金融摩擦、金融中介与金融危机:研究前沿

本文综述了金融危机理论的最新进展。主张错在市场的金融危机理论认为,为降低金融摩擦金融中介出现,金融中介又因而天生具备脆弱性,遇到大的负向外生冲击,金融危机发生。主张错在政府的金融危机理论认为,是政府错误的货币政策,使得金融中介信用扩张过度,从而引发金融危机。不同的金融危机模型因此给出了不同的政策建议。总的来看,目前的金融危机理论模型还非常初级。结合中国的国情,本文提出了进一步研究的方向。     

噪声交易,金融泡沫与金融市场多重均衡理论

本文认为传统的金融市场效率理论,对于历史和现实中频繁出现的金融泡沫现象缺乏足够的理论解释力,而噪声交易理论和金融市场多重均衡理论则分别从信息和投机行为的角度对金融泡沫的形成机理作出了深刻揭示,并对主流的效率市场理论形成极大的冲击。而实验经济学对“泡沫”的动态实验研究,则给我们理解泡沫的形成、破裂和发展趋势以有益启发,其题中应有之义在于,投资主体的学习能力和过程以及公共信息对金融市场均衡有不可忽视的影响。因此,投资主体预期的理性化和管理层制度供给的及时性对于防范恶性金融泡沫或金融市场爆炸性、非线性多重均衡的出现是十分重要的。这些理论对中国的启示是,证券法的出台和投资主体对证券市场及相关法律制度的学习是中国证券市场健康发展的关键因素     

异质预期、噪声交易与价格波动

自20世纪80年代开始迅速发展起来的行为金融理论认为,作为具有丰富心理活动的真实的人,金融市场中的投资者普遍存在各种认知偏差、情绪偏差和意志偏差,从而导致了他们的投资决策偏差和金融资产的定价偏差,投资者的噪声交易能够对资产价格产生重要影响。本文基于噪声交易模型的框架构建了一个包含理性套利者、信息挖掘者和动量交易者这三类异质投资者在内的噪声交易理论分析模型,在模型中引入了一系列与投资者行为特征相对应的重要行为参数,然后推导出由这三类异质投资者共同决定的风险资产均衡价格,最后通过灵敏度分析来综合讨论这三类异质投资者的一些重要行为参数对均衡价格的影响。结果表明,理性套利者确实能够起到稳定市场的作用,但是当噪声交易者在市场中的比例较大时,资产价格会较大程度地偏离其基本价值。     

金融危机、国有股权与资本投资

本文探讨了亚洲金融危机、全球次贷危机对亚洲11个国家(地区)企业资本投资的影响,以及国有股权在其中发挥的作用。研究发现:金融危机会对企业资本投资带来冲击,但国有股权能弱化这种负面影响。一方面,如果企业所在国家(地区)的银行业国有化程度较高,金融危机对这类企业的负面冲击较小;另一方面,与非国有企业相比,国有企业在金融危机期间资本投资下降较少。对影响机理进一步剖析发现:国有银行、国有企业偏好谨慎、保守的商业模式,这使其健康状况在金融危机期间受创较小,从而保证了企业资本投资所需的外部信贷资金、内源资金的正常供给,并使得国有企业以及银行业国有化程度较高国家(地区)的企业资本投资下降较小。     

证券化：金融中介过程的分化

一、银行中介的专业化与规模优势在现实的再生产活动中，储蓄资金向 投资的转化，是通过金融交易来实现的。资金的交易从形式上分，主要有两种。一是以市场中介为基础，最终贷款人购入最终借款人发行的证券，如股票和债券等，常称之为本源证券，而与之直接配对的直接融资；二是间接融资，即最终借款人从专门的金融中介机构借入资金、金融中介机构则通过向最终贷款人发行对自身的金融要求权的间接证券获得资金，然后转换成本源证券以完成资金的供需匹配。 间接融资下的银行中介，一方面以发行存款等间接证券的形式，大量地吸收零星分散的余裕…     

货币流动性过剩、噪声交易与资产价格波动

流动性过剩与投资者主体行为是影响资产价格波动的两个重要因素,通过将流动性过剩引入噪声交易模型,并在此基础上结合我国资本市场运行情况进行了分阶段的实证检验,发现我国长期存在流动性过剩现象,在资本市场平稳运行期间,流动性过剩与资产价格保持协整关系,而在资本市场过度波动时期,这种协整关系消失了,投资主体的行为特征成为这一时期资产价格的主导因素。从2000年至今的整个样本时期来看,流动性过剩并不必然导致资产价格上涨,但却对资产价格有潜在的冲击和抬升作用,因此是资产价格上涨的充分非必要条件。     

金融发展、经济发展与金融危机的相关性分析

金融发展、经济发展与金融危机的相关性分析丁肇勇谢地冉丹现代市场经济是建立在高度货币化和信用化基础上的经济，金融发展对经济发展具有较高的贡献度。因而，战后世界各国在制定经济发展战略时，普遍将金融发展置于相当重要的地位，谋求以金融的发展带动经济的高效发展...     

噪声交易与市场渐进有效性

投资者的非理性行为在市场渐进有效的进程中扮演了怎样的角色-现有文献并没有给出直接的研究和明确的结论.本文对上证50指数所代表的子市场的噪声交易情况进行了度量,同时构建状态空间方程并采用Kalman滤波法测度了该市场的渐进有效性,进而研究投资者噪声交易对我国市场渐进有效性的水平及其波动的影响.研究发现,我国市场整体上趋于有效,噪声交易的平均水平在各时期比较平稳;噪声交易会起到微弱的降低市场有效性水平的作用,增加渐进有效性的短期波动,但是从长期看并不能影响市场趋于有效的趋势.本文结论说明,投资者的非理性行为并不是造成我国资本市场非有效的根本原因,但是非理性行为也在短期内给市场的有效性进程造成阻滞.     

金融创新、虚拟经济与金融危机

虚拟经济的形成与发展是与金融创新的发展分不开的,金融创新的过度发展又会使虚拟经济偏离实体经济,造成经济泡沫。虚拟经济中的信息不对称将导致逆向选择和道德风险,使经济泡沫不断膨胀。当经济泡沫破裂时,维系虚拟经济运行的信用链会断裂,社会经济的信用体系将崩溃,引发金融危机或经济危机,损害实体经济的发展。     

Riding the Bubble: Financial Market Crises in Twenty-Two OECD Countries

In the past decade, financial markets have been hit twice by crisis, followed each time by recession (i.e., Enron and the subprime mortgage crisis). I present three theories to explain the dynamics of share prices: rational expectations, behavioral finance, and an institution-oriented theory. Institutional investors are the dominant actors on financial markets. They hold the majority of the share capital in big companies. They tend to drive financial markets to a higher level of risk (volatility). The greater the percentage of the share capital held by institutional investors in a company, the higher the volatility (variance) of the share price. The results of my multilevel analysis confirm this hypothesis (a sample of 1,369 firms in twenty-two OECD countries). There are also significant differences among the OECD countries. Whereas both financial market crises originated in the United States, the country did not have the highest level of volatility in the period from 2000 to 2013.     

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。     

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.     

Financial and Capital Account Liberalization,Financial Development and Economic Development: A Review of Some Recent Contributions

Abstract

This article presents a review of some recent contributions on the relation between global finance and economic development in emerging economies. It first, stresses the growing consensus among economists on the financial instability that financial and capital account liberalization can possibly cause in emerging economies. It then outlines and compares two alternative strategies to tame such instability. The comparison is between the “good-institutions need-to-come-first” approach put forward by some mainstream economists, and the request for a deeper reform of the existing monetary system advocated by heterodox economists.     

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.     

Financial crises,debt overhang,and firm growth in transition economies

ABSTRACT

We examine the effects of the global financial crisis of 2008 and the European debt crisis of 2011 on the relationship between capital structure, investments, and performance for Eastern European companies. While the existing literature documents how firms’ investments are sensitive to the availability of internal funds and to debt holdings, we further investigate whether this investment sensitivity also translates in different levels of performance, and document that capital structure indeed has both a direct and an indirect effect, mediated by the capital expenditure channel. We show that firms with higher financial flexibility experience higher investments and returns on capital. Over-levered firms instead suffer from a debt overhang condition, forcing them to curb investments, and consequently experiencing lower performance. Overall, we provide evidence on the importance of capital structure and financial flexibility on investments and performance, showing the real consequences of the debt overhang condition on firm value creation. Firms should therefore aim at maintaining adequate financial flexibility in order to be able to pursue future profitable investment opportunities, and avoid the under-investment problem arising from a debt overhang situation.     

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.     

Capital Controls,Public Debt and Currency Crises

This paper examines the possibility that, contrary to conventional wisdom, capital controls accelerate currency crises. Theoretical analysis shows that capital controls can constitute an additional burden on government budget and so bring forward the onset of crises. Since perfect capital mobility does not occur, domestic interest rates may deviate from world interest rates. High interest rates under capital controls create an additional cost of servicing outstanding domestic public debt, precipitating crises. Even though the government can delay crises with capital controls, welfare may be less than in a situation with perfect capital mobility.     

亚洲金融危机之后的深层思考

进入20世纪90年代以来,全球各类金融危机频频发生。影响国际经济金融秩序的因素发生了新变化,目前的国际金融秩序已经不能适应国际政治格局和经济、技术发展趋势,不能适应调整当前国际金融关系的需要,必须进行变革,并建立公正、合理的国际金融新秩序。     

Financial market spillovers in transition economies

This paper examines financial market comovements across European transition economies and compares their experience to that of other regions. Correlations in monthly indices of exchange market pressures can partly be explained by direct trade linkages, but not by measures of other fundamentals. Higher-frequency data during three crisis periods reveals the presence of structural breaks in the relationship between exchange-, but not stock markets. While the reaction of markets during the Asian and Czech crises is muted, the pattern of high-frequency spillovers during the Russian crisis looks very similar to that observed in other regions during turbulent times. With greater financial market integration, the financial markets of the more advanced transition economies can be expected to behave more and more like their Asian and Latin American counterparts.