenarios. An in-depth accident analysis of some of these accidents was performed, in order to outline general features of plants in which they occurred, their causes, consequences, and lessons learned. This analysis followed a precise common scheme, which allowed a systematic approach to the problem by the experts involved. Based on the findings, failures connected to risk management and risk appraisal were identified. Three main basic issues in risk appraisal were identified: the low perception of emerging risks related to atypical accident scenarios, the lack of knowledge about related events, such as early warnings, and the incapability of current techniques in leading analysts to the identification of atypical scenarios.     

Towards a Theory of Cultural Influence on the Development of Accounting Systems Internationally

Research has shown that accounting follows different patterns in different parts of the world. There have been claims that national systems are determined by environmental factors. In this context, cultural factors have not been fully considered. This paper proposes four hypotheses on the relationship between identified cultural characteristics and the development of accounting systems, the regulation of the accounting profession and attitudes towards financial management and disclosure. The hypotheses are not operationalized, and empirical tests have not been carried out. They are proposed here as a first step in the development of a theory of cultural influence on the development of accounting systems.     

Mortality Risk and the Value of a Statistical Life: The Dead-Anyway Effect Revis(it)ed

In the expected-utility theory of the monetary value of a statistical life, a well-known result found by Pratt and Zeckhauser [1996] asserts that an individuals’ willingness to pay (WTP) for a marginal reduction in mortality risk increases with the initial level of risk. Their reasoning is based on the so-called “dead-anyway effect” which states that marginal utility of a dollar in the state of death is smaller than in the state of survival. However, this explanation is based on the absence of markets for contingent claims, i.e. annuities and life insurance. This paper reexamines the relationship between WTP and the level of risk under more general circumstances and establishes two main results: first, when insurance markets are perfect, for a risk-averse individual without a bequest motive, marginal WTP for survival does increase with the level of risk but this occurs for a different reason, namely an income effect. Secondly, when the individual has a bequest motive and is endowed with a sufficient amount of wealth from human capital, the effect of initial risk on WTP for survival is reversed: the higher initial risk the lower the value of a statistical life. In the imperfect-markets case we interpret this result as a “constrained-bequest effect”.JEL Classification No.: D8, H43, I18     

Tax education in the UK: a survey of tax courses in undergraduate accounting degrees

This paper presents the results of a postal survey designed to examine the teaching of taxation in UK universities. The project looks at taxation in undergraduate accounting degree programmes and adopts an objective centred focus. The principal aim of the survey was to examine the relationships between some characteristics of individual tax courses, including the course objectives and coverage, staffing, teaching and assessment methods, in an attempt to draw some conclusions on the nature of tax education in UK accounting degrees. The results of the survey and consequent analysis may provide taxation and accounting educators, professional bodies and researchers into accounting education with an insight into approaches to, and methods used in, taxation teaching. It may also present a framework for comparative international research in tax education.     

A European view on the legitimacy of accounting procedures: Towards a deliberative-accountability framework for analysis

Accounting rules affect fundamental areas of social interaction encompassing groups that have diverse and conflicting interests regarding financial reporting. In the absence of a coherent social choice theory, concepts of legitimacy can be used to assess the acceptance of accounting standard-setting processes and their resulting norms. In this paper, we analyze the standard-setting process in Europe. Accounting rules in Europe are developed in a two-stage process involving both private standard-setting and public rule-making. From a structural perspective, the European Union (EU) is well positioned to develop legitimate accounting procedures. However, the original purpose and the ensuing legitimacy of its control mechanism are jeopardized when EU structures are used and sometimes abused for policy formation and the creation of EU-IFRS.     

A Theoretical and Empirical Review of the EU Regulation on Credit Rating Agencies: In Search of Truth,Not Scapegoats

The undergoing financial turbulence has raised significant concerns over the role that credit rating agencies (CRAs) played in the inception, magnification and expansion of the crisis. In response, the EU legislature has adopted Regulation 1060/2009, which, for the first time, set out a legally binding pan‐European authorization regime for CRAs, which issue ratings that have been used by EU‐based financial institutions. As the turmoil turned into an unprecedented Eurozone debt crisis, EU politicians have been calling for tighter regulation of the credit rating industry. Drawing on the relevant empirical and theoretical research and building upon a comparative study of the corresponding US framework, the paper discusses critically the principles underlying EU Regulation 1060/2009 and the most recent suggestions for its reform. The paper argues that although, overall, the EU Regulation seems to be a well‐balanced instrument in the sense that it introduces the essential checks upon CRAs’ behavior while avoiding excessive regulatory intervention, more fine‐tuning is needed in certain fields, including, rating shopping, financial ties with rated entities, abuse of inside information, transparency and CRAs’ accountability.