监管改革对国际银行业的影响与中国的应对策略

从逆周期、宏观审慎角度加强监管是危机后的共识。监管改革使全球银行业将面临资本充足率下降、融资需求巨大,融资成本被推高的难题。从中长期来看,银行还将面临贷款增长疲软的境况,中间业务将是未来盈利关键,业务模式将回归简单化和本土化等。然而,巴塞尔Ⅲ没有触及金融危机发生的根本制度性原因,即以美元货币为主导的货币体制引发的经济失衡,没有解决宏观审慎和微观审慎之间的监管协调问题,对于跨境金融监管合作和混业监管问题也还没有提出有效的措施。为应对改革对银行业产生的长期结构性影响,中国政府可考虑创新融资方式,建立资本保险机制、允许资产证券化等举措,为中国银行业资本募集创造良好的条件,中国银行业则须从成本缩减、业务模式转换、重新考量流动性等方面全面应对。     

Bank capital and equity investment regulations

This paper uses an intermediation model to study the efficiency and welfare implications of both banks' minimum required capital–asset ratio and the regulation that limits, and in some countries forbids, banks' investments in the equity of nonfinancial firms. There are two sources of moral hazard in the model: one between the bank and the provider of deposit insurance, and the other between the bank and an entrepreneur who demands funds to finance an investment project. Among other things, the paper shows that capital regulation improves the bank's stability and can also be Pareto-improving. Equity regulation is never Pareto-improving and does not increase the bank's stability.     

中国区域金融结构的趋同与分化

区域金融作为金融结构与运行在空间上的分布状况,通过聚合区域经济发展的各种因素而影响区域经济成长及其差异演变。中国各省、区、市金融结构趋同与分化现象并存,区域金融发展呈非均衡格局,但这一格局不同于传统的沿海与内地或东、中、西部之区划,区域金融成长与区域经济发展之间并不是平行一致的。相当多省、区、市的金融结构主要体现为银行、保险业的主导地位,资本市场不发达;同时,金融开放在省区市的差异总体较小。因此,推进资本市场发展,统筹金融开放,充分发挥金融发展在统筹区域发展、统筹城乡发展中的支撑作用,构成了今后我国区域金融发展的重点。     

中国区域金融结构的趋同与分化

区域金融作为金融结构与运行在空间上的分布状况,通过聚合区域经济发展的各种因素而影响区域经济成长及其差异演变.中国各省、区、市金融结构趋同与分化现象并存,区域金融发展呈非均衡格局,但这一格局不同于传统的沿海与内地或东、中、西部之区划,区域金融成长与区域经济发展之间并不是平行一致的.相当多省、区、市的金融结构主要体现为银行、保险业的主导地位,资本市场不发达;同时,金融开放在省区市的差异总体较小.因此,推进资本市场发展,统筹金融开放,充分发挥金融发展在统筹区域发展、统筹城乡发展中的支撑作用,构成了今后我国区域金融发展的重点.     

对个人住房开征物业税的几个判断及效应预测

对个人住房开征物业税是关乎国计民生的大事。本文认为,开征物业税之前需要进一步理顺中央与地方的财政关系;开征后的物业税收入要用于满足地方公共财政支出的需要;物业税开征后的征管质量取决于对个人住房信息的掌握和政府各部门间的横向合作。物业税开征与地区房地产价格弱相关,与全国房地产价格无关;与股市题材炒作相关,与资本市场发育无关;与当地居民收入和福利相关,与辖区外居民效用无关。     

The welfare cost of bank capital requirements

Capital requirements are the cornerstone of modern bank regulation, yet little is known about their welfare cost. This paper measures this cost and finds that it is surprisingly large. I present a simple framework, which embeds the role of liquidity creating banks in an otherwise standard general equilibrium growth model. A capital requirement limits the moral hazard on the part of banks that arises due to deposit insurance. However, this capital requirement is also costly because it reduces the ability of banks to create liquidity. The key insight is that equilibrium asset returns reveal the strength of households’ preferences for liquidity and this allows for the derivation of a simple formula for the welfare cost of capital requirements that is a function of observable variables only. Using US data, the welfare cost of current capital adequacy regulation is found to be equivalent to a permanent loss in consumption of between 0.1% and 1%.     

Capital regulation and credit fluctuations

Credit cycle stabilization can be a rationale for imposing counter-cyclical capital requirements on banks. The model comprises two productive sectors: in one sector, firms can finance investments through a bond market. In the other, firms rely on bank credit. Financial frictions limit banks’ borrowing capacity. Aggregate shocks impact firms’ productivity. From a welfare perspective, banks lend too much in high productivity states and too little in bad states, although financial markets are complete. Imposing a (stricter) capital requirement in good states corrects capital misallocation, increases expected output and social welfare. Even with risk-neutral agents, stabilization of credit cycles is socially beneficial.     

消费金融资产证券化与系统性风险管理研究

在强大的市场需求和金融科技支持下,消费金融公司自正式试点以来呈现良好的发展态势,其中资产证券化成为消费金融公司的重要融资方式。资产证券化在助力消费金融公司增资扩容、改善流动性和提高运营稳健性的同时,也促使消费金融行业风险高并导致诉讼案件的增加。本文基于捷赢个人消费贷款资产支持证券的经验证据,明确了消费金融创新、消费金融风险与金融市场系统性风险管理之间的内在联系,揭示可以通过大数据精准获客、规范催收行为和智能风险防控等措施为消费金融市场发展保驾护航。因此,针对消费金融资产证券化,政府应制定专门的政策法规以强化风险管理,不断完善消费金融资产的监管机制,借助系统性风险管理来规避套利和资金风险,进而促进消费金融资产证券化的稳健有序发展。     

An Alternative View on Regulatory Distortions in a Competitive Financial Services Industry

We present an alternative view on regulatory distortions in the banking industry. We use the duopoly model developed by Boot, Dezelan, and Milbourn (BDM, 2000), where a bank with low monitoring costs faces a bank with high monitoring costs. We show that when the initial level of the capital requirement is low, an increase of the minimum ratio between capital and total assets causes a higher decrease in profits at the bad bank than at the good bank. This finding contrasts with BDM's theorem 1, which predicts that a regulation imposing an identical increase in production costs on both banks will cause a greater loss in profits at the good bank than at the bad bank. We also look at the impact of an increase in the minimum ratio between capital and total assets on the profits of a representative bank in three other competitive environments identified in BDM. We find that the decrease in the representative bank's profit caused by an increase in the capital requirement is larger when the bank faces competition from an unregulated firm than when it faces a regulated competitor or no competitor at all. This result is consistent with BDM's theorem 2.     

Accounting for banks,capital regulation and risk-taking

This paper examines risk-taking incentives in banks under different accounting regimes in presence of capital regulation. In the model the bank jointly determines the capital issuance and investment policy. Given an exogenous minimum capital requirement, lower-of-cost-or-market accounting is the most effective regime that induces the bank to issue more excess equity capital above the minimum required level and implement less risky investment policy. However, the disciplining role of lower-of-cost-or-market accounting may discourage the bank from exerting project discovery effort ex-ante. From the regulator’s perspective, the accounting regime that maximizes the social welfare is determined by a tradeoff between the social cost of capital regulation and the efficiency of the bank’s project discovery efforts. When the former effect dominates, the regulator prefers lower-of-cost-or-market accounting; when the latter effect dominates, the regulator may prefer other regimes.     

金融精准扶贫的回顾与思考

金融的盈利性与扶贫的公益性之间存在着矛盾和冲突,导致了参与积极性不高和资源效率等有所损失,因而需要提高金融服务的针对性.在分析金融扶贫中存在问题的基础上,提出了相应的建议:识别贫困的成因和环节,精准采取相应的扶持措施;更多的扶贫实务交由政策性金融机构;集中扶贫的资金和资源;有针对性地推广相应的金融产品和服务.     

Profit taxes and financing constraints

Without financing frictions, profit taxes reduce investment by their effect on the user cost of capital. With financing constraints, investment becomes sensitive to cash-flow. In this situation, even small taxes impose first order welfare losses, and ACE and cash-flow tax systems are no longer neutral. When banks become active and provide monitoring services in addition to finance, an ACE tax yields larger investment and welfare than an equal yield cash-flow tax.     

The impacts of Net Stable Funding Ratio requirement on Banks’ choices of debt maturity

In this paper, we study the impacts of the Net Stable Funding Ratio (NSFR) requirement on banks’ choices of debt maturity and asset structures, with consequences for banks’ profitability and social welfare. We develop a model in which the manager of a bank determines both debt maturity structure (short-term vs. long-term debt) and asset composition (cash vs. risky assets). To address the incongruence of goals between the bank manager and the bank stakeholders, in our model we assume that the manager receives only a proportion of the bank’s profit in her pay schedule. We demonstrate that the optimal choices of the manager regarding debt maturity and asset structure lead to socially inefficient (second-best) outcomes because the manager internalizes only part of the social benefit. We then study the implications of the NSFR requirement on the manager’s choices and demonstrate that the NSFR requirement can enhance social welfare and reach an efficient (first-best) outcome, if a sufficiently low weight of short-term debt as available stable funding is required by regulation. Further, we find that under the same conditions the NSFR requirement reduces banks’ use of short-term financing and thus increases the probability of banks’ survival and profits from the ex ante point of view, while it decreases banks’ profits from the ex post point of view, since it reduces the threshold for banks’ survival. Our main results have some interesting empirical implications: under certain conditions, the NSFR requirement may reduce both bank failures and banks’ observed profits.     

A welfare comparison of ad valorem and unit tax regimes

This paper strives to merge two strands of the literature. The first group of papers compares ad valorem and unit taxes in a tax competition framework in terms of welfare. The second group of papers regards capital income taxes as a conjunction of taxes on pure profits and taxes on capital income. We find that, given decreasing returns to scale, there always exists a level of the share of deductible capital costs strictly smaller than one, such that for all values larger than this threshold, an ad valorem tax regime unambiguously Pareto-dominates a unit tax regime.     

Do firms have leverage targets? Evidence from acquisitions

In the context of large acquisitions, we provide evidence on whether firms have target capital structures. We examine how deviations from these targets affect how bidders choose to finance acquisitions and how they adjust their capital structure following the acquisitions. We show that when a bidder's leverage is over its target level, it is less likely to finance the acquisition with debt and more likely to finance the acquisition with equity. Also, we find a positive association between the merger-induced changes in target and actual leverage, and we show that bidders incorporate more than two-thirds of the change to the merged firm's new target leverage. Following debt-financed acquisitions, managers actively move the firm back to its target leverage, reversing more than 75% of the acquisition's leverage effect within five years. Overall, our results are consistent with a model of capital structure that includes a target level and adjustment costs.     

Start-up investment with scarce venture capital support

Venture capitalists, representing informed capital, screen, monitor and advise start-up entrepreneurs. The paper reports three new results on venture capital (VC) finance and the evolution of the VC industry. First, there is an optimal VC portfolio size with a trade-off between the number of companies and the value of managerial advice. Second, advice tends to be diluted when the industry expands and VC skills remain scarce in the short-run. The delayed entry of experienced VCs eventually restores the quality of advice and leads to more focused company portfolios. Third, as a welfare result, VCs tend to provide too little advisory effort and to invest in too few companies. Testable implications are also discussed.     

Macroprudential regulation and macroeconomic activity

I develop a dynamic stochastic general equilibrium model to examine the impact of macroprudential regulation on banks’ financial decisions and the implications for the real sector. I model an occasionally binding capital requirement constraint and analyze its costs and benefits. This friction means that the banks refrain from valuable lending. At the same time, capital requirements provide structural stability to the financial system. I show that higher capital requirements can dampen the business cycle fluctuations and raise welfare. I also show that switching to a countercyclical capital requirement regime can help reduce volatility and raise welfare. Finally, by means of the welfare analysis, I also obtain the optimal level of capital requirement.     

Bank capital and credit market competition: Will competitive pressure lead to higher capital levels?

This paper establishes a theoretical model to study the relationship between credit market competition and bank capital. In the model, bank capital can alleviate the debt overhang problem, and the extent to which banks can enjoy the gain of holding capital is decreasing in the competitive pressure in the credit market. It is shown that credit market competition reduces banks' incentive to hold capital. Deposit insurance also induces banks to hold less capital. In addition, bank capital regulation is welfare improving, and banks may voluntarily hold capital in excess of regulatory minimums.     

Inflation Taxation and Welfare with Externalities and Leisure

This paper examines how inflation taxation affects resource allocation and welfare in a neoclassical growth model with leisure, a production externality and money in the utility function. Switching from consumption taxation to inflation taxation to finance government spending reduces real money balances relative to income, but increases consumption, labor, capital, and output. The net welfare effect of this switch depends crucially on the strength of the externality and on the elasticity of intertemporal substitution. While it is always negative without the externality, it is likely to be positive with a strong externality and elastic intertemporal substitution.     

Capital Structures in Developing Countries

This study uses a new data set to assess whether capital structure theory is portable across countries with different institutional structures. We analyze capital structure choices of firms in 10 developing countries, and provide evidence that these decisions are affected by the same variables as in developed countries. However, there are persistent differences across countries, indicating that specific country factors are at work. Our findings suggest that although some of the insights from modern finance theory are portable across countries, much remains to be done to understand the impact of different institutional features on capital structure choices.