银行间市场流动性与金融风险救助机制研究

文章从我国银行间市场结构特征出发,分析了近年来银行间市场利率和流动性大 幅波动的内在机理与原因。研究认为,塔形市场交易结构下,银行间市场存在流动性风险易聚 集不易分散的缺陷,且难以依靠“有形之手”得到弥补。文章结合塔形市场结构的特点建立矩 阵分析法,对40家金融机构资产负债表进行实证分析。结论印证了理论分析,即塔形市场交易 结构下风险冲击影响时间更长,且央行流动性救助效果降低,但流动性救助机制能降低风险对 中小型地方法人金融机构的冲击。因此,有必要建立流动性风险救助机制,弥补银行间市场客 观存在的缺陷,增强中小型地方法人金融机构抵御银行间市场流动性风险冲击的能力。     

货币政策、同业业务与银行流动性创造

本文通过构造商业银行同业和非同业流动性创造指标,研究了货币政策对银行流动性创造的总体和结构性影响,根据商业银行参与同业业务的不同程度分析了货币政策作用的异质性,并检验了商业银行参与同业业务的影响因素。研究结果表明:第一,货币政策同时影响商业银行的流动性创造增速和结构,宽松的货币政策提高了银行总体流动性创造增速和非同业流动性创造增速,但是降低了同业流动性创造增速;第二,对参与同业业务程度不同的银行,货币政策的影响存在异质性,具体为宽松的货币政策降低了高参与度银行的同业流动性创造增速,提高了低参与度银行的同业流动性创造增速;第三,货币政策显著地改变了银行的同业资产持有比例,银行的风险越高,参与同业业务的程度越高。因此,在宏观审慎政策框架下,应该加强货币政策和金融监管的配合;运用多种货币政策工具,及时进行预调微调;进一步促进金融市场的发展,降低银行对同业业务的过度依赖。     

Bank credit risk and macro-prudential policies: Role of counter-cyclical capital buffer

This paper investigates the impact of macro-prudential policy (proxied by the counter-cyclical capital buffer (CCyB)) on bank credit risk during uncertain times, as banking sector stability is crucial in promoting financial intermediation. Using a unique daily data set consisting of 4939 credit default swaps (CDS) of 70 banks from 25 countries over the period 2010–2019, we find that CCyB tightening decreases bank-level CDS spreads, while CCyB loosening increases CDS spreads. This heterogeneous effect of CCyB arises due to its asymmetric effect on the capital ratio (i.e., the equity-to-total assets ratio) of banks. Tightening CCyB significantly increases capital, whereas loosening CCyB does not impact capital. Thus, the risks that emanate from the banking sector during periods of heightened uncertainty and financial distress can be significantly dampened when CCyB regulation is enabled. Consequently, macro-prudential policies for banks to hold higher levels of capital during good times are justified to contain financial market risks during downturns.     

银行间外汇市场的规模比较和因素分析

该文将我国银行间外汇市场规模水平与新兴经济体比较,发现市场的“换手率”偏低,市场交易的功能并不十分突出。通过进一步探索,从实证的角度发现和证明人民币汇率的可交易性不强,表现为汇率本身的波动性不足、市场流动性与市场成交水平弱相关、市场参与者的交易存在同质化现象、头寸等管理制度对参与者的交易行为具有明显的约束。文章最后研究了发达市场上汇率的交易状态以资借鉴。     

Optimal capital controls and real exchange rate policies: A pecuniary externality perspective

A new literature studies the use of capital controls to prevent financial crises. Within this new framework, we show that when exchange rate policy is costless, there is no need for capital controls. However, if exchange rate policy entails efficiency costs, capital controls become part of the optimal policy mix. When exchange rate policy is costly, the optimal mix combines prudential capital controls in tranquil times with policies that limit exchange rate depreciation in crisis times. The optimal mix yields more borrowing, fewer and less severe financial crises, and much higher welfare than with capital controls alone.     

Interbank market liquidity and central bank intervention

We develop a simple model of the interbank market where banks trade a long term, safe asset. When there is a lack of opportunities for banks to hedge idiosyncratic and aggregate liquidity shocks, the interbank market is characterized by excessive price volatility. In such a situation, a central bank can implement the constrained efficient allocation by using open market operations to fix the short term interest rate. It can be constrained efficient for banks to hoard liquidity and stop trading with each other if there is sufficient uncertainty about aggregate liquidity demand compared to idiosyncratic liquidity demand.     

Capital and resolution policies: The US interbank market

We develop an empirically based simulation study to test two types of policies designed to control systemic risk: preventive policies targeting capital requirements and mitigation policies targeting default resolution. We find that capital buffers reduce both the number of defaults and the resulting losses. The loss reduction benefit increases as the magnitude of adverse shocks becomes higher. We find that a simple branch-breakup resolution strategy reduces the loss borne by the Federal Deposit Insurance Corporation (FDIC). The mitigation effect becomes higher as the fraction of assets resolved through auctions and auction competitiveness increase.     

Implicit intraday interest rate in the UK unsecured overnight money market

This paper estimates the intraday value of money implicit in the UK unsecured overnight money market. Using transactions data on overnight loans advanced through the UK large value payments system CHAPS in 2003–2009, we find a positive and economically significant intraday interest rate. While the implicit intraday interest rate is quite small pre-crisis, it increases more than tenfold during the financial crisis of 2007–2009. The key interpretation is that an increase in implicit intraday interest rate reflects the increased opportunity cost of pledging collateral intraday and can be used as an indicator to gauge the stress of the payment system. We obtain qualitatively similar estimates of the intraday interest rate by using quoted intraday bid and offer rates and confirm that our results are not driven by the intraday variation in the bid-ask spread.     

Market-specific and currency-specific risk during the global financial crisis: Evidence from the interbank markets in Tokyo and London

This paper investigates how international money markets reflected credit and liquidity risk during the global financial crisis. After matching the currency denomination, we examine how the Tokyo Interbank Offered Rate (TIBOR) was synchronized with the London Interbank Offered Rate (LIBOR). We find remarkably asymmetric responses in market-specific and currency-specific risk during the crisis. The regression results suggest that market-specific credit risk increased the difference across markets, whereas liquidity risk caused the difference across currency denominations. They also support the view that liquidity shortage of the US dollar occurred in international money markets during the crisis. Coordinated central bank liquidity provisions were useful in reducing the liquidity shortage of the US dollar, but their effectiveness was asymmetric across markets.     

Network centrality and funding rates in the e-MID interbank market

This paper empirically investigates the role of banks’ network centrality in the interbank market on their funding rates. Specifically we analyze transaction data from the e-MID market, the only electronic interbank market in the Euro Area and US, over the period 2006–2009 that encompasses the global financial crisis. We show that interbank spreads are significantly affected by both local and global measures of connectedness. The effects of network centrality increased as the financial crisis evolved. Local measures show that having more links increases borrowing costs for borrowers and reduces premia for lenders. For global network centrality, borrowers receive a significant discount if they increase their intermediation activity and become more central, while lenders pay in general a premium (i.e. receive lower rates) for centrality. This provides evidence of the ‘too-interconnected-to-fail’ hypothesis.     

Interbank tiering and money center banks

This paper provides evidence that interbank markets are tiered rather than flat, in the sense that most banks do not lend to each other directly but through money center banks acting as intermediaries. We capture the concept of tiering by developing a core-periphery model, and devise a procedure for fitting the model to real-world networks. Using Bundesbank data on bilateral interbank exposures among 2000 banks from 1999 to 2012, we find strong evidence of tiering in the German banking system. This extent of tiering is unlikely to arise in standard random networks. Indeed, we show that bank specialization and balance sheet variables predict how banks position themselves in the interbank market. This link provides a promising avenue for understanding the formation of financial networks.     

Contagion risk in the interbank market: a probabilistic approach to cope with incomplete structural information

One lesson of the financial crisis erupting in 2008 has been that domino effects constitute a serious threat to the stability of the financial sector, i.e. the failure of one node in the interbank network might entail the danger of contagion to large parts of the entire system. How important this effect is, depends on the exact topology of the network on which the supervisory authorities have typically very incomplete knowledge. In order to explore the extent of contagion effects and to analyse the effectiveness of macroprudential measures to contain such effects, a reconstruction of the quantitative features of the empirical network would be needed. We propose a probabilistic approach to such a reconstruction: we propose to combine some important known quantities (like the size of the banks) with a realistic stochastic representation of the remaining structural elements. Our approach allows us to evaluate relevant measures for the contagion risk after default of one unit (i.e. the number of expected subsequent defaults, or their probabilities). For some quantities we are able to derive closed form solutions, others can be obtained via computational mean-field approximations.     

The characteristics and development of the Swiss franc repurchase agreement market

With the reinterpretation of repurchase agreements (repos) by the tax authority and the revision of the national bank law in 1997, allowing the Swiss national bank (SNB) to use repos as monetary policy instrument, the prerequisites for the development of a Swiss franc repo market were given. The development of the repo market in Switzerland only came up in 1999 with the provision of an integrated trading and settlement system provided by SegaInterSettle AG (SIS), Eurex and Swiss Interbank Clearing (SIC) in collaboration with the SNB. The following paper provides an overview of the basic characteristics and structure of the Swiss franc repo market as well as of the development it has undergone since 1999. It also discusses what motives and reasons the banks possess to actively participate in the Swiss franc repo market. The content of the publication is the sole responsibility of the author and does not necessarily reflect the views of Credit Suisse.     

金融同业活动与实体企业经营风险——来自地区层面同业存单业务的证据

本文研究了地区层面金融同业活动对实体企业经营风险的影响。基于各省份金融机构开启同业存单业务的研究表明,地区层面金融同业活动显著提升了当地上市企业股价大幅下跌的风险。进一步研究表明,随着同业存单业务的发展,当地上市企业债务融资成本和风险水平有所上升,而业绩表现和市场价值有所下降。上述发现表明,企业融资链条变长后,信贷市场道德风险上升,部分企业因风险偏好增强导致经营风险上升,更容易突然出现负面事件而导致股价大幅下跌。本文的发现揭示了金融同业活动存在监管规避的可能性及其影响实体企业的潜在路径,凸显了完善金融监管以更好服务实体经济发展的重要现实意义。     

金融同业活动与实体企业经营风险——来自地区层面同业存单业务的证据

本文研究了地区层面金融同业活动对实体企业经营风险的影响。基于各省份金融机构开启同业存单业务的研究表明,地区层面金融同业活动显著提升了当地上市企业股价大幅下跌的风险。进一步研究表明,随着同业存单业务的发展,当地上市企业债务融资成本和风险水平有所上升,而业绩表现和市场价值有所下降。上述发现表明,企业融资链条变长后,信贷市场道德风险上升,部分企业因风险偏好增强导致经营风险上升,更容易突然出现负面事件而导致股价大幅下跌。本文的发现揭示了金融同业活动存在监管规避的可能性及其影响实体企业的潜在路径,凸显了完善金融监管以更好服务实体经济发展的重要现实意义。     

银行同业业务、资产负债变化与金融市场流动性“悖论”：基于面板数据的实证研究

本文以银行同业业务和金融市场流动性为研究对象,试图厘清银行同业业务对市场流动性产生影响的作用机制,研究发现银行同业业务与流动性管理二者之间存在天然的“悖论”,体现在对资产负债期限错配的不同偏好上：期限错配是同业业务盈利的重要来源,而流动性管理的目标则是严格约束期限错配。本文还在系统构建金融市场流动性测度指标的基础上,借助面板数据,实证检验了不同规模银行、不同类型同业业务对金融市场流动性的影响大小,最后给出政策建议。     

Stock market dynamics with rational liquidity traders

In the Kyle (1985) finite horizon model of stock market dynamics with a trader who holds long-lived information, informed trading intensities rise with time, and the slopes of the equilibrium price schedules fall. This paper shows that this result depends crucially on the irrational liquidity trader assumption. We replace the irrational noise traders with a sequence of rational, risk averse, liquidity traders who receive endowment shocks to their holdings of the risky asset. We demonstrate that unless liquidity traders are sufficiently risk averse, the slope of equilibrium price schedule rises over time, while informed trading intensities fall. In particular, Kyle's result holds only when liquidity traders are so risk averse that they ‘over-rebalance’ their portfolio's holdings of the risky asset, so that their final holdings of the risky asset have the opposite sign of their initial position.     

Capital market integration

This special issue is dedicated to a topic of great interest in international financial economics — Capital Market Integration. The topic remains live and vigorously examined, as evidenced by the nine papers presented here. These papers divide into three themes: integration and markets, integration and policy, and integration and crisis. Collectively, the papers highlight the importance of market- and policy-induced phenomena for understanding the nature and consequences of capital market integration.     

The price of liquidity: CD rates charged by money market funds

We examine the cost of liquidity in rates on CDs purchased by money market funds (MMFs). We find no evidence that rates vary directly with the size of CDs. However, we do find that large MMFs receive higher rates on large CDs than small MMFs. This suggests banks pay for (potential) liquidity.     

现阶段我国商业银行流动性过剩问题及对策研究

流动性管理是商业银行的生命线。上个世纪末国内商业银行出现了持续性的流动性过剩,引起了理论界、实务界的普遍关注。本文考察了商业银行流动性管理理论的发展,分析了我国商业银行流动性问题发展阶段、特点,提出了商业银行改善流动性管理的政策建议。